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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 97.1 81.6 78.0 95.1
Weighted Avg. Price 104.5 86.3 97.6 96.9
Avg. Price Bottom 5 Trades 91.1 60.3 62.2 72.0
2nd Quartile Price 95.6 71.6 60.0 94.9
3rd Quartile Price 98.5 78.9 95.3 99.8
4th Quartile Price 99.9 95.0 97.9 100.7
Avg. Price Top 5 Trades 101.4 100.4 97.1 101.6
Standard Deviation 5.2 14.1 23.7 9.5
VOLUME OF TRADES (000'S) 388.4 3,167.0 1,671.2 300,685.5
Customer Buy 191.4 48.4 * 128,988.8
Customer Sell 193.3 1,255.9 584.0 90,825.2
Dealer to Dealer * 1,862.7 * 80,871.5
<= $1MM 388.4 3,167.0 1,671.2 5,362.5
<= $10MM - - - 82,586.7
<= $100MM - - - 212,736.3
> $100MM - - - -
NUMBER OF TRADES 16 44 11 55
Customer Buy 5 6 * 25
Customer Sell 8 18 8 13
Dealer to Dealer * 20 * 17
<= $1MM 16 44 11 30
<= $10MM - - - 17
<= $100MM - - - 8
> $100MM - - - -
FHLMC
AVERAGE PRICE 92.4 85.4 * 96.3
Weighted Avg. Price 100.0 89.5 * 100.0
Avg. Price Bottom 5 Trades 69.7 73.6 * 75.1
2nd Quartile Price 94.1 80.4 * 98.1
3rd Quartile Price 96.4 85.0 * 99.5
4th Quartile Price 98.8 94.1 * 100.4
Avg. Price Top 5 Trades 100.4 98.6 * 103.5
Standard Deviation 17.8 8.6 * 10.6
VOLUME OF TRADES (000'S) 76.5 1,399.1 * 656,390.7
Customer Buy 5.2 329.3 - 361,194.3
Customer Sell 12.7 685.0 * 233,814.6
Dealer to Dealer 58.6 384.8 - 61,381.9
<= $1MM 76.5 1,399.1 * 1,960.3
<= $10MM - - - 22,774.0
<= $100MM - - - 631,656.5
> $100MM - - - -
NUMBER OF TRADES 34 35 * 50
Customer Buy 5 6 - 22
Customer Sell 16 11 * 15
Dealer to Dealer 13 18 - 13
<= $1MM 34 35 * 19
<= $10MM - - - 10
<= $100MM - - - 21
> $100MM - - - -
GNMA
AVERAGE PRICE 97.1 84.6 81.0 90.6
Weighted Avg. Price 98.2 88.6 84.4 98.2
Avg. Price Bottom 5 Trades 91.3 72.3 74.3 45.0
2nd Quartile Price 95.0 78.3 75.9 92.4
3rd Quartile Price 98.5 82.9 78.5 97.9
4th Quartile Price 100.0 92.0 92.6 99.9
Avg. Price Top 5 Trades 100.4 98.0 88.6 104.8
Standard Deviation 3.8 8.2 8.8 16.4
VOLUME OF TRADES (000'S) 678.8 3,128.5 185.9 1,015,268.4
Customer Buy 304.6 920.4 40.0 379,116.6
Customer Sell 11.1 565.3 * 372,741.4
Dealer to Dealer 363.1 1,642.9 74.6 263,410.3
<= $1MM 678.8 3,128.5 185.9 19,762.2
<= $10MM - - - 140,382.3
<= $100MM - - - 855,124.0
> $100MM - - - -
NUMBER OF TRADES 37 63 15 229
Customer Buy 9 16 5 106
Customer Sell 9 13 * 43
Dealer to Dealer 19 34 8 80
<= $1MM 37 63 15 157
<= $10MM - - - 39
<= $100MM - - - 33
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * * 16.1
Weighted Avg. Price * * * 12.7
Avg. Price Bottom 5 Trades * * * 14.3
2nd Quartile Price * * * 15.8
3rd Quartile Price * * * 17.1
4th Quartile Price * * * 17.8
Avg. Price Top 5 Trades * * * 18.3
Standard Deviation * * * 3.7
VOLUME OF TRADES (000'S) * * * 74,613.5
Customer Buy * * - *
Customer Sell - * * 46,938.5
Dealer to Dealer - - - -
<= $1MM * * * *
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * * 8
Customer Buy * * - *
Customer Sell - * * 7
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 - * - 11.7
Weighted Avg. Price - * - 7.2
Avg. Price Bottom 5 Trades - * - 2.7
2nd Quartile Price - * - 5.2
3rd Quartile Price - * - 10.3
4th Quartile Price - * - 18.6
Avg. Price Top 5 Trades - * - 22.6
Standard Deviation - * - 8.5
VOLUME OF TRADES (000'S) - * - 611,918.1
Customer Buy - - - 413,391.6
Customer Sell - - - 198,127.7
Dealer to Dealer - * - *
<= $1MM - * - *
<= $10MM - - - *
<= $100MM - - - 440,882.6
> $100MM - - - *
NUMBER OF TRADES - * - 21
Customer Buy - - - 11
Customer Sell - - - 9
Dealer to Dealer - * - *
<= $1MM - * - *
<= $10MM - - - *
<= $100MM - - - 14
> $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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