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 96.9 84.6 92.0 89.2
Weighted Avg. Price 98.2 95.8 92.0 98.3
Avg. Price Bottom 5 Trades 93.8 68.6 92.0 48.9
2nd Quartile Price 96.0 81.7 * 88.1
3rd Quartile Price 97.0 88.0 * 96.6
4th Quartile Price 98.7 96.0 * 99.0
Avg. Price Top 5 Trades 100.1 97.7 92.0 100.3
Standard Deviation 2.4 11.7 2.1 15.0
VOLUME OF TRADES (000'S) 1,215.1 20,917.6 1,178.6 495,259.7
Customer Buy 652.5 10,559.0 * 414,829.3
Customer Sell 25.2 92.1 * *
Dealer to Dealer 537.4 10,266.5 * 79,732.5
<= $1MM 1,215.1 994.2 * 15,361.8
<= $10MM - * * 110,473.4
<= $100MM - - - 232,729.2
> $100MM - - - *
NUMBER OF TRADES 31 30 5 86
Customer Buy 6 8 * 57
Customer Sell 14 7 * *
Dealer to Dealer 11 15 * 27
<= $1MM 31 26 * 40
<= $10MM - * * 34
<= $100MM - - - 11
> $100MM - - - *
FHLMC
AVERAGE PRICE 97.2 80.2 84.5 91.1
Weighted Avg. Price 101.0 97.6 93.5 91.3
Avg. Price Bottom 5 Trades 93.8 65.3 84.5 50.9
2nd Quartile Price 96.3 72.1 * 83.0
3rd Quartile Price 97.8 81.8 * 95.2
4th Quartile Price 99.0 97.0 * 99.1
Avg. Price Top 5 Trades 100.3 97.9 84.5 100.9
Standard Deviation 2.6 13.5 8.1 11.5
VOLUME OF TRADES (000'S) 1,538.2 7,014.0 157.0 552,109.3
Customer Buy * * * 297,114.2
Customer Sell 8.9 103.7 - *
Dealer to Dealer 798.8 6,890.4 * 215,022.6
<= $1MM 1,538.2 223.8 157.0 18,342.9
<= $10MM - * - 203,017.0
<= $100MM - - - 330,749.4
> $100MM - - - -
NUMBER OF TRADES 24 21 6 127
Customer Buy * * * 80
Customer Sell 12 9 - *
Dealer to Dealer 8 9 * 43
<= $1MM 24 19 6 46
<= $10MM - * - 61
<= $100MM - - - 20
> $100MM - - - -
GNMA
AVERAGE PRICE 96.1 83.3 * 94.4
Weighted Avg. Price 98.3 96.2 * 97.3
Avg. Price Bottom 5 Trades 93.2 71.1 * 42.3
2nd Quartile Price 95.0 82.4 * 97.0
3rd Quartile Price 96.3 85.3 * 98.4
4th Quartile Price 98.0 88.0 * 99.5
Avg. Price Top 5 Trades 98.7 90.9 * 113.0
Standard Deviation 2.5 7.8 * 14.2
VOLUME OF TRADES (000'S) 1,043.0 4,848.0 * 938,407.2
Customer Buy * 4,733.8 * 619,181.3
Customer Sell 997.8 36.4 * 19,965.1
Dealer to Dealer 28.7 77.9 * 299,260.8
<= $1MM 1,043.0 1,215.5 * 26,605.0
<= $10MM - * * 222,394.0
<= $100MM - - - 689,408.2
> $100MM - - - -
NUMBER OF TRADES 25 29 * 198
Customer Buy * 6 * 122
Customer Sell 15 10 * 17
Dealer to Dealer 8 13 * 59
<= $1MM 25 28 * 121
<= $10MM - * * 48
<= $100MM - - - 29
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 3.3 12.5 - 17.0
Weighted Avg. Price 3.7 54.6 - 10.1
Avg. Price Bottom 5 Trades 3.3 3.4 - 13.8
2nd Quartile Price * 2.3 - 16.5
3rd Quartile Price * 2.5 - 19.3
4th Quartile Price * 8.1 - 20.3
Avg. Price Top 5 Trades 3.3 16.3 - 19.8
Standard Deviation 2.1 25.8 - 4.4
VOLUME OF TRADES (000'S) 17.1 961.6 - 96,014.3
Customer Buy * * - *
Customer Sell * * - 13,874.9
Dealer to Dealer * * - -
<= $1MM 17.1 961.6 - *
<= $10MM - - - 25,003.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 10 8 - 10
Customer Buy * * - *
Customer Sell * * - 6
Dealer to Dealer * * - -
<= $1MM 10 8 - *
<= $10MM - - - 8
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 2.1 17.4 - 17.1
Weighted Avg. Price 2.6 41.3 - 18.4
Avg. Price Bottom 5 Trades 2.1 17.4 - 14.8
2nd Quartile Price * * - 17.5
3rd Quartile Price * * - 18.4
4th Quartile Price * * - 19.6
Avg. Price Top 5 Trades 2.1 17.4 - 19.1
Standard Deviation 1.1 28.1 - 3.1
VOLUME OF TRADES (000'S) 4.1 4,958.1 - 46,333.2
Customer Buy * * - 30,342.2
Customer Sell * * - 15,991.0
Dealer to Dealer * * - -
<= $1MM 4.1 965.4 - *
<= $10MM - * - 26,210.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 6 7 - 11
Customer Buy * * - 5
Customer Sell * * - 6
Dealer to Dealer * * - -
<= $1MM 6 6 - *
<= $10MM - * - 8
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - * - 8.8
Weighted Avg. Price - * - 6.2
Avg. Price Bottom 5 Trades - * - 3.8
2nd Quartile Price - * - 5.0
3rd Quartile Price - * - 7.2
4th Quartile Price - * - 18.8
Avg. Price Top 5 Trades - * - 17.8
Standard Deviation - * - 6.7
VOLUME OF TRADES (000'S) - * - 631,110.6
Customer Buy - * - 451,396.7
Customer Sell - * - *
Dealer to Dealer - * - 135,747.5
<= $1MM - * - *
<= $10MM - - - *
<= $100MM - - - 482,566.7
> $100MM - - - *
NUMBER OF TRADES - * - 17
Customer Buy - * - 11
Customer Sell - * - *
Dealer to Dealer - * - 5
<= $1MM - * - *
<= $10MM - - - *
<= $100MM - - - 11
> $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 8.7.7.20250312   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.