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 96.2 91.4 90.5 88.3
Weighted Avg. Price 98.7 98.4 90.6 95.6
Avg. Price Bottom 5 Trades 91.4 65.9 89.7 48.0
2nd Quartile Price 95.5 88.0 89.5 84.1
3rd Quartile Price 98.0 95.5 91.9 97.0
4th Quartile Price 98.7 99.0 95.4 99.0
Avg. Price Top 5 Trades 99.5 100.6 92.0 100.3
Standard Deviation 6.3 10.6 4.5 17.1
VOLUME OF TRADES (000'S) 6,442.4 31,509.3 1,998.5 1,234,852.9
Customer Buy 3,168.8 8,659.6 * 597,063.4
Customer Sell 3,179.3 20,550.6 * 550,736.3
Dealer to Dealer 94.3 2,299.2 * 87,053.2
<= $1MM 2,953.3 4,183.2 966.5 16,959.9
<= $10MM * 27,326.2 * 78,084.1
<= $100MM - - - 453,074.2
> $100MM - - - *
NUMBER OF TRADES 29 58 7 111
Customer Buy 8 17 * 64
Customer Sell 14 21 * 23
Dealer to Dealer 7 20 * 24
<= $1MM 27 43 6 79
<= $10MM * 15 * 18
<= $100MM - - - 10
> $100MM - - - *
FHLMC
AVERAGE PRICE 95.8 92.6 82.8 83.2
Weighted Avg. Price 98.6 97.7 92.2 97.6
Avg. Price Bottom 5 Trades 91.0 77.8 82.8 38.0
2nd Quartile Price 96.5 91.0 * 66.8
3rd Quartile Price 98.6 97.0 * 97.3
4th Quartile Price 99.0 98.6 * 99.4
Avg. Price Top 5 Trades 99.9 99.5 82.8 100.8
Standard Deviation 6.1 8.2 17.1 23.5
VOLUME OF TRADES (000'S) 3,070.6 22,002.1 1,928.7 1,661,667.3
Customer Buy 1,509.9 8,772.3 * 624,568.6
Customer Sell 1,485.3 13,035.8 - 1,002,778.9
Dealer to Dealer 75.3 194.0 * 34,319.8
<= $1MM 587.1 2,605.6 1,928.7 9,686.2
<= $10MM * 19,396.5 - 81,437.6
<= $100MM - - - 282,405.6
> $100MM - - - 1,288,137.9
NUMBER OF TRADES 23 30 6 85
Customer Buy 6 10 * 40
Customer Sell 8 13 - 26
Dealer to Dealer 9 7 * 19
<= $1MM 21 21 6 49
<= $10MM * 9 - 22
<= $100MM - - - 8
> $100MM - - - 6
GNMA
AVERAGE PRICE 98.5 87.8 77.9 92.0
Weighted Avg. Price 99.5 87.5 84.9 93.3
Avg. Price Bottom 5 Trades 93.1 74.8 74.3 38.8
2nd Quartile Price 97.8 77.9 75.6 94.2
3rd Quartile Price 99.0 92.1 75.6 98.3
4th Quartile Price 100.3 97.0 78.7 99.0
Avg. Price Top 5 Trades 101.2 99.1 85.0 102.8
Standard Deviation 3.6 9.6 8.2 14.2
VOLUME OF TRADES (000'S) 154.1 311.4 146.4 195,545.7
Customer Buy 51.6 119.9 * 131,732.7
Customer Sell 9.2 110.2 102.7 13,945.8
Dealer to Dealer 93.3 81.3 * 49,867.3
<= $1MM 154.1 311.4 146.4 27,498.8
<= $10MM - - - 104,267.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 36 34 14 407
Customer Buy 10 13 * 293
Customer Sell 5 8 7 25
Dealer to Dealer 21 13 * 89
<= $1MM 36 34 14 368
<= $10MM - - - 35
<= $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 - * * 15.5
Weighted Avg. Price - * * 13.5
Avg. Price Bottom 5 Trades - * * 15.3
2nd Quartile Price - * * 16.4
3rd Quartile Price - * * 16.4
4th Quartile Price - * * 16.4
Avg. Price Top 5 Trades - * * 16.4
Standard Deviation - * * 3.7
VOLUME OF TRADES (000'S) - * * 298,508.2
Customer Buy - - - 123,572.8
Customer Sell - * * 52,724.1
Dealer to Dealer - * * 122,211.3
<= $1MM - * * 6,117.9
<= $10MM - - - 90,470.7
<= $100MM - - - 201,919.6
> $100MM - - - -
NUMBER OF TRADES - * * 43
Customer Buy - - - 5
Customer Sell - * * 13
Dealer to Dealer - * * 25
<= $1MM - * * 14
<= $10MM - - - 20
<= $100MM - - - 9
> $100MM - - - -
FHLMC
AVERAGE PRICE * - - 13.8
Weighted Avg. Price * - - 8.9
Avg. Price Bottom 5 Trades * - - 6.3
2nd Quartile Price * - - 16.4
3rd Quartile Price * - - 16.4
4th Quartile Price * - - 16.4
Avg. Price Top 5 Trades * - - 15.0
Standard Deviation * - - 5.0
VOLUME OF TRADES (000'S) * - - 324,482.4
Customer Buy * - - 232,328.1
Customer Sell - - - *
Dealer to Dealer - - - 68,768.5
<= $1MM * - - *
<= $10MM - - - 33,174.3
<= $100MM - - - 290,442.2
> $100MM - - - -
NUMBER OF TRADES * - - 18
Customer Buy * - - 5
Customer Sell - - - *
Dealer to Dealer - - - 9
<= $1MM * - - *
<= $10MM - - - 6
<= $100MM - - - 9
> $100MM - - - -
GNMA
AVERAGE PRICE - - * 10.3
Weighted Avg. Price - - * 9.8
Avg. Price Bottom 5 Trades - - * 4.7
2nd Quartile Price - - * 8.5
3rd Quartile Price - - * 10.6
4th Quartile Price - - * 14.9
Avg. Price Top 5 Trades - - * 16.0
Standard Deviation - - * 4.7
VOLUME OF TRADES (000'S) - - * 596,270.6
Customer Buy - - * 299,270.3
Customer Sell - - * *
Dealer to Dealer - - - *
<= $1MM - - * *
<= $10MM - - * *
<= $100MM - - - 570,174.0
> $100MM - - - -
NUMBER OF TRADES - - * 17
Customer Buy - - * 11
Customer Sell - - * *
Dealer to Dealer - - - *
<= $1MM - - * *
<= $10MM - - * *
<= $100MM - - - 13
> $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.