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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 97.7 84.2 * 89.6
Weighted Avg. Price 99.2 89.9 * 98.3
Avg. Price Bottom 5 Trades 93.8 64.5 * 50.8
2nd Quartile Price 97.8 79.0 * 92.2
3rd Quartile Price 98.3 91.1 * 97.8
4th Quartile Price 100.0 93.1 * 99.1
Avg. Price Top 5 Trades 100.1 95.3 * 100.6
Standard Deviation 3.2 14.9 * 16.0
VOLUME OF TRADES (000'S) 94.9 514.7 * 248,479.6
Customer Buy 29.7 105.7 * 147,646.8
Customer Sell 15.6 * * 76,091.5
Dealer to Dealer 49.6 337.6 - 24,741.4
<= $1MM 94.9 514.7 * 6,286.7
<= $10MM - - * 50,757.1
<= $100MM - - - 191,435.8
> $100MM - - - -
NUMBER OF TRADES 20 25 * 62
Customer Buy 6 8 * 27
Customer Sell 5 * * 11
Dealer to Dealer 9 13 - 24
<= $1MM 20 25 * 40
<= $10MM - - * 17
<= $100MM - - - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE 89.0 80.3 89.1 95.0
Weighted Avg. Price 99.0 85.3 99.0 96.9
Avg. Price Bottom 5 Trades 75.1 62.6 79.5 74.9
2nd Quartile Price 90.0 71.3 95.0 93.3
3rd Quartile Price 95.1 84.0 98.0 99.1
4th Quartile Price 99.5 91.5 99.3 99.7
Avg. Price Top 5 Trades 99.8 95.8 98.2 100.1
Standard Deviation 23.5 12.8 14.1 8.5
VOLUME OF TRADES (000'S) 152.7 411.6 11,096.9 127,698.3
Customer Buy 47.7 289.4 11,070.2 83,518.1
Customer Sell 4.9 22.4 * *
Dealer to Dealer 100.2 99.8 * 43,464.0
<= $1MM 152.7 411.6 327.4 14,357.5
<= $10MM - - * 64,128.9
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 33 33 10 55
Customer Buy 7 14 6 30
Customer Sell 9 7 * *
Dealer to Dealer 17 12 * 22
<= $1MM 33 33 7 34
<= $10MM - - * 18
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 97.4 86.5 * 94.5
Weighted Avg. Price 98.9 88.1 * 98.4
Avg. Price Bottom 5 Trades 94.3 76.3 * 63.1
2nd Quartile Price 95.4 85.5 * 93.6
3rd Quartile Price 98.2 93.5 * 97.6
4th Quartile Price 100.0 95.5 * 99.5
Avg. Price Top 5 Trades 100.9 96.2 * 102.7
Standard Deviation 2.6 12.1 * 9.6
VOLUME OF TRADES (000'S) 241.2 321.7 * 525,722.7
Customer Buy 50.3 141.8 * 327,317.1
Customer Sell 45.4 * * 12,610.6
Dealer to Dealer 145.5 92.0 * 185,795.1
<= $1MM 241.2 321.7 * 14,100.9
<= $10MM - - - 68,681.3
<= $100MM - - - 442,940.6
> $100MM - - - -
NUMBER OF TRADES 41 17 * 159
Customer Buy 7 6 * 73
Customer Sell 12 * * 26
Dealer to Dealer 22 8 * 60
<= $1MM 41 17 * 127
<= $10MM - - - 14
<= $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 * * - 12.6
Weighted Avg. Price * * - 9.5
Avg. Price Bottom 5 Trades * * - 11.4
2nd Quartile Price * * - 12.3
3rd Quartile Price * * - 14.4
4th Quartile Price * * - 14.5
Avg. Price Top 5 Trades * * - 13.6
Standard Deviation * * - 2.5
VOLUME OF TRADES (000'S) * * - 114,006.6
Customer Buy * * - *
Customer Sell - * - -
Dealer to Dealer - * - 70,356.6
<= $1MM * * - 4,711.5
<= $10MM * - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * - 10
Customer Buy * * - *
Customer Sell - * - -
Dealer to Dealer - * - 7
<= $1MM * * - 7
<= $10MM * - - -
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * - * 10.7
Weighted Avg. Price * - * 9.8
Avg. Price Bottom 5 Trades * - * 10.0
2nd Quartile Price * - * 10.0
3rd Quartile Price * - * 12.3
4th Quartile Price * - * 12.5
Avg. Price Top 5 Trades * - * 11.4
Standard Deviation * - * 1.6
VOLUME OF TRADES (000'S) * - * 250,356.3
Customer Buy * - * *
Customer Sell - - - -
Dealer to Dealer - - - 243,804.0
<= $1MM * - - -
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * - * 7
Customer Buy * - * *
Customer Sell - - - -
Dealer to Dealer - - - 6
<= $1MM * - - -
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - - - 12.9
Weighted Avg. Price - - - 4.3
Avg. Price Bottom 5 Trades - - - 12.9
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 12.9
Standard Deviation - - - 4.9
VOLUME OF TRADES (000'S) - - - 84,529.6
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - 8,789.4
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 9
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $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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