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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 95.7 88.9 96.1 87.1
Weighted Avg. Price 103.7 96.6 95.4 96.5
Avg. Price Bottom 5 Trades 84.2 77.0 95.2 48.9
2nd Quartile Price 95.5 87.0 95.3 67.0
3rd Quartile Price 97.5 94.3 97.4 99.4
4th Quartile Price 99.9 96.2 98.5 100.0
Avg. Price Top 5 Trades 104.4 98.7 96.8 102.4
Standard Deviation 8.1 10.3 2.3 18.6
VOLUME OF TRADES (000'S) 10,254.4 719.3 1,055.4 341,398.3
Customer Buy 10,202.6 * * 178,874.1
Customer Sell 20.3 116.0 * 149,115.2
Dealer to Dealer 31.5 130.3 * 13,409.0
<= $1MM 2,175.8 719.3 1,055.4 12,827.2
<= $10MM * - - 48,847.8
<= $100MM - - - 279,723.3
> $100MM - - - -
NUMBER OF TRADES 41 26 7 115
Customer Buy 12 * * 64
Customer Sell 13 9 * 20
Dealer to Dealer 16 13 * 31
<= $1MM 37 26 7 87
<= $10MM * - - 18
<= $100MM - - - 10
> $100MM - - - -
FHLMC
AVERAGE PRICE 94.7 88.6 94.0 81.9
Weighted Avg. Price 97.1 95.3 91.3 97.3
Avg. Price Bottom 5 Trades 85.3 74.9 91.8 40.7
2nd Quartile Price 92.5 81.9 90.5 67.2
3rd Quartile Price 95.8 94.9 96.2 92.5
4th Quartile Price 98.3 97.2 97.8 99.3
Avg. Price Top 5 Trades 100.3 98.8 96.7 100.8
Standard Deviation 4.7 9.5 3.9 21.3
VOLUME OF TRADES (000'S) 174.0 13,647.2 2,544.1 251,176.3
Customer Buy 69.1 3,611.1 * 142,746.8
Customer Sell 27.6 4,022.2 2,502.1 57,288.6
Dealer to Dealer 77.3 6,014.0 * 51,140.8
<= $1MM 174.0 1,744.2 966.8 6,848.8
<= $10MM - * * 93,372.1
<= $100MM - - - 150,955.4
> $100MM - - - -
NUMBER OF TRADES 64 26 8 78
Customer Buy 9 5 * 29
Customer Sell 24 10 6 20
Dealer to Dealer 31 11 * 29
<= $1MM 64 22 7 44
<= $10MM - * * 28
<= $100MM - - - 6
> $100MM - - - -
GNMA
AVERAGE PRICE 96.8 86.5 81.9 87.4
Weighted Avg. Price 100.3 95.1 90.3 97.3
Avg. Price Bottom 5 Trades 85.0 65.7 80.3 32.4
2nd Quartile Price 97.5 78.0 80.8 83.4
3rd Quartile Price 98.3 91.3 81.0 97.1
4th Quartile Price 99.8 94.5 83.7 99.4
Avg. Price Top 5 Trades 101.5 97.0 82.9 104.1
Standard Deviation 6.5 11.3 3.5 18.1
VOLUME OF TRADES (000'S) 407.8 1,701.4 1,790.6 961,909.0
Customer Buy 127.8 122.7 * 505,801.5
Customer Sell 133.8 1,127.7 * 365,552.2
Dealer to Dealer 146.2 451.0 65.9 90,555.4
<= $1MM 407.8 694.4 105.5 24,103.6
<= $10MM - * * 156,742.5
<= $100MM - - - 781,063.0
> $100MM - - - -
NUMBER OF TRADES 57 55 10 453
Customer Buy 16 12 * 154
Customer Sell 19 16 * 86
Dealer to Dealer 22 27 6 213
<= $1MM 57 54 9 400
<= $10MM - * * 29
<= $100MM - - - 24
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * * 11.8
Weighted Avg. Price * * * 4.4
Avg. Price Bottom 5 Trades * * * 8.6
2nd Quartile Price * * * 12.2
3rd Quartile Price * * * 13.3
4th Quartile Price * * * 15.0
Avg. Price Top 5 Trades * * * 14.7
Standard Deviation * * * 4.2
VOLUME OF TRADES (000'S) * * * 408,476.9
Customer Buy * - * 372,657.7
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM * - - *
<= $10MM - * * *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES * * * 11
Customer Buy * - * 7
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM * - - *
<= $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 - - * 9.4
Weighted Avg. Price - - * 5.3
Avg. Price Bottom 5 Trades - - * 2.5
2nd Quartile Price - - * 5.2
3rd Quartile Price - - * 8.9
4th Quartile Price - - * 14.0
Avg. Price Top 5 Trades - - * 17.3
Standard Deviation - - * 5.4
VOLUME OF TRADES (000'S) - - * 1,149,456.2
Customer Buy - - * 1,066,528.1
Customer Sell - - - 79,252.3
Dealer to Dealer - - - 3,675.8
<= $1MM - - - 6,178.7
<= $10MM - - * *
<= $100MM - - - 685,053.2
> $100MM - - - *
NUMBER OF TRADES - - * 31
Customer Buy - - * 18
Customer Sell - - - 7
Dealer to Dealer - - - 6
<= $1MM - - - 15
<= $10MM - - * *
<= $100MM - - - 12
> $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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