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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 94.9 84.9 88.7 89.9
Weighted Avg. Price 98.1 88.2 92.9 96.5
Avg. Price Bottom 5 Trades 86.5 65.1 87.2 50.0
2nd Quartile Price 90.3 76.5 90.0 84.9
3rd Quartile Price 97.5 90.0 90.0 96.0
4th Quartile Price 98.3 95.3 99.3 99.5
Avg. Price Top 5 Trades 99.6 99.8 93.0 100.5
Standard Deviation 5.3 13.0 12.9 13.9
VOLUME OF TRADES (000'S) 3,119.2 13,500.8 10,815.1 485,301.9
Customer Buy 2,980.1 1,408.4 * 250,400.4
Customer Sell 62.1 11,418.4 2,946.6 12,790.2
Dealer to Dealer 76.9 673.9 - 222,111.2
<= $1MM 181.6 2,329.2 37.3 11,544.2
<= $10MM * * * 55,874.1
<= $100MM - - - 289,589.0
> $100MM - - - *
NUMBER OF TRADES 31 48 8 104
Customer Buy 8 12 * 60
Customer Sell 13 21 5 10
Dealer to Dealer 10 15 - 34
<= $1MM 30 46 6 76
<= $10MM * * * 18
<= $100MM - - - 9
> $100MM - - - *
FHLMC
AVERAGE PRICE 96.5 87.6 94.6 90.7
Weighted Avg. Price 98.6 97.3 96.0 99.3
Avg. Price Bottom 5 Trades 91.7 69.6 93.7 51.5
2nd Quartile Price 95.8 81.5 95.1 91.2
3rd Quartile Price 98.3 90.0 96.4 98.3
4th Quartile Price 99.1 96.0 96.8 99.8
Avg. Price Top 5 Trades 99.7 99.1 96.0 100.4
Standard Deviation 4.5 9.6 3.6 16.0
VOLUME OF TRADES (000'S) 2,001.6 17,059.8 5,590.0 582,167.6
Customer Buy * 3,823.3 * 285,662.8
Customer Sell 1,955.6 12,937.7 * 246,762.5
Dealer to Dealer 29.6 298.8 - 49,742.3
<= $1MM 88.1 2,376.6 996.6 9,158.7
<= $10MM * * * 87,872.9
<= $100MM - - - 289,638.6
> $100MM - - - *
NUMBER OF TRADES 22 48 7 58
Customer Buy * 14 * 28
Customer Sell 12 14 * 13
Dealer to Dealer 6 20 - 17
<= $1MM 21 45 6 34
<= $10MM * * * 16
<= $100MM - - - 7
> $100MM - - - *
GNMA
AVERAGE PRICE 96.2 83.6 83.8 93.0
Weighted Avg. Price 96.3 87.9 95.3 92.0
Avg. Price Bottom 5 Trades 91.1 72.2 71.4 43.5
2nd Quartile Price 95.1 78.0 75.1 96.3
3rd Quartile Price 98.0 84.5 84.0 99.0
4th Quartile Price 98.6 90.4 96.4 99.8
Avg. Price Top 5 Trades 99.5 95.3 96.5 104.3
Standard Deviation 3.4 7.7 10.6 14.8
VOLUME OF TRADES (000'S) 56.0 6,443.5 24,481.0 278,159.9
Customer Buy * 162.6 2,383.2 139,282.9
Customer Sell 23.5 6,144.2 21,869.0 117,723.5
Dealer to Dealer 15.6 136.7 228.7 21,153.4
<= $1MM 56.0 347.2 790.3 21,400.7
<= $10MM - * 23,690.7 91,144.9
<= $100MM - - - 165,614.3
> $100MM - - - -
NUMBER OF TRADES 21 43 19 338
Customer Buy * 15 7 226
Customer Sell 13 13 7 37
Dealer to Dealer 5 15 5 75
<= $1MM 21 41 14 306
<= $10MM - * 5 26
<= $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 - * - 13.6
Weighted Avg. Price - * - 9.4
Avg. Price Bottom 5 Trades - * - 10.0
2nd Quartile Price - * - 12.5
3rd Quartile Price - * - 13.1
4th Quartile Price - * - 19.8
Avg. Price Top 5 Trades - * - 16.4
Standard Deviation - * - 4.0
VOLUME OF TRADES (000'S) - * - 202,321.5
Customer Buy - * - 196,227.1
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - * - 1,389.1
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * - 14
Customer Buy - * - 10
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - * - 8
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * * - 22.4
Weighted Avg. Price * * - 11.0
Avg. Price Bottom 5 Trades * * - 13.6
2nd Quartile Price * * - 19.0
3rd Quartile Price * * - 20.1
4th Quartile Price * * - 20.2
Avg. Price Top 5 Trades * * - 28.5
Standard Deviation * * - 21.7
VOLUME OF TRADES (000'S) * * - 135,884.1
Customer Buy * * - 40,505.0
Customer Sell - * - *
Dealer to Dealer - * - *
<= $1MM * * - 1,845.8
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * - 10
Customer Buy * * - 5
Customer Sell - * - *
Dealer to Dealer - * - *
<= $1MM * * - 7
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - * - 9.7
Weighted Avg. Price - * - 6.6
Avg. Price Bottom 5 Trades - * - 4.3
2nd Quartile Price - * - 7.5
3rd Quartile Price - * - 11.2
4th Quartile Price - * - 15.8
Avg. Price Top 5 Trades - * - 14.1
Standard Deviation - * - 4.7
VOLUME OF TRADES (000'S) - * - 526,930.0
Customer Buy - * - 410,447.2
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - * - *
<= $100MM - - - 512,859.6
> $100MM - - - -
NUMBER OF TRADES - * - 15
Customer Buy - * - 10
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - * - *
<= $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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