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 102.7 107.7 100.5
Weighted Avg. Price 118.7 120.3 101.2
Avg. Price Bottom 5 Trades 72.6 97.1 89.4
2nd Quartile Price 98.9 99.2 99.4
3rd Quartile Price 105.0 108.0 99.8
4th Quartile Price 111.8 119.0 101.0
Avg. Price Top 5 Trades 123.7 118.8 115.3
Standard Deviation 14.0 9.9 4.0
VOLUME OF TRADES (000'S) 5,919.9 3,022.9 215,193.8
Customer Buy 2,402.3 1,095.2 123,440.2
Customer Sell 2,537.0 968.4 38,165.4
Dealer to Dealer 980.6 * 53,588.3
<= $1MM 5,919.9 3,022.9 13,245.5
<= $10MM 0.0 0.0 70,904.4
<= $100MM 0.0 0.0 131,044.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 71 16 234
Customer Buy 18 8 147
Customer Sell 36 5 38
Dealer to Dealer 17 * 49
<= $1MM 71 16 198
<= $10MM 0 0 30
<= $100MM 0 0 6
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 103.4 104.4 102.2
Weighted Avg. Price 106.5 102.5 87.9
Avg. Price Bottom 5 Trades 85.3 98.7 62.0
2nd Quartile Price 100.0 99.9 100.0
3rd Quartile Price 104.5 103.5 102.7
4th Quartile Price 109.0 108.0 106.5
Avg. Price Top 5 Trades 111.7 114.2 115.3
Standard Deviation 7.4 5.5 9.2
VOLUME OF TRADES (000'S) 1,022.7 11,060.5 515,530.3
Customer Buy 613.3 9,814.9 93,018.7
Customer Sell 315.4 1,169.7 301,189.2
Dealer to Dealer 94.0 75.9 121,322.5
<= $1MM 1,022.7 1,132.4 19,492.5
<= $10MM 0.0 * 134,269.8
<= $100MM 0.0 0.0 159,172.3
> $100MM 0.0 0.0 *
NUMBER OF TRADES 73 32 273
Customer Buy 28 12 140
Customer Sell 29 10 84
Dealer to Dealer 16 10 49
<= $1MM 73 30 225
<= $10MM 0 * 40
<= $100MM 0 0 7
> $100MM 0 0 *
GNMA
AVERAGE PRICE 106.5 106.1 102.9
Weighted Avg. Price 108.9 105.4 102.6
Avg. Price Bottom 5 Trades 91.5 100.4 91.9
2nd Quartile Price 103.2 101.0 97.5
3rd Quartile Price 109.0 108.8 100.8
4th Quartile Price 111.3 110.5 105.8
Avg. Price Top 5 Trades 113.6 111.0 118.4
Standard Deviation 7.2 5.0 7.1
VOLUME OF TRADES (000'S) 13,814.3 286.3 154,162.0
Customer Buy 6,900.1 * 44,431.2
Customer Sell 6,866.6 161.1 14,133.9
Dealer to Dealer 47.7 115.4 95,596.9
<= $1MM 520.5 286.3 10,343.1
<= $10MM * 0.0 66,224.4
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 54 16 187
Customer Buy 25 * 103
Customer Sell 21 8 29
Dealer to Dealer 8 5 55
<= $1MM 52 16 171
<= $10MM * 0 14
<= $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 19.8 19.0 20.1
Weighted Avg. Price 22.4 19.0 18.9
Avg. Price Bottom 5 Trades 16.8 19.0 9.0
2nd Quartile Price 19.5 * 17.1
3rd Quartile Price 24.0 * 18.8
4th Quartile Price 24.1 * 19.6
Avg. Price Top 5 Trades 24.1 19.0 38.1
Standard Deviation 6.8 1.0 13.7
VOLUME OF TRADES (000'S) 73,691.8 24,682.2 451,445.1
Customer Buy 25,228.5 * 163,384.3
Customer Sell * * 245,552.6
Dealer to Dealer * 0.0 42,508.2
<= $1MM 0.0 0.0 1,110.0
<= $10MM 26,922.5 24,682.2 67,800.2
<= $100MM * 0.0 127,166.3
> $100MM 0.0 0.0 *
NUMBER OF TRADES 10 5 32
Customer Buy 5 * 8
Customer Sell * * 18
Dealer to Dealer * 0 6
<= $1MM 0 0 11
<= $10MM 7 5 13
<= $100MM * 0 6
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 0.0 0.0 16.0
Weighted Avg. Price 0.0 0.0 17.8
Avg. Price Bottom 5 Trades 0.0 0.0 6.7
2nd Quartile Price 0.0 0.0 14.6
3rd Quartile Price 0.0 0.0 17.1
4th Quartile Price 0.0 0.0 20.4
Avg. Price Top 5 Trades 0.0 0.0 23.6
Standard Deviation 0.0 0.0 6.3
VOLUME OF TRADES (000'S) 0.0 0.0 263,409.1
Customer Buy 0.0 0.0 121,620.2
Customer Sell 0.0 0.0 132,785.2
Dealer to Dealer 0.0 0.0 9,003.8
<= $1MM 0.0 0.0 1,794.9
<= $10MM 0.0 0.0 30,459.6
<= $100MM 0.0 0.0 231,154.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 23
Customer Buy 0 0 11
Customer Sell 0 0 7
Dealer to Dealer 0 0 5
<= $1MM 0 0 5
<= $10MM 0 0 10
<= $100MM 0 0 8
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 * 17.5
Weighted Avg. Price 0.0 * 15.1
Avg. Price Bottom 5 Trades 0.0 * 5.8
2nd Quartile Price 0.0 * 11.6
3rd Quartile Price 0.0 * 16.5
4th Quartile Price 0.0 * 18.2
Avg. Price Top 5 Trades 0.0 * 40.3
Standard Deviation 0.0 * 11.9
VOLUME OF TRADES (000'S) 0.0 * 464,684.7
Customer Buy 0.0 * 301,917.4
Customer Sell 0.0 * 57,695.0
Dealer to Dealer 0.0 0.0 105,072.4
<= $1MM 0.0 * 1,181.0
<= $10MM 0.0 0.0 76,424.3
<= $100MM 0.0 0.0 387,079.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 36
Customer Buy 0 * 18
Customer Sell 0 * 8
Dealer to Dealer 0 0 10
<= $1MM 0 * 9
<= $10MM 0 0 12
<= $100MM 0 0 15
> $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.