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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 95.7 83.6 * 90.9
Weighted Avg. Price 95.5 87.9 * 97.2
Avg. Price Bottom 5 Trades 91.0 64.6 * 51.1
2nd Quartile Price 92.0 79.1 * 92.5
3rd Quartile Price 97.3 84.8 * 98.1
4th Quartile Price 99.3 94.4 * 99.6
Avg. Price Top 5 Trades 100.1 96.1 * 101.9
Standard Deviation 3.8 11.1 * 15.3
VOLUME OF TRADES (000'S) 80.0 3,486.5 * 394,638.8
Customer Buy * 1,272.9 * 118,530.5
Customer Sell 23.4 1,648.0 * 138,123.4
Dealer to Dealer 51.9 565.6 - 137,984.8
<= $1MM 80.0 2,026.9 * 3,806.9
<= $10MM - * - 62,730.6
<= $100MM - - - 328,101.2
> $100MM - - - -
NUMBER OF TRADES 25 34 * 80
Customer Buy * 13 * 31
Customer Sell 9 8 * 20
Dealer to Dealer 12 13 - 29
<= $1MM 25 33 * 54
<= $10MM - * - 15
<= $100MM - - - 11
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.0 86.9 82.3 85.0
Weighted Avg. Price 98.8 92.6 92.3 96.3
Avg. Price Bottom 5 Trades 89.1 78.5 66.6 48.9
2nd Quartile Price 97.6 87.0 74.0 62.3
3rd Quartile Price 99.1 89.5 97.0 96.4
4th Quartile Price 100.0 96.0 99.3 99.5
Avg. Price Top 5 Trades 100.1 97.9 98.1 100.7
Standard Deviation 4.7 10.3 20.0 18.8
VOLUME OF TRADES (000'S) 150.9 521.3 6,251.7 300,647.0
Customer Buy 15.2 71.0 3,149.4 208,133.1
Customer Sell 56.2 306.8 * 72,756.2
Dealer to Dealer 79.5 143.6 * 19,757.7
<= $1MM 150.9 521.3 2,221.5 10,605.0
<= $10MM - - * 55,576.5
<= $100MM - - - 234,465.5
> $100MM - - - -
NUMBER OF TRADES 35 23 10 61
Customer Buy 7 7 7 29
Customer Sell 19 5 * 15
Dealer to Dealer 9 11 * 17
<= $1MM 35 23 8 39
<= $10MM - - * 14
<= $100MM - - - 8
> $100MM - - - -
GNMA
AVERAGE PRICE 98.2 84.9 84.1 93.4
Weighted Avg. Price 100.1 90.7 86.2 98.3
Avg. Price Bottom 5 Trades 88.3 73.7 82.8 49.0
2nd Quartile Price 98.0 81.1 82.0 96.5
3rd Quartile Price 99.0 85.8 86.9 98.7
4th Quartile Price 100.2 92.3 89.8 99.9
Avg. Price Top 5 Trades 101.7 96.3 85.9 101.4
Standard Deviation 3.4 8.2 4.8 13.6
VOLUME OF TRADES (000'S) 2,969.8 4,527.9 272.5 784,404.0
Customer Buy 478.3 * * 303,734.9
Customer Sell 1,005.5 2,164.6 * 390,864.0
Dealer to Dealer 1,486.0 285.8 144.8 89,805.1
<= $1MM 2,969.8 569.6 272.5 16,044.6
<= $10MM - * - 74,207.6
<= $100MM - - - 694,151.8
> $100MM - - - -
NUMBER OF TRADES 78 37 11 202
Customer Buy 15 * * 106
Customer Sell 27 15 * 34
Dealer to Dealer 36 18 6 62
<= $1MM 78 35 11 162
<= $10MM - * - 16
<= $100MM - - - 24
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * - 14.1
Weighted Avg. Price * * - 17.6
Avg. Price Bottom 5 Trades * * - 12.6
2nd Quartile Price * * - 12.7
3rd Quartile Price * * - 12.7
4th Quartile Price * * - 18.4
Avg. Price Top 5 Trades * * - 15.0
Standard Deviation * * - 2.7
VOLUME OF TRADES (000'S) * * - 39,104.8
Customer Buy * * - *
Customer Sell - - - 22,374.0
Dealer to Dealer - - - -
<= $1MM * - - *
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * - 8
Customer Buy * * - *
Customer Sell - - - 7
Dealer to Dealer - - - -
<= $1MM * - - *
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * - * 17.1
Weighted Avg. Price * - * 10.6
Avg. Price Bottom 5 Trades * - * 11.1
2nd Quartile Price * - * 18.6
3rd Quartile Price * - * 19.2
4th Quartile Price * - * 21.5
Avg. Price Top 5 Trades * - * 21.0
Standard Deviation * - * 5.7
VOLUME OF TRADES (000'S) * - * 494,456.8
Customer Buy * - - 404,700.3
Customer Sell - - * 89,756.6
Dealer to Dealer - - * -
<= $1MM * - * -
<= $10MM - - - *
<= $100MM - - - 160,463.6
> $100MM - - - *
NUMBER OF TRADES * - * 14
Customer Buy * - - 8
Customer Sell - - * 6
Dealer to Dealer - - * -
<= $1MM * - * -
<= $10MM - - - *
<= $100MM - - - 8
> $100MM - - - *
GNMA
AVERAGE PRICE * * - 11.2
Weighted Avg. Price * * - 7.3
Avg. Price Bottom 5 Trades * * - 5.6
2nd Quartile Price * * - 6.3
3rd Quartile Price * * - 14.2
4th Quartile Price * * - 16.6
Avg. Price Top 5 Trades * * - 16.7
Standard Deviation * * - 5.6
VOLUME OF TRADES (000'S) * * - 599,062.2
Customer Buy * * - 388,815.3
Customer Sell - - - 210,246.9
Dealer to Dealer - - - -
<= $1MM * * - *
<= $10MM - - - -
<= $100MM - - - 498,236.7
> $100MM - - - *
NUMBER OF TRADES * * - 13
Customer Buy * * - 8
Customer Sell - - - 5
Dealer to Dealer - - - -
<= $1MM * * - *
<= $10MM - - - -
<= $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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