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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 97.6 94.3 98.0 88.8
Weighted Avg. Price 98.2 96.5 98.0 97.5
Avg. Price Bottom 5 Trades 95.3 76.1 98.0 58.5
2nd Quartile Price 97.5 91.6 * 87.5
3rd Quartile Price 98.4 97.5 * 97.8
4th Quartile Price 99.7 99.9 * 99.9
Avg. Price Top 5 Trades 100.7 100.6 98.0 101.1
Standard Deviation 3.0 8.2 0.2 16.3
VOLUME OF TRADES (000'S) 7,860.9 13,188.3 8,273.6 345,504.8
Customer Buy 4,058.2 8,093.9 * 150,620.8
Customer Sell 3,763.7 4,941.8 6,101.4 130,615.6
Dealer to Dealer 39.0 152.5 - 64,268.4
<= $1MM 7,860.9 4,354.3 6,991.3 15,107.8
<= $10MM - 8,834.0 * 135,074.3
<= $100MM - - - 195,322.7
> $100MM - - - -
NUMBER OF TRADES 35 44 14 93
Customer Buy 14 18 * 53
Customer Sell 15 10 11 17
Dealer to Dealer 6 16 - 23
<= $1MM 35 39 13 49
<= $10MM - 5 * 35
<= $100MM - - - 9
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.4 90.2 87.5 94.0
Weighted Avg. Price 97.7 97.8 97.5 97.2
Avg. Price Bottom 5 Trades 96.8 63.6 79.4 61.2
2nd Quartile Price 97.5 86.5 76.4 95.6
3rd Quartile Price 97.5 94.0 94.1 98.1
4th Quartile Price 98.0 97.8 97.9 100.1
Avg. Price Top 5 Trades 98.5 99.3 98.3 100.8
Standard Deviation 1.2 11.3 14.8 10.8
VOLUME OF TRADES (000'S) 6,457.8 29,169.2 4,951.6 461,916.7
Customer Buy 3,226.0 7,100.9 1,396.4 200,341.1
Customer Sell 3,226.8 21,338.1 2,896.6 142,358.4
Dealer to Dealer 5.1 730.2 658.5 119,217.2
<= $1MM 6,457.8 11,043.8 4,951.6 16,992.7
<= $10MM - * - 107,934.6
<= $100MM - * - 336,989.3
> $100MM - - - -
NUMBER OF TRADES 32 63 23 92
Customer Buy 11 31 8 47
Customer Sell 16 18 8 24
Dealer to Dealer 5 14 7 21
<= $1MM 32 61 23 39
<= $10MM - * - 43
<= $100MM - * - 10
> $100MM - - - -
GNMA
AVERAGE PRICE 98.7 91.7 63.6 89.8
Weighted Avg. Price 98.9 98.6 67.6 95.9
Avg. Price Bottom 5 Trades 97.5 74.5 63.6 50.1
2nd Quartile Price 98.0 87.0 * 89.2
3rd Quartile Price 98.4 98.3 * 96.8
4th Quartile Price 99.8 98.4 * 99.3
Avg. Price Top 5 Trades 100.2 100.0 63.6 101.5
Standard Deviation 1.3 10.2 9.6 15.4
VOLUME OF TRADES (000'S) 2,726.1 14,388.7 39.7 801,639.8
Customer Buy 1,326.2 7,169.9 - 389,672.7
Customer Sell 1,351.8 7,046.9 * 131,550.5
Dealer to Dealer 48.1 171.9 * 280,416.6
<= $1MM 2,726.1 12,368.5 39.7 13,307.6
<= $10MM - * - 74,444.5
<= $100MM - - - 713,887.7
> $100MM - - - -
NUMBER OF TRADES 19 44 6 181
Customer Buy 5 17 - 99
Customer Sell 8 17 * 21
Dealer to Dealer 6 10 * 61
<= $1MM 19 42 6 130
<= $10MM - * - 19
<= $100MM - - - 32
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
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 - - - -
FHLMC
AVERAGE PRICE - * - 7.9
Weighted Avg. Price - * - 8.1
Avg. Price Bottom 5 Trades - * - 6.3
2nd Quartile Price - * - 5.1
3rd Quartile Price - * - 12.9
4th Quartile Price - * - 15.9
Avg. Price Top 5 Trades - * - 8.7
Standard Deviation - * - 5.2
VOLUME OF TRADES (000'S) - * - 116,699.2
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * - -
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * - 6
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * - -
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - - 3.5 23.3
Weighted Avg. Price - - 0.5 15.6
Avg. Price Bottom 5 Trades - - 3.5 9.8
2nd Quartile Price - - * 17.0
3rd Quartile Price - - * 17.0
4th Quartile Price - - * 45.3
Avg. Price Top 5 Trades - - 3.5 26.1
Standard Deviation - - 3.0 13.9
VOLUME OF TRADES (000'S) - - 1,245.6 142,091.0
Customer Buy - - - 61,369.4
Customer Sell - - * 80,721.6
Dealer to Dealer - - * -
<= $1MM - - 1,245.6 3,313.6
<= $10MM - - - 61,423.9
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - 5 26
Customer Buy - - - 5
Customer Sell - - * 21
Dealer to Dealer - - * -
<= $1MM - - 5 7
<= $10MM - - - 15
<= $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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