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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 95.4 90.2 75.3 83.1
Weighted Avg. Price 99.3 92.9 90.7 92.2
Avg. Price Bottom 5 Trades 86.3 65.0 52.5 41.0
2nd Quartile Price 92.0 86.1 65.0 81.1
3rd Quartile Price 98.0 92.3 82.0 90.8
4th Quartile Price 99.1 96.6 91.6 98.8
Avg. Price Top 5 Trades 100.6 100.0 95.0 100.4
Standard Deviation 12.5 9.6 16.6 19.6
VOLUME OF TRADES (000'S) 778.2 18,646.5 23,329.9 167,098.6
Customer Buy 206.5 5,320.3 19,206.0 79,103.9
Customer Sell 346.9 5,171.9 4,010.0 59,794.8
Dealer to Dealer 224.8 8,154.3 113.9 28,199.9
<= $1MM 778.2 3,716.8 1,601.7 12,921.4
<= $10MM - 14,929.6 21,728.2 65,535.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 64 64 27 86
Customer Buy 16 21 11 30
Customer Sell 23 18 8 31
Dealer to Dealer 25 25 8 25
<= $1MM 64 57 22 62
<= $10MM - 7 5 20
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.3 86.7 72.2 86.5
Weighted Avg. Price 99.1 93.3 91.9 91.5
Avg. Price Bottom 5 Trades 80.6 59.7 34.8 50.7
2nd Quartile Price 97.3 79.8 76.8 83.3
3rd Quartile Price 98.5 89.1 85.0 95.2
4th Quartile Price 99.6 97.8 93.6 99.4
Avg. Price Top 5 Trades 102.3 99.0 94.7 100.7
Standard Deviation 12.3 11.5 30.8 16.5
VOLUME OF TRADES (000'S) 2,485.3 39,445.1 14,068.3 143,467.8
Customer Buy 355.4 4,321.5 * 27,781.6
Customer Sell 1,945.9 31,805.6 4,995.8 103,435.6
Dealer to Dealer 183.9 3,317.9 8,950.7 12,250.6
<= $1MM 856.6 4,088.5 700.1 6,723.4
<= $10MM * * * 44,652.8
<= $100MM - * - *
> $100MM - - - -
NUMBER OF TRADES 68 72 16 65
Customer Buy 20 21 * 21
Customer Sell 30 20 7 28
Dealer to Dealer 18 31 5 16
<= $1MM 67 68 13 48
<= $10MM * * * 14
<= $100MM - * - *
> $100MM - - - -
GNMA
AVERAGE PRICE 97.4 89.1 80.1 87.6
Weighted Avg. Price 99.2 96.3 87.5 98.0
Avg. Price Bottom 5 Trades 93.2 68.0 69.8 43.8
2nd Quartile Price 96.0 82.6 72.4 77.0
3rd Quartile Price 98.0 93.6 76.3 97.2
4th Quartile Price 99.8 97.9 89.4 99.5
Avg. Price Top 5 Trades 100.3 99.8 93.4 103.6
Standard Deviation 3.1 11.5 10.7 17.8
VOLUME OF TRADES (000'S) 1,418.4 4,346.3 9,324.7 507,718.9
Customer Buy 380.4 56.4 8,292.9 154,012.4
Customer Sell 166.5 2,241.8 742.0 70,956.8
Dealer to Dealer 871.5 2,048.1 289.7 282,749.6
<= $1MM 1,418.4 4,346.3 1,717.3 22,118.3
<= $10MM - - * 26,573.0
<= $100MM - - - 229,454.6
> $100MM - - - *
NUMBER OF TRADES 34 43 23 201
Customer Buy 9 7 7 104
Customer Sell 13 18 8 37
Dealer to Dealer 12 18 8 60
<= $1MM 34 43 22 180
<= $10MM - - * 12
<= $100MM - - - 8
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 22.4 24.6 22.8 15.4
Weighted Avg. Price 3.0 68.7 20.3 18.5
Avg. Price Bottom 5 Trades 22.4 24.6 22.8 10.1
2nd Quartile Price * * * 11.9
3rd Quartile Price * * * 16.2
4th Quartile Price * * * 19.8
Avg. Price Top 5 Trades 22.4 24.6 22.8 21.9
Standard Deviation 33.5 30.2 29.4 4.2
VOLUME OF TRADES (000'S) 8,359.1 1,019.7 12,527.5 244,425.7
Customer Buy - * * 89,022.6
Customer Sell 8,358.0 * * 155,403.1
Dealer to Dealer * - - -
<= $1MM * 1,019.7 * 4,106.0
<= $10MM * - * 52,981.3
<= $100MM - - - 187,338.4
> $100MM - - - -
NUMBER OF TRADES 7 5 5 31
Customer Buy - * * 8
Customer Sell 6 * * 23
Dealer to Dealer * - - -
<= $1MM * 5 * 11
<= $10MM * - * 13
<= $100MM - - - 7
> $100MM - - - -
FHLMC
AVERAGE PRICE 4.9 * * 17.8
Weighted Avg. Price 1.8 * * 17.6
Avg. Price Bottom 5 Trades 4.9 * * 11.0
2nd Quartile Price * * * 14.3
3rd Quartile Price * * * 19.6
4th Quartile Price * * * 21.9
Avg. Price Top 5 Trades 4.9 * * 23.4
Standard Deviation 2.8 * * 4.4
VOLUME OF TRADES (000'S) 287.5 * * 1,174,534.4
Customer Buy * * * 497,394.5
Customer Sell * * - 589,093.5
Dealer to Dealer * - - *
<= $1MM 287.5 * * 1,246.7
<= $10MM - - - 41,716.2
<= $100MM - - - 800,534.6
> $100MM - - - *
NUMBER OF TRADES 5 * * 35
Customer Buy * * * 12
Customer Sell * * - 21
Dealer to Dealer * - - *
<= $1MM 5 * * 5
<= $10MM - - - 7
<= $100MM - - - 21
> $100MM - - - *
GNMA
AVERAGE PRICE - 9.1 8.5 10.1
Weighted Avg. Price - 8.9 13.1 6.8
Avg. Price Bottom 5 Trades - 7.1 8.5 4.3
2nd Quartile Price - 8.0 * 7.5
3rd Quartile Price - 8.1 * 9.3
4th Quartile Price - 15.3 * 12.9
Avg. Price Top 5 Trades - 10.5 8.5 19.2
Standard Deviation - 4.3 7.3 5.0
VOLUME OF TRADES (000'S) - 1,019.3 1,887.0 814,450.7
Customer Buy - * - 447,806.7
Customer Sell - * 1,887.0 366,644.0
Dealer to Dealer - * - -
<= $1MM - 1,019.3 * *
<= $10MM - - * 113,081.5
<= $100MM - - - 399,093.3
> $100MM - - - *
NUMBER OF TRADES - 8 5 35
Customer Buy - * - 16
Customer Sell - * 5 19
Dealer to Dealer - * - -
<= $1MM - 8 * *
<= $10MM - - * 22
<= $100MM - - - 9
> $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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