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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 96.2 86.3 87.5 87.6
Weighted Avg. Price 99.6 90.2 89.2 88.4
Avg. Price Bottom 5 Trades 85.7 60.8 77.8 49.9
2nd Quartile Price 94.0 80.0 86.5 87.8
3rd Quartile Price 98.0 91.8 93.0 95.2
4th Quartile Price 99.9 94.9 96.0 99.7
Avg. Price Top 5 Trades 104.8 97.3 95.1 101.2
Standard Deviation 7.8 11.0 11.7 17.2
VOLUME OF TRADES (000'S) 314.7 3,318.8 4,300.1 179,881.5
Customer Buy 53.3 1,300.0 * 66,900.9
Customer Sell 156.9 1,210.5 1,247.4 15,095.4
Dealer to Dealer 104.6 808.3 * 97,885.3
<= $1MM 314.7 3,318.8 359.0 6,476.1
<= $10MM - - * 60,091.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 47 68 14 53
Customer Buy 14 14 * 21
Customer Sell 16 24 6 11
Dealer to Dealer 17 30 * 21
<= $1MM 47 68 11 34
<= $10MM - - * 15
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 98.0 89.0 83.1 95.6
Weighted Avg. Price 99.2 94.2 87.7 99.6
Avg. Price Bottom 5 Trades 94.0 70.5 70.8 67.1
2nd Quartile Price 97.0 85.0 87.1 96.3
3rd Quartile Price 99.0 92.0 88.1 99.3
4th Quartile Price 99.8 97.0 95.9 100.0
Avg. Price Top 5 Trades 100.3 98.6 92.8 101.1
Standard Deviation 2.5 8.7 16.7 9.6
VOLUME OF TRADES (000'S) 288.1 7,218.1 6,112.8 567,911.2
Customer Buy 91.7 5,359.7 * 282,865.5
Customer Sell 31.4 887.3 33.0 167,389.5
Dealer to Dealer 165.1 971.1 3,704.0 117,656.2
<= $1MM 288.1 3,312.7 580.7 9,474.0
<= $10MM - * * 114,088.4
<= $100MM - - - 444,348.8
> $100MM - - - -
NUMBER OF TRADES 43 55 13 69
Customer Buy 13 11 * 33
Customer Sell 16 19 5 11
Dealer to Dealer 14 25 5 25
<= $1MM 43 54 10 31
<= $10MM - * * 27
<= $100MM - - - 11
> $100MM - - - -
GNMA
AVERAGE PRICE 96.8 91.5 69.5 93.0
Weighted Avg. Price 98.9 95.4 69.6 98.1
Avg. Price Bottom 5 Trades 92.6 68.2 62.4 46.5
2nd Quartile Price 95.0 91.0 64.0 96.6
3rd Quartile Price 97.8 94.8 69.4 98.4
4th Quartile Price 99.3 96.8 79.5 100.0
Avg. Price Top 5 Trades 100.7 98.6 77.1 101.6
Standard Deviation 3.0 8.8 8.3 13.7
VOLUME OF TRADES (000'S) 147.5 10,248.8 172.4 456,490.8
Customer Buy 62.9 535.4 * 277,502.0
Customer Sell 23.5 223.7 * 81,104.2
Dealer to Dealer 61.1 9,489.7 * 97,884.7
<= $1MM 147.5 1,176.8 172.4 18,000.5
<= $10MM - * - 141,785.9
<= $100MM - - - 296,704.3
> $100MM - - - -
NUMBER OF TRADES 53 58 11 267
Customer Buy 14 16 * 146
Customer Sell 17 13 * 35
Dealer to Dealer 22 29 * 86
<= $1MM 53 56 11 222
<= $10MM - * - 33
<= $100MM - - - 12
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - * * 14.9
Weighted Avg. Price - * * 16.6
Avg. Price Bottom 5 Trades - * * 14.9
2nd Quartile Price - * * *
3rd Quartile Price - * * *
4th Quartile Price - * * *
Avg. Price Top 5 Trades - * * 14.9
Standard Deviation - * * 4.7
VOLUME OF TRADES (000'S) - * * 71,186.4
Customer Buy - - * *
Customer Sell - * - *
Dealer to Dealer - * - -
<= $1MM - * - *
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * * 5
Customer Buy - - * *
Customer Sell - * - *
Dealer to Dealer - * - -
<= $1MM - * - *
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - * - 9.5
Weighted Avg. Price - * - 5.2
Avg. Price Bottom 5 Trades - * - 8.1
2nd Quartile Price - * - 6.9
3rd Quartile Price - * - 12.4
4th Quartile Price - * - 16.6
Avg. Price Top 5 Trades - * - 10.8
Standard Deviation - * - 5.1
VOLUME OF TRADES (000'S) - * - 357,621.4
Customer Buy - * - 352,959.4
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - * - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - * - 6
Customer Buy - * - 5
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - * - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - - * 7.1
Weighted Avg. Price - - * 5.4
Avg. Price Bottom 5 Trades - - * 4.2
2nd Quartile Price - - * 5.3
3rd Quartile Price - - * 6.0
4th Quartile Price - - * 14.5
Avg. Price Top 5 Trades - - * 10.3
Standard Deviation - - * 4.1
VOLUME OF TRADES (000'S) - - * 516,613.1
Customer Buy - - - 472,339.2
Customer Sell - - * *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - * 11
Customer Buy - - - 8
Customer Sell - - * *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - * *
<= $100MM - - - *
> $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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