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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 98.1 92.2 92.2 94.7
Weighted Avg. Price 100.0 93.2 89.2 99.8
Avg. Price Bottom 5 Trades 94.0 80.2 84.2 66.6
2nd Quartile Price 96.8 90.8 92.8 97.7
3rd Quartile Price 98.0 93.7 94.9 99.6
4th Quartile Price 100.8 96.5 96.6 100.2
Avg. Price Top 5 Trades 102.7 98.5 97.1 101.0
Standard Deviation 3.0 6.5 6.1 11.0
VOLUME OF TRADES (000'S) 2,294.8 1,696.4 22,724.0 635,895.0
Customer Buy 486.0 * 8,596.1 107,997.3
Customer Sell 1,789.9 1,082.7 1,677.3 518,818.7
Dealer to Dealer 18.9 561.1 12,450.5 9,079.0
<= $1MM 780.6 1,696.4 3,693.0 6,808.1
<= $10MM * - 19,031.0 58,426.7
<= $100MM - - - 570,660.2
> $100MM - - - -
NUMBER OF TRADES 38 32 18 64
Customer Buy 11 * 5 22
Customer Sell 17 19 5 35
Dealer to Dealer 10 9 8 7
<= $1MM 37 32 11 36
<= $10MM * - 7 14
<= $100MM - - - 14
> $100MM - - - -
FHLMC
AVERAGE PRICE 94.4 89.5 * 94.7
Weighted Avg. Price 100.0 90.1 * 97.9
Avg. Price Bottom 5 Trades 84.7 76.3 * 69.3
2nd Quartile Price 92.6 84.5 * 96.7
3rd Quartile Price 96.0 92.6 * 98.0
4th Quartile Price 98.3 96.3 * 99.8
Avg. Price Top 5 Trades 100.2 98.1 * 101.0
Standard Deviation 5.2 8.0 * 9.7
VOLUME OF TRADES (000'S) 144.0 4,098.2 * 359,551.1
Customer Buy 82.8 1,834.1 - 162,767.8
Customer Sell 22.3 284.1 * 71,791.6
Dealer to Dealer 38.8 1,980.1 - 124,991.7
<= $1MM 144.0 1,206.8 * 8,226.6
<= $10MM - * - 105,589.6
<= $100MM - - - 245,734.8
> $100MM - - - -
NUMBER OF TRADES 46 34 * 77
Customer Buy 7 9 - 30
Customer Sell 21 11 * 28
Dealer to Dealer 18 14 - 19
<= $1MM 46 32 * 39
<= $10MM - * - 24
<= $100MM - - - 14
> $100MM - - - -
GNMA
AVERAGE PRICE 96.5 86.6 62.8 92.2
Weighted Avg. Price 101.2 90.6 76.7 98.8
Avg. Price Bottom 5 Trades 89.1 72.0 60.3 46.3
2nd Quartile Price 94.0 82.0 77.0 94.0
3rd Quartile Price 97.8 87.9 79.3 97.2
4th Quartile Price 99.6 94.2 80.6 98.9
Avg. Price Top 5 Trades 102.2 97.8 72.3 102.2
Standard Deviation 4.2 8.8 24.9 12.5
VOLUME OF TRADES (000'S) 562.6 1,508.5 35.8 491,477.2
Customer Buy 116.7 415.5 * 338,919.3
Customer Sell 181.2 756.4 * 116,275.1
Dealer to Dealer 264.7 336.5 * 36,282.8
<= $1MM 562.6 1,508.5 35.8 17,552.1
<= $10MM - - - 93,066.5
<= $100MM - - - 380,858.7
> $100MM - - - -
NUMBER OF TRADES 52 39 9 279
Customer Buy 13 11 * 97
Customer Sell 21 15 * 144
Dealer to Dealer 18 13 * 38
<= $1MM 52 39 9 243
<= $10MM - - - 22
<= $100MM - - - 14
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - * 14.4
Weighted Avg. Price - - * 12.7
Avg. Price Bottom 5 Trades - - * 14.4
2nd Quartile Price - - * *
3rd Quartile Price - - * *
4th Quartile Price - - * *
Avg. Price Top 5 Trades - - * 14.4
Standard Deviation - - * 1.7
VOLUME OF TRADES (000'S) - - * 42,312.2
Customer Buy - - - -
Customer Sell - - * 42,312.2
Dealer to Dealer - - - -
<= $1MM - - * *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - * 5
Customer Buy - - - -
Customer Sell - - * 5
Dealer to Dealer - - - -
<= $1MM - - * *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - 75.2 * 18.4
Weighted Avg. Price - 75.6 * 6.7
Avg. Price Bottom 5 Trades - 75.2 * 14.8
2nd Quartile Price - * * 22.7
3rd Quartile Price - * * 22.8
4th Quartile Price - * * 22.9
Avg. Price Top 5 Trades - 75.2 * 22.8
Standard Deviation - 0.9 * 7.6
VOLUME OF TRADES (000'S) - 9,952.6 * 145,396.4
Customer Buy - * * 97,236.3
Customer Sell - - - *
Dealer to Dealer - * - -
<= $1MM - - * *
<= $10MM - 9,952.6 - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - 5 * 9
Customer Buy - * * 5
Customer Sell - - - *
Dealer to Dealer - * - -
<= $1MM - - * *
<= $10MM - 5 - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - - - 14.9
Weighted Avg. Price - - - 9.5
Avg. Price Bottom 5 Trades - - - 11.2
2nd Quartile Price - - - 14.3
3rd Quartile Price - - - 14.5
4th Quartile Price - - - 16.9
Avg. Price Top 5 Trades - - - 18.8
Standard Deviation - - - 3.3
VOLUME OF TRADES (000'S) - - - 514,060.6
Customer Buy - - - 427,973.9
Customer Sell - - - 85,731.0
Dealer to Dealer - - - *
<= $1MM - - - 3,498.9
<= $10MM - - - *
<= $100MM - - - 191,870.0
> $100MM - - - *
NUMBER OF TRADES - - - 23
Customer Buy - - - 11
Customer Sell - - - 11
Dealer to Dealer - - - *
<= $1MM - - - 15
<= $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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