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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE 100.4 102.3 91.8
Weighted Avg. Price 97.8 100.2 97.8
Avg. Price Bottom 5 Trades 84.0 100.0 41.6
2nd Quartile Price 100.0 100.3 87.4
3rd Quartile Price 100.9 101.4 95.8
4th Quartile Price 104.1 107.1 99.4
Avg. Price Top 5 Trades 108.4 104.3 107.9
Standard Deviation 7.3 3.4 12.7
VOLUME OF TRADES (000'S) 895.0 3,246.3 79,751.2
Customer Buy 616.4 * 27,449.5
Customer Sell 134.0 * 37,323.5
Dealer to Dealer 144.6 1,232.2 14,978.2
<= $1MM 895.0 861.7 14,708.0
<= $10MM 0.0 * 43,769.6
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 74 9 208
Customer Buy 15 * 96
Customer Sell 35 * 41
Dealer to Dealer 24 5 71
<= $1MM 74 7 192
<= $10MM 0 * 15
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 99.4 105.7 96.2
Weighted Avg. Price 110.0 106.0 100.6
Avg. Price Bottom 5 Trades 81.2 103.0 78.4
2nd Quartile Price 97.9 104.6 91.2
3rd Quartile Price 101.2 106.2 97.8
4th Quartile Price 106.0 108.6 101.5
Avg. Price Top 5 Trades 114.6 107.9 114.6
Standard Deviation 11.6 2.8 8.3
VOLUME OF TRADES (000'S) 3,005.9 274.5 200,823.8
Customer Buy 900.7 * 87,896.9
Customer Sell 634.4 121.0 86,992.9
Dealer to Dealer 1,470.8 * 25,934.1
<= $1MM 3,005.9 274.5 13,381.6
<= $10MM 0.0 0.0 54,782.3
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 70 12 165
Customer Buy 15 * 62
Customer Sell 33 6 44
Dealer to Dealer 22 * 59
<= $1MM 70 12 145
<= $10MM 0 0 17
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.0 105.1 98.0
Weighted Avg. Price 109.5 108.7 99.8
Avg. Price Bottom 5 Trades 99.1 100.8 70.9
2nd Quartile Price 102.3 102.5 94.7
3rd Quartile Price 104.6 105.5 99.6
4th Quartile Price 108.2 107.4 104.2
Avg. Price Top 5 Trades 112.5 109.4 113.1
Standard Deviation 4.2 3.2 9.3
VOLUME OF TRADES (000'S) 1,454.1 1,393.5 118,277.3
Customer Buy 1,175.5 1,012.8 65,205.9
Customer Sell 71.6 72.6 36,491.3
Dealer to Dealer 207.0 308.0 16,580.1
<= $1MM 1,454.1 1,393.5 7,224.7
<= $10MM 0.0 0.0 49,185.3
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 67 28 248
Customer Buy 19 7 104
Customer Sell 22 10 51
Dealer to Dealer 26 11 93
<= $1MM 67 28 228
<= $10MM 0 0 17
<= $100MM 0 0 *
> $100MM 0 0 0
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE * * 15.2
Weighted Avg. Price * * 14.7
Avg. Price Bottom 5 Trades * * 7.0
2nd Quartile Price * * 11.9
3rd Quartile Price * * 13.7
4th Quartile Price * * 16.8
Avg. Price Top 5 Trades * * 28.2
Standard Deviation * * 11.6
VOLUME OF TRADES (000'S) * * 288,071.2
Customer Buy * * 145,047.5
Customer Sell * 0.0 143,023.7
Dealer to Dealer 0.0 0.0 0.0
<= $1MM * * 2,985.9
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 259,581.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 25
Customer Buy * * 14
Customer Sell * 0 11
Dealer to Dealer 0 0 0
<= $1MM * * 10
<= $10MM 0 0 *
<= $100MM 0 0 11
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * 46.3 41.2
Weighted Avg. Price * 65.2 15.8
Avg. Price Bottom 5 Trades * 14.7 8.3
2nd Quartile Price * 16.2 13.5
3rd Quartile Price * 83.3 80.0
4th Quartile Price * 83.3 83.3
Avg. Price Top 5 Trades * 58.9 72.3
Standard Deviation * 35.5 36.7
VOLUME OF TRADES (000'S) * 1,308.2 38,042.5
Customer Buy * * 37,445.2
Customer Sell * 654.1 *
Dealer to Dealer 0.0 0.0 *
<= $1MM * 1,308.2 1,905.3
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 11 14
Customer Buy * * 8
Customer Sell * 7 *
Dealer to Dealer 0 0 *
<= $1MM * 11 11
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 13.3
Weighted Avg. Price 0.0 0.0 16.8
Avg. Price Bottom 5 Trades 0.0 0.0 6.2
2nd Quartile Price 0.0 0.0 7.5
3rd Quartile Price 0.0 0.0 16.5
4th Quartile Price 0.0 0.0 23.3
Avg. Price Top 5 Trades 0.0 0.0 19.9
Standard Deviation 0.0 0.0 8.1
VOLUME OF TRADES (000'S) 0.0 0.0 104,609.7
Customer Buy 0.0 0.0 66,174.5
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 90,103.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 11
Customer Buy 0 0 7
Customer Sell 0 0 *
Dealer to Dealer 0 0 0
<= $1MM 0 0 *
<= $10MM 0 0 *
<= $100MM 0 0 5
> $100MM 0 0 0
* 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 Listor 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.

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