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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 96.8 92.6 98.1 94.5
Weighted Avg. Price 99.9 97.6 98.2 98.4
Avg. Price Bottom 5 Trades 92.4 75.0 98.1 60.3
2nd Quartile Price 92.5 93.0 * 97.7
3rd Quartile Price 99.5 95.9 * 98.8
4th Quartile Price 100.0 97.2 * 99.8
Avg. Price Top 5 Trades 100.5 98.8 98.1 101.7
Standard Deviation 4.0 8.7 1.3 11.3
VOLUME OF TRADES (000'S) 551.7 2,858.2 460.1 661,291.9
Customer Buy 51.6 165.4 * 408,288.5
Customer Sell 477.8 2,482.9 * 102,797.2
Dealer to Dealer 22.3 209.9 - 150,206.3
<= $1MM 551.7 1,016.6 460.1 8,496.9
<= $10MM - * - 145,948.4
<= $100MM - - - 367,138.6
> $100MM - - - *
NUMBER OF TRADES 29 37 5 68
Customer Buy 12 10 * 39
Customer Sell 12 12 * 7
Dealer to Dealer 5 15 - 22
<= $1MM 29 36 5 21
<= $10MM - * - 28
<= $100MM - - - 18
> $100MM - - - *
FHLMC
AVERAGE PRICE 97.5 90.2 93.4 96.6
Weighted Avg. Price 100.0 87.3 91.0 99.1
Avg. Price Bottom 5 Trades 93.5 74.8 91.9 67.6
2nd Quartile Price 95.0 86.5 93.6 97.5
3rd Quartile Price 99.0 94.3 95.0 98.8
4th Quartile Price 100.0 97.5 95.8 99.5
Avg. Price Top 5 Trades 101.1 99.4 95.7 101.1
Standard Deviation 3.2 9.3 3.5 8.6
VOLUME OF TRADES (000'S) 354.8 6,400.0 1,164.4 725,659.2
Customer Buy 40.3 5,338.6 * 326,292.4
Customer Sell 309.4 856.8 * 269,600.1
Dealer to Dealer * 204.6 * 129,766.7
<= $1MM 354.8 1,578.1 1,164.4 18,234.5
<= $10MM - * - 185,198.9
<= $100MM - - - 522,225.7
> $100MM - - - -
NUMBER OF TRADES 34 24 9 101
Customer Buy 12 8 * 51
Customer Sell 19 10 * 14
Dealer to Dealer * 6 * 36
<= $1MM 34 22 9 36
<= $10MM - * - 51
<= $100MM - - - 14
> $100MM - - - -
GNMA
AVERAGE PRICE 97.0 92.0 86.1 89.0
Weighted Avg. Price 98.9 92.9 91.6 97.6
Avg. Price Bottom 5 Trades 91.6 88.5 79.5 42.2
2nd Quartile Price 96.5 88.8 75.2 91.0
3rd Quartile Price 98.6 90.0 90.0 98.7
4th Quartile Price 99.8 96.8 97.1 99.8
Avg. Price Top 5 Trades 100.8 99.7 96.8 103.5
Standard Deviation 4.0 4.3 10.1 19.5
VOLUME OF TRADES (000'S) 275.6 211.7 10,977.0 774,351.3
Customer Buy 78.0 37.6 * 487,867.8
Customer Sell 102.6 45.5 * 167,527.2
Dealer to Dealer 95.0 128.7 5,495.0 118,956.3
<= $1MM 275.6 211.7 88.9 12,448.0
<= $10MM - - * 167,622.9
<= $100MM - - - 491,441.8
> $100MM - - - *
NUMBER OF TRADES 53 36 15 254
Customer Buy 14 6 * 124
Customer Sell 19 9 * 16
Dealer to Dealer 20 21 7 114
<= $1MM 53 36 13 185
<= $10MM - - * 48
<= $100MM - - - 20
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - 8.8 - *
Weighted Avg. Price - 8.8 - *
Avg. Price Bottom 5 Trades - 8.8 - *
2nd Quartile Price - * - *
3rd Quartile Price - * - *
4th Quartile Price - * - *
Avg. Price Top 5 Trades - 8.8 - *
Standard Deviation - - - *
VOLUME OF TRADES (000'S) - 780.3 - *
Customer Buy - 780.3 - *
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - 780.3 - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - 7 - *
Customer Buy - 7 - *
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - 7 - -
<= $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 - - - 12.1
Weighted Avg. Price - - - 6.3
Avg. Price Bottom 5 Trades - - - 12.1
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 12.1
Standard Deviation - - - 7.6
VOLUME OF TRADES (000'S) - - - 58,630.3
Customer Buy - - - 58,290.9
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - 1,500.7
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 17
Customer Buy - - - 14
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - 14
<= $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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