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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 97.3 82.8 86.9 83.5
Weighted Avg. Price 98.7 91.2 96.6 91.0
Avg. Price Bottom 5 Trades 89.7 61.0 77.9 34.3
2nd Quartile Price 97.4 72.6 89.2 78.4
3rd Quartile Price 98.9 86.0 91.8 94.5
4th Quartile Price 99.5 95.0 96.8 99.6
Avg. Price Top 5 Trades 100.0 98.1 96.8 100.3
Standard Deviation 3.9 13.0 15.0 20.7
VOLUME OF TRADES (000'S) 189.3 15,788.3 19,288.2 265,046.2
Customer Buy 115.1 8,121.5 18,739.4 86,001.2
Customer Sell 18.9 6,816.9 547.1 91,667.0
Dealer to Dealer 55.4 850.0 * 87,378.0
<= $1MM 189.3 2,498.0 1,026.0 8,026.3
<= $10MM - 13,290.4 * 125,701.6
<= $100MM - - - 131,318.4
> $100MM - - - -
NUMBER OF TRADES 41 50 12 82
Customer Buy 16 14 6 34
Customer Sell 8 14 5 31
Dealer to Dealer 17 22 * 17
<= $1MM 41 45 8 43
<= $10MM - 5 * 30
<= $100MM - - - 9
> $100MM - - - -
FHLMC
AVERAGE PRICE 95.9 90.4 90.7 89.1
Weighted Avg. Price 100.8 94.3 93.7 95.8
Avg. Price Bottom 5 Trades 88.4 79.2 80.0 56.8
2nd Quartile Price 93.5 82.3 91.4 81.7
3rd Quartile Price 96.5 95.4 95.2 97.4
4th Quartile Price 100.0 97.8 97.0 99.7
Avg. Price Top 5 Trades 101.9 98.5 97.4 102.1
Standard Deviation 5.4 8.2 10.3 14.4
VOLUME OF TRADES (000'S) 780.3 17,834.5 17,316.7 599,649.5
Customer Buy 647.1 7,742.7 * 392,950.2
Customer Sell 26.8 9,055.2 16,023.3 117,227.1
Dealer to Dealer 106.4 1,036.6 * 89,472.2
<= $1MM 780.3 2,707.2 3,007.1 18,583.6
<= $10MM - * - 124,219.9
<= $100MM - - * 328,611.5
> $100MM - - - *
NUMBER OF TRADES 48 26 16 91
Customer Buy 16 11 * 41
Customer Sell 10 6 9 18
Dealer to Dealer 22 9 * 32
<= $1MM 48 23 15 49
<= $10MM - * - 27
<= $100MM - - * 14
> $100MM - - - *
GNMA
AVERAGE PRICE 95.0 89.3 70.6 93.1
Weighted Avg. Price 99.1 94.0 90.7 94.3
Avg. Price Bottom 5 Trades 83.1 72.1 65.6 46.5
2nd Quartile Price 95.0 83.2 71.4 92.7
3rd Quartile Price 98.0 92.0 79.4 98.8
4th Quartile Price 99.2 98.6 80.3 100.0
Avg. Price Top 5 Trades 100.2 100.0 82.1 103.0
Standard Deviation 10.2 9.5 14.1 14.1
VOLUME OF TRADES (000'S) 580.0 1,877.9 14,204.4 553,351.9
Customer Buy 41.0 1,162.0 * 187,750.0
Customer Sell 186.6 283.3 * 186,033.7
Dealer to Dealer 352.4 432.7 341.3 179,568.2
<= $1MM 580.0 1,877.9 679.1 20,080.4
<= $10MM - - - 163,630.0
<= $100MM - - * 369,641.5
> $100MM - - - -
NUMBER OF TRADES 43 51 11 217
Customer Buy 13 14 * 132
Customer Sell 11 14 * 35
Dealer to Dealer 19 23 6 50
<= $1MM 43 51 10 154
<= $10MM - - - 46
<= $100MM - - * 17
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - * 13.8
Weighted Avg. Price - - * 13.5
Avg. Price Bottom 5 Trades - - * 9.4
2nd Quartile Price - - * 12.8
3rd Quartile Price - - * 14.1
4th Quartile Price - - * 15.8
Avg. Price Top 5 Trades - - * 17.9
Standard Deviation - - * 3.0
VOLUME OF TRADES (000'S) - - * 763,702.3
Customer Buy - - - 517,139.2
Customer Sell - - * 246,563.1
Dealer to Dealer - - * -
<= $1MM - - - 3,951.1
<= $10MM - - * 40,552.6
<= $100MM - - - 535,646.3
> $100MM - - - *
NUMBER OF TRADES - - * 34
Customer Buy - - - 8
Customer Sell - - * 26
Dealer to Dealer - - * -
<= $1MM - - - 9
<= $10MM - - * 15
<= $100MM - - - 9
> $100MM - - - *
FHLMC
AVERAGE PRICE - * - 13.4
Weighted Avg. Price - * - 12.4
Avg. Price Bottom 5 Trades - * - 9.2
2nd Quartile Price - * - 13.0
3rd Quartile Price - * - 13.4
4th Quartile Price - * - 14.7
Avg. Price Top 5 Trades - * - 16.5
Standard Deviation - * - 2.2
VOLUME OF TRADES (000'S) - * - 513,109.2
Customer Buy - - - 252,257.3
Customer Sell - * - 260,851.9
Dealer to Dealer - - - -
<= $1MM - * - 3,283.9
<= $10MM - - - 61,137.9
<= $100MM - - - 216,063.9
> $100MM - - - *
NUMBER OF TRADES - * - 34
Customer Buy - - - 9
Customer Sell - * - 25
Dealer to Dealer - - - -
<= $1MM - * - 8
<= $10MM - - - 19
<= $100MM - - - 5
> $100MM - - - *
GNMA
AVERAGE PRICE - - - 10.2
Weighted Avg. Price - - - 5.8
Avg. Price Bottom 5 Trades - - - 4.5
2nd Quartile Price - - - 5.9
3rd Quartile Price - - - 11.5
4th Quartile Price - - - 14.8
Avg. Price Top 5 Trades - - - 15.9
Standard Deviation - - - 4.9
VOLUME OF TRADES (000'S) - - - 404,702.7
Customer Buy - - - *
Customer Sell - - - 73,321.4
Dealer to Dealer - - - 238,483.5
<= $1MM - - - *
<= $10MM - - - 39,255.0
<= $100MM - - - 364,107.7
> $100MM - - - -
NUMBER OF TRADES - - - 19
Customer Buy - - - *
Customer Sell - - - 9
Dealer to Dealer - - - 6
<= $1MM - - - *
<= $10MM - - - 10
<= $100MM - - - 7
> $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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