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 95.3 71.9 * 94.2
Weighted Avg. Price 98.9 100.6 * 96.8
Avg. Price Bottom 5 Trades 88.7 52.0 * 63.5
2nd Quartile Price 97.9 75.6 * 96.4
3rd Quartile Price 99.3 86.4 * 99.5
4th Quartile Price 100.0 96.3 * 100.1
Avg. Price Top 5 Trades 100.0 99.4 * 101.4
Standard Deviation 9.5 29.6 * 11.5
VOLUME OF TRADES (000'S) 250.8 2,302.4 * 143,745.3
Customer Buy * 2,084.7 * 88,400.0
Customer Sell 143.9 149.4 - 30,989.7
Dealer to Dealer * 68.4 * 24,355.5
<= $1MM 250.8 929.2 * 5,581.7
<= $10MM - * * 89,410.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 15 34 * 61
Customer Buy * 8 * 32
Customer Sell 7 17 - 13
Dealer to Dealer * 9 * 16
<= $1MM 15 33 * 34
<= $10MM - * * 23
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 81.8 83.7 85.6 91.4
Weighted Avg. Price 101.8 76.0 91.9 97.9
Avg. Price Bottom 5 Trades 58.3 77.8 84.4 58.5
2nd Quartile Price 65.0 83.6 85.3 88.4
3rd Quartile Price 98.1 86.8 92.1 98.3
4th Quartile Price 99.3 87.7 94.5 99.8
Avg. Price Top 5 Trades 102.5 91.2 89.3 100.5
Standard Deviation 27.1 8.4 11.9 13.6
VOLUME OF TRADES (000'S) 309.5 400.0 184.0 76,522.8
Customer Buy 93.6 351.3 166.9 27,754.9
Customer Sell 45.4 * * 22,908.9
Dealer to Dealer 170.4 37.1 * 25,859.1
<= $1MM 309.5 400.0 184.0 7,120.8
<= $10MM - - - 59,119.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 30 13 9 44
Customer Buy 9 5 7 17
Customer Sell 15 * * 13
Dealer to Dealer 6 6 * 14
<= $1MM 30 13 9 31
<= $10MM - - - 12
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 91.4 92.2 81.8 92.8
Weighted Avg. Price 97.0 95.1 91.4 88.7
Avg. Price Bottom 5 Trades 81.2 81.8 81.8 49.0
2nd Quartile Price 80.0 90.0 * 93.0
3rd Quartile Price 97.6 94.8 * 97.6
4th Quartile Price 99.0 96.8 * 99.4
Avg. Price Top 5 Trades 100.9 98.5 81.8 102.3
Standard Deviation 10.5 6.8 17.0 12.0
VOLUME OF TRADES (000'S) 70.7 74,979.3 2,702.0 212,856.8
Customer Buy 18.3 37,338.0 * 129,708.3
Customer Sell 26.1 37,342.7 * 76,661.4
Dealer to Dealer 26.4 298.6 * 6,487.0
<= $1MM 70.7 573.6 14.1 9,337.1
<= $10MM - - * 33,909.9
<= $100MM - * - 169,609.8
> $100MM - - - -
NUMBER OF TRADES 35 37 6 157
Customer Buy 9 13 * 89
Customer Sell 17 8 * 30
Dealer to Dealer 9 16 * 38
<= $1MM 35 35 5 138
<= $10MM - - * 13
<= $100MM - * - 6
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - * - 5.8
Weighted Avg. Price - * - 5.3
Avg. Price Bottom 5 Trades - * - 3.5
2nd Quartile Price - * - 3.4
3rd Quartile Price - * - 5.6
4th Quartile Price - * - 6.1
Avg. Price Top 5 Trades - * - 8.3
Standard Deviation - * - 5.9
VOLUME OF TRADES (000'S) - * - 303,014.2
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * - *
<= $10MM - - - *
<= $100MM - - - 296,927.2
> $100MM - - - -
NUMBER OF TRADES - * - 8
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * - *
<= $10MM - - - *
<= $100MM - - - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE - * - 5.7
Weighted Avg. Price - * - 4.8
Avg. Price Bottom 5 Trades - * - 3.6
2nd Quartile Price - * - 3.6
3rd Quartile Price - * - 5.8
4th Quartile Price - * - 6.5
Avg. Price Top 5 Trades - * - 7.9
Standard Deviation - * - 4.1
VOLUME OF TRADES (000'S) - * - 556,882.9
Customer Buy - * - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - * - *
<= $100MM - - - 439,167.5
> $100MM - - - *
NUMBER OF TRADES - * - 10
Customer Buy - * - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - * - *
<= $100MM - - - 8
> $100MM - - - *
GNMA
AVERAGE PRICE * * - 7.4
Weighted Avg. Price * * - 4.5
Avg. Price Bottom 5 Trades * * - 2.7
2nd Quartile Price * * - 2.7
3rd Quartile Price * * - 7.8
4th Quartile Price * * - 11.0
Avg. Price Top 5 Trades * * - 10.8
Standard Deviation * * - 4.8
VOLUME OF TRADES (000'S) * * - 439,866.1
Customer Buy * * - 161,088.0
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM * * - 669.7
<= $10MM - - - *
<= $100MM - - - 296,746.5
> $100MM - - - *
NUMBER OF TRADES * * - 12
Customer Buy * * - 8
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM * * - 5
<= $10MM - - - *
<= $100MM - - - 5
> $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 8.9.15.20250723   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.