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 106.2 103.2 98.2 99.0
Weighted Avg. Price 108.9 104.7 102.3 103.1
Avg. Price Bottom 5 Trades 98.9 96.9 96.8 88.2
2nd Quartile Price 103.1 99.1 97.0 98.9
3rd Quartile Price 106.5 102.3 98.0 100.0
4th Quartile Price 110.0 107.1 98.6 101.2
Avg. Price Top 5 Trades 112.5 113.2 101.2 106.3
Standard Deviation 4.6 5.4 1.7 6.5
VOLUME OF TRADES (000'S) 3,355.0 27,920.2 2,466.6 312,671.4
Customer Buy 1,010.4 17,382.1 * 65,455.1
Customer Sell 1,542.6 567.5 37.0 *
Dealer to Dealer 801.9 9,970.6 2,161.1 97,359.1
<= $1MM 3,355.0 2,914.8 629.0 6,999.1
<= $10MM 0.0 * * 67,075.2
<= $100MM 0.0 * 0.0 99,589.7
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 61 36 38 54
Customer Buy 17 12 * 27
Customer Sell 28 8 15 *
Dealer to Dealer 16 16 21 23
<= $1MM 61 34 37 30
<= $10MM 0 * * 17
<= $100MM 0 * 0 6
> $100MM 0 0 0 *
FHLMC
AVERAGE PRICE 107.2 104.4 102.0 100.8
Weighted Avg. Price 111.5 102.7 101.8 100.9
Avg. Price Bottom 5 Trades 99.2 99.5 99.8 96.3
2nd Quartile Price 105.7 101.0 100.0 100.0
3rd Quartile Price 107.2 102.1 101.8 100.0
4th Quartile Price 110.9 110.8 106.8 101.1
Avg. Price Top 5 Trades 113.4 112.6 104.2 107.1
Standard Deviation 4.2 5.2 3.2 3.3
VOLUME OF TRADES (000'S) 6,184.7 3,941.8 36,430.2 135,331.9
Customer Buy 1,883.6 1,516.4 * 64,836.6
Customer Sell 2,042.0 587.0 * *
Dealer to Dealer 2,259.1 1,838.4 * 48,982.5
<= $1MM 6,184.7 1,676.4 1,198.9 3,482.3
<= $10MM 0.0 * 0.0 11,952.0
<= $100MM 0.0 0.0 * 119,897.6
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 80 29 10 33
Customer Buy 13 7 * 19
Customer Sell 42 10 * *
Dealer to Dealer 25 12 * 10
<= $1MM 80 27 9 21
<= $10MM 0 * 0 5
<= $100MM 0 0 * 7
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 107.9 103.9 99.3 98.1
Weighted Avg. Price 107.3 109.8 98.3 98.1
Avg. Price Bottom 5 Trades 99.9 97.6 97.9 87.8
2nd Quartile Price 106.8 100.3 99.5 97.5
3rd Quartile Price 108.3 103.1 99.5 98.1
4th Quartile Price 109.6 104.7 99.5 99.4
Avg. Price Top 5 Trades 112.0 123.0 99.5 101.5
Standard Deviation 3.2 6.0 0.6 3.1
VOLUME OF TRADES (000'S) 737.8 2,991.0 5,907.7 26,750.4
Customer Buy 99.9 633.6 * 15,712.1
Customer Sell 430.2 640.8 82.1 72.1
Dealer to Dealer 207.6 1,716.6 2,984.7 10,966.1
<= $1MM 737.8 2,991.0 244.5 10,970.1
<= $10MM 0.0 0.0 * 15,780.2
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 77 102 39 139
Customer Buy 11 9 * 82
Customer Sell 33 41 17 5
Dealer to Dealer 33 52 20 52
<= $1MM 77 102 37 133
<= $10MM 0 0 * 6
<= $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 28.7 6.4 0.0 12.4
Weighted Avg. Price 17.7 5.1 0.0 12.5
Avg. Price Bottom 5 Trades 6.2 2.9 0.0 10.6
2nd Quartile Price 9.5 3.2 0.0 11.8
3rd Quartile Price 16.9 8.5 0.0 14.1
4th Quartile Price 82.0 11.6 0.0 14.6
Avg. Price Top 5 Trades 49.7 8.5 0.0 14.2
Standard Deviation 33.8 4.1 0.0 2.6
VOLUME OF TRADES (000'S) 6,755.0 567.7 0.0 143,361.7
Customer Buy 0.0 * 0.0 125,461.4
Customer Sell 6,462.4 * 0.0 *
Dealer to Dealer 292.6 * 0.0 *
<= $1MM 440.0 567.7 0.0 *
<= $10MM * 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 15 11 0 9
Customer Buy 0 * 0 7
Customer Sell 9 * 0 *
Dealer to Dealer 6 * 0 *
<= $1MM 14 11 0 *
<= $10MM * 0 0 *
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 0.0 5.3
Weighted Avg. Price 0.0 * 0.0 8.9
Avg. Price Bottom 5 Trades 0.0 * 0.0 3.5
2nd Quartile Price 0.0 * 0.0 0.3
3rd Quartile Price 0.0 * 0.0 9.3
4th Quartile Price 0.0 * 0.0 15.9
Avg. Price Top 5 Trades 0.0 * 0.0 7.4
Standard Deviation 0.0 * 0.0 6.7
VOLUME OF TRADES (000'S) 0.0 * 0.0 81,943.5
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 0.0 *
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * 0 7
Customer Buy 0 * 0 *
Customer Sell 0 0 0 *
Dealer to Dealer 0 0 0 *
<= $1MM 0 * 0 *
<= $10MM 0 0 0 *
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE * * * *
Weighted Avg. Price * * * *
Avg. Price Bottom 5 Trades * * * *
2nd Quartile Price * * * *
3rd Quartile Price * * * *
4th Quartile Price * * * *
Avg. Price Top 5 Trades * * * *
Standard Deviation * * * *
VOLUME OF TRADES (000'S) * * * *
Customer Buy * * * *
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 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * * * *
Customer Buy * * * *
Customer Sell 0 0 0 *
Dealer to Dealer 0 0 * 0
<= $1MM 0 * * 0
<= $10MM * 0 * 0
<= $100MM 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.