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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 98.8 88.4 88.1 93.9
Weighted Avg. Price 98.0 96.6 91.2 96.6
Avg. Price Bottom 5 Trades 96.5 71.8 75.4 58.7
2nd Quartile Price 98.5 82.0 82.2 90.7
3rd Quartile Price 99.3 92.5 93.0 99.2
4th Quartile Price 100.0 96.5 96.0 99.9
Avg. Price Top 5 Trades 100.3 98.3 96.7 103.6
Standard Deviation 1.8 9.3 8.9 11.2
VOLUME OF TRADES (000'S) 380.5 30,542.3 21,195.2 392,329.2
Customer Buy * 8,046.6 6,791.6 152,415.9
Customer Sell 332.8 4,493.4 1,060.0 83,562.5
Dealer to Dealer 26.0 18,002.3 13,343.5 156,350.7
<= $1MM 380.5 3,114.9 1,269.1 24,059.5
<= $10MM - 27,427.4 * 192,927.1
<= $100MM - - - 175,342.6
> $100MM - - - -
NUMBER OF TRADES 19 40 20 109
Customer Buy * 9 5 38
Customer Sell 9 14 7 32
Dealer to Dealer 6 17 8 39
<= $1MM 19 33 16 48
<= $10MM - 7 * 51
<= $100MM - - - 10
> $100MM - - - -
FHLMC
AVERAGE PRICE 90.4 87.1 92.9 94.6
Weighted Avg. Price 101.5 99.7 98.4 97.6
Avg. Price Bottom 5 Trades 68.0 76.2 83.3 53.3
2nd Quartile Price 95.9 78.7 96.0 97.4
3rd Quartile Price 99.2 87.0 98.1 99.7
4th Quartile Price 101.8 97.5 98.4 100.3
Avg. Price Top 5 Trades 102.9 99.6 98.7 101.7
Standard Deviation 28.6 9.9 9.8 11.6
VOLUME OF TRADES (000'S) 205.5 13,702.8 37,985.8 487,968.2
Customer Buy 170.5 5,266.0 * 170,792.8
Customer Sell 12.3 * 2,757.5 19,025.2
Dealer to Dealer 22.7 8,429.3 28,774.3 298,150.2
<= $1MM 205.5 378.5 1,331.9 22,738.5
<= $10MM - * 36,653.9 164,620.3
<= $100MM - - - 300,609.4
> $100MM - - - -
NUMBER OF TRADES 23 20 14 101
Customer Buy 6 7 * 53
Customer Sell 9 * 6 20
Dealer to Dealer 8 9 7 28
<= $1MM 23 17 8 51
<= $10MM - * 6 39
<= $100MM - - - 11
> $100MM - - - -
GNMA
AVERAGE PRICE 95.5 89.1 88.6 88.4
Weighted Avg. Price 98.2 87.2 98.4 98.0
Avg. Price Bottom 5 Trades 93.4 75.6 81.7 45.0
2nd Quartile Price 97.5 85.3 86.3 84.5
3rd Quartile Price 98.2 92.5 89.0 98.9
4th Quartile Price 98.7 97.8 93.0 99.8
Avg. Price Top 5 Trades 98.8 98.2 95.2 105.1
Standard Deviation 6.5 8.9 5.6 18.1
VOLUME OF TRADES (000'S) 25.4 5,174.4 2,611.8 1,277,435.2
Customer Buy * * * 390,485.6
Customer Sell 12.6 219.4 * 575,648.9
Dealer to Dealer * 285.5 1,318.7 311,300.6
<= $1MM 25.4 621.4 226.7 29,489.0
<= $10MM - * * 221,842.9
<= $100MM - - - 1,026,103.3
> $100MM - - - -
NUMBER OF TRADES 13 23 20 276
Customer Buy * * * 107
Customer Sell 8 8 * 65
Dealer to Dealer * 11 12 104
<= $1MM 13 22 18 189
<= $10MM - * * 47
<= $100MM - - - 40
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - 15.7
Weighted Avg. Price - - - 13.3
Avg. Price Bottom 5 Trades - - - 15.7
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 15.7
Standard Deviation - - - 7.4
VOLUME OF TRADES (000'S) - - - 264,440.6
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - - 5
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
FHLMC
AVERAGE PRICE - - - 14.3
Weighted Avg. Price - - - 9.5
Avg. Price Bottom 5 Trades - - - 8.8
2nd Quartile Price - - - 15.9
3rd Quartile Price - - - 18.6
4th Quartile Price - - - 19.8
Avg. Price Top 5 Trades - - - 19.3
Standard Deviation - - - 6.8
VOLUME OF TRADES (000'S) - - - 335,225.6
Customer Buy - - - 191,690.2
Customer Sell - - - 143,535.4
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 335,225.6
> $100MM - - - -
NUMBER OF TRADES - - - 11
Customer Buy - - - 6
Customer Sell - - - 5
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 11
> $100MM - - - -
GNMA
AVERAGE PRICE - - - 18.4
Weighted Avg. Price - - - 23.3
Avg. Price Bottom 5 Trades - - - 18.4
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 18.4
Standard Deviation - - - 5.0
VOLUME OF TRADES (000'S) - - - 38,121.0
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 5
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
* Indicates trade count is less than 5
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Effective January 10th, 2026 the “Structured Trading Activity Report”, “CBO/CDO/CLO” row and the “CBO/CDO/CLO” Pricing Table was revised for the As Of Dates of December 1, 2025 through December 12, 2025. This was due to an issue where trades were not being classified into the CBO/CDO/CLO NON-AAA IG bucket when those reports were first published.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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