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 105.4 141.1 93.8
Weighted Avg. Price 106.6 134.7 100.2
Avg. Price Bottom 5 Trades 92.3 100.7 81.3
2nd Quartile Price 101.3 101.0 81.3
3rd Quartile Price 105.4 108.2 97.5
4th Quartile Price 108.9 202.3 100.3
Avg. Price Top 5 Trades 119.9 208.8 176.1
Standard Deviation 6.1 64.9 16.3
VOLUME OF TRADES (000'S) 6,689.0 3,715.9 389,255.8
Customer Buy 4,907.4 * 170,662.9
Customer Sell 898.8 1,426.6 60,070.1
Dealer to Dealer 882.8 1,667.6 158,522.8
<= $1MM 2,805.0 3,715.9 29,273.0
<= $10MM * 0.0 67,106.6
<= $100MM 0.0 0.0 292,876.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 106 15 360
Customer Buy 31 * 102
Customer Sell 45 6 194
Dealer to Dealer 30 8 64
<= $1MM 104 15 321
<= $10MM * 0 28
<= $100MM 0 0 11
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 104.2 109.6 100.3
Weighted Avg. Price 111.7 116.3 102.4
Avg. Price Bottom 5 Trades 96.1 102.5 83.2
2nd Quartile Price 100.8 108.1 98.6
3rd Quartile Price 103.6 110.3 101.6
4th Quartile Price 107.6 114.8 103.3
Avg. Price Top 5 Trades 116.3 115.8 112.4
Standard Deviation 5.2 7.0 5.8
VOLUME OF TRADES (000'S) 1,045.4 4,343.9 177,899.9
Customer Buy 857.9 125.7 75,460.4
Customer Sell 113.6 * 45,602.5
Dealer to Dealer 73.9 2,153.6 56,837.0
<= $1MM 1,045.4 258.4 21,107.2
<= $10MM 0.0 * 53,401.3
<= $100MM 0.0 0.0 103,391.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 83 19 193
Customer Buy 27 8 78
Customer Sell 35 * 70
Dealer to Dealer 21 7 45
<= $1MM 83 17 169
<= $10MM 0 * 19
<= $100MM 0 0 5
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.7 112.0 100.8
Weighted Avg. Price 103.8 114.3 101.1
Avg. Price Bottom 5 Trades 98.6 101.8 85.2
2nd Quartile Price 101.0 103.5 98.9
3rd Quartile Price 106.0 108.4 101.0
4th Quartile Price 110.4 125.9 103.3
Avg. Price Top 5 Trades 113.3 125.9 116.3
Standard Deviation 4.9 10.5 5.9
VOLUME OF TRADES (000'S) 1,084.6 567.9 212,789.5
Customer Buy 108.5 * 106,539.2
Customer Sell 321.0 226.8 2,454.6
Dealer to Dealer 655.2 281.2 103,795.7
<= $1MM 1,084.6 567.9 16,024.3
<= $10MM 0.0 0.0 16,561.1
<= $100MM 0.0 0.0 180,204.1
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 60 34 213
Customer Buy 16 * 121
Customer Sell 26 17 33
Dealer to Dealer 18 14 59
<= $1MM 60 34 199
<= $10MM 0 0 7
<= $100MM 0 0 7
> $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 289.8 * 13.5
Weighted Avg. Price 24.9 * 13.9
Avg. Price Bottom 5 Trades 289.8 * 9.3
2nd Quartile Price * * 9.9
3rd Quartile Price * * 13.3
4th Quartile Price * * 15.1
Avg. Price Top 5 Trades 289.8 * 22.9
Standard Deviation 592.7 * 4.6
VOLUME OF TRADES (000'S) 492.0 * 491,616.4
Customer Buy * 0.0 247,361.8
Customer Sell * * 221,348.7
Dealer to Dealer 0.0 0.0 22,905.8
<= $1MM 492.0 * 3,529.8
<= $10MM 0.0 0.0 35,217.5
<= $100MM 0.0 * 452,869.1
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 * 37
Customer Buy * 0 12
Customer Sell * * 15
Dealer to Dealer 0 0 10
<= $1MM 5 * 17
<= $10MM 0 0 8
<= $100MM 0 * 12
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 10.7
Weighted Avg. Price 0.0 * 13.7
Avg. Price Bottom 5 Trades 0.0 * 3.1
2nd Quartile Price 0.0 * 8.0
3rd Quartile Price 0.0 * 10.2
4th Quartile Price 0.0 * 16.0
Avg. Price Top 5 Trades 0.0 * 19.8
Standard Deviation 0.0 * 6.1
VOLUME OF TRADES (000'S) 0.0 * 231,056.0
Customer Buy 0.0 * 58,834.0
Customer Sell 0.0 * 171,834.9
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 * 1,797.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 223,063.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 28
Customer Buy 0 * 11
Customer Sell 0 * 13
Dealer to Dealer 0 0 *
<= $1MM 0 * 16
<= $10MM 0 0 *
<= $100MM 0 0 11
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 13.3
Weighted Avg. Price 0.0 0.0 15.5
Avg. Price Bottom 5 Trades 0.0 0.0 5.6
2nd Quartile Price 0.0 0.0 12.3
3rd Quartile Price 0.0 0.0 14.9
4th Quartile Price 0.0 0.0 16.6
Avg. Price Top 5 Trades 0.0 0.0 20.3
Standard Deviation 0.0 0.0 5.7
VOLUME OF TRADES (000'S) 0.0 0.0 135,072.1
Customer Buy 0.0 0.0 58,621.6
Customer Sell 0.0 0.0 75,769.5
Dealer to Dealer 0.0 0.0 681.0
<= $1MM 0.0 0.0 1,185.7
<= $10MM 0.0 0.0 65,822.7
<= $100MM 0.0 0.0 68,063.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 34
Customer Buy 0 0 10
Customer Sell 0 0 17
Dealer to Dealer 0 0 7
<= $1MM 0 0 17
<= $10MM 0 0 11
<= $100MM 0 0 6
> $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.