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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 97.0 90.6 72.5 85.7
Weighted Avg. Price 102.8 95.3 65.2 95.4
Avg. Price Bottom 5 Trades 92.0 74.9 72.5 48.4
2nd Quartile Price 95.2 83.2 * 76.1
3rd Quartile Price 97.0 95.0 * 99.0
4th Quartile Price 100.1 98.0 * 99.9
Avg. Price Top 5 Trades 101.8 102.2 72.5 100.6
Standard Deviation 3.6 10.3 13.7 19.8
VOLUME OF TRADES (000'S) 11,490.7 10,981.0 2,178.1 258,629.4
Customer Buy * 6,704.1 * 145,526.4
Customer Sell 35.8 2,191.8 * 29,097.5
Dealer to Dealer 5,747.3 2,085.0 * 84,005.5
<= $1MM 92.2 2,976.8 * 6,801.1
<= $10MM * * * 81,751.1
<= $100MM - - - 170,077.3
> $100MM - - - -
NUMBER OF TRADES 31 41 5 65
Customer Buy * 8 * 33
Customer Sell 12 16 * 15
Dealer to Dealer 15 17 * 17
<= $1MM 29 38 * 37
<= $10MM * * * 18
<= $100MM - - - 10
> $100MM - - - -
FHLMC
AVERAGE PRICE 98.7 84.3 * 84.8
Weighted Avg. Price 103.0 95.2 * 95.7
Avg. Price Bottom 5 Trades 92.9 76.2 * 53.5
2nd Quartile Price 98.0 82.0 * 67.5
3rd Quartile Price 99.2 85.8 * 99.5
4th Quartile Price 99.8 94.9 * 99.8
Avg. Price Top 5 Trades 103.0 96.2 * 100.5
Standard Deviation 3.4 10.6 * 20.1
VOLUME OF TRADES (000'S) 9,268.5 528.5 * 174,288.2
Customer Buy 9,123.1 * - 92,738.9
Customer Sell 62.0 440.9 * 57,547.4
Dealer to Dealer 83.4 56.4 - 24,001.9
<= $1MM 176.9 528.5 - 3,527.8
<= $10MM 9,091.6 - * 33,804.8
<= $100MM - - - 136,955.6
> $100MM - - - -
NUMBER OF TRADES 38 21 * 29
Customer Buy 13 * - 10
Customer Sell 13 11 * 8
Dealer to Dealer 12 6 - 11
<= $1MM 33 21 - 10
<= $10MM 5 - * 13
<= $100MM - - - 6
> $100MM - - - -
GNMA
AVERAGE PRICE 98.1 87.6 80.5 90.0
Weighted Avg. Price 98.9 98.1 91.6 99.1
Avg. Price Bottom 5 Trades 92.8 71.2 75.1 42.5
2nd Quartile Price 97.1 82.0 75.0 90.3
3rd Quartile Price 98.6 88.0 80.4 97.8
4th Quartile Price 99.3 97.3 83.6 99.6
Avg. Price Top 5 Trades 101.0 99.5 88.3 106.6
Standard Deviation 2.1 9.4 7.1 17.1
VOLUME OF TRADES (000'S) 874.3 3,643.2 667.0 458,411.1
Customer Buy 87.6 370.1 * 214,927.2
Customer Sell 323.7 3,060.1 570.3 125,941.2
Dealer to Dealer 462.9 213.0 82.7 117,542.7
<= $1MM 874.3 700.1 667.0 12,480.8
<= $10MM - * - 41,279.7
<= $100MM - - - 404,650.6
> $100MM - - - -
NUMBER OF TRADES 71 43 17 205
Customer Buy 12 10 * 113
Customer Sell 37 13 8 28
Dealer to Dealer 22 20 8 64
<= $1MM 71 42 17 176
<= $10MM - * - 10
<= $100MM - - - 19
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - * * 16.4
Weighted Avg. Price - * * 17.8
Avg. Price Bottom 5 Trades - * * 16.4
2nd Quartile Price - * * *
3rd Quartile Price - * * *
4th Quartile Price - * * *
Avg. Price Top 5 Trades - * * 16.4
Standard Deviation - * * 5.9
VOLUME OF TRADES (000'S) - * * 42,190.0
Customer Buy - * * *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * - -
<= $10MM - * * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * * 5
Customer Buy - * * *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * - -
<= $10MM - * * *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - * - 9.7
Weighted Avg. Price - * - 7.8
Avg. Price Bottom 5 Trades - * - 8.1
2nd Quartile Price - * - 6.1
3rd Quartile Price - * - 12.5
4th Quartile Price - * - 18.1
Avg. Price Top 5 Trades - * - 10.5
Standard Deviation - * - 4.9
VOLUME OF TRADES (000'S) - * - 227,954.9
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - * - *
> $100MM - - - *
NUMBER OF TRADES - * - 6
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - * - *
> $100MM - - - *
GNMA
AVERAGE PRICE - * - 16.0
Weighted Avg. Price - * - 17.6
Avg. Price Bottom 5 Trades - * - 12.1
2nd Quartile Price - * - 12.5
3rd Quartile Price - * - 13.3
4th Quartile Price - * - 22.4
Avg. Price Top 5 Trades - * - 23.8
Standard Deviation - * - 5.9
VOLUME OF TRADES (000'S) - * - 120,754.7
Customer Buy - - - 84,005.1
Customer Sell - * - 19,506.2
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - * - 38,162.1
<= $100MM - - - 81,452.7
> $100MM - - - -
NUMBER OF TRADES - * - 16
Customer Buy - - - 8
Customer Sell - * - 6
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - * - 8
<= $100MM - - - 5
> $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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