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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 96.1 87.0 75.3 88.2
Weighted Avg. Price 99.0 91.2 88.6 95.4
Avg. Price Bottom 5 Trades 89.5 71.2 61.6 49.2
2nd Quartile Price 95.0 79.4 62.1 83.8
3rd Quartile Price 97.0 91.6 91.5 97.8
4th Quartile Price 99.0 96.6 93.1 99.5
Avg. Price Top 5 Trades 100.1 98.3 86.6 100.2
Standard Deviation 4.1 9.5 16.3 16.1
VOLUME OF TRADES (000'S) 487.3 12,321.0 493.5 382,080.8
Customer Buy 240.1 4,785.1 * 207,070.2
Customer Sell 76.8 542.7 * 61,942.5
Dealer to Dealer 170.5 6,993.2 * 113,068.1
<= $1MM 487.3 3,018.4 493.5 23,654.5
<= $10MM - * - 151,317.7
<= $100MM - - - 207,108.7
> $100MM - - - -
NUMBER OF TRADES 45 39 9 106
Customer Buy 7 10 * 51
Customer Sell 19 10 * 18
Dealer to Dealer 19 19 * 37
<= $1MM 45 36 9 61
<= $10MM - * - 35
<= $100MM - - - 10
> $100MM - - - -
FHLMC
AVERAGE PRICE 94.3 84.6 79.5 91.7
Weighted Avg. Price 97.1 88.4 97.6 94.3
Avg. Price Bottom 5 Trades 88.2 69.5 73.1 56.0
2nd Quartile Price 92.0 79.0 67.2 90.3
3rd Quartile Price 96.1 85.4 84.8 97.5
4th Quartile Price 97.2 94.0 98.0 99.0
Avg. Price Top 5 Trades 99.3 97.1 89.3 100.6
Standard Deviation 4.5 9.7 17.4 12.1
VOLUME OF TRADES (000'S) 121.8 1,794.4 1,082.8 329,809.9
Customer Buy 32.1 608.7 * 210,971.1
Customer Sell 34.5 315.0 * 10,729.5
Dealer to Dealer 55.2 870.6 * 108,109.3
<= $1MM 121.8 1,794.4 1,082.8 12,002.2
<= $10MM - - - 156,019.1
<= $100MM - - - 161,788.7
> $100MM - - - -
NUMBER OF TRADES 37 34 8 86
Customer Buy 7 8 * 48
Customer Sell 17 11 * 9
Dealer to Dealer 13 15 * 29
<= $1MM 37 34 8 34
<= $10MM - - - 41
<= $100MM - - - 11
> $100MM - - - -
GNMA
AVERAGE PRICE 96.6 90.0 82.8 87.1
Weighted Avg. Price 98.4 89.0 89.4 98.5
Avg. Price Bottom 5 Trades 91.3 73.6 65.3 39.7
2nd Quartile Price 95.0 89.0 74.0 85.0
3rd Quartile Price 97.1 91.8 91.3 95.7
4th Quartile Price 98.6 96.3 91.9 98.9
Avg. Price Top 5 Trades 100.2 97.9 91.8 102.1
Standard Deviation 2.9 7.5 13.0 18.5
VOLUME OF TRADES (000'S) 536.8 1,992.9 41,578.3 990,080.6
Customer Buy 218.3 1,121.5 23,216.8 386,825.6
Customer Sell 81.9 227.7 * 420,915.7
Dealer to Dealer 236.6 643.7 18,342.7 182,339.3
<= $1MM 536.8 1,992.9 2,507.0 13,700.7
<= $10MM - - 25,057.2 183,727.0
<= $100MM - - * 643,348.2
> $100MM - - - *
NUMBER OF TRADES 52 43 20 210
Customer Buy 13 15 11 86
Customer Sell 21 12 * 38
Dealer to Dealer 18 16 5 86
<= $1MM 52 43 12 140
<= $10MM - - 7 49
<= $100MM - - * 20
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - 9.8 10.2 17.2
Weighted Avg. Price - 10.5 10.1 20.3
Avg. Price Bottom 5 Trades - 9.8 7.9 13.4
2nd Quartile Price - * 7.9 15.9
3rd Quartile Price - * 8.3 16.6
4th Quartile Price - * 15.5 19.5
Avg. Price Top 5 Trades - 9.8 12.7 22.2
Standard Deviation - 6.1 3.8 3.5
VOLUME OF TRADES (000'S) - 8,759.6 14,000.8 142,447.0
Customer Buy - * * *
Customer Sell - * * 46,919.9
Dealer to Dealer - - * 24,765.3
<= $1MM - * 3,240.1 6,056.7
<= $10MM - * * 44,998.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - 5 10 29
Customer Buy - * * *
Customer Sell - * * 17
Dealer to Dealer - - * 9
<= $1MM - * 7 10
<= $10MM - * * 16
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 1.3 11.0 16.9 19.3
Weighted Avg. Price 1.3 11.1 16.8 36.7
Avg. Price Bottom 5 Trades 1.3 7.3 16.9 12.4
2nd Quartile Price * 7.9 * 12.9
3rd Quartile Price * 8.3 * 16.5
4th Quartile Price * 16.4 * 23.2
Avg. Price Top 5 Trades 1.3 13.7 16.9 27.8
Standard Deviation - 5.4 1.9 10.0
VOLUME OF TRADES (000'S) 31.9 15,672.8 10,019.3 73,997.3
Customer Buy - * * *
Customer Sell * * * 15,733.2
Dealer to Dealer * - - 14,876.6
<= $1MM 31.9 - - 11,951.9
<= $10MM - 15,672.8 10,019.3 20,185.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 8 8 5 26
Customer Buy - * * *
Customer Sell * * * 12
Dealer to Dealer * - - 10
<= $1MM 8 - - 17
<= $10MM - 8 5 7
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 77.3 * * 11.4
Weighted Avg. Price 77.4 * * 6.9
Avg. Price Bottom 5 Trades 77.3 * * 5.3
2nd Quartile Price * * * 11.1
3rd Quartile Price * * * 12.5
4th Quartile Price * * * 12.5
Avg. Price Top 5 Trades 77.3 * * 16.2
Standard Deviation 0.8 * * 4.9
VOLUME OF TRADES (000'S) 845.8 * * 640,893.7
Customer Buy * * - 476,292.6
Customer Sell * - * 163,398.7
Dealer to Dealer * - - *
<= $1MM 845.8 * - -
<= $10MM - - * 13,340.4
<= $100MM - - - 437,659.1
> $100MM - - - *
NUMBER OF TRADES 5 * * 18
Customer Buy * * - 8
Customer Sell * - * 9
Dealer to Dealer * - - *
<= $1MM 5 * - -
<= $10MM - - * 6
<= $100MM - - - 11
> $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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