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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 91.5 90.4 92.0 92.2
Weighted Avg. Price 98.0 94.7 95.7 96.1
Avg. Price Bottom 5 Trades 72.1 70.1 87.4 65.4
2nd Quartile Price 92.0 87.0 95.5 90.6
3rd Quartile Price 96.2 95.6 96.5 98.4
4th Quartile Price 99.6 97.8 98.4 99.9
Avg. Price Top 5 Trades 101.0 99.3 97.5 101.3
Standard Deviation 19.4 9.6 10.3 10.8
VOLUME OF TRADES (000'S) 126.1 4,548.6 651.2 227,083.4
Customer Buy 37.8 3,008.9 * 115,320.2
Customer Sell 58.9 1,076.3 202.2 8,406.9
Dealer to Dealer 29.4 463.4 * 103,356.3
<= $1MM 126.1 3,151.9 651.2 5,575.7
<= $10MM - * - 94,459.9
<= $100MM - - - 127,047.8
> $100MM - - - -
NUMBER OF TRADES 26 53 11 72
Customer Buy 6 16 * 34
Customer Sell 11 19 5 10
Dealer to Dealer 9 18 * 28
<= $1MM 26 52 11 37
<= $10MM - * - 27
<= $100MM - - - 8
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.3 91.9 78.2 90.0
Weighted Avg. Price 98.6 95.9 89.1 98.5
Avg. Price Bottom 5 Trades 94.2 76.9 60.4 34.1
2nd Quartile Price 96.0 88.1 82.3 95.2
3rd Quartile Price 99.8 95.0 88.0 99.2
4th Quartile Price 100.0 98.3 96.5 99.7
Avg. Price Top 5 Trades 100.0 99.1 95.7 100.5
Standard Deviation 3.4 8.0 22.5 18.9
VOLUME OF TRADES (000'S) 151.1 2,113.7 708.5 659,340.8
Customer Buy 24.7 796.9 * 249,485.9
Customer Sell 68.2 265.4 168.1 27,998.3
Dealer to Dealer 58.2 1,051.4 318.1 381,856.7
<= $1MM 151.1 2,113.7 708.5 14,232.9
<= $10MM - - - 117,353.0
<= $100MM - - - 527,754.9
> $100MM - - - -
NUMBER OF TRADES 22 31 13 92
Customer Buy 5 11 * 50
Customer Sell 9 10 5 11
Dealer to Dealer 8 10 5 31
<= $1MM 22 31 13 39
<= $10MM - - - 33
<= $100MM - - - 20
> $100MM - - - -
GNMA
AVERAGE PRICE 99.1 90.9 82.7 91.5
Weighted Avg. Price 101.0 88.1 78.7 98.8
Avg. Price Bottom 5 Trades 93.9 72.7 71.6 45.8
2nd Quartile Price 99.0 85.2 75.0 89.1
3rd Quartile Price 99.8 95.1 89.9 98.9
4th Quartile Price 100.4 97.7 90.9 100.0
Avg. Price Top 5 Trades 102.6 99.4 93.0 101.4
Standard Deviation 3.0 9.3 11.3 14.8
VOLUME OF TRADES (000'S) 379.4 11,896.6 1,630.1 557,237.7
Customer Buy 215.5 391.5 * 313,721.7
Customer Sell 100.0 335.1 * 119,356.4
Dealer to Dealer 63.9 11,170.0 288.5 124,159.6
<= $1MM 379.4 1,602.5 1,630.1 16,098.7
<= $10MM - - - 149,133.8
<= $100MM - * - 392,005.2
> $100MM - - - -
NUMBER OF TRADES 44 43 13 215
Customer Buy 15 9 * 116
Customer Sell 13 14 * 38
Dealer to Dealer 16 20 6 61
<= $1MM 44 42 13 159
<= $10MM - - - 38
<= $100MM - * - 18
> $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 - * * *
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 * - - 8.3
Weighted Avg. Price * - - 7.8
Avg. Price Bottom 5 Trades * - - 2.4
2nd Quartile Price * - - 6.1
3rd Quartile Price * - - 8.4
4th Quartile Price * - - 10.9
Avg. Price Top 5 Trades * - - 14.1
Standard Deviation * - - 4.2
VOLUME OF TRADES (000'S) * - - 484,450.3
Customer Buy * - - 260,112.7
Customer Sell * - - 158,563.7
Dealer to Dealer - - - *
<= $1MM * - - 4,351.4
<= $10MM - - - *
<= $100MM - - - 469,899.8
> $100MM - - - -
NUMBER OF TRADES * - - 33
Customer Buy * - - 22
Customer Sell * - - 9
Dealer to Dealer - - - *
<= $1MM * - - 17
<= $10MM - - - *
<= $100MM - - - 14
> $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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