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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 92.8 87.9 88.6 73.6
Weighted Avg. Price 100.0 92.2 93.3 95.3
Avg. Price Bottom 5 Trades 78.2 76.2 82.3 42.9
2nd Quartile Price 91.2 82.3 85.0 53.9
3rd Quartile Price 96.5 90.0 94.9 68.1
4th Quartile Price 99.0 93.0 96.8 97.6
Avg. Price Top 5 Trades 100.8 98.5 96.1 101.0
Standard Deviation 14.2 7.1 8.8 21.4
VOLUME OF TRADES (000'S) 6,449.6 2,356.5 28,887.5 135,700.7
Customer Buy 3,202.5 43.9 * 70,203.7
Customer Sell 43.0 2,211.2 26,339.8 58,995.9
Dealer to Dealer 3,204.1 101.4 * 6,501.1
<= $1MM 128.4 264.4 1,031.9 5,628.7
<= $10MM * * * 86,131.3
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES 44 45 11 101
Customer Buy 9 7 * 47
Customer Sell 16 19 5 40
Dealer to Dealer 19 19 * 14
<= $1MM 42 44 6 71
<= $10MM * * * 27
<= $100MM - - * *
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.6 88.5 89.8 80.8
Weighted Avg. Price 98.8 87.9 92.5 95.5
Avg. Price Bottom 5 Trades 93.5 79.4 87.3 37.3
2nd Quartile Price 95.0 87.6 85.2 62.2
3rd Quartile Price 95.3 90.8 92.7 97.0
4th Quartile Price 99.3 95.3 94.6 99.4
Avg. Price Top 5 Trades 100.2 95.3 93.7 100.9
Standard Deviation 2.5 7.8 4.6 22.6
VOLUME OF TRADES (000'S) 75.5 8,027.6 5,115.6 376,482.8
Customer Buy * * * 246,753.9
Customer Sell 33.9 7,883.9 * 67,168.2
Dealer to Dealer 32.7 94.8 51.1 62,560.8
<= $1MM 75.5 159.6 115.6 7,673.7
<= $10MM - * * 118,799.2
<= $100MM - - - 250,010.0
> $100MM - - - -
NUMBER OF TRADES 45 22 11 105
Customer Buy * * * 49
Customer Sell 22 6 * 27
Dealer to Dealer 19 12 5 29
<= $1MM 45 19 10 62
<= $10MM - * * 36
<= $100MM - - - 7
> $100MM - - - -
GNMA
AVERAGE PRICE 97.9 86.8 91.8 82.0
Weighted Avg. Price 99.5 95.7 98.9 99.4
Avg. Price Bottom 5 Trades 95.2 73.5 89.1 41.3
2nd Quartile Price 96.1 80.3 95.0 59.8
3rd Quartile Price 98.1 87.3 99.5 95.6
4th Quartile Price 99.4 94.3 105.3 99.6
Avg. Price Top 5 Trades 100.9 97.6 95.0 103.2
Standard Deviation 2.0 8.3 12.8 21.2
VOLUME OF TRADES (000'S) 553.1 4,223.4 2,971.3 542,559.8
Customer Buy 157.0 2,480.7 * 129,738.0
Customer Sell 53.3 218.4 * 346,086.1
Dealer to Dealer 342.8 1,524.3 * 66,735.8
<= $1MM 553.1 1,746.3 * 14,075.2
<= $10MM - * * 146,982.6
<= $100MM - - - 381,502.0
> $100MM - - - -
NUMBER OF TRADES 42 54 6 255
Customer Buy 6 12 * 116
Customer Sell 17 18 * 81
Dealer to Dealer 19 24 * 58
<= $1MM 42 52 * 202
<= $10MM - * * 37
<= $100MM - - - 16
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - 5.8 * 11.4
Weighted Avg. Price - 6.9 * 9.2
Avg. Price Bottom 5 Trades - 3.1 * 6.8
2nd Quartile Price - 2.6 * 8.8
3rd Quartile Price - 7.8 * 11.5
4th Quartile Price - 15.0 * 17.0
Avg. Price Top 5 Trades - 7.6 * 15.5
Standard Deviation - 5.3 * 5.3
VOLUME OF TRADES (000'S) - 6,286.2 * 316,539.4
Customer Buy - * * 255,689.4
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * * *
<= $10MM - * - *
<= $100MM - - - 314,843.1
> $100MM - - - -
NUMBER OF TRADES - 7 * 12
Customer Buy - * * 7
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * * *
<= $10MM - * - *
<= $100MM - - - 10
> $100MM - - - -
FHLMC
AVERAGE PRICE - 7.8 - 22.3
Weighted Avg. Price - 10.4 - 8.8
Avg. Price Bottom 5 Trades - 1.6 - 9.8
2nd Quartile Price - 1.9 - 11.6
3rd Quartile Price - 7.1 - 13.8
4th Quartile Price - 16.1 - 41.1
Avg. Price Top 5 Trades - 14.2 - 38.3
Standard Deviation - 6.9 - 20.3
VOLUME OF TRADES (000'S) - 6,098.0 - 354,454.1
Customer Buy - * - 261,901.8
Customer Sell - 997.0 - *
Dealer to Dealer - * - *
<= $1MM - 1,292.1 - *
<= $10MM - * - 29,956.1
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - 11 - 12
Customer Buy - * - 6
Customer Sell - 7 - *
Dealer to Dealer - * - *
<= $1MM - 8 - *
<= $10MM - * - 6
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - 34.8 - 11.8
Weighted Avg. Price - 16.5 - 7.8
Avg. Price Bottom 5 Trades - 25.7 - 7.5
2nd Quartile Price - 16.1 - 5.3
3rd Quartile Price - 80.1 - 16.5
4th Quartile Price - 80.2 - 19.0
Avg. Price Top 5 Trades - 41.8 - 15.9
Standard Deviation - 35.7 - 7.0
VOLUME OF TRADES (000'S) - 736.1 - 299,377.1
Customer Buy - * - *
Customer Sell - * - 132,661.4
Dealer to Dealer - * - -
<= $1MM - 736.1 - -
<= $10MM - - - -
<= $100MM - - - 179,062.2
> $100MM - - - *
NUMBER OF TRADES - 6 - 8
Customer Buy - * - *
Customer Sell - * - 5
Dealer to Dealer - * - -
<= $1MM - 6 - -
<= $10MM - - - -
<= $100MM - - - 7
> $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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