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 95.9 88.3 82.9 78.5
Weighted Avg. Price 99.9 96.0 91.4 92.9
Avg. Price Bottom 5 Trades 88.6 78.7 82.9 35.6
2nd Quartile Price 95.0 83.5 * 47.5
3rd Quartile Price 97.0 88.0 * 96.8
4th Quartile Price 97.9 95.8 * 99.5
Avg. Price Top 5 Trades 101.5 98.5 82.9 100.4
Standard Deviation 5.0 8.4 19.0 26.3
VOLUME OF TRADES (000'S) 658.0 1,488.4 1,771.3 124,448.7
Customer Buy 244.4 497.4 * 95,352.2
Customer Sell 156.6 878.6 - 12,955.8
Dealer to Dealer 257.0 112.4 * 16,140.7
<= $1MM 658.0 1,488.4 * 7,016.3
<= $10MM - - * 72,818.4
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 29 26 5 85
Customer Buy 8 8 * 42
Customer Sell 12 9 - 15
Dealer to Dealer 9 9 * 28
<= $1MM 29 26 * 60
<= $10MM - - * 22
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.7 87.0 * 82.1
Weighted Avg. Price 102.3 81.2 * 91.6
Avg. Price Bottom 5 Trades 91.7 78.3 * 48.3
2nd Quartile Price 95.5 80.6 * 75.6
3rd Quartile Price 96.9 92.0 * 89.4
4th Quartile Price 100.3 97.0 * 100.0
Avg. Price Top 5 Trades 101.1 95.6 * 101.3
Standard Deviation 4.9 8.7 * 20.1
VOLUME OF TRADES (000'S) 274.8 591.5 * 318,120.0
Customer Buy * * - 157,482.6
Customer Sell 101.2 * * 87,974.4
Dealer to Dealer 157.5 364.4 * 72,663.0
<= $1MM 274.8 591.5 * 4,316.0
<= $10MM - - - 98,768.3
<= $100MM - - - 215,035.7
> $100MM - - - -
NUMBER OF TRADES 26 15 * 64
Customer Buy * * - 32
Customer Sell 12 * * 9
Dealer to Dealer 10 8 * 23
<= $1MM 26 15 * 27
<= $10MM - - - 25
<= $100MM - - - 12
> $100MM - - - -
GNMA
AVERAGE PRICE 94.8 83.2 * 87.1
Weighted Avg. Price 96.4 89.4 * 94.7
Avg. Price Bottom 5 Trades 89.9 55.8 * 35.7
2nd Quartile Price 93.0 75.0 * 83.8
3rd Quartile Price 96.3 86.0 * 98.6
4th Quartile Price 97.0 96.5 * 100.0
Avg. Price Top 5 Trades 98.1 98.9 * 101.8
Standard Deviation 3.3 14.6 * 20.5
VOLUME OF TRADES (000'S) 231.2 444.4 * 798,188.5
Customer Buy 11.7 118.5 * 242,540.3
Customer Sell 81.6 96.8 * 325,541.1
Dealer to Dealer 137.9 229.1 * 230,107.1
<= $1MM 231.2 444.4 * 7,366.8
<= $10MM - - - 80,098.3
<= $100MM - - - 378,287.0
> $100MM - - - *
NUMBER OF TRADES 48 37 * 181
Customer Buy 9 6 * 103
Customer Sell 17 10 * 33
Dealer to Dealer 22 21 * 45
<= $1MM 48 37 * 148
<= $10MM - - - 18
<= $100MM - - - 12
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 8.6 16.2 * 33.1
Weighted Avg. Price 5.3 27.8 * 26.9
Avg. Price Bottom 5 Trades 3.9 3.5 * 27.2
2nd Quartile Price 6.6 2.6 * 21.3
3rd Quartile Price 11.4 5.6 * 21.3
4th Quartile Price 11.5 7.8 * 78.5
Avg. Price Top 5 Trades 11.2 34.0 * 34.9
Standard Deviation 4.5 27.1 * 25.9
VOLUME OF TRADES (000'S) 531.4 703.4 * 141,957.4
Customer Buy * * * 140,294.1
Customer Sell 350.9 510.9 * *
Dealer to Dealer * - - -
<= $1MM 531.4 703.4 * 1,123.9
<= $10MM - - - *
<= $100MM - - - -
> $100MM - - - *
NUMBER OF TRADES 14 12 * 18
Customer Buy * * * 15
Customer Sell 11 10 * *
Dealer to Dealer * - - -
<= $1MM 14 12 * 14
<= $10MM - - - *
<= $100MM - - - -
> $100MM - - - *
FHLMC
AVERAGE PRICE 14.9 4.1 * 14.1
Weighted Avg. Price 20.5 4.1 * 4.3
Avg. Price Bottom 5 Trades 4.4 1.8 * 4.0
2nd Quartile Price 4.8 2.0 * 9.3
3rd Quartile Price 5.6 6.0 * 9.3
4th Quartile Price 7.5 6.6 * 9.8
Avg. Price Top 5 Trades 31.7 6.6 * 32.0
Standard Deviation 25.7 2.5 * 17.8
VOLUME OF TRADES (000'S) 1,060.3 1,065.5 * 369,296.1
Customer Buy * * - 367,680.1
Customer Sell 946.4 808.6 * 1,315.4
Dealer to Dealer - * - *
<= $1MM 1,060.3 1,065.5 * 901.7
<= $10MM - - - *
<= $100MM - - - 365,327.1
> $100MM - - - -
NUMBER OF TRADES 16 15 * 18
Customer Buy * * - 8
Customer Sell 14 11 * 9
Dealer to Dealer - * - *
<= $1MM 16 15 * 10
<= $10MM - - - *
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE * * 0.3 40.9
Weighted Avg. Price * * 0.3 3.2
Avg. Price Bottom 5 Trades * * 0.3 1.6
2nd Quartile Price * * * 17.1
3rd Quartile Price * * * 66.8
4th Quartile Price * * * 66.8
Avg. Price Top 5 Trades * * 0.3 66.5
Standard Deviation * * - 28.2
VOLUME OF TRADES (000'S) * * 23,374.1 2,093,384.0
Customer Buy - - - 1,010,931.3
Customer Sell * * 11,687.1 1,018,434.9
Dealer to Dealer - - * *
<= $1MM * * 2,897.1 5,020.5
<= $10MM - - * *
<= $100MM - - - 301,500.7
> $100MM - - - 1,777,057.9
NUMBER OF TRADES * * 10 50
Customer Buy - - - 36
Customer Sell * * 8 10
Dealer to Dealer - - * *
<= $1MM * * 6 34
<= $10MM - - * *
<= $100MM - - - 7
> $100MM - - - 6
* 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.