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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 96.4 88.0 89.8 93.3
Weighted Avg. Price 97.2 92.2 91.8 98.8
Avg. Price Bottom 5 Trades 94.0 74.1 86.0 58.4
2nd Quartile Price 94.5 83.0 90.4 93.0
3rd Quartile Price 95.9 93.1 94.3 98.9
4th Quartile Price 99.4 95.3 96.1 100.2
Avg. Price Top 5 Trades 100.6 98.0 95.2 100.9
Standard Deviation 2.8 9.3 9.9 12.4
VOLUME OF TRADES (000'S) 216.5 2,661.5 2,188.4 153,701.7
Customer Buy * 577.0 1,930.1 78,472.2
Customer Sell 38.9 1,711.5 * 55,353.1
Dealer to Dealer 160.4 373.0 - 19,876.5
<= $1MM 216.5 2,661.5 2,188.4 6,355.1
<= $10MM - - - 64,318.8
<= $100MM - - - 83,027.8
> $100MM - - - -
NUMBER OF TRADES 32 30 8 70
Customer Buy * 7 5 42
Customer Sell 8 10 * 10
Dealer to Dealer 21 13 - 18
<= $1MM 32 30 8 45
<= $10MM - - - 20
<= $100MM - - - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.5 90.9 90.6 83.4
Weighted Avg. Price 101.7 97.4 96.1 99.5
Avg. Price Bottom 5 Trades 93.9 79.2 89.2 38.4
2nd Quartile Price 95.3 85.8 91.9 73.0
3rd Quartile Price 99.9 91.5 97.0 99.3
4th Quartile Price 101.1 99.5 97.6 100.2
Avg. Price Top 5 Trades 101.0 99.7 95.1 100.8
Standard Deviation 3.9 8.7 11.2 25.7
VOLUME OF TRADES (000'S) 380.5 13,331.7 4,155.3 343,392.1
Customer Buy 312.3 8,126.6 * 146,578.0
Customer Sell 12.9 507.5 * 166,321.0
Dealer to Dealer 55.3 4,697.6 * 30,493.1
<= $1MM 380.5 4,967.4 893.1 14,431.2
<= $10MM - * * 87,530.3
<= $100MM - - - 241,430.5
> $100MM - - - -
NUMBER OF TRADES 17 21 6 96
Customer Buy 6 9 * 48
Customer Sell 6 5 * 14
Dealer to Dealer 5 7 * 34
<= $1MM 17 18 5 63
<= $10MM - * * 24
<= $100MM - - - 9
> $100MM - - - -
GNMA
AVERAGE PRICE 98.7 90.3 77.3 104.2
Weighted Avg. Price 99.9 100.9 86.1 98.5
Avg. Price Bottom 5 Trades 94.6 73.2 75.3 47.8
2nd Quartile Price 98.2 86.0 75.3 97.3
3rd Quartile Price 99.5 96.2 75.7 99.5
4th Quartile Price 100.0 98.8 80.0 100.5
Avg. Price Top 5 Trades 100.8 100.0 78.0 147.0
Standard Deviation 2.5 10.4 6.9 23.0
VOLUME OF TRADES (000'S) 308.9 11,874.0 221.9 551,928.6
Customer Buy 70.2 2,719.1 * 174,535.6
Customer Sell 72.0 8,922.0 * 157,335.7
Dealer to Dealer 166.6 232.9 75.0 220,057.3
<= $1MM 308.9 905.1 221.9 17,907.5
<= $10MM - * - 113,748.3
<= $100MM - - - 420,272.8
> $100MM - - - -
NUMBER OF TRADES 38 31 11 233
Customer Buy 9 7 * 119
Customer Sell 13 10 * 49
Dealer to Dealer 16 14 6 65
<= $1MM 38 29 11 189
<= $10MM - * - 30
<= $100MM - - - 14
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - * * 7.1
Weighted Avg. Price - * * 7.2
Avg. Price Bottom 5 Trades - * * 6.8
2nd Quartile Price - * * 7.0
3rd Quartile Price - * * 7.7
4th Quartile Price - * * 7.8
Avg. Price Top 5 Trades - * * 7.5
Standard Deviation - * * 1.0
VOLUME OF TRADES (000'S) - * * 490,878.4
Customer Buy - * * 336,949.9
Customer Sell - * - *
Dealer to Dealer - * - -
<= $1MM - - - -
<= $10MM - * - -
<= $100MM - - * 385,576.1
> $100MM - - - *
NUMBER OF TRADES - * * 7
Customer Buy - * * 5
Customer Sell - * - *
Dealer to Dealer - * - -
<= $1MM - - - -
<= $10MM - * - -
<= $100MM - - * 6
> $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 - - - *
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 - - - *
* 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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