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 102.1 104.6 103.6 103.6
Weighted Avg. Price 100.0 102.4 107.3 103.7
Avg. Price Bottom 5 Trades 97.6 100.4 98.0 97.3
2nd Quartile Price 100.0 102.4 104.2 100.5
3rd Quartile Price 100.7 105.0 104.5 104.6
4th Quartile Price 102.0 107.5 104.5 106.5
Avg. Price Top 5 Trades 111.6 108.6 108.0 109.4
Standard Deviation 4.3 2.9 2.7 4.3
VOLUME OF TRADES (000'S) 21,803.4 12,906.5 25,199.0 21,333.2
Customer Buy 4,208.5 4,787.6 10,946.8 8,809.6
Customer Sell 17,555.7 2,631.6 12,279.8 11,634.5
Dealer to Dealer 39.1 5,487.3 1,972.4 889.1
<= $1MM 1,531.2 5,573.0 5,519.0 6,692.2
<= $10MM * * * *
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 40 32 65 36
Customer Buy 13 7 47 9
Customer Sell 15 12 9 15
Dealer to Dealer 12 13 9 12
<= $1MM 36 30 61 32
<= $10MM * * * *
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 104.5 103.8 106.8 102.1
Weighted Avg. Price 109.5 109.4 107.2 109.9
Avg. Price Bottom 5 Trades 93.2 96.9 99.5 99.9
2nd Quartile Price 100.0 100.3 100.9 101.3
3rd Quartile Price 107.8 102.4 104.3 101.6
4th Quartile Price 110.5 107.6 119.0 102.0
Avg. Price Top 5 Trades 113.9 113.0 111.0 115.4
Standard Deviation 7.6 6.0 7.7 3.3
VOLUME OF TRADES (000'S) 1,032.1 66,550.6 114,220.0 58,111.5
Customer Buy 411.5 41,697.1 37,936.4 28,100.9
Customer Sell 509.9 24,741.4 9,187.7 27,279.5
Dealer to Dealer 110.8 112.0 67,095.9 2,731.1
<= $1MM 1,032.1 2,265.6 2,124.8 14,079.9
<= $10MM 0.0 * 45,732.0 10,999.1
<= $100MM 0.0 * * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 38 35 23 123
Customer Buy 9 13 10 81
Customer Sell 16 11 6 10
Dealer to Dealer 13 11 7 32
<= $1MM 38 28 14 116
<= $10MM 0 * 7 5
<= $100MM 0 * * *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 110.6 101.0 103.6 101.9
Weighted Avg. Price 105.0 101.1 108.2 104.2
Avg. Price Bottom 5 Trades 101.4 96.7 98.9 99.2
2nd Quartile Price 110.0 100.0 102.0 99.9
3rd Quartile Price 112.0 101.0 102.6 100.8
4th Quartile Price 114.2 103.0 103.4 103.7
Avg. Price Top 5 Trades 116.0 106.1 113.2 109.0
Standard Deviation 4.7 3.5 4.1 2.7
VOLUME OF TRADES (000'S) 2,398.5 479.3 21,431.6 32,586.9
Customer Buy 1,165.9 145.7 5,897.9 6,684.8
Customer Sell * 229.2 * 4,283.2
Dealer to Dealer 444.5 104.5 5,948.8 21,618.9
<= $1MM 2,398.5 479.3 3,335.5 6,287.9
<= $10MM 0.0 0.0 * 26,299.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 40 34 52 71
Customer Buy 16 12 37 41
Customer Sell * 8 * 7
Dealer to Dealer 22 14 12 23
<= $1MM 40 34 48 63
<= $10MM 0 0 * 8
<= $100MM 0 0 0 0
> $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 26.3 15.0 * 19.7
Weighted Avg. Price 21.0 19.3 * 14.3
Avg. Price Bottom 5 Trades 6.9 12.6 * 8.4
2nd Quartile Price 3.4 19.8 * 9.3
3rd Quartile Price 18.8 20.0 * 14.2
4th Quartile Price 95.0 21.9 * 20.9
Avg. Price Top 5 Trades 43.9 20.3 * 33.3
Standard Deviation 34.8 9.1 * 25.2
VOLUME OF TRADES (000'S) 157,344.7 23,472.9 * 346,598.8
Customer Buy 94,318.1 17,612.0 * 217,791.0
Customer Sell * * * *
Dealer to Dealer 0.0 * 0.0 0.0
<= $1MM * 1,032.6 0.0 *
<= $10MM * * 0.0 *
<= $100MM 126,053.3 * * 335,157.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 11 7 * 11
Customer Buy 8 5 * 8
Customer Sell * * * *
Dealer to Dealer 0 * 0 0
<= $1MM * 5 0 *
<= $10MM * * 0 *
<= $100MM 6 * * 8
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * 6.8 17.9 *
Weighted Avg. Price * 12.0 17.8 *
Avg. Price Bottom 5 Trades * 5.8 17.9 *
2nd Quartile Price * 1.6 * *
3rd Quartile Price * 11.8 * *
4th Quartile Price * 13.0 * *
Avg. Price Top 5 Trades * 8.9 17.9 *
Standard Deviation * 5.5 0.2 *
VOLUME OF TRADES (000'S) * 12,431.0 980.5 *
Customer Buy 0.0 * * *
Customer Sell * * 0.0 *
Dealer to Dealer * * * 0.0
<= $1MM * * 980.5 0.0
<= $10MM 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 * 7 5 *
Customer Buy 0 * * *
Customer Sell * * 0 *
Dealer to Dealer * * * 0
<= $1MM * * 5 0
<= $10MM 0 * 0 0
<= $100MM 0 0 0 *
> $100MM 0 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 0.0 *
Customer Sell 0.0 * 0.0 *
Dealer to Dealer 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 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * 0 *
Customer Buy 0 0 0 *
Customer Sell 0 * 0 *
Dealer to Dealer 0 * 0 0
<= $1MM 0 * 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 8.2.25.20240412   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.