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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 94.2 87.2 88.8 90.7
Weighted Avg. Price 97.5 90.6 90.8 97.0
Avg. Price Bottom 5 Trades 81.8 64.5 87.8 58.9
2nd Quartile Price 92.0 86.9 90.7 87.0
3rd Quartile Price 98.0 91.3 90.7 95.5
4th Quartile Price 99.8 97.8 96.8 99.5
Avg. Price Top 5 Trades 100.9 99.1 91.8 101.4
Standard Deviation 7.4 16.3 10.1 12.2
VOLUME OF TRADES (000'S) 237.4 20,182.0 29,325.2 146,075.7
Customer Buy 92.7 353.4 * 73,143.4
Customer Sell 39.7 1,487.8 * 33,661.2
Dealer to Dealer 105.0 18,340.8 28,702.9 39,271.2
<= $1MM 237.4 3,547.4 622.3 5,992.8
<= $10MM - * * 108,671.1
<= $100MM - * * *
> $100MM - - - -
NUMBER OF TRADES 35 29 10 66
Customer Buy 14 8 * 28
Customer Sell 9 6 * 18
Dealer to Dealer 12 15 5 20
<= $1MM 35 26 5 40
<= $10MM - * * 24
<= $100MM - * * *
> $100MM - - - -
FHLMC
AVERAGE PRICE 92.9 92.8 86.7 89.7
Weighted Avg. Price 99.1 93.4 96.6 99.4
Avg. Price Bottom 5 Trades 84.8 81.3 65.8 45.0
2nd Quartile Price 90.0 92.0 73.0 91.3
3rd Quartile Price 97.8 93.8 93.8 99.1
4th Quartile Price 99.3 98.8 98.3 100.2
Avg. Price Top 5 Trades 101.1 99.8 98.4 101.9
Standard Deviation 7.6 6.6 13.8 17.9
VOLUME OF TRADES (000'S) 302.2 14,292.9 10,606.2 489,933.3
Customer Buy 256.9 4,447.3 2,750.1 223,655.6
Customer Sell 11.6 5,474.2 3,795.2 116,348.0
Dealer to Dealer 33.7 4,371.4 * 149,929.7
<= $1MM 302.2 5,269.5 2,683.8 7,518.4
<= $10MM - * * 106,035.8
<= $100MM - - - 376,379.2
> $100MM - - - -
NUMBER OF TRADES 30 35 20 86
Customer Buy 13 13 7 29
Customer Sell 8 11 9 31
Dealer to Dealer 9 11 * 26
<= $1MM 30 32 16 41
<= $10MM - * * 31
<= $100MM - - - 14
> $100MM - - - -
GNMA
AVERAGE PRICE 97.4 90.3 85.7 88.9
Weighted Avg. Price 99.5 95.1 98.2 99.3
Avg. Price Bottom 5 Trades 92.1 77.8 83.1 45.7
2nd Quartile Price 95.6 82.0 80.7 87.0
3rd Quartile Price 98.0 95.0 98.4 98.5
4th Quartile Price 99.8 98.0 99.1 100.0
Avg. Price Top 5 Trades 100.9 99.3 91.3 103.1
Standard Deviation 3.0 8.8 16.2 17.8
VOLUME OF TRADES (000'S) 269.3 9,538.9 2,087.7 1,706,407.9
Customer Buy 74.1 7,242.9 2,024.7 863,432.2
Customer Sell 115.9 1,124.4 * 174,682.7
Dealer to Dealer 79.2 1,171.6 - 668,293.1
<= $1MM 269.3 5,517.6 802.9 19,514.9
<= $10MM - * * 101,837.6
<= $100MM - - - 1,250,687.2
> $100MM - - - *
NUMBER OF TRADES 40 29 6 211
Customer Buy 14 16 5 113
Customer Sell 12 6 * 32
Dealer to Dealer 14 7 - 66
<= $1MM 40 26 5 146
<= $10MM - * * 27
<= $100MM - - - 36
> $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 - - - 27.2
Weighted Avg. Price - - - 19.4
Avg. Price Bottom 5 Trades - - - 16.4
2nd Quartile Price - - - 16.6
3rd Quartile Price - - - 22.9
4th Quartile Price - - - 85.3
Avg. Price Top 5 Trades - - - 33.8
Standard Deviation - - - 26.3
VOLUME OF TRADES (000'S) - - - 173,982.0
Customer Buy - - - 172,860.3
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 7
Customer Buy - - - 6
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - - 4.3 9.8
Weighted Avg. Price - - 4.3 7.4
Avg. Price Bottom 5 Trades - - 4.3 4.4
2nd Quartile Price - - * 4.3
3rd Quartile Price - - * 4.4
4th Quartile Price - - * 8.4
Avg. Price Top 5 Trades - - 4.3 24.7
Standard Deviation - - - 17.6
VOLUME OF TRADES (000'S) - - 103,939.7 645,321.1
Customer Buy - - - 536,757.3
Customer Sell - - 103,939.7 108,563.8
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - 80,078.2 48,557.8
<= $100MM - - * 290,985.6
> $100MM - - - *
NUMBER OF TRADES - - 19 19
Customer Buy - - - 9
Customer Sell - - 19 10
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - 17 7
<= $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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