As of
Download

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
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 99.3 90.6 94.2 83.5
Weighted Avg. Price 97.8 98.1 99.8 99.2
Avg. Price Bottom 5 Trades 92.5 50.0 87.1 66.5
2nd Quartile Price 96.4 89.3 93.0 68.5
3rd Quartile Price 99.0 96.4 98.3 79.2
4th Quartile Price 101.0 98.3 99.9 99.5
Avg. Price Top 5 Trades 106.9 100.0 99.8 100.3
Standard Deviation 4.5 16.4 7.3 15.0
VOLUME OF TRADES (000'S) 14,049.8 22,658.0 117,515.7 178,762.7
Customer Buy 3,422.7 5,982.7 54,210.9 78,312.5
Customer Sell 8,410.9 14,304.5 60,158.2 96,011.6
Dealer to Dealer 2,216.3 2,370.9 3,146.6 4,438.5
<= $1MM 9,927.6 14,065.7 301.7 3,003.8
<= $10MM * 8,592.3 9,096.9 *
<= $100MM - - * 162,772.5
> $100MM - - - -
NUMBER OF TRADES 60 100 19 40
Customer Buy 17 30 5 11
Customer Sell 26 34 8 13
Dealer to Dealer 17 36 6 16
<= $1MM 57 95 9 30
<= $10MM * 5 6 *
<= $100MM - - * 7
> $100MM - - - -
FHLMC
AVERAGE PRICE 91.8 93.3 87.9 81.3
Weighted Avg. Price 98.3 98.9 98.3 92.0
Avg. Price Bottom 5 Trades 60.0 77.1 81.3 52.0
2nd Quartile Price 95.0 92.0 82.3 74.3
3rd Quartile Price 98.8 96.0 86.0 94.0
4th Quartile Price 100.0 99.1 99.0 96.5
Avg. Price Top 5 Trades 103.1 100.9 95.9 98.3
Standard Deviation 19.9 7.8 8.5 19.0
VOLUME OF TRADES (000'S) 5,927.6 30,578.4 4,801.3 51,639.3
Customer Buy 1,222.1 12,040.7 * 27,242.6
Customer Sell 3,538.9 17,701.2 * 24,341.0
Dealer to Dealer 1,166.6 836.4 240.1 55.7
<= $1MM 4,817.0 4,624.3 465.9 198.7
<= $10MM * 25,954.0 * 32,426.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 44 58 11 33
Customer Buy 16 16 * 6
Customer Sell 16 24 * 13
Dealer to Dealer 12 18 5 14
<= $1MM 43 51 10 25
<= $10MM * 7 * 7
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 99.8 94.4 91.0 82.7
Weighted Avg. Price 103.1 97.1 92.3 98.2
Avg. Price Bottom 5 Trades 89.0 81.8 85.0 53.9
2nd Quartile Price 96.2 89.1 89.0 68.9
3rd Quartile Price 101.2 96.0 92.1 89.6
4th Quartile Price 104.0 98.5 94.3 98.4
Avg. Price Top 5 Trades 106.5 107.0 96.2 100.1
Standard Deviation 5.5 7.6 4.7 15.9
VOLUME OF TRADES (000'S) 355.2 324.7 16,755.4 146,679.0
Customer Buy 111.8 122.9 8,301.8 75,685.0
Customer Sell 42.7 13.1 8,249.3 68,054.1
Dealer to Dealer 200.7 188.7 204.4 2,940.0
<= $1MM 355.2 324.7 555.4 7,385.4
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 68 55 24 83
Customer Buy 15 16 5 32
Customer Sell 18 8 6 18
Dealer to Dealer 35 31 13 33
<= $1MM 68 55 22 80
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 6.9 * 10.7 *
Weighted Avg. Price 5.6 * 11.7 *
Avg. Price Bottom 5 Trades 6.9 * 10.7 *
2nd Quartile Price * * * *
3rd Quartile Price * * * *
4th Quartile Price * * * *
Avg. Price Top 5 Trades 6.9 * 10.7 *
Standard Deviation 5.2 * 3.2 *
VOLUME OF TRADES (000'S) 868.3 * 8,281.2 *
Customer Buy 868.3 * * *
Customer Sell - * * *
Dealer to Dealer - - - -
<= $1MM 868.3 * * *
<= $10MM - * * *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 5 * 5 *
Customer Buy 5 * * *
Customer Sell - * * *
Dealer to Dealer - - - -
<= $1MM 5 * * *
<= $10MM - * * *
<= $100MM - - - -
> $100MM - - - -
FHLMC
AVERAGE PRICE * 15.9 - 11.6
Weighted Avg. Price * 12.2 - 13.9
Avg. Price Bottom 5 Trades * 15.9 - 6.7
2nd Quartile Price * * - 10.1
3rd Quartile Price * * - 12.0
4th Quartile Price * * - 15.0
Avg. Price Top 5 Trades * 15.9 - 16.2
Standard Deviation * 16.9 - 4.2
VOLUME OF TRADES (000'S) * 2,545.8 - 85,266.7
Customer Buy * 688.8 - 26,825.2
Customer Sell - - - 57,562.2
Dealer to Dealer - * - *
<= $1MM * 2,545.8 - 1,961.0
<= $10MM - - - 36,573.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * 11 - 19
Customer Buy * 8 - 7
Customer Sell - - - 10
Dealer to Dealer - * - *
<= $1MM * 11 - 8
<= $10MM - - - 9
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - 12.5 * 11.0
Weighted Avg. Price - 14.4 * 3.5
Avg. Price Bottom 5 Trades - 9.5 * 9.4
2nd Quartile Price - 12.8 * 11.5
3rd Quartile Price - 15.1 * 11.5
4th Quartile Price - 15.9 * 12.3
Avg. Price Top 5 Trades - 15.6 * 14.9
Standard Deviation - 4.2 * 4.2
VOLUME OF TRADES (000'S) - 6,245.7 * 474,559.8
Customer Buy - 2,326.2 * *
Customer Sell - 2,592.3 * 32,569.8
Dealer to Dealer - * - *
<= $1MM - 6,245.7 * 2,000.9
<= $10MM - - - 21,182.2
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - 14 * 20
Customer Buy - 5 * *
Customer Sell - 6 * 15
Dealer to Dealer - * - *
<= $1MM - 14 * 11
<= $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.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.8.27.20250619   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.