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 93.5 84.2 96.1 90.9
Weighted Avg. Price 100.7 89.0 98.3 97.6
Avg. Price Bottom 5 Trades 87.4 50.8 95.6 45.8
2nd Quartile Price 92.0 77.3 97.1 88.9
3rd Quartile Price 98.6 92.4 98.3 99.0
4th Quartile Price 99.9 96.5 98.6 100.1
Avg. Price Top 5 Trades 101.1 99.1 97.1 101.0
Standard Deviation 8.0 17.4 3.1 16.0
VOLUME OF TRADES (000'S) 254.1 1,060.5 3,841.3 413,415.8
Customer Buy 238.6 724.1 524.9 138,816.0
Customer Sell 6.5 116.9 * 161,422.9
Dealer to Dealer 9.0 219.5 - 113,176.9
<= $1MM 254.1 1,060.5 524.9 12,325.7
<= $10MM - - * 165,483.5
<= $100MM - - - 235,606.6
> $100MM - - - -
NUMBER OF TRADES 25 45 6 102
Customer Buy 12 21 5 52
Customer Sell 5 7 * 20
Dealer to Dealer 8 17 - 30
<= $1MM 25 45 5 50
<= $10MM - - * 41
<= $100MM - - - 11
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.6 87.4 90.8 93.7
Weighted Avg. Price 102.6 95.2 98.6 97.7
Avg. Price Bottom 5 Trades 89.9 68.4 87.4 55.5
2nd Quartile Price 93.1 79.5 98.1 95.7
3rd Quartile Price 98.6 90.0 98.9 98.7
4th Quartile Price 100.0 96.8 99.3 99.8
Avg. Price Top 5 Trades 102.1 100.0 98.8 100.9
Standard Deviation 4.6 10.4 18.1 12.2
VOLUME OF TRADES (000'S) 4,862.2 6,125.4 5,273.0 243,327.7
Customer Buy 69.2 3,313.9 151.0 88,001.5
Customer Sell 2,386.3 96.5 * 45,059.0
Dealer to Dealer 2,406.7 2,715.0 - 110,267.1
<= $1MM 110.3 1,677.2 151.0 12,547.2
<= $10MM * * * 85,232.3
<= $100MM - - - 145,548.2
> $100MM - - - -
NUMBER OF TRADES 47 61 7 74
Customer Buy 14 22 5 35
Customer Sell 15 7 * 10
Dealer to Dealer 18 32 - 29
<= $1MM 45 58 5 38
<= $10MM * * * 30
<= $100MM - - - 6
> $100MM - - - -
GNMA
AVERAGE PRICE 98.3 88.9 82.9 89.4
Weighted Avg. Price 100.7 87.4 81.0 94.1
Avg. Price Bottom 5 Trades 93.6 72.6 73.0 47.0
2nd Quartile Price 98.0 83.5 76.2 87.4
3rd Quartile Price 99.5 91.0 86.5 98.1
4th Quartile Price 100.1 96.8 87.6 99.9
Avg. Price Top 5 Trades 101.6 100.2 90.3 102.5
Standard Deviation 3.4 9.0 8.2 16.7
VOLUME OF TRADES (000'S) 490.7 10,269.1 17,110.2 957,599.8
Customer Buy 335.8 4,863.6 * 347,634.6
Customer Sell 17.5 1,915.1 13,729.3 476,388.9
Dealer to Dealer 137.5 3,490.4 3,331.7 133,576.3
<= $1MM 490.7 3,116.4 646.8 18,978.6
<= $10MM - 7,152.7 * 194,379.5
<= $100MM - - * 624,994.7
> $100MM - - - *
NUMBER OF TRADES 50 68 20 178
Customer Buy 22 20 * 93
Customer Sell 14 16 9 28
Dealer to Dealer 14 32 8 57
<= $1MM 50 63 17 114
<= $10MM - 5 * 48
<= $100MM - - * 15
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 8.4 9.6 - *
Weighted Avg. Price 7.6 8.4 - *
Avg. Price Bottom 5 Trades 2.5 3.8 - *
2nd Quartile Price 6.8 7.1 - *
3rd Quartile Price 8.0 8.0 - *
4th Quartile Price 8.8 12.9 - *
Avg. Price Top 5 Trades 16.4 18.0 - *
Standard Deviation 3.9 5.1 - *
VOLUME OF TRADES (000'S) 37,342.9 38,099.7 - *
Customer Buy * - - *
Customer Sell 35,020.2 29,308.3 - *
Dealer to Dealer 1,773.4 8,791.3 - -
<= $1MM 16,083.0 7,191.3 - -
<= $10MM 21,259.9 30,908.4 - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 48 31 - *
Customer Buy * - - *
Customer Sell 40 23 - *
Dealer to Dealer 6 8 - -
<= $1MM 39 16 - -
<= $10MM 9 15 - -
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 9.4 7.0 * *
Weighted Avg. Price 8.0 8.3 * *
Avg. Price Bottom 5 Trades 4.4 2.7 * *
2nd Quartile Price 6.6 4.5 * *
3rd Quartile Price 8.1 6.6 * *
4th Quartile Price 8.8 9.4 * *
Avg. Price Top 5 Trades 21.5 12.9 * *
Standard Deviation 12.1 3.3 * *
VOLUME OF TRADES (000'S) 24,464.4 24,942.5 * *
Customer Buy * * - *
Customer Sell 13,121.4 14,694.4 - -
Dealer to Dealer 9,233.5 8,987.9 * *
<= $1MM 8,215.7 9,179.4 * -
<= $10MM 16,248.7 15,763.0 - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 39 40 * *
Customer Buy * * - *
Customer Sell 18 19 - -
Dealer to Dealer 18 19 * *
<= $1MM 25 31 * -
<= $10MM 14 9 - -
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE * * 25.9 9.0
Weighted Avg. Price * * 16.7 5.8
Avg. Price Bottom 5 Trades * * 25.9 3.4
2nd Quartile Price * * * 4.5
3rd Quartile Price * * * 7.0
4th Quartile Price * * * 16.3
Avg. Price Top 5 Trades * * 25.9 11.5
Standard Deviation * * 13.1 5.4
VOLUME OF TRADES (000'S) * * 264.7 348,291.2
Customer Buy * * * 57,598.0
Customer Sell - - * 250,253.9
Dealer to Dealer - - * *
<= $1MM * * 264.7 535.1
<= $10MM * - - *
<= $100MM - - - 328,757.1
> $100MM - - - -
NUMBER OF TRADES * * 5 19
Customer Buy * * * 8
Customer Sell - - * 9
Dealer to Dealer - - * *
<= $1MM * * 5 6
<= $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 8.11.24.20251128   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.