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 92.8 91.6 97.8 87.9
Weighted Avg. Price 102.2 99.0 95.9 99.6
Avg. Price Bottom 5 Trades 65.1 74.8 96.5 42.5
2nd Quartile Price 96.0 89.8 98.6 88.2
3rd Quartile Price 97.9 95.5 98.7 98.3
4th Quartile Price 99.5 98.6 99.0 100.0
Avg. Price Top 5 Trades 101.9 99.6 99.0 101.8
Standard Deviation 16.5 8.2 2.3 19.9
VOLUME OF TRADES (000'S) 4,303.6 15,221.4 12,146.9 933,798.5
Customer Buy 312.5 1,674.3 * 760,546.3
Customer Sell 3,922.4 13,361.5 10,159.8 77,859.3
Dealer to Dealer 68.7 185.6 - 95,392.9
<= $1MM 658.8 5,307.6 3,974.1 15,254.8
<= $10MM * * * 86,773.2
<= $100MM - - - 181,770.5
> $100MM - - - *
NUMBER OF TRADES 49 45 11 79
Customer Buy 9 8 * 33
Customer Sell 21 17 7 28
Dealer to Dealer 19 20 - 18
<= $1MM 46 41 8 47
<= $10MM * * * 19
<= $100MM - - - 10
> $100MM - - - *
FHLMC
AVERAGE PRICE 95.2 89.2 85.9 95.6
Weighted Avg. Price 102.9 97.7 90.1 98.7
Avg. Price Bottom 5 Trades 79.2 73.3 75.1 75.2
2nd Quartile Price 94.1 86.0 82.5 92.0
3rd Quartile Price 96.2 91.3 98.0 99.5
4th Quartile Price 99.6 95.0 98.3 100.2
Avg. Price Top 5 Trades 103.1 98.9 95.5 101.3
Standard Deviation 7.5 7.7 14.7 8.6
VOLUME OF TRADES (000'S) 9,965.0 11,470.5 43,615.2 479,626.5
Customer Buy 555.5 608.9 * 394,680.2
Customer Sell 9,375.2 10,497.5 * 7,431.4
Dealer to Dealer 34.3 364.1 * 77,514.9
<= $1MM 661.9 2,437.0 22.7 10,279.3
<= $10MM 9,303.1 * * 35,986.6
<= $100MM - - * 433,360.7
> $100MM - - - -
NUMBER OF TRADES 48 45 10 55
Customer Buy 11 8 * 31
Customer Sell 22 14 * 12
Dealer to Dealer 15 23 * 12
<= $1MM 41 42 6 37
<= $10MM 7 * * 8
<= $100MM - - * 10
> $100MM - - - -
GNMA
AVERAGE PRICE 96.0 85.2 81.9 86.7
Weighted Avg. Price 98.1 94.0 91.6 99.1
Avg. Price Bottom 5 Trades 88.0 71.6 69.8 29.1
2nd Quartile Price 95.0 77.8 73.2 87.0
3rd Quartile Price 96.3 84.5 85.2 99.0
4th Quartile Price 99.0 94.8 91.9 100.0
Avg. Price Top 5 Trades 100.2 99.4 92.7 104.1
Standard Deviation 3.9 9.3 11.1 22.8
VOLUME OF TRADES (000'S) 268.2 13,537.8 9,483.0 1,387,465.5
Customer Buy 48.1 10,878.2 * 268,463.9
Customer Sell 85.5 372.5 3,566.8 989,580.5
Dealer to Dealer 134.6 2,287.0 803.6 129,421.1
<= $1MM 268.2 3,318.6 2,593.1 21,949.0
<= $10MM - - * 67,960.2
<= $100MM - * - 580,116.4
> $100MM - - - *
NUMBER OF TRADES 77 63 16 309
Customer Buy 9 12 * 185
Customer Sell 29 17 8 44
Dealer to Dealer 39 34 7 80
<= $1MM 77 62 14 278
<= $10MM - - * 12
<= $100MM - * - 18
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 3.8 3.6 * 14.8
Weighted Avg. Price 3.3 3.5 * 8.1
Avg. Price Bottom 5 Trades 3.8 2.7 * 13.5
2nd Quartile Price * 3.0 * 16.0
3rd Quartile Price * 5.1 * 21.1
4th Quartile Price * 8.5 * 21.4
Avg. Price Top 5 Trades 3.8 4.3 * 16.8
Standard Deviation 1.4 3.0 * 7.7
VOLUME OF TRADES (000'S) 104.0 666.4 * 291,815.5
Customer Buy * 666.4 * 262,806.2
Customer Sell * - - *
Dealer to Dealer - - - -
<= $1MM 104.0 666.4 * -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES 6 6 * 6
Customer Buy * 6 * 5
Customer Sell * - - *
Dealer to Dealer - - - -
<= $1MM 6 6 * -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
FHLMC
AVERAGE PRICE * * * 54.4
Weighted Avg. Price * * * 38.8
Avg. Price Bottom 5 Trades * * * 42.3
2nd Quartile Price * * * 19.5
3rd Quartile Price * * * 83.1
4th Quartile Price * * * 84.4
Avg. Price Top 5 Trades * * * 70.9
Standard Deviation * * * 36.7
VOLUME OF TRADES (000'S) * * * 28,666.7
Customer Buy * * * *
Customer Sell * - - *
Dealer to Dealer - - - *
<= $1MM * * * -
<= $10MM - - - 28,666.7
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES * * * 7
Customer Buy * * * *
Customer Sell * - - *
Dealer to Dealer - - - *
<= $1MM * * * -
<= $10MM - - - 7
<= $100MM - - - -
> $100MM - - - -
GNMA
AVERAGE PRICE * * * 12.9
Weighted Avg. Price * * * 9.3
Avg. Price Bottom 5 Trades * * * 4.7
2nd Quartile Price * * * 4.8
3rd Quartile Price * * * 17.8
4th Quartile Price * * * 20.8
Avg. Price Top 5 Trades * * * 20.6
Standard Deviation * * * 8.0
VOLUME OF TRADES (000'S) * * * 322,644.6
Customer Buy * * * 269,394.9
Customer Sell * - - *
Dealer to Dealer * - - -
<= $1MM * * * -
<= $10MM - - - *
<= $100MM - - - 306,321.7
> $100MM - - - -
NUMBER OF TRADES * * * 12
Customer Buy * * * 8
Customer Sell * - - *
Dealer to Dealer * - - -
<= $1MM * * * -
<= $10MM - - - *
<= $100MM - - - 10
> $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.