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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 97.4 83.1 87.3 79.2
Weighted Avg. Price 101.6 98.1 96.1 93.2
Avg. Price Bottom 5 Trades 93.0 66.2 85.5 46.9
2nd Quartile Price 96.0 72.4 91.0 57.5
3rd Quartile Price 98.8 86.3 92.2 90.3
4th Quartile Price 100.1 91.5 96.1 94.6
Avg. Price Top 5 Trades 101.2 99.2 91.9 100.2
Standard Deviation 3.1 11.4 11.5 19.7
VOLUME OF TRADES (000'S) 7,238.2 3,272.1 19,965.7 85,618.2
Customer Buy 3,691.1 * * 70,784.5
Customer Sell 68.0 179.6 * 516.1
Dealer to Dealer 3,479.1 1,265.6 * 14,317.6
<= $1MM 663.5 1,133.4 63.0 3,825.9
<= $10MM * * - 28,282.1
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES 33 44 6 71
Customer Buy 7 * * 19
Customer Sell 8 18 * 25
Dealer to Dealer 18 22 * 27
<= $1MM 31 42 5 57
<= $10MM * * - 11
<= $100MM - - * *
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.4 88.5 83.4 76.4
Weighted Avg. Price 99.6 89.3 92.5 84.1
Avg. Price Bottom 5 Trades 94.4 81.4 81.3 46.2
2nd Quartile Price 96.0 84.1 81.5 54.3
3rd Quartile Price 97.5 88.4 93.0 87.9
4th Quartile Price 99.9 91.5 93.6 99.9
Avg. Price Top 5 Trades 100.5 95.6 86.2 101.0
Standard Deviation 2.4 5.7 9.1 23.1
VOLUME OF TRADES (000'S) 467.8 273.5 1,086.7 169,077.3
Customer Buy 137.2 - * 135,315.7
Customer Sell 74.0 143.9 * 1,310.2
Dealer to Dealer 256.7 129.6 * 32,451.4
<= $1MM 467.8 273.5 1,086.7 2,682.4
<= $10MM - - - 17,781.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 39 20 6 30
Customer Buy 6 - * 11
Customer Sell 15 10 * 6
Dealer to Dealer 18 10 * 13
<= $1MM 39 20 6 20
<= $10MM - - - 6
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 96.7 90.8 74.9 86.0
Weighted Avg. Price 98.4 93.4 80.0 96.6
Avg. Price Bottom 5 Trades 94.4 78.8 72.2 38.5
2nd Quartile Price 95.0 89.5 69.1 81.0
3rd Quartile Price 96.0 92.7 80.0 98.0
4th Quartile Price 98.8 95.2 83.2 100.0
Avg. Price Top 5 Trades 99.9 97.8 76.0 102.9
Standard Deviation 2.0 6.3 7.3 21.1
VOLUME OF TRADES (000'S) 554.7 1,002.8 2,615.3 652,117.4
Customer Buy 134.6 626.9 * 201,268.5
Customer Sell 128.0 111.7 * 235,265.9
Dealer to Dealer 292.1 264.2 * 215,583.1
<= $1MM 554.7 1,002.8 94.4 11,857.5
<= $10MM - - * 31,885.9
<= $100MM - - - 497,656.7
> $100MM - - - *
NUMBER OF TRADES 67 37 8 167
Customer Buy 10 7 * 80
Customer Sell 26 14 * 31
Dealer to Dealer 31 16 * 56
<= $1MM 67 37 7 136
<= $10MM - - * 14
<= $100MM - - - 16
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * * 15.9
Weighted Avg. Price * * * 7.6
Avg. Price Bottom 5 Trades * * * 13.0
2nd Quartile Price * * * 13.8
3rd Quartile Price * * * 17.4
4th Quartile Price * * * 23.3
Avg. Price Top 5 Trades * * * 19.0
Standard Deviation * * * 6.4
VOLUME OF TRADES (000'S) * * * 54,179.7
Customer Buy - * * *
Customer Sell * * * *
Dealer to Dealer - * - -
<= $1MM * * - 1,570.4
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * * 7
Customer Buy - * * *
Customer Sell * * * *
Dealer to Dealer - * - -
<= $1MM * * - 5
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 88.3 - - 31.3
Weighted Avg. Price 85.9 - - 10.4
Avg. Price Bottom 5 Trades 82.6 - - 6.4
2nd Quartile Price 85.1 - - 5.5
3rd Quartile Price 90.1 - - 25.3
4th Quartile Price 92.6 - - 78.6
Avg. Price Top 5 Trades 93.0 - - 56.1
Standard Deviation 4.9 - - 33.2
VOLUME OF TRADES (000'S) 1,382.8 - - 244,692.3
Customer Buy 672.6 - - 192,812.6
Customer Sell 710.2 - - *
Dealer to Dealer - - - *
<= $1MM 1,382.8 - - *
<= $10MM - - - *
<= $100MM - - - 240,626.4
> $100MM - - - -
NUMBER OF TRADES 20 - - 10
Customer Buy 8 - - 7
Customer Sell 12 - - *
Dealer to Dealer - - - *
<= $1MM 20 - - *
<= $10MM - - - *
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE * * - 9.5
Weighted Avg. Price * * - 13.2
Avg. Price Bottom 5 Trades * * - 0.9
2nd Quartile Price * * - 1.3
3rd Quartile Price * * - 14.5
4th Quartile Price * * - 18.0
Avg. Price Top 5 Trades * * - 19.1
Standard Deviation * * - 8.3
VOLUME OF TRADES (000'S) * * - 10,376.2
Customer Buy * * - 4,312.2
Customer Sell * * - 1,718.7
Dealer to Dealer - - - *
<= $1MM * * - 7,411.9
<= $10MM - - - *
<= $100MM - * - -
> $100MM - - - -
NUMBER OF TRADES * * - 21
Customer Buy * * - 12
Customer Sell * * - 5
Dealer to Dealer - - - *
<= $1MM * * - 19
<= $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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