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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 96.8 83.7 * 94.6
Weighted Avg. Price 101.9 99.0 * 99.0
Avg. Price Bottom 5 Trades 91.4 74.6 * 70.7
2nd Quartile Price 92.5 75.2 * 94.5
3rd Quartile Price 98.0 79.8 * 97.3
4th Quartile Price 99.1 99.1 * 99.9
Avg. Price Top 5 Trades 102.1 96.5 * 101.3
Standard Deviation 4.5 11.4 * 9.0
VOLUME OF TRADES (000'S) 1,331.1 50,722.1 * 499,016.2
Customer Buy 1,191.7 * * 267,247.9
Customer Sell 6.5 * * 168,324.1
Dealer to Dealer 132.9 48,580.5 * 63,444.2
<= $1MM 1,331.1 340.1 * 2,793.3
<= $10MM - * - 41,481.8
<= $100MM - * - 454,741.1
> $100MM - - - -
NUMBER OF TRADES 36 15 * 67
Customer Buy 16 * * 38
Customer Sell 8 * * 12
Dealer to Dealer 12 11 * 17
<= $1MM 36 12 * 48
<= $10MM - * - 11
<= $100MM - * - 8
> $100MM - - - -
FHLMC
AVERAGE PRICE 94.5 83.2 * 85.5
Weighted Avg. Price 98.4 96.9 * 96.6
Avg. Price Bottom 5 Trades 88.7 68.1 * 46.0
2nd Quartile Price 93.5 79.5 * 78.7
3rd Quartile Price 98.9 83.0 * 94.9
4th Quartile Price 99.1 90.8 * 99.8
Avg. Price Top 5 Trades 99.3 97.6 * 100.3
Standard Deviation 6.4 11.3 * 19.5
VOLUME OF TRADES (000'S) 20.7 2,226.6 * 200,754.9
Customer Buy * 279.1 * 181,077.8
Customer Sell 3.0 * - *
Dealer to Dealer 9.0 212.6 - 19,575.8
<= $1MM 20.7 571.2 * 3,043.3
<= $10MM - * - 65,668.3
<= $100MM - - * 132,043.4
> $100MM - - - -
NUMBER OF TRADES 18 29 * 36
Customer Buy * 15 * 25
Customer Sell 7 * - *
Dealer to Dealer 7 10 - 9
<= $1MM 18 28 * 20
<= $10MM - * - 11
<= $100MM - - * 5
> $100MM - - - -
GNMA
AVERAGE PRICE 99.4 89.6 83.0 94.2
Weighted Avg. Price 100.1 98.7 94.2 99.4
Avg. Price Bottom 5 Trades 97.3 69.5 76.5 45.3
2nd Quartile Price 98.5 84.0 76.0 96.5
3rd Quartile Price 99.8 95.8 82.4 98.8
4th Quartile Price 100.8 99.3 88.5 99.3
Avg. Price Top 5 Trades 100.9 99.8 92.1 114.3
Standard Deviation 1.6 11.9 10.0 14.3
VOLUME OF TRADES (000'S) 182.0 3,228.8 11,974.0 490,547.0
Customer Buy 86.9 1,499.3 * 242,155.4
Customer Sell * 91.9 20.0 118,964.4
Dealer to Dealer 84.8 1,637.5 * 129,427.3
<= $1MM 182.0 1,132.2 446.2 18,089.4
<= $10MM - * - 79,708.1
<= $100MM - - * 392,749.5
> $100MM - - - -
NUMBER OF TRADES 29 27 12 242
Customer Buy 14 8 * 151
Customer Sell * 6 5 34
Dealer to Dealer 12 13 * 57
<= $1MM 29 25 11 209
<= $10MM - * - 20
<= $100MM - - * 13
> $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 - - - 15.0
Weighted Avg. Price - - - 12.5
Avg. Price Bottom 5 Trades - - - 9.2
2nd Quartile Price - - - 13.4
3rd Quartile Price - - - 17.8
4th Quartile Price - - - 19.1
Avg. Price Top 5 Trades - - - 19.5
Standard Deviation - - - 4.3
VOLUME OF TRADES (000'S) - - - 358,938.0
Customer Buy - - - 220,392.1
Customer Sell - - - 122,267.6
Dealer to Dealer - - - 16,278.3
<= $1MM - - - -
<= $10MM - - - 28,269.7
<= $100MM - - - 330,668.2
> $100MM - - - -
NUMBER OF TRADES - - - 19
Customer Buy - - - 7
Customer Sell - - - 6
Dealer to Dealer - - - 6
<= $1MM - - - -
<= $10MM - - - 9
<= $100MM - - - 10
> $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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