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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 91.6 86.3 87.1 90.4
Weighted Avg. Price 98.5 94.8 89.4 97.4
Avg. Price Bottom 5 Trades 86.2 64.7 85.3 63.2
2nd Quartile Price 93.9 75.5 87.6 87.7
3rd Quartile Price 97.0 90.3 93.1 96.3
4th Quartile Price 98.4 97.0 98.3 99.7
Avg. Price Top 5 Trades 98.7 99.5 93.0 100.1
Standard Deviation 10.6 12.0 10.9 12.4
VOLUME OF TRADES (000'S) 39.3 1,299.8 2,054.8 347,720.6
Customer Buy * 176.7 * 176,266.4
Customer Sell 3.7 623.6 * 18,405.6
Dealer to Dealer 1.8 499.4 * 153,048.6
<= $1MM 39.3 1,299.8 2,054.8 11,030.6
<= $10MM - - - 48,478.0
<= $100MM - - - 288,212.0
> $100MM - - - -
NUMBER OF TRADES 16 49 7 54
Customer Buy * 7 * 26
Customer Sell 7 18 * 11
Dealer to Dealer 5 24 * 17
<= $1MM 16 49 7 23
<= $10MM - - - 20
<= $100MM - - - 11
> $100MM - - - -
FHLMC
AVERAGE PRICE 91.4 91.7 82.4 93.2
Weighted Avg. Price 93.2 94.1 79.8 98.3
Avg. Price Bottom 5 Trades 81.3 74.4 75.4 73.9
2nd Quartile Price 84.0 88.5 76.9 93.4
3rd Quartile Price 95.0 95.9 83.8 98.3
4th Quartile Price 97.6 98.4 98.8 99.8
Avg. Price Top 5 Trades 99.4 99.3 90.1 100.5
Standard Deviation 7.0 8.5 12.8 11.9
VOLUME OF TRADES (000'S) 108.1 4,698.4 2,706.7 189,890.9
Customer Buy * 666.7 * 179,472.8
Customer Sell 42.6 3,316.7 1,680.5 3,100.4
Dealer to Dealer 56.3 715.0 * 7,317.6
<= $1MM 108.1 3,057.4 2,706.7 5,455.7
<= $10MM - * - 35,167.4
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 46 45 10 28
Customer Buy * 13 * 17
Customer Sell 20 18 6 6
Dealer to Dealer 23 14 * 5
<= $1MM 46 44 10 14
<= $10MM - * - 10
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 97.8 79.4 78.4 85.1
Weighted Avg. Price 99.0 89.9 80.0 98.7
Avg. Price Bottom 5 Trades 95.3 72.9 72.9 41.5
2nd Quartile Price 96.8 73.0 77.6 66.0
3rd Quartile Price 98.0 73.2 81.5 96.5
4th Quartile Price 99.1 92.3 87.9 99.2
Avg. Price Top 5 Trades 100.6 82.8 82.5 101.0
Standard Deviation 1.8 9.9 8.5 20.2
VOLUME OF TRADES (000'S) 278.1 2,162.8 361.9 919,927.4
Customer Buy 80.6 * * 420,222.0
Customer Sell 65.6 * * 336,184.0
Dealer to Dealer 131.8 * 231.2 163,521.4
<= $1MM 278.1 87.5 361.9 17,116.5
<= $10MM - * - 118,883.0
<= $100MM - - - 384,330.5
> $100MM - - - *
NUMBER OF TRADES 77 9 13 206
Customer Buy 15 * * 89
Customer Sell 26 * * 23
Dealer to Dealer 36 * 7 94
<= $1MM 77 8 13 154
<= $10MM - * - 33
<= $100MM - - - 16
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - * * 8.8
Weighted Avg. Price - * * 6.1
Avg. Price Bottom 5 Trades - * * 6.3
2nd Quartile Price - * * 6.0
3rd Quartile Price - * * 8.0
4th Quartile Price - * * 15.8
Avg. Price Top 5 Trades - * * 10.0
Standard Deviation - * * 4.3
VOLUME OF TRADES (000'S) - * * 322,639.7
Customer Buy - * * *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - * - -
<= $100MM - - * 322,345.3
> $100MM - - - -
NUMBER OF TRADES - * * 7
Customer Buy - * * *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - * - -
<= $100MM - - * 5
> $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 - - - 11.5
Weighted Avg. Price - - - 6.4
Avg. Price Bottom 5 Trades - - - 6.2
2nd Quartile Price - - - 11.3
3rd Quartile Price - - - 12.0
4th Quartile Price - - - 15.8
Avg. Price Top 5 Trades - - - 16.6
Standard Deviation - - - 5.3
VOLUME OF TRADES (000'S) - - - 382,159.0
Customer Buy - - - 261,811.9
Customer Sell - - - 120,347.1
Dealer to Dealer - - - -
<= $1MM - - - 1,286.4
<= $10MM - - - *
<= $100MM - - - 237,758.8
> $100MM - - - *
NUMBER OF TRADES - - - 17
Customer Buy - - - 8
Customer Sell - - - 9
Dealer to Dealer - - - -
<= $1MM - - - 6
<= $10MM - - - *
<= $100MM - - - 8
> $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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