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-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 100.0 92.1 87.7 65.4
Weighted Avg. Price 99.8 99.7 100.5 100.9
Avg. Price Bottom 5 Trades 94.2 52.3 61.7 16.5
2nd Quartile Price 97.3 89.0 89.5 1.0
3rd Quartile Price 99.8 94.0 94.5 99.4
4th Quartile Price 102.4 99.4 98.6 102.2
Avg. Price Top 5 Trades 107.0 104.0 101.9 110.1
Standard Deviation 3.9 13.1 25.1 48.4
VOLUME OF TRADES (000'S) 12,099.2 46,124.7 46,726.6 119,465.4
Customer Buy 989.5 9,860.9 45,141.4 55,139.6
Customer Sell 11,011.3 31,013.9 482.7 11,034.7
Dealer to Dealer 98.3 5,249.8 1,102.5 53,291.1
<= $1MM 2,230.0 12,496.8 1,176.4 3,412.2
<= $10MM * 33,627.8 * 24,623.1
<= $100MM 0.0 0.0 * 91,430.1
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 48 140 28 65
Customer Buy 19 54 13 40
Customer Sell 20 40 9 9
Dealer to Dealer 9 46 6 16
<= $1MM 45 131 25 52
<= $10MM * 9 * 7
<= $100MM 0 0 * 6
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 99.2 95.7 88.1 61.8
Weighted Avg. Price 100.0 100.5 105.9 103.9
Avg. Price Bottom 5 Trades 66.2 58.3 70.2 19.1
2nd Quartile Price 98.2 95.6 82.0 1.0
3rd Quartile Price 101.5 98.9 97.0 100.0
4th Quartile Price 106.7 100.1 102.0 103.2
Avg. Price Top 5 Trades 109.2 108.9 102.7 108.2
Standard Deviation 15.7 17.0 24.6 50.3
VOLUME OF TRADES (000'S) 6,834.4 87,867.3 2,724.0 270,210.6
Customer Buy 250.6 63,659.9 1,997.9 25,753.7
Customer Sell 6,460.5 17,676.1 * 37,696.6
Dealer to Dealer 123.3 6,531.3 211.2 206,760.3
<= $1MM 667.3 10,434.0 1,337.6 7,578.4
<= $10MM * 27,032.6 * 60,921.1
<= $100MM 0.0 * 0.0 201,711.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 53 72 17 77
Customer Buy 12 32 8 44
Customer Sell 26 17 * 12
Dealer to Dealer 15 23 6 21
<= $1MM 49 58 16 53
<= $10MM * 12 * 19
<= $100MM 0 * 0 5
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 104.4 94.8 81.6 70.0
Weighted Avg. Price 112.1 100.5 99.6 100.4
Avg. Price Bottom 5 Trades 92.2 67.2 51.9 17.4
2nd Quartile Price 102.0 93.3 90.9 1.0
3rd Quartile Price 105.5 98.5 99.0 98.8
4th Quartile Price 108.5 100.0 99.4 100.0
Avg. Price Top 5 Trades 112.1 107.6 99.3 102.0
Standard Deviation 5.7 12.7 36.0 44.9
VOLUME OF TRADES (000'S) 64,358.8 73,929.5 57,860.0 69,855.6
Customer Buy 22,062.7 5,609.9 57,713.5 58,489.9
Customer Sell 128.8 7,560.1 * 1,299.3
Dealer to Dealer 42,167.3 60,759.6 71.5 10,066.4
<= $1MM 838.1 12,216.3 193.5 3,565.1
<= $10MM 50,136.7 16,296.8 0.0 26,516.5
<= $100MM * * * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 89 83 19 75
Customer Buy 16 27 10 35
Customer Sell 32 19 * 15
Dealer to Dealer 41 37 5 25
<= $1MM 81 71 17 68
<= $10MM 7 8 0 6
<= $100MM * * * *
> $100MM 0 0 0 0
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 0.0 10.6 * *
Weighted Avg. Price 0.0 10.8 * *
Avg. Price Bottom 5 Trades 0.0 9.4 * *
2nd Quartile Price 0.0 9.0 * *
3rd Quartile Price 0.0 11.9 * *
4th Quartile Price 0.0 16.6 * *
Avg. Price Top 5 Trades 0.0 11.3 * *
Standard Deviation 0.0 3.6 * *
VOLUME OF TRADES (000'S) 0.0 109,454.1 * *
Customer Buy 0.0 * 0.0 *
Customer Sell 0.0 * * 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 *
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 109,454.1 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 6 * *
Customer Buy 0 * 0 *
Customer Sell 0 * * 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 *
<= $10MM 0 0 0 0
<= $100MM 0 6 * 0
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 13.7 12.9 10.6
Weighted Avg. Price 0.0 11.2 10.7 14.5
Avg. Price Bottom 5 Trades 0.0 9.3 12.9 9.0
2nd Quartile Price 0.0 13.0 * 8.7
3rd Quartile Price 0.0 16.4 * 9.5
4th Quartile Price 0.0 16.4 * 18.8
Avg. Price Top 5 Trades 0.0 15.1 12.9 11.0
Standard Deviation 0.0 4.2 1.9 4.0
VOLUME OF TRADES (000'S) 0.0 49,456.5 15,857.2 44,483.9
Customer Buy 0.0 29,651.8 * *
Customer Sell 0.0 * * *
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 1,025.8 * 0.0
<= $10MM 0.0 48,430.7 * 19,127.5
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 13 6 6
Customer Buy 0 10 * *
Customer Sell 0 * * *
Dealer to Dealer 0 0 0 *
<= $1MM 0 6 * 0
<= $10MM 0 7 * 5
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE * * 0.0 *
Weighted Avg. Price * * 0.0 *
Avg. Price Bottom 5 Trades * * 0.0 *
2nd Quartile Price * * 0.0 *
3rd Quartile Price * * 0.0 *
4th Quartile Price * * 0.0 *
Avg. Price Top 5 Trades * * 0.0 *
Standard Deviation * * 0.0 *
VOLUME OF TRADES (000'S) * * 0.0 *
Customer Buy * 0.0 0.0 *
Customer Sell 0.0 * 0.0 *
Dealer to Dealer 0.0 * 0.0 *
<= $1MM * * 0.0 0.0
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * * 0 *
Customer Buy * 0 0 *
Customer Sell 0 * 0 *
Dealer to Dealer 0 * 0 *
<= $1MM * * 0 0
<= $10MM 0 0 0 0
<= $100MM 0 0 0 *
> $100MM 0 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.