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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 95.6 88.1 88.3 94.9
Weighted Avg. Price 99.6 93.8 93.4 96.8
Avg. Price Bottom 5 Trades 87.0 69.2 78.8 76.5
2nd Quartile Price 92.0 81.7 90.1 87.5
3rd Quartile Price 97.2 92.6 92.6 99.1
4th Quartile Price 98.6 97.5 97.4 99.8
Avg. Price Top 5 Trades 101.8 98.9 95.3 102.1
Standard Deviation 5.2 10.7 12.5 7.1
VOLUME OF TRADES (000'S) 1,851.3 54,159.3 35,113.9 764,726.0
Customer Buy 800.7 36,809.4 * 450,564.8
Customer Sell 624.2 1,053.2 7,766.6 127,347.6
Dealer to Dealer 426.3 16,296.8 * 186,813.6
<= $1MM 1,851.3 4,812.4 1,555.7 26,924.9
<= $10MM - * * 175,491.0
<= $100MM - * * 562,310.0
> $100MM - - - -
NUMBER OF TRADES 42 60 13 123
Customer Buy 9 20 * 61
Customer Sell 14 14 7 16
Dealer to Dealer 19 26 * 46
<= $1MM 42 53 8 58
<= $10MM - * * 46
<= $100MM - * * 19
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.3 95.6 84.9 94.8
Weighted Avg. Price 99.4 98.4 89.9 99.0
Avg. Price Bottom 5 Trades 93.7 84.3 76.6 56.8
2nd Quartile Price 96.0 95.5 81.0 97.5
3rd Quartile Price 98.7 97.3 96.6 99.6
4th Quartile Price 100.0 99.2 98.1 99.9
Avg. Price Top 5 Trades 100.5 102.8 90.2 100.5
Standard Deviation 3.4 7.0 13.4 11.8
VOLUME OF TRADES (000'S) 211.2 11,104.1 1,791.3 885,522.0
Customer Buy 32.7 4,976.6 * 430,587.9
Customer Sell 145.7 4,595.6 * 158,634.1
Dealer to Dealer 32.8 1,531.8 * 296,299.9
<= $1MM 211.2 3,381.8 564.7 15,862.3
<= $10MM - 7,722.2 * 194,082.1
<= $100MM - - - 374,720.4
> $100MM - - - *
NUMBER OF TRADES 26 41 10 97
Customer Buy 6 14 * 50
Customer Sell 11 11 * 15
Dealer to Dealer 9 16 * 32
<= $1MM 26 36 9 39
<= $10MM - 5 * 40
<= $100MM - - - 16
> $100MM - - - *
GNMA
AVERAGE PRICE 98.0 91.8 * 92.4
Weighted Avg. Price 98.3 97.1 * 96.5
Avg. Price Bottom 5 Trades 95.2 80.7 * 41.8
2nd Quartile Price 96.6 86.6 * 94.8
3rd Quartile Price 98.0 94.0 * 98.6
4th Quartile Price 99.9 98.1 * 99.9
Avg. Price Top 5 Trades 100.7 99.4 * 102.8
Standard Deviation 2.0 7.4 * 15.5
VOLUME OF TRADES (000'S) 260.1 11,148.4 * 862,551.6
Customer Buy 68.0 4,301.1 * 399,034.9
Customer Sell 59.3 * * 68,884.5
Dealer to Dealer 132.7 6,638.3 - 394,632.2
<= $1MM 260.1 3,306.9 * 21,986.1
<= $10MM - * * 132,915.6
<= $100MM - - - 707,650.0
> $100MM - - - -
NUMBER OF TRADES 41 35 * 217
Customer Buy 11 14 * 125
Customer Sell 11 * * 33
Dealer to Dealer 19 18 - 59
<= $1MM 41 32 * 166
<= $10MM - * * 30
<= $100MM - - - 21
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - * * 13.7
Weighted Avg. Price - * * 8.9
Avg. Price Bottom 5 Trades - * * 9.5
2nd Quartile Price - * * 12.5
3rd Quartile Price - * * 14.6
4th Quartile Price - * * 17.8
Avg. Price Top 5 Trades - * * 17.6
Standard Deviation - * * 4.5
VOLUME OF TRADES (000'S) - * * 225,141.7
Customer Buy - * * *
Customer Sell - - - *
Dealer to Dealer - - - 8,105.9
<= $1MM - * * *
<= $10MM - - - *
<= $100MM - - - 207,865.2
> $100MM - - - -
NUMBER OF TRADES - * * 12
Customer Buy - * * *
Customer Sell - - - *
Dealer to Dealer - - - 5
<= $1MM - * * *
<= $10MM - - - *
<= $100MM - - - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE - * - 17.2
Weighted Avg. Price - * - 13.4
Avg. Price Bottom 5 Trades - * - 15.0
2nd Quartile Price - * - 16.6
3rd Quartile Price - * - 23.6
4th Quartile Price - * - 23.7
Avg. Price Top 5 Trades - * - 19.2
Standard Deviation - * - 8.4
VOLUME OF TRADES (000'S) - * - 462,769.4
Customer Buy - * - *
Customer Sell - - - *
Dealer to Dealer - * - -
<= $1MM - * - *
<= $10MM - - - *
<= $100MM - - - 304,262.8
> $100MM - - - *
NUMBER OF TRADES - * - 8
Customer Buy - * - *
Customer Sell - - - *
Dealer to Dealer - * - -
<= $1MM - * - *
<= $10MM - - - *
<= $100MM - - - 5
> $100MM - - - *
GNMA
AVERAGE PRICE - * * 13.1
Weighted Avg. Price - * * 8.9
Avg. Price Bottom 5 Trades - * * 11.0
2nd Quartile Price - * * 14.6
3rd Quartile Price - * * 18.5
4th Quartile Price - * * 18.5
Avg. Price Top 5 Trades - * * 17.1
Standard Deviation - * * 7.0
VOLUME OF TRADES (000'S) - * * 331,813.5
Customer Buy - * * *
Customer Sell - - - *
Dealer to Dealer - - * -
<= $1MM - * * -
<= $10MM - - - *
<= $100MM - - - 324,805.1
> $100MM - - - -
NUMBER OF TRADES - * * 7
Customer Buy - * * *
Customer Sell - - - *
Dealer to Dealer - - * -
<= $1MM - * * -
<= $10MM - - - *
<= $100MM - - - 6
> $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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