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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 95.4 86.6 * 86.8
Weighted Avg. Price 98.2 92.2 * 93.2
Avg. Price Bottom 5 Trades 92.1 76.0 * 60.8
2nd Quartile Price 94.0 83.4 * 82.1
3rd Quartile Price 97.0 90.3 * 96.1
4th Quartile Price 98.5 95.3 * 100.2
Avg. Price Top 5 Trades 99.2 95.9 * 100.6
Standard Deviation 3.7 10.0 * 17.4
VOLUME OF TRADES (000'S) 40.2 1,073.9 * 148,697.0
Customer Buy 4.2 * - 99,174.7
Customer Sell 29.9 76.2 * *
Dealer to Dealer * 534.1 - 49,505.1
<= $1MM 40.2 1,073.9 * 510.4
<= $10MM - - - 25,756.8
<= $100MM - - - 122,429.8
> $100MM - - - -
NUMBER OF TRADES 18 19 * 21
Customer Buy 5 * - 14
Customer Sell 9 9 * *
Dealer to Dealer * 9 - 6
<= $1MM 18 19 * 7
<= $10MM - - - 7
<= $100MM - - - 7
> $100MM - - - -
FHLMC
AVERAGE PRICE 93.9 90.1 * 93.0
Weighted Avg. Price 97.7 98.8 * 95.3
Avg. Price Bottom 5 Trades 89.2 87.8 * 72.7
2nd Quartile Price 87.8 88.5 * 90.5
3rd Quartile Price 96.5 92.0 * 99.3
4th Quartile Price 98.5 94.5 * 99.8
Avg. Price Top 5 Trades 100.3 93.1 * 100.6
Standard Deviation 6.1 6.4 * 10.8
VOLUME OF TRADES (000'S) 25.2 1,388.4 * 103,118.9
Customer Buy 8.5 * - 69,222.1
Customer Sell 8.5 * * *
Dealer to Dealer 8.3 * - 33,850.6
<= $1MM 25.2 20.9 * 5,476.5
<= $10MM - * - 61,789.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 36 8 * 38
Customer Buy 20 * - 24
Customer Sell 10 * * *
Dealer to Dealer 6 * - 12
<= $1MM 36 7 * 13
<= $10MM - * - 22
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 96.3 81.2 * 93.5
Weighted Avg. Price 97.7 79.4 * 98.9
Avg. Price Bottom 5 Trades 93.0 70.0 * 42.1
2nd Quartile Price 96.0 75.0 * 94.5
3rd Quartile Price 97.3 83.4 * 98.8
4th Quartile Price 99.0 91.2 * 99.8
Avg. Price Top 5 Trades 98.9 94.7 * 100.7
Standard Deviation 4.4 8.8 * 13.6
VOLUME OF TRADES (000'S) 124.2 500.5 * 884,436.4
Customer Buy * * - 387,284.0
Customer Sell 51.3 144.0 * 184,331.3
Dealer to Dealer 65.6 315.4 * 312,821.1
<= $1MM 124.2 500.5 * 9,924.7
<= $10MM - - - 87,815.9
<= $100MM - - - 786,695.9
> $100MM - - - -
NUMBER OF TRADES 22 37 * 124
Customer Buy * * - 74
Customer Sell 10 15 * 12
Dealer to Dealer 8 18 * 38
<= $1MM 22 37 * 78
<= $10MM - - - 23
<= $100MM - - - 23
> $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 - - - 5.7
Weighted Avg. Price - - - 2.3
Avg. Price Bottom 5 Trades - - - 5.7
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 5.7
Standard Deviation - - - 8.9
VOLUME OF TRADES (000'S) - - - 314,670.6
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 - - - *
* 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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