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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 94.0 88.8 96.9 90.7
Weighted Avg. Price 92.1 97.9 96.8 95.3
Avg. Price Bottom 5 Trades 88.4 74.2 96.2 53.2
2nd Quartile Price 91.0 81.6 96.2 87.0
3rd Quartile Price 96.1 95.7 97.8 98.6
4th Quartile Price 97.0 97.1 98.3 99.9
Avg. Price Top 5 Trades 97.7 98.8 97.4 100.7
Standard Deviation 4.5 9.8 1.3 13.7
VOLUME OF TRADES (000'S) 16.9 10,295.9 3,655.8 365,982.1
Customer Buy 4.3 543.5 1,621.2 269,414.6
Customer Sell 5.2 9,537.4 * *
Dealer to Dealer 7.3 215.0 * 80,530.9
<= $1MM 16.9 2,721.3 1,936.6 9,383.8
<= $10MM - * * 165,640.2
<= $100MM - - - 190,958.1
> $100MM - - - -
NUMBER OF TRADES 20 34 8 90
Customer Buy 5 12 5 58
Customer Sell 7 7 * *
Dealer to Dealer 8 15 * 28
<= $1MM 20 31 7 27
<= $10MM - * * 52
<= $100MM - - - 11
> $100MM - - - -
FHLMC
AVERAGE PRICE 92.4 83.7 * 95.1
Weighted Avg. Price 99.8 95.6 * 97.3
Avg. Price Bottom 5 Trades 81.9 66.3 * 51.9
2nd Quartile Price 92.0 80.3 * 97.5
3rd Quartile Price 95.6 83.0 * 98.8
4th Quartile Price 98.0 97.3 * 99.6
Avg. Price Top 5 Trades 99.9 100.1 * 100.7
Standard Deviation 11.4 15.1 * 11.5
VOLUME OF TRADES (000'S) 1,104.7 11,313.4 * 453,482.2
Customer Buy 35.1 6,260.6 - 267,316.1
Customer Sell 1,048.4 101.0 * 12,240.3
Dealer to Dealer 21.2 4,951.8 - 173,925.8
<= $1MM 85.2 1,730.1 * 15,226.0
<= $10MM * * - 215,927.1
<= $100MM - - - 222,329.1
> $100MM - - - -
NUMBER OF TRADES 41 32 * 127
Customer Buy 12 10 - 70
Customer Sell 12 6 * 7
Dealer to Dealer 17 16 - 50
<= $1MM 40 29 * 50
<= $10MM * * - 61
<= $100MM - - - 16
> $100MM - - - -
GNMA
AVERAGE PRICE 93.8 88.2 78.7 95.3
Weighted Avg. Price 96.4 91.9 70.9 98.8
Avg. Price Bottom 5 Trades 82.8 73.0 78.7 44.2
2nd Quartile Price 90.0 87.0 * 97.6
3rd Quartile Price 97.1 94.5 * 98.8
4th Quartile Price 98.5 96.8 * 99.6
Avg. Price Top 5 Trades 100.1 97.3 78.7 103.0
Standard Deviation 6.3 10.9 13.1 12.4
VOLUME OF TRADES (000'S) 314.8 527.5 291.7 765,613.7
Customer Buy 52.3 153.0 * 391,412.0
Customer Sell 46.4 * - 164,716.9
Dealer to Dealer 216.1 283.9 * 209,484.7
<= $1MM 314.8 527.5 291.7 30,586.3
<= $10MM - - - 287,740.5
<= $100MM - - - 447,286.9
> $100MM - - - -
NUMBER OF TRADES 38 21 6 231
Customer Buy 8 6 * 143
Customer Sell 10 * - 21
Dealer to Dealer 20 12 * 67
<= $1MM 38 21 6 142
<= $10MM - - - 70
<= $100MM - - - 19
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - 15.4
Weighted Avg. Price - - - 12.3
Avg. Price Bottom 5 Trades - - - 14.2
2nd Quartile Price - - - 16.6
3rd Quartile Price - - - 21.5
4th Quartile Price - - - 21.7
Avg. Price Top 5 Trades - - - 17.8
Standard Deviation - - - 7.3
VOLUME OF TRADES (000'S) - - - 117,513.4
Customer Buy - - - 112,996.6
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 6
Customer Buy - - - 5
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 - - - 10.3
Weighted Avg. Price - - - 6.6
Avg. Price Bottom 5 Trades - - - 10.3
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 10.3
Standard Deviation - - - 5.3
VOLUME OF TRADES (000'S) - - - 355,154.6
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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