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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 99.1 87.8 93.3 85.9
Weighted Avg. Price 101.2 97.9 93.7 98.0
Avg. Price Bottom 5 Trades 97.2 68.2 86.8 48.3
2nd Quartile Price 98.5 83.7 92.3 78.7
3rd Quartile Price 99.4 91.4 93.3 94.9
4th Quartile Price 100.3 95.0 98.3 99.6
Avg. Price Top 5 Trades 101.6 101.3 98.9 100.5
Standard Deviation 2.1 10.2 9.0 18.1
VOLUME OF TRADES (000'S) 482.6 9,691.8 2,319.0 547,690.3
Customer Buy 317.2 4,098.8 * 217,518.9
Customer Sell 89.1 2,127.5 2,136.0 213,960.4
Dealer to Dealer 76.2 3,465.5 * 116,211.0
<= $1MM 482.6 2,722.0 1,212.0 3,185.3
<= $10MM - * * 71,424.6
<= $100MM - - - 116,348.0
> $100MM - - - *
NUMBER OF TRADES 39 56 13 59
Customer Buy 10 16 * 20
Customer Sell 15 21 8 14
Dealer to Dealer 14 19 * 25
<= $1MM 39 53 12 29
<= $10MM - * * 23
<= $100MM - - - 5
> $100MM - - - *
FHLMC
AVERAGE PRICE 98.2 90.3 90.0 84.4
Weighted Avg. Price 102.9 94.5 94.2 96.9
Avg. Price Bottom 5 Trades 92.5 73.4 90.0 50.4
2nd Quartile Price 97.2 90.5 * 71.0
3rd Quartile Price 98.4 94.6 * 94.1
4th Quartile Price 99.7 98.5 * 98.5
Avg. Price Top 5 Trades 103.5 100.0 90.0 100.5
Standard Deviation 3.1 12.0 10.7 18.1
VOLUME OF TRADES (000'S) 1,160.3 573.7 4,411.7 315,670.6
Customer Buy 1,084.0 389.3 * 102,254.6
Customer Sell 45.1 34.6 * 36,478.4
Dealer to Dealer 31.1 149.8 - 176,937.6
<= $1MM 1,160.3 573.7 * 5,922.6
<= $10MM - - * 72,894.7
<= $100MM - - - 236,853.3
> $100MM - - - -
NUMBER OF TRADES 65 29 5 61
Customer Buy 18 10 * 21
Customer Sell 27 9 * 20
Dealer to Dealer 20 10 - 20
<= $1MM 65 29 * 36
<= $10MM - - * 16
<= $100MM - - - 9
> $100MM - - - -
GNMA
AVERAGE PRICE 96.3 90.3 85.8 88.7
Weighted Avg. Price 99.4 99.7 95.8 98.0
Avg. Price Bottom 5 Trades 72.8 70.0 75.1 44.7
2nd Quartile Price 96.9 85.2 78.1 84.3
3rd Quartile Price 98.6 95.1 93.0 96.2
4th Quartile Price 99.8 97.3 99.0 100.0
Avg. Price Top 5 Trades 103.9 99.8 94.8 104.2
Standard Deviation 13.5 9.3 12.3 16.2
VOLUME OF TRADES (000'S) 569.1 5,349.8 413.5 177,263.6
Customer Buy 207.4 4,984.9 * 118,338.1
Customer Sell 91.3 135.5 * 51,322.1
Dealer to Dealer 270.4 229.4 * 7,603.4
<= $1MM 569.1 1,349.8 413.5 16,910.5
<= $10MM - * - 18,367.3
<= $100MM - - - 141,985.8
> $100MM - - - -
NUMBER OF TRADES 98 61 11 180
Customer Buy 30 21 * 90
Customer Sell 26 14 * 31
Dealer to Dealer 42 26 * 59
<= $1MM 98 60 11 168
<= $10MM - * - 6
<= $100MM - - - 6
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - * * 11.6
Weighted Avg. Price - * * 7.6
Avg. Price Bottom 5 Trades - * * 9.1
2nd Quartile Price - * * 11.2
3rd Quartile Price - * * 14.3
4th Quartile Price - * * 14.7
Avg. Price Top 5 Trades - * * 14.6
Standard Deviation - * * 3.9
VOLUME OF TRADES (000'S) - * * 322,161.3
Customer Buy - * * 285,067.7
Customer Sell - - - *
Dealer to Dealer - * - -
<= $1MM - * - -
<= $10MM - * * *
<= $100MM - - * 117,858.1
> $100MM - - - *
NUMBER OF TRADES - * * 9
Customer Buy - * * 5
Customer Sell - - - *
Dealer to Dealer - * - -
<= $1MM - * - -
<= $10MM - * * *
<= $100MM - - * 6
> $100MM - - - *
FHLMC
AVERAGE PRICE - - - 14.3
Weighted Avg. Price - - - 11.0
Avg. Price Bottom 5 Trades - - - 14.3
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 14.3
Standard Deviation - - - 5.1
VOLUME OF TRADES (000'S) - - - 186,588.0
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 - - - -
GNMA
AVERAGE PRICE - - 17.8 12.7
Weighted Avg. Price - - 10.5 6.0
Avg. Price Bottom 5 Trades - - 17.8 9.6
2nd Quartile Price - - * 14.6
3rd Quartile Price - - * 14.9
4th Quartile Price - - * 16.8
Avg. Price Top 5 Trades - - 17.8 16.1
Standard Deviation - - 4.4 5.0
VOLUME OF TRADES (000'S) - - 12,135.0 360,330.5
Customer Buy - - 6,050.8 354,895.3
Customer Sell - - - *
Dealer to Dealer - - * *
<= $1MM - - 1,990.8 -
<= $10MM - - * 16,953.8
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - 12 9
Customer Buy - - 9 6
Customer Sell - - - *
Dealer to Dealer - - * *
<= $1MM - - 10 -
<= $10MM - - * 6
<= $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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