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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 98.3 93.3 84.7 84.6
Weighted Avg. Price 100.7 96.7 96.1 88.0
Avg. Price Bottom 5 Trades 93.6 88.1 78.7 56.0
2nd Quartile Price 97.0 92.6 94.1 77.2
3rd Quartile Price 99.2 94.2 94.2 89.7
4th Quartile Price 100.0 98.8 99.9 99.6
Avg. Price Top 5 Trades 102.1 101.0 96.5 100.4
Standard Deviation 2.8 6.3 18.6 15.9
VOLUME OF TRADES (000'S) 2,745.6 7,812.5 14,104.7 145,400.0
Customer Buy 978.0 1,243.2 8,429.3 103,229.4
Customer Sell 208.5 2,649.9 * 14,766.8
Dealer to Dealer 1,559.1 3,919.4 * 27,403.7
<= $1MM 1,641.6 2,664.2 905.4 2,135.1
<= $10MM * * 13,199.3 42,084.6
<= $100MM - - - 101,180.3
> $100MM - - - -
NUMBER OF TRADES 38 34 10 32
Customer Buy 16 12 5 17
Customer Sell 13 7 * 7
Dealer to Dealer 9 15 * 8
<= $1MM 37 31 5 13
<= $10MM * * 5 13
<= $100MM - - - 6
> $100MM - - - -
FHLMC
AVERAGE PRICE 99.5 94.7 79.1 91.2
Weighted Avg. Price 102.5 98.1 78.2 93.0
Avg. Price Bottom 5 Trades 95.6 86.0 79.1 61.5
2nd Quartile Price 97.8 90.9 * 88.6
3rd Quartile Price 100.0 99.0 * 98.4
4th Quartile Price 101.6 99.4 * 100.0
Avg. Price Top 5 Trades 102.8 99.1 79.1 101.5
Standard Deviation 2.4 5.9 9.0 13.7
VOLUME OF TRADES (000'S) 18,720.8 3,257.0 47.4 212,580.4
Customer Buy 3,230.5 1,753.8 * 165,995.3
Customer Sell 15.1 1,367.0 - 36,666.3
Dealer to Dealer 15,475.2 136.2 * 9,918.8
<= $1MM 1,614.4 537.9 47.4 6,330.6
<= $10MM 17,106.4 * - 18,081.2
<= $100MM - - - 188,168.7
> $100MM - - - -
NUMBER OF TRADES 44 27 5 37
Customer Buy 14 9 * 18
Customer Sell 8 6 - 7
Dealer to Dealer 22 12 * 12
<= $1MM 34 25 5 23
<= $10MM 10 * - 7
<= $100MM - - - 7
> $100MM - - - -
GNMA
AVERAGE PRICE 97.8 87.8 * 86.5
Weighted Avg. Price 98.8 88.5 * 87.8
Avg. Price Bottom 5 Trades 93.4 74.9 * 44.0
2nd Quartile Price 97.1 85.8 * 80.0
3rd Quartile Price 98.5 88.4 * 97.8
4th Quartile Price 99.5 92.3 * 99.5
Avg. Price Top 5 Trades 100.1 96.6 * 100.6
Standard Deviation 2.9 7.1 * 18.7
VOLUME OF TRADES (000'S) 187.9 1,336.3 * 53,507.0
Customer Buy 62.6 216.8 * 43,371.5
Customer Sell 56.8 179.3 * 6,630.2
Dealer to Dealer 68.5 940.2 * 3,505.3
<= $1MM 187.9 1,336.3 * 8,819.4
<= $10MM - - - 25,271.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 37 37 * 99
Customer Buy 11 11 * 45
Customer Sell 15 7 * 22
Dealer to Dealer 11 19 * 32
<= $1MM 37 37 * 91
<= $10MM - - - 7
<= $100MM - - - *
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
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 - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES - - - -
Customer Buy - - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
FHLMC
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 - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - *
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
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 - * - -
Dealer to Dealer - - - -
<= $1MM - * - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * - *
Customer Buy - * - *
Customer Sell - * - -
Dealer to Dealer - - - -
<= $1MM - * - -
<= $10MM - - - -
<= $100MM - - - *
> $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 List or 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].
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