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 101.8 101.6 95.9
Weighted Avg. Price 116.4 101.4 99.4
Avg. Price Bottom 5 Trades 85.2 97.4 51.7
2nd Quartile Price 100.0 99.7 95.9
3rd Quartile Price 100.5 100.3 99.0
4th Quartile Price 106.6 105.0 101.2
Avg. Price Top 5 Trades 113.3 107.5 113.1
Standard Deviation 7.6 3.9 15.8
VOLUME OF TRADES (000'S) 5,027.9 7,960.2 690,224.7
Customer Buy 4,419.5 5,973.1 378,869.0
Customer Sell 329.2 1,951.0 137,051.4
Dealer to Dealer 279.2 36.2 174,304.2
<= $1MM 1,891.6 630.0 12,376.1
<= $10MM * * 109,745.2
<= $100MM 0.0 0.0 568,103.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 57 24 178
Customer Buy 19 6 82
Customer Sell 21 11 43
Dealer to Dealer 17 7 53
<= $1MM 55 22 118
<= $10MM * * 35
<= $100MM 0 0 25
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 101.9 105.5 98.7
Weighted Avg. Price 112.1 108.0 99.5
Avg. Price Bottom 5 Trades 95.5 100.1 74.7
2nd Quartile Price 99.0 102.0 97.9
3rd Quartile Price 100.6 107.3 99.5
4th Quartile Price 105.0 109.6 101.0
Avg. Price Top 5 Trades 112.8 111.1 109.8
Standard Deviation 5.2 4.8 8.0
VOLUME OF TRADES (000'S) 16,154.5 643.1 366,700.2
Customer Buy 5,189.5 419.4 222,419.5
Customer Sell 9,111.6 47.6 101,850.5
Dealer to Dealer 1,853.4 176.1 42,430.2
<= $1MM 4,429.9 643.1 14,530.6
<= $10MM * 0.0 83,000.9
<= $100MM 0.0 0.0 269,168.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 57 22 191
Customer Buy 16 9 101
Customer Sell 21 6 48
Dealer to Dealer 20 7 42
<= $1MM 54 22 149
<= $10MM * 0 30
<= $100MM 0 0 12
> $100MM 0 0 0
GNMA
AVERAGE PRICE 104.4 105.2 98.1
Weighted Avg. Price 107.4 107.0 99.7
Avg. Price Bottom 5 Trades 96.9 101.2 49.8
2nd Quartile Price 101.5 102.8 95.3
3rd Quartile Price 104.7 105.6 99.1
4th Quartile Price 107.8 108.0 101.3
Avg. Price Top 5 Trades 110.7 109.7 116.2
Standard Deviation 5.1 3.3 13.2
VOLUME OF TRADES (000'S) 6,768.1 468.1 299,834.9
Customer Buy 2,203.7 * 159,748.2
Customer Sell 2,270.4 94.3 102,736.0
Dealer to Dealer 2,294.0 269.3 37,350.7
<= $1MM 334.1 468.1 15,730.6
<= $10MM * 0.0 24,870.9
<= $100MM 0.0 0.0 259,233.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 48 28 209
Customer Buy 6 * 74
Customer Sell 20 12 52
Dealer to Dealer 22 13 83
<= $1MM 45 28 190
<= $10MM * 0 11
<= $100MM 0 0 8
> $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 14.1
Weighted Avg. Price * 0.0 18.7
Avg. Price Bottom 5 Trades * 0.0 7.4
2nd Quartile Price * 0.0 7.9
3rd Quartile Price * 0.0 18.8
4th Quartile Price * 0.0 22.1
Avg. Price Top 5 Trades * 0.0 22.2
Standard Deviation * 0.0 8.3
VOLUME OF TRADES (000'S) * 0.0 300,935.0
Customer Buy * 0.0 219,363.5
Customer Sell 0.0 0.0 *
Dealer to Dealer * 0.0 *
<= $1MM * 0.0 378.7
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 300,556.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 15
Customer Buy * 0 10
Customer Sell 0 0 *
Dealer to Dealer * 0 *
<= $1MM * 0 5
<= $10MM 0 0 0
<= $100MM 0 0 10
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 9.8
Weighted Avg. Price 0.0 * 17.7
Avg. Price Bottom 5 Trades 0.0 * 9.8
2nd Quartile Price 0.0 * *
3rd Quartile Price 0.0 * *
4th Quartile Price 0.0 * *
Avg. Price Top 5 Trades 0.0 * 9.8
Standard Deviation 0.0 * 8.4
VOLUME OF TRADES (000'S) 0.0 * 118,607.7
Customer Buy 0.0 * *
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 * *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 6
Customer Buy 0 * *
Customer Sell 0 0 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 0
<= $10MM 0 * *
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 *
Weighted Avg. Price 0.0 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 *
2nd Quartile Price 0.0 0.0 *
3rd Quartile Price 0.0 0.0 *
4th Quartile Price 0.0 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 *
Standard Deviation 0.0 0.0 *
VOLUME OF TRADES (000'S) 0.0 0.0 *
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 *
Customer Buy 0 0 *
Customer Sell 0 0 0
Dealer to Dealer 0 0 0
<= $1MM 0 0 *
<= $10MM 0 0 *
<= $100MM 0 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 8.1.17.3.20240320   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.