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 96.0 81.1 * 91.5
Weighted Avg. Price 97.9 95.4 * 97.7
Avg. Price Bottom 5 Trades 85.8 47.3 * 47.5
2nd Quartile Price 94.8 76.0 * 92.3
3rd Quartile Price 98.4 92.4 * 98.3
4th Quartile Price 100.0 95.4 * 99.3
Avg. Price Top 5 Trades 100.4 96.2 * 100.1
Standard Deviation 6.0 18.0 * 15.0
VOLUME OF TRADES (000'S) 141.1 3,760.3 * 453,027.5
Customer Buy 41.0 3,240.2 * 161,850.6
Customer Sell 35.7 22.0 - 1,053.0
Dealer to Dealer 64.4 498.2 * 290,123.9
<= $1MM 141.1 2,098.6 * 8,335.9
<= $10MM - * * 112,946.8
<= $100MM - - - 331,744.8
> $100MM - - - -
NUMBER OF TRADES 44 30 * 94
Customer Buy 10 8 * 48
Customer Sell 17 7 - 11
Dealer to Dealer 17 15 * 35
<= $1MM 44 29 * 51
<= $10MM - * * 30
<= $100MM - - - 13
> $100MM - - - -
FHLMC
AVERAGE PRICE 93.0 78.0 * 89.0
Weighted Avg. Price 96.3 90.2 * 98.1
Avg. Price Bottom 5 Trades 81.4 68.1 * 46.8
2nd Quartile Price 92.4 67.3 * 91.8
3rd Quartile Price 96.8 82.8 * 98.4
4th Quartile Price 98.1 92.4 * 99.3
Avg. Price Top 5 Trades 99.7 94.7 * 101.1
Standard Deviation 7.9 16.4 * 18.9
VOLUME OF TRADES (000'S) 47.2 1,260.8 * 478,659.8
Customer Buy * * * 266,118.2
Customer Sell 26.0 * * 52,063.0
Dealer to Dealer 15.6 136.8 * 160,478.7
<= $1MM 47.2 1,260.8 * 12,213.3
<= $10MM - - - 188,088.3
<= $100MM - - - 278,358.2
> $100MM - - - -
NUMBER OF TRADES 35 16 * 96
Customer Buy * * * 53
Customer Sell 24 * * 11
Dealer to Dealer 8 8 * 32
<= $1MM 35 16 * 41
<= $10MM - - - 41
<= $100MM - - - 14
> $100MM - - - -
GNMA
AVERAGE PRICE 96.7 86.5 71.1 91.7
Weighted Avg. Price 97.5 88.6 71.9 97.7
Avg. Price Bottom 5 Trades 90.4 70.8 64.6 45.4
2nd Quartile Price 96.7 79.5 64.5 93.5
3rd Quartile Price 97.3 92.5 73.4 98.5
4th Quartile Price 98.8 96.5 81.0 99.7
Avg. Price Top 5 Trades 99.4 98.3 78.4 102.1
Standard Deviation 3.8 10.6 7.6 15.2
VOLUME OF TRADES (000'S) 189.8 634.3 691.9 364,550.3
Customer Buy 30.5 392.6 * 251,025.9
Customer Sell 73.8 96.0 * 17,314.4
Dealer to Dealer 85.5 145.7 360.1 96,210.0
<= $1MM 189.8 634.3 691.9 16,642.3
<= $10MM - - - 162,390.0
<= $100MM - - - 185,518.0
> $100MM - - - -
NUMBER OF TRADES 42 34 15 150
Customer Buy 8 7 * 88
Customer Sell 18 9 * 22
Dealer to Dealer 16 18 10 40
<= $1MM 42 34 15 100
<= $10MM - - - 39
<= $100MM - - - 11
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - *
Weighted Avg. Price - - - *
Avg. Price Bottom 5 Trades - - - *
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - *
Standard Deviation - - - *
VOLUME OF TRADES (000'S) - - - *
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - *
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - - - 6.6
Weighted Avg. Price - - - 4.4
Avg. Price Bottom 5 Trades - - - 4.1
2nd Quartile Price - - - 3.9
3rd Quartile Price - - - 4.9
4th Quartile Price - - - 19.0
Avg. Price Top 5 Trades - - - 7.3
Standard Deviation - - - 6.1
VOLUME OF TRADES (000'S) - - - 522,055.1
Customer Buy - - - 522,055.1
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - - 6
Customer Buy - - - 6
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - - - *
Weighted Avg. Price - - - *
Avg. Price Bottom 5 Trades - - - *
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - *
Standard Deviation - - - *
VOLUME OF TRADES (000'S) - - - *
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - *
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - -
<= $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.