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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 99.2 87.6 * 89.4
Weighted Avg. Price 101.8 97.0 * 96.0
Avg. Price Bottom 5 Trades 96.4 66.3 * 49.3
2nd Quartile Price 98.2 82.8 * 80.2
3rd Quartile Price 100.8 90.0 * 97.0
4th Quartile Price 102.4 95.6 * 99.8
Avg. Price Top 5 Trades 102.0 98.9 * 101.1
Standard Deviation 3.7 10.0 * 14.6
VOLUME OF TRADES (000'S) 638.9 40,873.9 * 1,113,023.3
Customer Buy * 12,446.3 * 585,378.3
Customer Sell * 15,988.0 * 353,524.9
Dealer to Dealer * 12,439.7 - 174,120.1
<= $1MM 638.9 3,231.0 * 7,704.2
<= $10MM - * - 156,794.7
<= $100MM - * * 471,303.2
> $100MM - - - *
NUMBER OF TRADES 11 49 * 108
Customer Buy * 19 * 52
Customer Sell * 10 * 22
Dealer to Dealer * 20 - 34
<= $1MM 11 45 * 48
<= $10MM - * - 31
<= $100MM - * * 26
> $100MM - - - *
FHLMC
AVERAGE PRICE 94.2 90.8 75.0 85.1
Weighted Avg. Price 102.2 98.3 90.9 89.4
Avg. Price Bottom 5 Trades 85.2 77.7 75.0 38.8
2nd Quartile Price 90.0 85.4 * 76.8
3rd Quartile Price 99.5 95.0 * 92.5
4th Quartile Price 102.1 98.3 * 100.0
Avg. Price Top 5 Trades 102.4 99.0 75.0 101.2
Standard Deviation 9.4 9.1 17.4 18.0
VOLUME OF TRADES (000'S) 1,154.7 34,143.1 8,213.0 452,643.2
Customer Buy 775.3 1,520.7 * 244,565.9
Customer Sell 3.4 * * 62,315.2
Dealer to Dealer 376.0 12,329.1 * 145,762.1
<= $1MM 1,154.7 2,380.5 184.9 4,263.3
<= $10MM - * * 195,205.2
<= $100MM - * - 253,174.7
> $100MM - - - -
NUMBER OF TRADES 19 27 6 77
Customer Buy 6 12 * 33
Customer Sell 5 * * 13
Dealer to Dealer 8 11 * 31
<= $1MM 19 24 5 25
<= $10MM - * * 38
<= $100MM - * - 14
> $100MM - - - -
GNMA
AVERAGE PRICE 96.6 84.0 82.5 93.1
Weighted Avg. Price 101.4 83.5 88.8 96.5
Avg. Price Bottom 5 Trades 91.8 67.2 79.0 43.9
2nd Quartile Price 95.8 80.0 81.4 94.8
3rd Quartile Price 96.9 88.0 83.3 98.4
4th Quartile Price 98.4 90.0 84.4 99.7
Avg. Price Top 5 Trades 100.8 97.0 86.6 103.1
Standard Deviation 2.9 9.4 5.4 13.4
VOLUME OF TRADES (000'S) 754.1 1,086.6 468.7 637,670.1
Customer Buy 446.9 319.6 * 318,504.2
Customer Sell 142.6 106.1 * 193,743.0
Dealer to Dealer 164.5 661.0 174.4 125,422.9
<= $1MM 754.1 1,086.6 468.7 19,469.8
<= $10MM - - - 101,571.9
<= $100MM - - - 516,628.4
> $100MM - - - -
NUMBER OF TRADES 68 61 13 251
Customer Buy 10 11 * 129
Customer Sell 30 12 * 42
Dealer to Dealer 28 38 9 80
<= $1MM 68 61 13 205
<= $10MM - - - 22
<= $100MM - - - 24
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * * 8.3
Weighted Avg. Price * * * 6.9
Avg. Price Bottom 5 Trades * * * 3.2
2nd Quartile Price * * * 3.7
3rd Quartile Price * * * 7.8
4th Quartile Price * * * 9.9
Avg. Price Top 5 Trades * * * 12.8
Standard Deviation * * * 6.2
VOLUME OF TRADES (000'S) * * * 969,023.5
Customer Buy * * - 676,556.7
Customer Sell - * * *
Dealer to Dealer - - - *
<= $1MM * * * -
<= $10MM - - - -
<= $100MM - - - 640,059.5
> $100MM - - - *
NUMBER OF TRADES * * * 12
Customer Buy * * - 7
Customer Sell - * * *
Dealer to Dealer - - - *
<= $1MM * * * -
<= $10MM - - - -
<= $100MM - - - 10
> $100MM - - - *
FHLMC
AVERAGE PRICE - * - 7.0
Weighted Avg. Price - * - 5.7
Avg. Price Bottom 5 Trades - * - 3.0
2nd Quartile Price - * - 4.5
3rd Quartile Price - * - 4.6
4th Quartile Price - * - 8.1
Avg. Price Top 5 Trades - * - 13.7
Standard Deviation - * - 5.7
VOLUME OF TRADES (000'S) - * - 1,119,583.7
Customer Buy - * - 726,285.1
Customer Sell - * - 393,298.6
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - * - -
<= $100MM - - - 766,599.7
> $100MM - - - *
NUMBER OF TRADES - * - 16
Customer Buy - * - 11
Customer Sell - * - 5
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - * - -
<= $100MM - - - 14
> $100MM - - - *
GNMA
AVERAGE PRICE - 11.4 - 7.5
Weighted Avg. Price - 12.5 - 6.0
Avg. Price Bottom 5 Trades - 11.4 - 1.3
2nd Quartile Price - * - 2.7
3rd Quartile Price - * - 6.6
4th Quartile Price - * - 11.7
Avg. Price Top 5 Trades - 11.4 - 16.8
Standard Deviation - 1.8 - 5.9
VOLUME OF TRADES (000'S) - 18,910.7 - 1,421,400.2
Customer Buy - * - 1,160,036.7
Customer Sell - * - *
Dealer to Dealer - * - *
<= $1MM - * - *
<= $10MM - * - *
<= $100MM - - - 538,961.7
> $100MM - - - 871,508.0
NUMBER OF TRADES - 6 - 24
Customer Buy - * - 18
Customer Sell - * - *
Dealer to Dealer - * - *
<= $1MM - * - *
<= $10MM - * - *
<= $100MM - - - 12
> $100MM - - - 6
* 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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