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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 94.8 87.3 95.9 84.9
Weighted Avg. Price 95.1 95.9 95.6 98.1
Avg. Price Bottom 5 Trades 92.3 48.0 91.0 50.0
2nd Quartile Price 92.0 84.4 96.4 75.0
3rd Quartile Price 97.3 95.1 99.3 91.5
4th Quartile Price 99.1 98.1 99.5 99.8
Avg. Price Top 5 Trades 97.3 99.1 99.5 101.1
Standard Deviation 3.8 17.0 5.4 17.7
VOLUME OF TRADES (000'S) 7.4 24,687.3 30,566.5 426,653.0
Customer Buy * 19,079.7 * 267,836.8
Customer Sell 4.4 1,330.1 20,986.9 139,101.0
Dealer to Dealer * 4,277.5 * 19,715.2
<= $1MM 7.4 5,188.3 2,019.5 8,525.2
<= $10MM - * 28,547.0 71,689.7
<= $100MM - * - 346,438.0
> $100MM - - - -
NUMBER OF TRADES 10 57 12 76
Customer Buy * 28 * 34
Customer Sell 6 16 6 21
Dealer to Dealer * 13 * 21
<= $1MM 10 54 6 43
<= $10MM - * 6 23
<= $100MM - * - 10
> $100MM - - - -
FHLMC
AVERAGE PRICE 99.0 90.5 86.4 90.9
Weighted Avg. Price 102.4 98.8 91.3 99.7
Avg. Price Bottom 5 Trades 98.4 77.4 82.9 50.4
2nd Quartile Price 99.4 82.0 84.0 89.0
3rd Quartile Price 99.4 97.6 92.0 98.7
4th Quartile Price 103.3 98.9 94.7 100.1
Avg. Price Top 5 Trades 100.1 99.0 93.8 101.1
Standard Deviation 4.1 9.7 11.4 15.1
VOLUME OF TRADES (000'S) 231.8 15,752.8 40,061.7 736,929.7
Customer Buy * 12,631.6 * 398,615.4
Customer Sell * 32.2 33,340.5 246,210.2
Dealer to Dealer * 3,089.0 - 92,104.0
<= $1MM 231.8 548.1 483.3 6,292.3
<= $10MM - * * 95,895.0
<= $100MM - - * 488,174.5
> $100MM - - - *
NUMBER OF TRADES 9 22 8 73
Customer Buy * 11 * 38
Customer Sell * 5 5 20
Dealer to Dealer * 6 - 15
<= $1MM 9 18 5 34
<= $10MM - * * 21
<= $100MM - - * 17
> $100MM - - - *
GNMA
AVERAGE PRICE 94.9 88.5 * 91.5
Weighted Avg. Price 94.6 98.0 * 97.4
Avg. Price Bottom 5 Trades 94.6 75.3 * 35.8
2nd Quartile Price 94.4 81.0 * 92.6
3rd Quartile Price 95.0 90.0 * 99.0
4th Quartile Price 97.4 97.3 * 99.8
Avg. Price Top 5 Trades 95.5 101.1 * 101.4
Standard Deviation 2.0 9.2 * 16.4
VOLUME OF TRADES (000'S) 12.2 3,992.0 * 1,298,466.7
Customer Buy * 1,804.4 * 443,088.8
Customer Sell * 1,319.3 - 164,428.7
Dealer to Dealer 6.1 868.3 * 690,949.2
<= $1MM 12.2 3,992.0 * 13,766.9
<= $10MM - - * 132,455.5
<= $100MM - - - 932,681.3
> $100MM - - - *
NUMBER OF TRADES 11 35 * 238
Customer Buy * 15 * 128
Customer Sell * 7 - 42
Dealer to Dealer 5 13 * 68
<= $1MM 11 35 * 172
<= $10MM - - * 31
<= $100MM - - - 33
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * * 3.1
Weighted Avg. Price * * * 0.3
Avg. Price Bottom 5 Trades * * * 3.1
2nd Quartile Price * * * *
3rd Quartile Price * * * *
4th Quartile Price * * * *
Avg. Price Top 5 Trades * * * 3.1
Standard Deviation * * * 3.2
VOLUME OF TRADES (000'S) * * * 199,099.4
Customer Buy - * - *
Customer Sell * - * *
Dealer to Dealer - - * *
<= $1MM * * - *
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * * 8
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 - * 11.7 16.7
Weighted Avg. Price - * 11.7 3.6
Avg. Price Bottom 5 Trades - * 11.7 3.1
2nd Quartile Price - * * 4.0
3rd Quartile Price - * * 11.4
4th Quartile Price - * * 14.1
Avg. Price Top 5 Trades - * 11.7 46.6
Standard Deviation - * 0.1 24.4
VOLUME OF TRADES (000'S) - * 1,516.2 493,828.2
Customer Buy - - - 421,586.8
Customer Sell - * * 67,980.6
Dealer to Dealer - * * 4,260.7
<= $1MM - * 1,516.2 5,186.3
<= $10MM - - - 9,752.3
<= $100MM - - - 131,966.2
> $100MM - - - *
NUMBER OF TRADES - * 5 22
Customer Buy - - - 9
Customer Sell - * * 8
Dealer to Dealer - * * 5
<= $1MM - * 5 11
<= $10MM - - - 5
<= $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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