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 102.7 103.6 98.0
Weighted Avg. Price 115.2 100.7 101.0
Avg. Price Bottom 5 Trades 86.7 100.1 81.6
2nd Quartile Price 100.0 100.0 96.1
3rd Quartile Price 103.5 100.6 99.5
4th Quartile Price 107.1 107.0 101.0
Avg. Price Top 5 Trades 117.0 109.8 112.4
Standard Deviation 7.7 5.0 6.5
VOLUME OF TRADES (000'S) 9,462.1 22,987.8 661,443.5
Customer Buy 2,769.6 7,582.1 317,799.6
Customer Sell 6,502.8 625.0 114,279.0
Dealer to Dealer 189.8 * 229,364.9
<= $1MM 1,630.6 817.8 12,165.5
<= $10MM * * 75,979.7
<= $100MM 0.0 0.0 411,122.2
> $100MM 0.0 0.0 *
NUMBER OF TRADES 103 16 160
Customer Buy 27 8 68
Customer Sell 38 5 32
Dealer to Dealer 38 * 60
<= $1MM 99 13 121
<= $10MM * * 25
<= $100MM 0 0 13
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 101.9 103.8 98.6
Weighted Avg. Price 107.1 101.5 101.7
Avg. Price Bottom 5 Trades 86.2 99.3 78.1
2nd Quartile Price 99.9 99.8 97.5
3rd Quartile Price 103.6 105.0 100.0
4th Quartile Price 106.2 108.4 101.6
Avg. Price Top 5 Trades 110.8 108.6 109.2
Standard Deviation 7.0 4.6 6.0
VOLUME OF TRADES (000'S) 2,808.5 506.0 1,276,764.3
Customer Buy 1,564.8 * 634,109.7
Customer Sell 1,035.5 401.6 412,245.9
Dealer to Dealer 208.2 * 230,408.7
<= $1MM 2,808.5 506.0 16,675.3
<= $10MM 0.0 0.0 201,991.8
<= $100MM 0.0 0.0 355,371.6
> $100MM 0.0 0.0 702,725.5
NUMBER OF TRADES 109 12 202
Customer Buy 23 * 89
Customer Sell 53 7 44
Dealer to Dealer 33 * 69
<= $1MM 109 12 139
<= $10MM 0 0 47
<= $100MM 0 0 11
> $100MM 0 0 5
GNMA
AVERAGE PRICE 103.2 105.9 99.9
Weighted Avg. Price 108.8 108.4 100.0
Avg. Price Bottom 5 Trades 87.5 99.1 76.4
2nd Quartile Price 99.7 102.3 97.6
3rd Quartile Price 104.7 107.7 100.0
4th Quartile Price 108.3 110.3 102.8
Avg. Price Top 5 Trades 112.6 112.1 113.9
Standard Deviation 6.8 5.0 7.4
VOLUME OF TRADES (000'S) 851.4 320.9 344,067.7
Customer Buy 296.3 98.5 142,244.6
Customer Sell 290.1 133.3 4,900.0
Dealer to Dealer 265.1 89.1 196,923.1
<= $1MM 851.4 320.9 9,798.3
<= $10MM 0.0 0.0 128,408.9
<= $100MM 0.0 0.0 205,860.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 81 26 183
Customer Buy 21 8 79
Customer Sell 33 11 30
Dealer to Dealer 27 7 74
<= $1MM 81 26 147
<= $10MM 0 0 27
<= $100MM 0 0 9
> $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 * 0.0 18.0
Weighted Avg. Price * 0.0 18.4
Avg. Price Bottom 5 Trades * 0.0 9.1
2nd Quartile Price * 0.0 16.3
3rd Quartile Price * 0.0 21.2
4th Quartile Price * 0.0 21.2
Avg. Price Top 5 Trades * 0.0 21.8
Standard Deviation * 0.0 5.1
VOLUME OF TRADES (000'S) * 0.0 354,004.9
Customer Buy 0.0 0.0 193,936.8
Customer Sell * 0.0 114,051.3
Dealer to Dealer * 0.0 *
<= $1MM * 0.0 4,353.7
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 330,428.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 46
Customer Buy 0 0 23
Customer Sell * 0 22
Dealer to Dealer * 0 *
<= $1MM * 0 33
<= $10MM 0 0 *
<= $100MM 0 0 10
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * 0.0 18.8
Weighted Avg. Price * 0.0 22.9
Avg. Price Bottom 5 Trades * 0.0 7.6
2nd Quartile Price * 0.0 7.1
3rd Quartile Price * 0.0 18.3
4th Quartile Price * 0.0 20.4
Avg. Price Top 5 Trades * 0.0 36.6
Standard Deviation * 0.0 17.2
VOLUME OF TRADES (000'S) * 0.0 96,001.8
Customer Buy * 0.0 12,813.1
Customer Sell * 0.0 81,917.2
Dealer to Dealer 0.0 0.0 *
<= $1MM * 0.0 3,329.0
<= $10MM 0.0 0.0 47,464.3
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 22
Customer Buy * 0 10
Customer Sell * 0 10
Dealer to Dealer 0 0 *
<= $1MM * 0 12
<= $10MM 0 0 8
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE * 0.0 14.9
Weighted Avg. Price * 0.0 10.5
Avg. Price Bottom 5 Trades * 0.0 11.4
2nd Quartile Price * 0.0 13.1
3rd Quartile Price * 0.0 13.5
4th Quartile Price * 0.0 15.2
Avg. Price Top 5 Trades * 0.0 18.3
Standard Deviation * 0.0 5.7
VOLUME OF TRADES (000'S) * 0.0 43,857.6
Customer Buy 0.0 0.0 43,043.7
Customer Sell * 0.0 496.9
Dealer to Dealer 0.0 0.0 *
<= $1MM * 0.0 1,102.0
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 15
Customer Buy 0 0 6
Customer Sell * 0 7
Dealer to Dealer 0 0 *
<= $1MM * 0 13
<= $10MM 0 0 0
<= $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.