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 98.7 88.3 71.1 89.1
Weighted Avg. Price 98.9 94.0 94.1 96.0
Avg. Price Bottom 5 Trades 98.2 71.3 71.1 56.7
2nd Quartile Price 98.5 84.6 * 80.5
3rd Quartile Price 99.0 92.0 * 98.1
4th Quartile Price 99.6 95.9 * 99.7
Avg. Price Top 5 Trades 99.3 99.4 71.1 100.3
Standard Deviation 1.2 9.1 13.2 14.6
VOLUME OF TRADES (000'S) 28.0 2,323.6 1,061.1 253,879.4
Customer Buy 16.0 229.1 * 204,478.1
Customer Sell * 1,530.5 - 24,984.9
Dealer to Dealer * 564.0 * 24,416.4
<= $1MM 28.0 2,323.6 * 8,212.1
<= $10MM - - * 89,914.7
<= $100MM - - - 155,752.6
> $100MM - - - -
NUMBER OF TRADES 12 52 5 72
Customer Buy 5 9 * 33
Customer Sell * 16 - 16
Dealer to Dealer * 27 * 23
<= $1MM 12 52 * 38
<= $10MM - - * 29
<= $100MM - - - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE 98.2 86.6 81.9 92.1
Weighted Avg. Price 98.5 91.1 87.1 97.1
Avg. Price Bottom 5 Trades 97.6 74.6 76.6 63.8
2nd Quartile Price 97.9 77.0 68.5 90.3
3rd Quartile Price 98.5 91.0 86.0 98.0
4th Quartile Price 99.0 97.4 96.0 99.9
Avg. Price Top 5 Trades 98.6 97.5 84.5 100.8
Standard Deviation 0.8 9.3 14.3 14.1
VOLUME OF TRADES (000'S) 33.6 3,161.1 163.5 576,006.5
Customer Buy * 1,511.7 * 282,017.8
Customer Sell 14.2 1,462.7 * 231,244.8
Dealer to Dealer * 186.7 35.5 62,744.0
<= $1MM 33.6 312.8 163.5 2,750.6
<= $10MM - * - 54,899.3
<= $100MM - - - 518,356.6
> $100MM - - - -
NUMBER OF TRADES 13 27 11 37
Customer Buy * 6 * 16
Customer Sell 5 6 * 13
Dealer to Dealer * 15 6 8
<= $1MM 13 25 11 13
<= $10MM - * - 13
<= $100MM - - - 11
> $100MM - - - -
GNMA
AVERAGE PRICE 97.8 89.8 78.1 93.8
Weighted Avg. Price 98.6 87.5 97.6 98.6
Avg. Price Bottom 5 Trades 94.9 77.0 65.1 51.3
2nd Quartile Price 97.1 86.1 62.6 94.6
3rd Quartile Price 98.1 93.0 77.8 98.5
4th Quartile Price 99.3 96.5 98.1 99.8
Avg. Price Top 5 Trades 100.1 97.6 91.2 101.6
Standard Deviation 2.0 7.8 16.8 12.2
VOLUME OF TRADES (000'S) 182.3 326.3 1,050.4 879,533.4
Customer Buy 44.8 100.7 * 276,182.2
Customer Sell 64.0 77.4 * 104,722.0
Dealer to Dealer 73.5 148.1 29.4 498,629.3
<= $1MM 182.3 326.3 1,050.4 8,135.4
<= $10MM - - - 75,282.2
<= $100MM - - - 796,115.8
> $100MM - - - -
NUMBER OF TRADES 35 33 12 148
Customer Buy 9 9 * 86
Customer Sell 12 6 * 19
Dealer to Dealer 14 18 6 43
<= $1MM 35 33 12 115
<= $10MM - - - 17
<= $100MM - - - 16
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 9.3 - - 9.7
Weighted Avg. Price 15.0 - - 5.5
Avg. Price Bottom 5 Trades 4.8 - - 6.1
2nd Quartile Price 6.5 - - 6.0
3rd Quartile Price 7.5 - - 9.3
4th Quartile Price 15.5 - - 13.4
Avg. Price Top 5 Trades 15.0 - - 14.1
Standard Deviation 6.2 - - 4.6
VOLUME OF TRADES (000'S) 1,264.4 - - 263,504.8
Customer Buy * - - 229,604.8
Customer Sell 622.0 - - 33,899.9
Dealer to Dealer * - - -
<= $1MM 1,264.4 - - 2,332.0
<= $10MM - - - -
<= $100MM - - - 261,172.7
> $100MM - - - -
NUMBER OF TRADES 12 - - 12
Customer Buy * - - 7
Customer Sell 5 - - 5
Dealer to Dealer * - - -
<= $1MM 12 - - 6
<= $10MM - - - -
<= $100MM - - - 6
> $100MM - - - -
FHLMC
AVERAGE PRICE - - * 16.4
Weighted Avg. Price - - * 10.2
Avg. Price Bottom 5 Trades - - * 6.4
2nd Quartile Price - - * 9.3
3rd Quartile Price - - * 9.4
4th Quartile Price - - * 10.3
Avg. Price Top 5 Trades - - * 23.5
Standard Deviation - - * 25.4
VOLUME OF TRADES (000'S) - - * 214,773.0
Customer Buy - - * 194,056.1
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - * -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - * 8
Customer Buy - - * 5
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - * -
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - * * 12.7
Weighted Avg. Price - * * 1.8
Avg. Price Bottom 5 Trades - * * 8.3
2nd Quartile Price - * * 10.3
3rd Quartile Price - * * 15.0
4th Quartile Price - * * 32.1
Avg. Price Top 5 Trades - * * 16.6
Standard Deviation - * * 10.0
VOLUME OF TRADES (000'S) - * * 534,136.6
Customer Buy - * * *
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - * * 3,253.1
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - * * 7
Customer Buy - * * *
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - * * 5
<= $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 8.8.27.20250619   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.