As of
Download

FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 89.9 88.6 * 91.3
Weighted Avg. Price 100.5 92.1 * 94.9
Avg. Price Bottom 5 Trades 74.9 81.6 * 49.4
2nd Quartile Price 92.0 85.0 * 90.6
3rd Quartile Price 97.5 87.4 * 98.8
4th Quartile Price 98.9 95.4 * 100.1
Avg. Price Top 5 Trades 99.8 96.7 * 101.6
Standard Deviation 21.3 5.8 * 15.5
VOLUME OF TRADES (000'S) 907.0 4,880.6 * 335,062.0
Customer Buy * 4,552.1 * 162,166.1
Customer Sell 660.2 205.0 * 38,740.7
Dealer to Dealer 108.9 123.4 * 134,155.1
<= $1MM 907.0 1,476.2 * 7,373.6
<= $10MM - * - 142,294.1
<= $100MM - - - 185,394.3
> $100MM - - - -
NUMBER OF TRADES 22 24 * 64
Customer Buy * 10 * 33
Customer Sell 10 5 * 6
Dealer to Dealer 9 9 * 25
<= $1MM 22 23 * 26
<= $10MM - * - 28
<= $100MM - - - 10
> $100MM - - - -
FHLMC
AVERAGE PRICE 92.9 87.1 70.5 93.5
Weighted Avg. Price 97.7 93.5 73.9 98.9
Avg. Price Bottom 5 Trades 77.6 59.5 67.0 64.4
2nd Quartile Price 95.0 85.0 63.6 92.7
3rd Quartile Price 96.5 94.0 77.5 98.3
4th Quartile Price 98.0 97.0 97.9 99.7
Avg. Price Top 5 Trades 99.2 98.0 77.7 100.6
Standard Deviation 12.3 17.3 19.6 11.3
VOLUME OF TRADES (000'S) 415.2 4,322.6 116.5 363,416.7
Customer Buy 347.2 1,119.1 * 140,007.3
Customer Sell 15.1 * * 156,475.7
Dealer to Dealer 52.9 3,089.3 * 66,933.7
<= $1MM 415.2 1,818.2 116.5 4,195.5
<= $10MM - * - 108,775.0
<= $100MM - - - 250,446.3
> $100MM - - - -
NUMBER OF TRADES 33 34 9 53
Customer Buy 11 13 * 32
Customer Sell 10 * * 7
Dealer to Dealer 12 17 * 14
<= $1MM 33 32 9 20
<= $10MM - * - 24
<= $100MM - - - 9
> $100MM - - - -
GNMA
AVERAGE PRICE 94.7 90.8 87.4 93.6
Weighted Avg. Price 98.3 99.4 89.9 97.5
Avg. Price Bottom 5 Trades 73.3 80.5 85.2 46.8
2nd Quartile Price 96.4 89.0 87.0 95.8
3rd Quartile Price 98.0 93.0 88.3 99.0
4th Quartile Price 99.5 94.9 88.5 100.0
Avg. Price Top 5 Trades 100.1 96.7 89.6 104.6
Standard Deviation 11.0 6.2 5.5 14.2
VOLUME OF TRADES (000'S) 629.1 7,761.9 16,570.1 558,014.7
Customer Buy 474.0 7,559.2 12,073.6 129,199.2
Customer Sell 63.7 66.4 * 239,165.1
Dealer to Dealer 91.3 136.3 4,491.3 189,650.5
<= $1MM 629.1 257.2 1,688.3 13,524.9
<= $10MM - * 14,881.8 103,856.6
<= $100MM - - - 297,595.7
> $100MM - - - *
NUMBER OF TRADES 45 33 14 197
Customer Buy 17 12 7 131
Customer Sell 12 6 * 17
Dealer to Dealer 16 15 6 49
<= $1MM 45 32 9 154
<= $10MM - * 5 30
<= $100MM - - - 12
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - 7.9 - 9.7
Weighted Avg. Price - 6.5 - 9.3
Avg. Price Bottom 5 Trades - 7.9 - 8.7
2nd Quartile Price - * - 9.6
3rd Quartile Price - * - 10.0
4th Quartile Price - * - 14.7
Avg. Price Top 5 Trades - 7.9 - 10.4
Standard Deviation - 5.1 - 2.9
VOLUME OF TRADES (000'S) - 2,514.1 - 207,484.0
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - * - -
<= $1MM - 2,514.1 - *
<= $10MM - - - -
<= $100MM - - - 207,098.5
> $100MM - - - -
NUMBER OF TRADES - 5 - 6
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - * - -
<= $1MM - 5 - *
<= $10MM - - - -
<= $100MM - - - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE - 2.4 * 6.2
Weighted Avg. Price - 2.7 * 6.7
Avg. Price Bottom 5 Trades - 2.4 * 5.7
2nd Quartile Price - * * 6.0
3rd Quartile Price - * * 6.4
4th Quartile Price - * * 7.4
Avg. Price Top 5 Trades - 2.4 * 6.9
Standard Deviation - 0.8 * 1.1
VOLUME OF TRADES (000'S) - 7,157.2 * 415,775.6
Customer Buy - - - 334,779.8
Customer Sell - * - *
Dealer to Dealer - * * *
<= $1MM - * * -
<= $10MM - * - *
<= $100MM - - - 285,679.0
> $100MM - - - *
NUMBER OF TRADES - 7 * 9
Customer Buy - - - 7
Customer Sell - * - *
Dealer to Dealer - * * *
<= $1MM - * * -
<= $10MM - * - *
<= $100MM - - - 7
> $100MM - - - *
GNMA
AVERAGE PRICE * * * 12.2
Weighted Avg. Price * * * 7.4
Avg. Price Bottom 5 Trades * * * 4.3
2nd Quartile Price * * * 5.7
3rd Quartile Price * * * 15.2
4th Quartile Price * * * 17.8
Avg. Price Top 5 Trades * * * 18.9
Standard Deviation * * * 6.6
VOLUME OF TRADES (000'S) * * * 747,986.3
Customer Buy * - - 453,890.7
Customer Sell * * * 294,095.6
Dealer to Dealer * - - -
<= $1MM * * * *
<= $10MM - - - *
<= $100MM - - * 471,666.7
> $100MM - - - *
NUMBER OF TRADES * * * 16
Customer Buy * - - 10
Customer Sell * * * 6
Dealer to Dealer * - - -
<= $1MM * * * *
<= $10MM - - - *
<= $100MM - - * 12
> $100MM - - - *
* 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 [email protected].
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.6.58.20241122   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.