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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 95.3 87.6 93.1 91.0
Weighted Avg. Price 98.1 95.3 94.7 99.0
Avg. Price Bottom 5 Trades 86.8 71.8 83.7 50.9
2nd Quartile Price 92.5 80.0 94.4 91.4
3rd Quartile Price 98.0 89.4 95.6 97.8
4th Quartile Price 99.0 95.3 96.7 100.0
Avg. Price Top 5 Trades 100.9 99.6 97.8 101.5
Standard Deviation 5.6 8.3 8.4 14.6
VOLUME OF TRADES (000'S) 300.0 5,372.2 20,418.9 491,547.6
Customer Buy 76.5 942.7 * 234,197.1
Customer Sell 198.5 657.2 854.6 221,043.4
Dealer to Dealer 25.1 3,772.3 742.5 36,307.1
<= $1MM 300.0 2,632.7 2,297.8 12,886.8
<= $10MM - * * 80,909.6
<= $100MM - - * 397,751.2
> $100MM - - - -
NUMBER OF TRADES 43 94 20 107
Customer Buy 14 19 * 61
Customer Sell 18 26 10 24
Dealer to Dealer 11 49 6 22
<= $1MM 43 93 18 69
<= $10MM - * * 26
<= $100MM - - * 12
> $100MM - - - -
FHLMC
AVERAGE PRICE 88.5 88.5 88.6 92.0
Weighted Avg. Price 98.0 95.4 92.1 98.1
Avg. Price Bottom 5 Trades 59.5 77.1 67.1 48.0
2nd Quartile Price 90.0 82.0 84.4 95.0
3rd Quartile Price 94.6 92.0 95.8 98.4
4th Quartile Price 98.5 97.0 97.2 99.9
Avg. Price Top 5 Trades 101.1 98.9 97.8 100.9
Standard Deviation 15.7 8.5 13.1 15.3
VOLUME OF TRADES (000'S) 722.8 2,930.9 20,503.6 1,611,761.7
Customer Buy 259.6 1,078.1 11,617.2 529,706.0
Customer Sell 312.0 1,131.8 516.6 819,551.9
Dealer to Dealer 151.2 721.0 8,369.8 262,503.8
<= $1MM 722.8 2,930.9 1,050.7 12,463.4
<= $10MM - - 19,452.8 46,945.0
<= $100MM - - - 481,511.9
> $100MM - - - 1,070,841.3
NUMBER OF TRADES 74 37 27 90
Customer Buy 17 6 6 37
Customer Sell 33 18 11 27
Dealer to Dealer 24 13 10 26
<= $1MM 74 37 22 55
<= $10MM - - 5 18
<= $100MM - - - 12
> $100MM - - - 5
GNMA
AVERAGE PRICE 97.0 87.4 86.9 89.4
Weighted Avg. Price 98.5 94.2 92.1 96.9
Avg. Price Bottom 5 Trades 88.0 64.2 73.6 42.9
2nd Quartile Price 97.1 83.5 87.0 88.9
3rd Quartile Price 98.7 91.9 89.5 98.4
4th Quartile Price 99.8 94.9 95.9 99.9
Avg. Price Top 5 Trades 101.2 100.3 96.8 103.0
Standard Deviation 5.0 10.1 11.0 17.6
VOLUME OF TRADES (000'S) 133.3 6,072.4 3,668.4 678,911.1
Customer Buy 56.0 3,490.2 * 369,585.4
Customer Sell 47.7 652.6 289.0 98,473.3
Dealer to Dealer 29.5 1,929.6 1,827.2 210,852.5
<= $1MM 133.3 4,697.1 588.9 18,968.2
<= $10MM - * * 162,386.9
<= $100MM - - - 497,556.1
> $100MM - - - -
NUMBER OF TRADES 45 75 17 225
Customer Buy 14 20 * 110
Customer Sell 19 27 8 50
Dealer to Dealer 12 28 6 65
<= $1MM 45 74 15 165
<= $10MM - * * 41
<= $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 - * - 5.4
Weighted Avg. Price - * - 5.1
Avg. Price Bottom 5 Trades - * - 5.4
2nd Quartile Price - * - *
3rd Quartile Price - * - *
4th Quartile Price - * - *
Avg. Price Top 5 Trades - * - 5.4
Standard Deviation - * - 1.3
VOLUME OF TRADES (000'S) - * - 111,120.8
Customer Buy - * - 111,120.8
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - * - *
<= $10MM - - - *
<= $100MM - - - -
> $100MM - - - *
NUMBER OF TRADES - * - 5
Customer Buy - * - 5
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 - * - 10.0
Weighted Avg. Price - * - 7.9
Avg. Price Bottom 5 Trades - * - 6.9
2nd Quartile Price - * - 7.3
3rd Quartile Price - * - 9.9
4th Quartile Price - * - 10.3
Avg. Price Top 5 Trades - * - 16.5
Standard Deviation - * - 3.7
VOLUME OF TRADES (000'S) - * - 847,649.8
Customer Buy - * - 588,582.4
Customer Sell - - - 258,167.9
Dealer to Dealer - - - 899.4
<= $1MM - - - 1,692.7
<= $10MM - * - *
<= $100MM - - - 681,068.9
> $100MM - - - *
NUMBER OF TRADES - * - 32
Customer Buy - * - 13
Customer Sell - - - 9
Dealer to Dealer - - - 10
<= $1MM - - - 16
<= $10MM - * - *
<= $100MM - - - 12
> $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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