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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 97.7 91.6 * 88.3
Weighted Avg. Price 99.3 95.6 * 99.3
Avg. Price Bottom 5 Trades 95.6 71.7 * 52.4
2nd Quartile Price 97.0 88.0 * 81.5
3rd Quartile Price 98.0 95.0 * 99.8
4th Quartile Price 99.2 98.0 * 100.0
Avg. Price Top 5 Trades 100.0 101.1 * 100.7
Standard Deviation 2.0 9.0 * 17.9
VOLUME OF TRADES (000'S) 119.5 975.5 * 989,523.4
Customer Buy 12.4 263.5 * 447,546.6
Customer Sell 53.1 544.4 - 391,941.3
Dealer to Dealer 54.0 167.5 - 150,035.5
<= $1MM 119.5 975.5 * 9,379.0
<= $10MM - - - 66,361.5
<= $100MM - - - 524,428.6
> $100MM - - - *
NUMBER OF TRADES 32 46 * 100
Customer Buy 11 13 * 63
Customer Sell 10 12 - 16
Dealer to Dealer 11 21 - 21
<= $1MM 32 46 * 58
<= $10MM - - - 27
<= $100MM - - - 12
> $100MM - - - *
FHLMC
AVERAGE PRICE 98.3 89.5 95.7 93.5
Weighted Avg. Price 98.4 99.1 95.9 100.0
Avg. Price Bottom 5 Trades 97.6 64.1 95.1 51.8
2nd Quartile Price 98.0 88.0 94.8 97.9
3rd Quartile Price 98.0 95.9 96.4 98.7
4th Quartile Price 98.8 98.4 97.3 99.8
Avg. Price Top 5 Trades 99.4 99.3 96.4 101.7
Standard Deviation 1.0 13.3 1.3 13.7
VOLUME OF TRADES (000'S) 82.1 5,167.9 31,527.6 802,226.6
Customer Buy 24.0 2,566.7 * 375,889.0
Customer Sell 17.9 121.4 31,412.7 372,217.0
Dealer to Dealer 40.2 2,479.7 * 54,120.5
<= $1MM 82.1 415.8 299.1 12,681.3
<= $10MM - * * 78,210.7
<= $100MM - - * 711,334.6
> $100MM - - - -
NUMBER OF TRADES 25 32 9 82
Customer Buy 10 10 * 40
Customer Sell 6 8 5 18
Dealer to Dealer 9 14 * 24
<= $1MM 25 30 6 40
<= $10MM - * * 25
<= $100MM - - * 17
> $100MM - - - -
GNMA
AVERAGE PRICE 98.8 90.7 69.5 87.6
Weighted Avg. Price 99.7 91.8 69.3 98.2
Avg. Price Bottom 5 Trades 96.5 76.6 69.5 45.7
2nd Quartile Price 98.7 87.6 * 80.6
3rd Quartile Price 99.1 95.0 * 98.5
4th Quartile Price 100.0 97.0 * 99.8
Avg. Price Top 5 Trades 99.9 98.9 69.5 102.7
Standard Deviation 2.2 8.5 0.3 18.5
VOLUME OF TRADES (000'S) 124.8 238.5 120.0 458,985.7
Customer Buy 61.2 32.5 * 261,696.9
Customer Sell 13.3 89.5 * 143,543.8
Dealer to Dealer 50.3 116.5 * 53,745.1
<= $1MM 124.8 238.5 120.0 17,123.3
<= $10MM - - - 158,944.6
<= $100MM - - - 282,917.8
> $100MM - - - -
NUMBER OF TRADES 25 34 6 202
Customer Buy 9 7 * 113
Customer Sell 7 11 * 25
Dealer to Dealer 9 16 * 64
<= $1MM 25 34 6 148
<= $10MM - - - 43
<= $100MM - - - 11
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * * 38.1
Weighted Avg. Price * * * 30.3
Avg. Price Bottom 5 Trades * * * 24.8
2nd Quartile Price * * * 15.5
3rd Quartile Price * * * 67.0
4th Quartile Price * * * 72.4
Avg. Price Top 5 Trades * * * 48.6
Standard Deviation * * * 29.8
VOLUME OF TRADES (000'S) * * * 24,422.2
Customer Buy * * * *
Customer Sell - - * *
Dealer to Dealer - - - -
<= $1MM * * * *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * * 7
Customer Buy * * * *
Customer Sell - - * *
Dealer to Dealer - - - -
<= $1MM * * * *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * * * 14.7
Weighted Avg. Price * * * 6.6
Avg. Price Bottom 5 Trades * * * 5.7
2nd Quartile Price * * * 7.0
3rd Quartile Price * * * 8.0
4th Quartile Price * * * 15.7
Avg. Price Top 5 Trades * * * 22.3
Standard Deviation * * * 21.5
VOLUME OF TRADES (000'S) * * * 422,010.1
Customer Buy * * * *
Customer Sell - - * *
Dealer to Dealer - - * 284,660.6
<= $1MM * * * *
<= $10MM - - - -
<= $100MM - - - 421,934.9
> $100MM - - - -
NUMBER OF TRADES * * * 9
Customer Buy * * * *
Customer Sell - - * *
Dealer to Dealer - - * 5
<= $1MM * * * *
<= $10MM - - - -
<= $100MM - - - 8
> $100MM - - - -
GNMA
AVERAGE PRICE * * * 9.7
Weighted Avg. Price * * * 7.0
Avg. Price Bottom 5 Trades * * * 3.7
2nd Quartile Price * * * 5.7
3rd Quartile Price * * * 7.9
4th Quartile Price * * * 11.9
Avg. Price Top 5 Trades * * * 19.2
Standard Deviation * * * 5.6
VOLUME OF TRADES (000'S) * * * 876,871.6
Customer Buy * - - 539,026.5
Customer Sell - * * 316,359.3
Dealer to Dealer - * - 21,485.9
<= $1MM * * - 3,116.0
<= $10MM - - * 30,247.6
<= $100MM - - - 843,507.9
> $100MM - - - -
NUMBER OF TRADES * * * 28
Customer Buy * - - 13
Customer Sell - * * 9
Dealer to Dealer - * - 6
<= $1MM * * - 6
<= $10MM - - * 6
<= $100MM - - - 16
> $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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