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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 94.4 79.8 * 90.5
Weighted Avg. Price 99.6 93.1 * 96.7
Avg. Price Bottom 5 Trades 84.6 59.2 * 54.2
2nd Quartile Price 91.6 61.0 * 86.8
3rd Quartile Price 97.7 87.2 * 98.1
4th Quartile Price 99.1 96.0 * 99.6
Avg. Price Top 5 Trades 100.5 100.5 * 100.6
Standard Deviation 6.5 19.6 * 14.1
VOLUME OF TRADES (000'S) 128.9 4,791.7 * 279,867.5
Customer Buy 71.8 2,434.0 - 88,046.6
Customer Sell 13.5 77.6 * 125,524.8
Dealer to Dealer 43.6 2,280.2 * 66,296.0
<= $1MM 128.9 723.9 * 18,058.3
<= $10MM - * * 84,277.0
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES 33 24 * 79
Customer Buy 12 8 - 33
Customer Sell 10 8 * 20
Dealer to Dealer 11 8 * 26
<= $1MM 33 22 * 50
<= $10MM - * * 25
<= $100MM - - - *
> $100MM - - - *
FHLMC
AVERAGE PRICE 97.3 85.7 73.1 88.5
Weighted Avg. Price 101.1 85.3 92.7 97.8
Avg. Price Bottom 5 Trades 92.6 75.1 73.1 40.1
2nd Quartile Price 96.8 82.5 * 87.8
3rd Quartile Price 98.2 89.3 * 99.5
4th Quartile Price 99.1 92.5 * 100.0
Avg. Price Top 5 Trades 100.2 94.0 73.1 100.2
Standard Deviation 2.7 8.2 39.7 20.0
VOLUME OF TRADES (000'S) 3,777.5 344.1 1,114.4 241,656.8
Customer Buy 1,897.3 * * 140,959.7
Customer Sell 9.2 111.0 * 36,587.6
Dealer to Dealer 1,871.0 194.4 * 64,109.5
<= $1MM 43.8 344.1 * 13,853.9
<= $10MM * - * 117,919.9
<= $100MM - - - 109,883.0
> $100MM - - - -
NUMBER OF TRADES 30 26 5 83
Customer Buy 14 * * 39
Customer Sell 10 10 * 25
Dealer to Dealer 6 13 * 19
<= $1MM 28 26 * 52
<= $10MM * - * 26
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE 97.5 82.9 73.4 89.2
Weighted Avg. Price 98.5 91.8 73.7 97.2
Avg. Price Bottom 5 Trades 92.5 66.3 70.6 36.5
2nd Quartile Price 96.9 69.5 72.8 89.8
3rd Quartile Price 97.8 94.8 75.8 98.6
4th Quartile Price 99.0 96.8 77.0 99.6
Avg. Price Top 5 Trades 100.9 96.9 77.1 101.5
Standard Deviation 2.6 15.0 6.2 18.5
VOLUME OF TRADES (000'S) 219.4 490.0 128.0 366,745.8
Customer Buy 76.7 38.1 * 188,015.8
Customer Sell 63.7 395.7 * 65,916.5
Dealer to Dealer 79.0 56.2 * 112,813.6
<= $1MM 219.4 490.0 128.0 20,000.4
<= $10MM - - - 72,356.1
<= $100MM - - - 274,389.4
> $100MM - - - -
NUMBER OF TRADES 63 18 8 116
Customer Buy 17 6 * 62
Customer Sell 24 5 * 25
Dealer to Dealer 22 7 * 29
<= $1MM 63 18 8 84
<= $10MM - - - 22
<= $100MM - - - 10
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * 8.2 - 11.6
Weighted Avg. Price * 9.1 - 7.3
Avg. Price Bottom 5 Trades * 5.2 - 7.4
2nd Quartile Price * 8.6 - 7.6
3rd Quartile Price * 9.3 - 14.7
4th Quartile Price * 10.2 - 15.7
Avg. Price Top 5 Trades * 10.6 - 15.3
Standard Deviation * 4.4 - 4.2
VOLUME OF TRADES (000'S) * 362.2 - 166,225.9
Customer Buy * 196.5 - 92,846.2
Customer Sell - 165.6 - 73,379.7
Dealer to Dealer - - - -
<= $1MM * 362.2 - 3,227.2
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * 11 - 11
Customer Buy * 6 - 5
Customer Sell - 5 - 6
Dealer to Dealer - - - -
<= $1MM * 11 - 8
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * 7.5 * *
Weighted Avg. Price * 9.0 * *
Avg. Price Bottom 5 Trades * 0.9 * *
2nd Quartile Price * 7.8 * *
3rd Quartile Price * 9.5 * *
4th Quartile Price * 10.8 * *
Avg. Price Top 5 Trades * 11.4 * *
Standard Deviation * 4.5 * *
VOLUME OF TRADES (000'S) * 1,937.4 * *
Customer Buy - 1,007.7 * *
Customer Sell * 433.7 * *
Dealer to Dealer - * - -
<= $1MM * 1,937.4 * *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES * 18 * *
Customer Buy - 10 * *
Customer Sell * 5 * *
Dealer to Dealer - * - -
<= $1MM * 18 * *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - * 11.5 10.0
Weighted Avg. Price - * 11.0 10.0
Avg. Price Bottom 5 Trades - * 11.5 5.5
2nd Quartile Price - * * 7.9
3rd Quartile Price - * * 9.5
4th Quartile Price - * * 15.6
Avg. Price Top 5 Trades - * 11.5 15.9
Standard Deviation - * 2.6 5.2
VOLUME OF TRADES (000'S) - * 4,481.7 164,194.9
Customer Buy - * * 129,795.4
Customer Sell - * * *
Dealer to Dealer - * * *
<= $1MM - * * 1,718.3
<= $10MM - - * *
<= $100MM - - - 157,982.8
> $100MM - - - -
NUMBER OF TRADES - * 5 13
Customer Buy - * * 7
Customer Sell - * * *
Dealer to Dealer - * * *
<= $1MM - * * 6
<= $10MM - - * *
<= $100MM - - - 5
> $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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