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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 93.9 83.8 62.6 89.1
Weighted Avg. Price 99.4 96.7 90.5 99.7
Avg. Price Bottom 5 Trades 74.1 74.9 62.6 46.4
2nd Quartile Price 97.3 78.2 * 93.9
3rd Quartile Price 98.3 80.0 * 99.6
4th Quartile Price 101.1 98.6 * 100.0
Avg. Price Top 5 Trades 101.1 99.2 62.6 101.0
Standard Deviation 14.4 10.0 39.0 19.9
VOLUME OF TRADES (000'S) 245.9 2,062.4 63.5 324,611.9
Customer Buy 65.7 * * 193,937.9
Customer Sell 89.8 1,273.2 * 95,074.8
Dealer to Dealer 90.5 343.6 61.4 35,599.2
<= $1MM 245.9 2,062.4 63.5 5,706.0
<= $10MM - - - 90,140.4
<= $100MM - - - 228,765.5
> $100MM - - - -
NUMBER OF TRADES 32 20 7 72
Customer Buy 8 * * 39
Customer Sell 13 8 * 12
Dealer to Dealer 11 8 5 21
<= $1MM 32 20 7 40
<= $10MM - - - 23
<= $100MM - - - 9
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.4 91.5 * 94.3
Weighted Avg. Price 99.6 99.0 * 99.2
Avg. Price Bottom 5 Trades 93.6 88.8 * 33.1
2nd Quartile Price 95.0 83.0 * 97.7
3rd Quartile Price 98.8 92.0 * 99.3
4th Quartile Price 99.8 98.1 * 99.9
Avg. Price Top 5 Trades 100.9 95.9 * 100.7
Standard Deviation 3.3 7.1 * 16.1
VOLUME OF TRADES (000'S) 1,079.5 1,511.2 * 450,192.5
Customer Buy 71.2 * * 261,165.5
Customer Sell 880.7 393.6 - 37,734.0
Dealer to Dealer 127.6 * * 151,293.0
<= $1MM 1,079.5 1,511.2 * 19,259.1
<= $10MM - - * 211,104.3
<= $100MM - - - 219,829.0
> $100MM - - - -
NUMBER OF TRADES 30 12 * 123
Customer Buy 6 * * 57
Customer Sell 15 6 - 16
Dealer to Dealer 9 * * 50
<= $1MM 30 12 * 63
<= $10MM - - * 48
<= $100MM - - - 12
> $100MM - - - -
GNMA
AVERAGE PRICE 96.1 87.9 72.1 93.7
Weighted Avg. Price 99.0 90.9 71.5 98.0
Avg. Price Bottom 5 Trades 91.7 75.4 72.1 45.8
2nd Quartile Price 93.0 90.5 * 97.0
3rd Quartile Price 98.3 91.0 * 98.5
4th Quartile Price 99.2 96.4 * 99.8
Avg. Price Top 5 Trades 100.3 95.6 72.1 102.7
Standard Deviation 3.7 8.8 0.9 12.8
VOLUME OF TRADES (000'S) 217.7 142.1 634.5 878,196.0
Customer Buy 65.3 94.3 * 386,963.4
Customer Sell 78.3 11.9 - 244,738.0
Dealer to Dealer 74.1 35.9 * 246,494.7
<= $1MM 217.7 142.1 634.5 21,815.7
<= $10MM - - - 46,528.9
<= $100MM - - - 528,264.1
> $100MM - - - *
NUMBER OF TRADES 42 17 5 210
Customer Buy 8 6 * 125
Customer Sell 19 5 - 26
Dealer to Dealer 15 6 * 59
<= $1MM 42 17 5 175
<= $10MM - - - 17
<= $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 16.3 8.4 * 16.2
Weighted Avg. Price 9.5 10.6 * 16.8
Avg. Price Bottom 5 Trades 5.2 7.2 * 16.2
2nd Quartile Price 7.3 5.4 * *
3rd Quartile Price 10.8 10.5 * *
4th Quartile Price 14.3 10.6 * *
Avg. Price Top 5 Trades 44.5 10.3 * 16.2
Standard Deviation 21.0 2.6 * 4.8
VOLUME OF TRADES (000'S) 8,544.7 14,490.0 * 27,812.3
Customer Buy 7,785.9 * * *
Customer Sell 250.7 * - -
Dealer to Dealer 508.0 3,248.9 - *
<= $1MM 1,371.3 121.3 * *
<= $10MM * 14,368.7 - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 36 11 * 5
Customer Buy 7 * * *
Customer Sell 10 * - -
Dealer to Dealer 19 5 - *
<= $1MM 35 6 * *
<= $10MM * 5 - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 15.5 - - *
Weighted Avg. Price 0.4 - - *
Avg. Price Bottom 5 Trades 3.3 - - *
2nd Quartile Price 2.0 - - *
3rd Quartile Price 9.8 - - *
4th Quartile Price 49.5 - - *
Avg. Price Top 5 Trades 25.9 - - *
Standard Deviation 21.0 - - *
VOLUME OF TRADES (000'S) 2,520.5 - - *
Customer Buy - - - *
Customer Sell * - - -
Dealer to Dealer 1,680.3 - - -
<= $1MM 2,520.5 - - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES 12 - - *
Customer Buy - - - *
Customer Sell * - - -
Dealer to Dealer 8 - - -
<= $1MM 12 - - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - * - 8.1
Weighted Avg. Price - * - 7.1
Avg. Price Bottom 5 Trades - * - 3.2
2nd Quartile Price - * - 3.5
3rd Quartile Price - * - 8.3
4th Quartile Price - * - 12.5
Avg. Price Top 5 Trades - * - 13.8
Standard Deviation - * - 4.8
VOLUME OF TRADES (000'S) - * - 321,774.4
Customer Buy - - - 181,156.6
Customer Sell - - - *
Dealer to Dealer - * - 9,792.8
<= $1MM - * - 1,960.2
<= $10MM - - - 21,224.8
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - * - 16
Customer Buy - - - 7
Customer Sell - - - *
Dealer to Dealer - * - 5
<= $1MM - * - 6
<= $10MM - - - 6
<= $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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