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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 97.9 82.1 * 93.3
Weighted Avg. Price 98.6 87.0 * 95.1
Avg. Price Bottom 5 Trades 96.4 69.6 * 61.0
2nd Quartile Price 97.1 77.0 * 96.3
3rd Quartile Price 98.1 82.2 * 98.1
4th Quartile Price 99.1 88.0 * 99.0
Avg. Price Top 5 Trades 99.7 96.2 * 101.3
Standard Deviation 1.4 8.9 * 11.5
VOLUME OF TRADES (000'S) 81.0 1,009.1 * 167,394.9
Customer Buy 25.7 350.9 * 116,379.5
Customer Sell 14.7 65.1 - *
Dealer to Dealer 40.7 593.0 - 50,749.6
<= $1MM 81.0 1,009.1 * 11,170.8
<= $10MM - - - 60,963.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 22 35 * 73
Customer Buy 5 11 * 36
Customer Sell 7 7 - *
Dealer to Dealer 10 17 - 33
<= $1MM 22 35 * 52
<= $10MM - - - 18
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.0 89.8 92.9 93.5
Weighted Avg. Price 101.3 92.5 96.1 98.8
Avg. Price Bottom 5 Trades 93.1 80.2 92.2 71.3
2nd Quartile Price 96.0 85.4 91.0 93.7
3rd Quartile Price 97.8 90.5 92.5 98.6
4th Quartile Price 99.5 95.3 96.3 99.8
Avg. Price Top 5 Trades 101.6 98.4 94.1 101.3
Standard Deviation 3.8 6.2 3.2 11.3
VOLUME OF TRADES (000'S) 522.5 2,230.5 2,732.3 296,206.4
Customer Buy 150.8 1,068.2 * 130,280.8
Customer Sell 40.4 369.5 * 101,411.2
Dealer to Dealer 331.3 792.8 * 64,514.4
<= $1MM 522.5 2,230.5 168.8 4,864.9
<= $10MM - - * 66,544.9
<= $100MM - - - 224,796.6
> $100MM - - - -
NUMBER OF TRADES 32 43 8 50
Customer Buy 7 13 * 22
Customer Sell 9 9 * 8
Dealer to Dealer 16 21 * 20
<= $1MM 32 43 6 23
<= $10MM - - * 20
<= $100MM - - - 7
> $100MM - - - -
GNMA
AVERAGE PRICE 98.7 87.5 79.0 93.1
Weighted Avg. Price 101.7 91.3 78.3 98.8
Avg. Price Bottom 5 Trades 95.7 68.0 77.6 41.2
2nd Quartile Price 97.9 79.3 76.3 96.0
3rd Quartile Price 98.8 91.0 80.8 98.8
4th Quartile Price 100.0 96.0 83.3 100.0
Avg. Price Top 5 Trades 101.3 101.0 80.4 100.8
Standard Deviation 2.0 9.9 3.2 13.7
VOLUME OF TRADES (000'S) 851.6 1,727.2 22.4 821,623.8
Customer Buy 753.9 534.8 * 690,558.7
Customer Sell 36.6 84.8 * 68,434.4
Dealer to Dealer 61.1 1,107.6 * 62,630.7
<= $1MM 851.6 1,727.2 22.4 10,195.1
<= $10MM - - - 76,616.5
<= $100MM - - - 430,073.4
> $100MM - - - *
NUMBER OF TRADES 33 72 7 247
Customer Buy 9 18 * 157
Customer Sell 10 14 * 35
Dealer to Dealer 14 40 * 55
<= $1MM 33 72 7 202
<= $10MM - - - 27
<= $100MM - - - 16
> $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 * - 4.6 -
Weighted Avg. Price * - 4.6 -
Avg. Price Bottom 5 Trades * - 4.6 -
2nd Quartile Price * - * -
3rd Quartile Price * - * -
4th Quartile Price * - * -
Avg. Price Top 5 Trades * - 4.6 -
Standard Deviation * - 0.1 -
VOLUME OF TRADES (000'S) * - 5,629.9 -
Customer Buy - - - -
Customer Sell - - 1,876.6 -
Dealer to Dealer * - * -
<= $1MM * - 1,876.6 -
<= $10MM - - * -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES * - 10 -
Customer Buy - - - -
Customer Sell - - 8 -
Dealer to Dealer * - * -
<= $1MM * - 8 -
<= $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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