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 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 84.7 87.0 92.5
Weighted Avg. Price 99.3 94.7 89.7 91.9
Avg. Price Bottom 5 Trades 89.6 59.2 78.1 66.7
2nd Quartile Price 97.0 76.8 77.0 90.5
3rd Quartile Price 98.1 88.8 90.5 99.1
4th Quartile Price 99.8 96.8 94.9 99.8
Avg. Price Top 5 Trades 100.8 100.3 99.8 101.0
Standard Deviation 4.3 13.7 10.4 11.0
VOLUME OF TRADES (000'S) 398.5 29,213.1 28,493.5 428,677.1
Customer Buy 132.1 10,042.9 343.4 283,486.9
Customer Sell 127.8 18,498.7 22,149.9 32,806.7
Dealer to Dealer 138.7 671.5 6,000.1 112,383.5
<= $1MM 398.5 1,922.2 1,147.4 9,460.2
<= $10MM - * * 108,799.4
<= $100MM - * * 310,417.6
> $100MM - - - -
NUMBER OF TRADES 50 109 23 73
Customer Buy 10 18 6 39
Customer Sell 18 40 8 14
Dealer to Dealer 22 51 9 20
<= $1MM 50 105 20 34
<= $10MM - * * 28
<= $100MM - * * 11
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.3 86.5 88.9 86.3
Weighted Avg. Price 100.6 95.3 89.0 96.3
Avg. Price Bottom 5 Trades 83.8 63.0 81.5 37.3
2nd Quartile Price 95.0 76.0 88.7 82.3
3rd Quartile Price 98.1 92.0 90.3 97.9
4th Quartile Price 99.5 96.3 95.1 100.0
Avg. Price Top 5 Trades 102.1 101.1 96.1 100.8
Standard Deviation 4.7 14.1 8.9 20.6
VOLUME OF TRADES (000'S) 3,256.0 13,062.5 337,113.2 661,436.0
Customer Buy 2,340.2 377.0 * 484,054.9
Customer Sell 437.5 11,567.8 259,777.0 27,959.2
Dealer to Dealer 478.4 1,117.8 * 149,421.8
<= $1MM 2,085.1 3,062.5 750.1 4,475.1
<= $10MM * * * 85,075.1
<= $100MM - - * 407,218.2
> $100MM - - * *
NUMBER OF TRADES 110 58 12 76
Customer Buy 21 10 * 40
Customer Sell 45 29 8 14
Dealer to Dealer 44 19 * 22
<= $1MM 109 57 7 34
<= $10MM * * * 26
<= $100MM - - * 15
> $100MM - - * *
GNMA
AVERAGE PRICE 97.6 86.8 80.4 89.7
Weighted Avg. Price 98.5 85.8 89.1 95.7
Avg. Price Bottom 5 Trades 91.0 74.1 74.6 43.5
2nd Quartile Price 97.4 78.0 73.9 88.7
3rd Quartile Price 98.3 89.9 80.0 98.0
4th Quartile Price 99.1 94.0 90.5 100.0
Avg. Price Top 5 Trades 99.9 96.9 86.1 104.1
Standard Deviation 2.5 8.9 8.4 16.9
VOLUME OF TRADES (000'S) 295.8 479.6 4,615.0 314,470.4
Customer Buy 52.7 242.5 * 151,176.0
Customer Sell 153.1 68.2 * 37,702.4
Dealer to Dealer 89.9 168.9 52.6 125,592.0
<= $1MM 295.8 479.6 79.4 14,926.1
<= $10MM - - * 106,068.6
<= $100MM - - - 193,475.7
> $100MM - - - -
NUMBER OF TRADES 76 36 12 193
Customer Buy 17 8 * 102
Customer Sell 31 9 * 32
Dealer to Dealer 28 19 7 59
<= $1MM 76 36 11 164
<= $10MM - - * 21
<= $100MM - - - 8
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 26.2 * - 7.7
Weighted Avg. Price 12.0 * - 3.7
Avg. Price Bottom 5 Trades 10.7 * - 3.7
2nd Quartile Price 11.0 * - 5.4
3rd Quartile Price 12.3 * - 7.2
4th Quartile Price 72.3 * - 11.5
Avg. Price Top 5 Trades 36.8 * - 13.0
Standard Deviation 28.8 * - 4.5
VOLUME OF TRADES (000'S) 938.1 * - 1,210,710.3
Customer Buy * - - 606,848.2
Customer Sell * * - 599,015.3
Dealer to Dealer * - - *
<= $1MM 938.1 * - *
<= $10MM - - - *
<= $100MM - - - 282,754.2
> $100MM - - - *
NUMBER OF TRADES 8 * - 15
Customer Buy * - - 7
Customer Sell * * - 6
Dealer to Dealer * - - *
<= $1MM 8 * - *
<= $10MM - - - *
<= $100MM - - - 5
> $100MM - - - *
FHLMC
AVERAGE PRICE 33.3 * * 14.8
Weighted Avg. Price 6.1 * * 20.0
Avg. Price Bottom 5 Trades 33.3 * * 10.9
2nd Quartile Price * * * 9.3
3rd Quartile Price * * * 16.5
4th Quartile Price * * * 23.7
Avg. Price Top 5 Trades 33.3 * * 19.3
Standard Deviation 39.7 * * 7.1
VOLUME OF TRADES (000'S) 319.9 * * 215,844.6
Customer Buy * - - 151,214.3
Customer Sell * * * *
Dealer to Dealer * - * -
<= $1MM 319.9 * * -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 5 * * 8
Customer Buy * - - 6
Customer Sell * * * *
Dealer to Dealer * - * -
<= $1MM 5 * * -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - * - 7.5
Weighted Avg. Price - * - 6.3
Avg. Price Bottom 5 Trades - * - 3.3
2nd Quartile Price - * - 4.9
3rd Quartile Price - * - 6.3
4th Quartile Price - * - 11.6
Avg. Price Top 5 Trades - * - 12.5
Standard Deviation - * - 4.1
VOLUME OF TRADES (000'S) - * - 691,823.3
Customer Buy - - - 376,838.5
Customer Sell - * - *
Dealer to Dealer - * - *
<= $1MM - * - -
<= $10MM - - - 30,783.3
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - * - 16
Customer Buy - - - 12
Customer Sell - * - *
Dealer to Dealer - * - *
<= $1MM - * - -
<= $10MM - - - 8
<= $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 8.7.7.20250312   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.