As of
Download

FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS/CDO Daily CMBS Weekly CMBS
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 98.6 93.6 95.4 80.4
Weighted Avg. Price 99.8 96.1 97.8 66.6
Avg. Price Bottom 5 Trades 91.5 65.2 94.6 48.5
2nd Quartile Price 98.8 95.6 93.5 68.0
3rd Quartile Price 99.0 98.8 96.9 87.4
4th Quartile Price 100.4 98.9 98.1 97.0
Avg. Price Top 5 Trades 100.6 100.1 96.3 98.9
Standard Deviation 3.5 10.1 2.3 18.6
VOLUME OF TRADES (000'S) 41,593.6 80,283.4 19,389.3 194,364.2
Customer Buy 511.5 6,940.4 * 89,026.7
Customer Sell 40,987.0 65,133.0 * 65,077.7
Dealer to Dealer 95.2 8,210.0 * 40,259.8
<= $1MM 20,003.5 17,115.1 1,167.8 3,404.4
<= $10MM 21,590.1 42,122.5 * 14,567.9
<= $100MM 0.0 * 0.0 176,391.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 97 87 8 47
Customer Buy 16 12 * 24
Customer Sell 65 59 * 7
Dealer to Dealer 16 16 * 16
<= $1MM 84 70 6 34
<= $10MM 13 16 * 5
<= $100MM 0 * 0 8
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 98.6 92.2 89.5 82.9
Weighted Avg. Price 99.7 95.5 87.1 86.8
Avg. Price Bottom 5 Trades 86.1 69.4 79.8 40.9
2nd Quartile Price 99.0 85.0 87.8 72.1
3rd Quartile Price 99.1 98.0 91.1 97.3
4th Quartile Price 100.6 99.1 98.3 99.5
Avg. Price Top 5 Trades 100.8 100.3 95.0 100.1
Standard Deviation 3.4 10.0 9.1 21.5
VOLUME OF TRADES (000'S) 92,014.9 41,884.1 29,054.2 131,595.4
Customer Buy 125.6 1,862.3 * 111,649.7
Customer Sell 91,803.2 34,667.8 1,921.1 17,166.1
Dealer to Dealer 86.1 5,354.0 682.4 2,779.7
<= $1MM 37,583.4 17,207.5 1,363.9 9,703.0
<= $10MM 54,431.5 24,676.6 * *
<= $100MM 0.0 0.0 * 100,789.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 188 87 15 57
Customer Buy 10 10 * 31
Customer Sell 160 56 6 12
Dealer to Dealer 18 21 5 14
<= $1MM 161 76 11 47
<= $10MM 27 11 * *
<= $100MM 0 0 * 6
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 94.5 79.0 83.0 78.1
Weighted Avg. Price 97.0 89.6 97.9 90.6
Avg. Price Bottom 5 Trades 87.2 61.0 67.2 40.5
2nd Quartile Price 91.8 70.5 63.0 57.6
3rd Quartile Price 95.0 77.6 95.0 85.0
4th Quartile Price 98.0 87.0 98.4 98.0
Avg. Price Top 5 Trades 99.0 98.2 97.7 100.4
Standard Deviation 4.4 11.4 16.6 20.0
VOLUME OF TRADES (000'S) 195.2 8,282.6 4,739.4 205,269.9
Customer Buy 45.1 4,667.6 4,432.4 93,397.9
Customer Sell 54.7 1,767.4 * 29,006.1
Dealer to Dealer 95.5 1,847.6 232.2 82,865.9
<= $1MM 195.2 4,126.0 394.5 15,554.7
<= $10MM 0.0 * * 75,785.1
<= $100MM 0.0 0.0 0.0 113,930.1
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 48 77 18 105
Customer Buy 11 10 6 45
Customer Sell 15 29 * 19
Dealer to Dealer 22 38 8 41
<= $1MM 48 75 15 81
<= $10MM 0 * * 17
<= $100MM 0 0 0 7
> $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 7.6 16.4 18.6
Weighted Avg. Price 0.0 14.2 18.2 16.1
Avg. Price Bottom 5 Trades 0.0 7.6 16.4 11.9
2nd Quartile Price 0.0 * * 16.2
3rd Quartile Price 0.0 * * 17.5
4th Quartile Price 0.0 * * 19.1
Avg. Price Top 5 Trades 0.0 7.6 16.4 23.1
Standard Deviation 0.0 6.8 1.9 11.8
VOLUME OF TRADES (000'S) 0.0 5,267.2 1,844.1 379,372.6
Customer Buy 0.0 * * 244,808.3
Customer Sell 0.0 * * 103,817.5
Dealer to Dealer 0.0 * * 30,746.8
<= $1MM 0.0 1,273.9 1,844.1 4,851.9
<= $10MM 0.0 * 0.0 48,228.8
<= $100MM 0.0 0.0 0.0 326,291.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 7 6 30
Customer Buy 0 * * 10
Customer Sell 0 * * 15
Dealer to Dealer 0 * * 5
<= $1MM 0 5 6 8
<= $10MM 0 * 0 11
<= $100MM 0 0 0 11
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 13.4 * 15.5
Weighted Avg. Price 0.0 15.3 * 15.2
Avg. Price Bottom 5 Trades 0.0 13.4 * 12.6
2nd Quartile Price 0.0 * * 13.9
3rd Quartile Price 0.0 * * 16.2
4th Quartile Price 0.0 * * 17.5
Avg. Price Top 5 Trades 0.0 13.4 * 17.6
Standard Deviation 0.0 5.2 * 3.3
VOLUME OF TRADES (000'S) 0.0 13,699.7 * 276,896.2
Customer Buy 0.0 * 0.0 193,097.2
Customer Sell 0.0 6,700.5 * 57,747.7
Dealer to Dealer 0.0 6,661.2 * 26,051.3
<= $1MM 0.0 5,866.6 0.0 *
<= $10MM 0.0 7,833.1 * 44,000.8
<= $100MM 0.0 0.0 0.0 232,731.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 21 * 19
Customer Buy 0 * 0 6
Customer Sell 0 10 * 8
Dealer to Dealer 0 9 * 5
<= $1MM 0 15 0 *
<= $10MM 0 6 * 10
<= $100MM 0 0 0 8
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 3.8 * 9.2 11.3
Weighted Avg. Price 3.8 * 4.4 5.1
Avg. Price Bottom 5 Trades 3.8 * 6.3 2.3
2nd Quartile Price * * 4.0 10.8
3rd Quartile Price * * 14.4 13.1
4th Quartile Price * * 16.0 14.3
Avg. Price Top 5 Trades 3.8 * 12.1 17.2
Standard Deviation 0.3 * 6.5 4.9
VOLUME OF TRADES (000'S) 98.8 * 1,412.5 816,633.0
Customer Buy * * * 420,852.4
Customer Sell * 0.0 * 390,622.4
Dealer to Dealer 0.0 0.0 * 5,158.2
<= $1MM 98.8 0.0 1,412.5 8,080.4
<= $10MM 0.0 * 0.0 24,206.7
<= $100MM 0.0 0.0 0.0 635,181.6
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 6 * 10 42
Customer Buy * * * 15
Customer Sell * 0 * 20
Dealer to Dealer 0 0 * 7
<= $1MM 6 0 10 19
<= $10MM 0 * 0 10
<= $100MM 0 0 0 12
> $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.