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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 91.7 88.2 94.1
Weighted Avg. Price 100.1 94.9 95.2 95.9
Avg. Price Bottom 5 Trades 92.8 67.2 74.5 51.5
2nd Quartile Price 96.6 93.0 92.5 95.4
3rd Quartile Price 97.8 94.6 96.1 99.5
4th Quartile Price 99.5 96.0 97.9 99.8
Avg. Price Top 5 Trades 100.4 99.5 97.0 100.2
Standard Deviation 2.8 8.8 18.1 12.3
VOLUME OF TRADES (000'S) 2,608.5 2,963.9 4,864.7 441,489.3
Customer Buy 1,189.9 1,478.6 * 259,149.2
Customer Sell 1,226.1 774.6 2,321.7 127,762.5
Dealer to Dealer 192.5 710.7 * 54,577.6
<= $1MM 2,608.5 2,963.9 2,633.6 20,307.3
<= $10MM - - * 139,851.7
<= $100MM - - - 281,330.3
> $100MM - - - -
NUMBER OF TRADES 84 69 13 101
Customer Buy 25 8 * 61
Customer Sell 31 39 8 19
Dealer to Dealer 28 22 * 21
<= $1MM 84 69 12 55
<= $10MM - - * 33
<= $100MM - - - 13
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.5 92.2 95.3 93.8
Weighted Avg. Price 98.2 95.6 97.9 93.1
Avg. Price Bottom 5 Trades 87.6 74.3 91.5 57.4
2nd Quartile Price 95.7 90.0 94.5 94.8
3rd Quartile Price 97.5 94.8 96.0 98.5
4th Quartile Price 99.0 97.1 97.5 99.6
Avg. Price Top 5 Trades 100.9 98.5 98.3 100.5
Standard Deviation 4.5 6.8 3.2 11.1
VOLUME OF TRADES (000'S) 3,472.0 50,068.6 18,863.4 296,060.6
Customer Buy 1,326.8 6,194.9 * 132,405.8
Customer Sell 1,627.6 37,606.3 10,448.2 83,438.6
Dealer to Dealer 517.6 6,267.5 203.0 80,216.2
<= $1MM 977.1 2,007.5 1,268.1 18,283.3
<= $10MM * * * 147,984.5
<= $100MM - * - 129,792.8
> $100MM - - - -
NUMBER OF TRADES 85 71 22 86
Customer Buy 30 10 * 37
Customer Sell 34 42 16 21
Dealer to Dealer 21 19 5 28
<= $1MM 83 68 19 42
<= $10MM * * * 36
<= $100MM - * - 8
> $100MM - - - -
GNMA
AVERAGE PRICE 97.8 88.8 91.0 94.4
Weighted Avg. Price 99.6 87.7 91.2 87.8
Avg. Price Bottom 5 Trades 94.6 72.3 85.9 52.1
2nd Quartile Price 96.3 84.4 87.1 94.2
3rd Quartile Price 97.6 93.0 95.8 98.8
4th Quartile Price 99.0 96.2 98.1 99.8
Avg. Price Top 5 Trades 100.3 97.3 95.4 103.4
Standard Deviation 1.9 8.6 6.2 10.2
VOLUME OF TRADES (000'S) 1,236.1 421.6 408.2 649,702.4
Customer Buy 357.3 64.7 * 389,517.7
Customer Sell 177.1 205.3 * 162,929.1
Dealer to Dealer 701.7 151.5 * 97,255.5
<= $1MM 1,236.1 421.6 408.2 14,153.8
<= $10MM - - - 167,802.3
<= $100MM - - - 467,746.2
> $100MM - - - -
NUMBER OF TRADES 76 37 9 209
Customer Buy 20 5 * 142
Customer Sell 24 20 * 26
Dealer to Dealer 32 12 * 41
<= $1MM 76 37 9 146
<= $10MM - - - 45
<= $100MM - - - 18
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 8.7 5.0 6.2 15.9
Weighted Avg. Price 8.0 3.3 6.0 14.1
Avg. Price Bottom 5 Trades 8.7 1.4 3.4 6.8
2nd Quartile Price * 2.1 4.9 9.0
3rd Quartile Price * 4.3 5.3 10.3
4th Quartile Price * 7.3 7.9 17.9
Avg. Price Top 5 Trades 8.7 11.2 10.0 30.5
Standard Deviation 5.1 4.2 2.7 15.1
VOLUME OF TRADES (000'S) 2,811.7 4,668.2 34,676.6 391,518.8
Customer Buy - * * 373,351.4
Customer Sell 2,811.7 4,613.3 33,649.4 18,167.4
Dealer to Dealer - * - -
<= $1MM * 3,325.0 9,440.7 1,909.6
<= $10MM * * * *
<= $100MM - - * 248,129.7
> $100MM - - - *
NUMBER OF TRADES 5 24 28 16
Customer Buy - * * 7
Customer Sell 5 19 26 9
Dealer to Dealer - * - -
<= $1MM * 23 24 7
<= $10MM * * * *
<= $100MM - - * 6
> $100MM - - - *
FHLMC
AVERAGE PRICE * 3.7 5.7 11.7
Weighted Avg. Price * 6.2 15.1 8.8
Avg. Price Bottom 5 Trades * 1.2 3.5 4.6
2nd Quartile Price * 2.1 4.5 7.8
3rd Quartile Price * 3.9 4.8 12.0
4th Quartile Price * 5.3 5.1 16.8
Avg. Price Top 5 Trades * 6.8 7.6 20.4
Standard Deviation * 2.1 5.8 5.5
VOLUME OF TRADES (000'S) * 31,079.9 5,665.4 845,801.5
Customer Buy * * - 726,433.3
Customer Sell * 29,733.6 5,665.4 119,368.2
Dealer to Dealer - - - -
<= $1MM * 6,922.0 2,055.1 2,406.4
<= $10MM - 12,655.5 * *
<= $100MM - * - 647,429.3
> $100MM - - - *
NUMBER OF TRADES * 29 10 29
Customer Buy * * - 16
Customer Sell * 26 10 13
Dealer to Dealer - - - -
<= $1MM * 22 9 9
<= $10MM - 6 * *
<= $100MM - * - 15
> $100MM - - - *
GNMA
AVERAGE PRICE * * 3.9 11.0
Weighted Avg. Price * * 4.0 4.9
Avg. Price Bottom 5 Trades * * 3.3 2.3
2nd Quartile Price * * 3.0 4.6
3rd Quartile Price * * 3.4 7.4
4th Quartile Price * * 7.5 14.5
Avg. Price Top 5 Trades * * 4.1 28.9
Standard Deviation * * 1.7 13.3
VOLUME OF TRADES (000'S) * * 2,635.4 755,986.2
Customer Buy - * - 394,963.1
Customer Sell * * 2,635.4 185,552.3
Dealer to Dealer - - - *
<= $1MM * * 2,635.4 3,711.9
<= $10MM - * - *
<= $100MM - - - 592,485.8
> $100MM - - - *
NUMBER OF TRADES * * 7 28
Customer Buy - * - 9
Customer Sell * * 7 15
Dealer to Dealer - - - *
<= $1MM * * 7 11
<= $10MM - * - *
<= $100MM - - - 13
> $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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