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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 96.2 86.8 76.4 91.9
Weighted Avg. Price 99.4 97.7 85.3 97.7
Avg. Price Bottom 5 Trades 90.8 66.8 63.2 62.6
2nd Quartile Price 95.8 82.0 68.4 89.9
3rd Quartile Price 97.8 88.1 87.6 96.9
4th Quartile Price 98.8 97.0 95.0 99.9
Avg. Price Top 5 Trades 101.1 102.8 86.8 100.5
Standard Deviation 4.7 11.5 16.8 12.3
VOLUME OF TRADES (000'S) 6,661.9 10,878.9 124.8 180,205.4
Customer Buy 5,773.0 7,223.7 * 89,476.0
Customer Sell 161.2 677.4 50.5 17,686.4
Dealer to Dealer 727.8 2,977.8 * 73,043.0
<= $1MM 3,274.6 2,441.9 124.8 7,035.9
<= $10MM * 8,437.0 - 120,490.7
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 33 54 11 61
Customer Buy 9 18 * 23
Customer Sell 10 17 5 22
Dealer to Dealer 14 19 * 16
<= $1MM 31 48 11 30
<= $10MM * 6 - 28
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 95.1 89.0 82.5 96.8
Weighted Avg. Price 100.8 96.0 97.3 99.2
Avg. Price Bottom 5 Trades 92.4 69.6 74.2 77.1
2nd Quartile Price 92.0 81.9 76.3 97.5
3rd Quartile Price 95.7 92.4 77.9 99.3
4th Quartile Price 99.8 97.3 97.9 100.3
Avg. Price Top 5 Trades 100.4 100.5 95.2 101.3
Standard Deviation 4.8 10.0 11.0 7.9
VOLUME OF TRADES (000'S) 279.1 38,699.8 3,150.4 196,425.9
Customer Buy * 20,042.1 * 145,733.7
Customer Sell 6.2 17,304.8 1,546.0 17,205.8
Dealer to Dealer 91.5 1,353.0 1,514.1 33,486.4
<= $1MM 279.1 2,208.3 203.3 12,977.3
<= $10MM - * * 75,221.6
<= $100MM - * - *
> $100MM - - - -
NUMBER OF TRADES 19 61 19 62
Customer Buy * 17 * 30
Customer Sell 9 18 8 14
Dealer to Dealer 7 26 7 18
<= $1MM 19 58 17 34
<= $10MM - * * 24
<= $100MM - * - *
> $100MM - - - -
GNMA
AVERAGE PRICE 96.3 90.6 84.8 90.1
Weighted Avg. Price 96.9 94.8 87.3 97.9
Avg. Price Bottom 5 Trades 85.9 76.0 77.3 41.9
2nd Quartile Price 96.0 87.7 81.0 89.8
3rd Quartile Price 98.1 92.0 83.2 98.9
4th Quartile Price 100.0 97.6 96.4 100.0
Avg. Price Top 5 Trades 100.4 100.3 91.7 105.3
Standard Deviation 5.7 8.3 12.9 18.0
VOLUME OF TRADES (000'S) 214.9 1,136.3 567.2 269,676.8
Customer Buy 57.4 378.3 * 144,973.1
Customer Sell 50.7 224.7 * 26,993.1
Dealer to Dealer 106.9 533.2 * 97,710.7
<= $1MM 214.9 1,136.3 567.2 17,862.4
<= $10MM - - - 117,270.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 37 58 9 216
Customer Buy 6 15 * 114
Customer Sell 16 16 * 30
Dealer to Dealer 15 27 * 72
<= $1MM 37 58 9 185
<= $10MM - - - 28
<= $100MM - - - *
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 40.1 * * -
Weighted Avg. Price 17.6 * * -
Avg. Price Bottom 5 Trades 40.1 * * -
2nd Quartile Price * * * -
3rd Quartile Price * * * -
4th Quartile Price * * * -
Avg. Price Top 5 Trades 40.1 * * -
Standard Deviation 45.5 * * -
VOLUME OF TRADES (000'S) 39.0 * * -
Customer Buy - * * -
Customer Sell * - - -
Dealer to Dealer * * - -
<= $1MM 39.0 * - -
<= $10MM - - * -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 5 * * -
Customer Buy - * * -
Customer Sell * - - -
Dealer to Dealer * * - -
<= $1MM 5 * - -
<= $10MM - - * -
<= $100MM - - - -
> $100MM - - - -
FHLMC
AVERAGE PRICE - - - *
Weighted Avg. Price - - - *
Avg. Price Bottom 5 Trades - - - *
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - *
Standard Deviation - - - *
VOLUME OF TRADES (000'S) - - - *
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - *
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - - - 13.4
Weighted Avg. Price - - - 9.3
Avg. Price Bottom 5 Trades - - - 9.8
2nd Quartile Price - - - 13.6
3rd Quartile Price - - - 15.1
4th Quartile Price - - - 19.8
Avg. Price Top 5 Trades - - - 17.0
Standard Deviation - - - 5.2
VOLUME OF TRADES (000'S) - - - 238,355.1
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 10
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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