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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 91.9 90.7 88.0
Weighted Avg. Price 99.3 96.4 88.9 98.0
Avg. Price Bottom 5 Trades 93.2 78.7 89.4 48.8
2nd Quartile Price 92.0 91.5 89.0 82.3
3rd Quartile Price 98.1 95.0 89.8 98.0
4th Quartile Price 100.0 95.8 94.0 100.0
Avg. Price Top 5 Trades 100.5 99.6 91.3 101.7
Standard Deviation 3.5 7.1 2.8 17.5
VOLUME OF TRADES (000'S) 175.3 6,389.1 2,439.8 633,564.4
Customer Buy 55.4 3,828.3 1,289.9 286,607.9
Customer Sell 37.5 1,973.7 - 217,171.3
Dealer to Dealer 82.4 587.0 * 129,785.1
<= $1MM 175.3 2,546.4 186.6 9,665.7
<= $10MM - * * 86,328.7
<= $100MM - - - 431,024.6
> $100MM - - - *
NUMBER OF TRADES 41 40 9 97
Customer Buy 8 19 5 53
Customer Sell 14 6 - 19
Dealer to Dealer 19 15 * 25
<= $1MM 41 38 7 55
<= $10MM - * * 29
<= $100MM - - - 12
> $100MM - - - *
FHLMC
AVERAGE PRICE 93.4 90.0 95.1 93.5
Weighted Avg. Price 99.6 96.5 94.0 99.1
Avg. Price Bottom 5 Trades 83.6 82.2 95.1 63.3
2nd Quartile Price 93.0 84.7 * 93.0
3rd Quartile Price 96.2 89.8 * 98.0
4th Quartile Price 99.2 96.8 * 100.1
Avg. Price Top 5 Trades 100.8 98.8 95.1 101.1
Standard Deviation 14.8 6.2 2.1 9.7
VOLUME OF TRADES (000'S) 81.0 5,635.3 1,024.0 384,885.8
Customer Buy 46.8 2,713.9 * 165,791.6
Customer Sell 16.7 74.1 * 186,748.7
Dealer to Dealer 17.6 2,847.3 * 32,345.5
<= $1MM 81.0 1,019.7 1,024.0 10,622.8
<= $10MM - * - 107,330.6
<= $100MM - - - 266,932.4
> $100MM - - - -
NUMBER OF TRADES 47 47 6 96
Customer Buy 9 15 * 42
Customer Sell 19 5 * 14
Dealer to Dealer 19 27 * 40
<= $1MM 47 45 6 56
<= $10MM - * - 35
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE 97.4 87.2 81.0 86.2
Weighted Avg. Price 98.5 88.7 90.7 98.7
Avg. Price Bottom 5 Trades 93.2 79.5 71.1 42.8
2nd Quartile Price 96.7 81.0 78.3 78.2
3rd Quartile Price 97.6 87.0 80.4 98.1
4th Quartile Price 99.0 96.6 85.8 99.9
Avg. Price Top 5 Trades 100.8 98.0 92.7 102.5
Standard Deviation 2.5 7.4 7.9 20.1
VOLUME OF TRADES (000'S) 244.1 620.9 4,560.2 889,495.2
Customer Buy 44.7 163.7 4,050.5 351,116.9
Customer Sell 72.3 41.8 * 321,372.7
Dealer to Dealer 127.0 415.4 486.5 217,005.6
<= $1MM 244.1 620.9 1,355.2 18,180.8
<= $10MM - - * 238,562.8
<= $100MM - - - 632,751.6
> $100MM - - - -
NUMBER OF TRADES 76 31 24 269
Customer Buy 11 10 6 123
Customer Sell 25 5 * 48
Dealer to Dealer 40 16 16 98
<= $1MM 76 31 23 194
<= $10MM - - * 54
<= $100MM - - - 21
> $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 - * - 12.8
Weighted Avg. Price - * - 8.3
Avg. Price Bottom 5 Trades - * - 9.7
2nd Quartile Price - * - 12.8
3rd Quartile Price - * - 13.3
4th Quartile Price - * - 13.3
Avg. Price Top 5 Trades - * - 13.8
Standard Deviation - * - 2.8
VOLUME OF TRADES (000'S) - * - 146,111.5
Customer Buy - - - 105,635.1
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - - - 1,498.8
<= $10MM - * - *
<= $100MM - - - 137,397.0
> $100MM - - - -
NUMBER OF TRADES - * - 18
Customer Buy - - - 13
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - - - 10
<= $10MM - * - *
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE - * * 14.9
Weighted Avg. Price - * * 6.7
Avg. Price Bottom 5 Trades - * * 7.5
2nd Quartile Price - * * 15.0
3rd Quartile Price - * * 16.6
4th Quartile Price - * * 16.9
Avg. Price Top 5 Trades - * * 18.5
Standard Deviation - * * 4.3
VOLUME OF TRADES (000'S) - * * 641,343.3
Customer Buy - * * 302,743.2
Customer Sell - - * 337,150.4
Dealer to Dealer - - * 1,449.7
<= $1MM - * * 2,832.4
<= $10MM - - - *
<= $100MM - - - 234,652.6
> $100MM - - - *
NUMBER OF TRADES - * * 30
Customer Buy - * * 15
Customer Sell - - * 10
Dealer to Dealer - - * 5
<= $1MM - * * 17
<= $10MM - - - *
<= $100MM - - - 7
> $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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