As of
Download

FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE 105.1 107.5 96.5
Weighted Avg. Price 108.3 100.3 101.1
Avg. Price Bottom 5 Trades 90.8 99.9 70.9
2nd Quartile Price 102.2 105.3 91.7
3rd Quartile Price 105.2 108.8 98.3
4th Quartile Price 108.3 111.0 102.9
Avg. Price Top 5 Trades 117.2 115.8 111.5
Standard Deviation 7.5 5.4 9.0
VOLUME OF TRADES (000'S) 18,106.3 37,337.2 360,072.4
Customer Buy 15,015.9 11,187.5 154,211.7
Customer Sell 1,998.8 * 38,623.3
Dealer to Dealer 1,091.6 25,779.7 167,237.3
<= $1MM 7,293.7 1,108.2 19,670.9
<= $10MM * * 167,085.0
<= $100MM 0.0 * 173,316.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 97 26 207
Customer Buy 28 11 75
Customer Sell 48 * 53
Dealer to Dealer 21 11 79
<= $1MM 95 21 157
<= $10MM * * 40
<= $100MM 0 * 10
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 104.8 106.5 97.0
Weighted Avg. Price 108.5 115.6 75.8
Avg. Price Bottom 5 Trades 92.9 99.3 50.3
2nd Quartile Price 102.0 103.5 96.5
3rd Quartile Price 105.4 107.9 99.5
4th Quartile Price 108.3 109.0 102.5
Avg. Price Top 5 Trades 120.8 114.3 113.2
Standard Deviation 6.1 8.0 11.9
VOLUME OF TRADES (000'S) 16,159.5 574.4 746,662.5
Customer Buy 8,288.8 * 320,570.7
Customer Sell 7,566.1 334.7 197,254.2
Dealer to Dealer 304.5 67.8 228,837.6
<= $1MM 3,972.5 574.4 20,897.8
<= $10MM * 0.0 77,324.7
<= $100MM 0.0 0.0 648,440.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 95 18 229
Customer Buy 31 * 94
Customer Sell 44 8 62
Dealer to Dealer 20 6 73
<= $1MM 93 18 183
<= $10MM * 0 22
<= $100MM 0 0 24
> $100MM 0 0 0
GNMA
AVERAGE PRICE 107.0 107.3 98.0
Weighted Avg. Price 111.3 108.7 99.9
Avg. Price Bottom 5 Trades 100.7 102.5 77.8
2nd Quartile Price 105.5 105.9 93.5
3rd Quartile Price 107.4 107.9 99.5
4th Quartile Price 108.9 108.8 103.4
Avg. Price Top 5 Trades 112.6 110.8 114.3
Standard Deviation 3.4 2.6 8.2
VOLUME OF TRADES (000'S) 1,137.9 1,298.9 135,030.3
Customer Buy 591.9 237.5 79,691.8
Customer Sell 453.6 563.4 29,446.7
Dealer to Dealer 92.4 498.0 25,891.8
<= $1MM 1,137.9 1,298.9 8,763.7
<= $10MM 0.0 0.0 58,565.2
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 48 41 211
Customer Buy 13 12 86
Customer Sell 25 15 57
Dealer to Dealer 10 14 68
<= $1MM 48 41 188
<= $10MM 0 0 21
<= $100MM 0 0 *
> $100MM 0 0 0
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE * * 16.8
Weighted Avg. Price * * 18.4
Avg. Price Bottom 5 Trades * * 11.1
2nd Quartile Price * * 12.5
3rd Quartile Price * * 14.6
4th Quartile Price * * 19.3
Avg. Price Top 5 Trades * * 33.4
Standard Deviation * * 6.8
VOLUME OF TRADES (000'S) * * 258,748.9
Customer Buy 0.0 0.0 104,142.9
Customer Sell * * 103,524.9
Dealer to Dealer 0.0 * 51,081.1
<= $1MM * * 9,149.6
<= $10MM 0.0 0.0 66,981.0
<= $100MM 0.0 0.0 182,618.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 64
Customer Buy 0 0 26
Customer Sell * * 28
Dealer to Dealer 0 * 10
<= $1MM * * 35
<= $10MM 0 0 20
<= $100MM 0 0 9
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 17.9 10.9 17.5
Weighted Avg. Price 17.9 9.6 19.1
Avg. Price Bottom 5 Trades 17.9 9.5 8.8
2nd Quartile Price * 7.0 13.3
3rd Quartile Price * 13.5 19.5
4th Quartile Price * 15.1 23.0
Avg. Price Top 5 Trades 17.9 12.5 24.3
Standard Deviation 0.1 3.7 5.2
VOLUME OF TRADES (000'S) 1,257.9 5,502.4 678,385.8
Customer Buy * * 342,843.0
Customer Sell * * 252,535.0
Dealer to Dealer * * 83,007.8
<= $1MM 1,257.9 * 2,567.2
<= $10MM 0.0 * 91,611.7
<= $100MM 0.0 0.0 584,206.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 6 7 50
Customer Buy * * 15
Customer Sell * * 26
Dealer to Dealer * * 9
<= $1MM 6 * 15
<= $10MM 0 * 17
<= $100MM 0 0 18
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 17.1
Weighted Avg. Price 0.0 0.0 18.7
Avg. Price Bottom 5 Trades 0.0 0.0 8.6
2nd Quartile Price 0.0 0.0 16.5
3rd Quartile Price 0.0 0.0 18.1
4th Quartile Price 0.0 0.0 22.0
Avg. Price Top 5 Trades 0.0 0.0 23.2
Standard Deviation 0.0 0.0 6.4
VOLUME OF TRADES (000'S) 0.0 0.0 109,761.7
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 93,055.4
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 29,047.5
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 20
Customer Buy 0 0 *
Customer Sell 0 0 19
Dealer to Dealer 0 0 0
<= $1MM 0 0 *
<= $10MM 0 0 12
<= $100MM 0 0 *
> $100MM 0 0 0
* 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 Listor 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 tracedataservices@finra.org.
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.2.25.20240412   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.