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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 83.9 87.7 88.9
Weighted Avg. Price 98.3 93.0 83.9 92.2
Avg. Price Bottom 5 Trades 88.3 60.8 86.2 48.0
2nd Quartile Price 94.0 75.0 82.4 86.4
3rd Quartile Price 98.2 89.0 94.7 97.4
4th Quartile Price 100.0 96.0 95.0 99.0
Avg. Price Top 5 Trades 100.2 100.1 89.1 100.5
Standard Deviation 4.8 15.0 7.0 16.7
VOLUME OF TRADES (000'S) 291.9 445.9 1,756.8 262,735.0
Customer Buy 75.0 * * 154,309.4
Customer Sell 84.8 324.1 * 61,376.0
Dealer to Dealer 132.1 68.5 - 47,049.6
<= $1MM 291.9 445.9 1,756.8 16,214.5
<= $10MM - - - 57,809.3
<= $100MM - - - 188,711.2
> $100MM - - - -
NUMBER OF TRADES 35 33 6 109
Customer Buy 7 * * 61
Customer Sell 13 19 * 19
Dealer to Dealer 15 12 - 29
<= $1MM 35 33 6 83
<= $10MM - - - 17
<= $100MM - - - 9
> $100MM - - - -
FHLMC
AVERAGE PRICE 95.2 90.2 78.5 88.6
Weighted Avg. Price 97.1 98.4 90.8 96.6
Avg. Price Bottom 5 Trades 90.8 77.2 64.3 42.7
2nd Quartile Price 92.0 84.0 95.5 89.8
3rd Quartile Price 96.4 94.5 96.3 97.5
4th Quartile Price 97.8 96.4 98.0 99.1
Avg. Price Top 5 Trades 98.9 98.7 98.3 100.1
Standard Deviation 3.3 7.9 36.4 17.7
VOLUME OF TRADES (000'S) 4,616.1 1,278.6 573.2 341,821.5
Customer Buy 2,292.1 1,092.2 * 220,177.6
Customer Sell 2,251.1 67.2 276.3 63,073.9
Dealer to Dealer 72.9 119.2 * 58,570.0
<= $1MM 1,098.7 268.1 573.2 11,905.4
<= $10MM * * - 143,559.8
<= $100MM - - - 186,356.3
> $100MM - - - -
NUMBER OF TRADES 42 38 12 100
Customer Buy 5 7 * 52
Customer Sell 22 18 5 21
Dealer to Dealer 15 13 * 27
<= $1MM 40 37 12 59
<= $10MM * * - 31
<= $100MM - - - 10
> $100MM - - - -
GNMA
AVERAGE PRICE 96.9 86.9 * 92.7
Weighted Avg. Price 101.2 87.1 * 95.8
Avg. Price Bottom 5 Trades 94.2 68.3 * 42.6
2nd Quartile Price 95.0 82.0 * 93.0
3rd Quartile Price 96.9 89.0 * 98.3
4th Quartile Price 99.8 95.0 * 99.3
Avg. Price Top 5 Trades 101.4 98.0 * 103.9
Standard Deviation 2.7 9.7 * 13.3
VOLUME OF TRADES (000'S) 10,340.2 430.5 * 870,153.9
Customer Buy 3,456.7 126.9 * 580,710.1
Customer Sell 3,483.4 168.1 * 94,299.3
Dealer to Dealer 3,400.1 135.5 * 195,144.5
<= $1MM 228.8 430.5 * 25,761.0
<= $10MM * - - 227,718.1
<= $100MM - - - 616,674.8
> $100MM - - - -
NUMBER OF TRADES 43 54 * 362
Customer Buy 8 11 * 256
Customer Sell 19 23 * 40
Dealer to Dealer 16 20 * 66
<= $1MM 40 54 * 280
<= $10MM * - - 56
<= $100MM - - - 26
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * 5.0 13.8
Weighted Avg. Price * * 9.5 8.9
Avg. Price Bottom 5 Trades * * 5.0 11.0
2nd Quartile Price * * * 12.9
3rd Quartile Price * * * 13.2
4th Quartile Price * * * 18.6
Avg. Price Top 5 Trades * * 5.0 14.7
Standard Deviation * * 1.7 4.1
VOLUME OF TRADES (000'S) * * 22,294.1 195,339.4
Customer Buy - - * *
Customer Sell * * 11,147.1 27,844.3
Dealer to Dealer - * 366.9 26,485.4
<= $1MM * * 733.9 *
<= $10MM - - - 60,953.2
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES * * 18 18
Customer Buy - - * *
Customer Sell * * 9 8
Dealer to Dealer - * 8 7
<= $1MM * * 16 *
<= $10MM - - - 12
<= $100MM - - * *
> $100MM - - - -
FHLMC
AVERAGE PRICE - 4.0 5.9 12.9
Weighted Avg. Price - 4.0 14.0 8.7
Avg. Price Bottom 5 Trades - 4.0 5.3 5.3
2nd Quartile Price - * 3.9 12.9
3rd Quartile Price - * 4.0 13.2
4th Quartile Price - * 9.5 13.2
Avg. Price Top 5 Trades - 4.0 7.3 14.2
Standard Deviation - 0.1 4.2 3.8
VOLUME OF TRADES (000'S) - 3,804.8 10,636.9 489,556.2
Customer Buy - - * 248,630.4
Customer Sell - * 5,318.5 171,345.8
Dealer to Dealer - * 210.3 69,580.0
<= $1MM - 3,804.8 420.6 8,101.9
<= $10MM - - * 55,286.9
<= $100MM - - - 222,635.9
> $100MM - - - *
NUMBER OF TRADES - 7 18 40
Customer Buy - - * 7
Customer Sell - * 9 17
Dealer to Dealer - * 7 16
<= $1MM - 7 14 15
<= $10MM - - * 15
<= $100MM - - - 8
> $100MM - - - *
GNMA
AVERAGE PRICE - - 5.4 8.7
Weighted Avg. Price - - 6.6 3.9
Avg. Price Bottom 5 Trades - - 5.4 3.1
2nd Quartile Price - - * 3.7
3rd Quartile Price - - * 8.7
4th Quartile Price - - * 17.9
Avg. Price Top 5 Trades - - 5.4 15.2
Standard Deviation - - 2.1 7.4
VOLUME OF TRADES (000'S) - - 770.1 488,514.5
Customer Buy - - - 383,649.5
Customer Sell - - 385.0 *
Dealer to Dealer - - 385.0 *
<= $1MM - - 770.1 *
<= $10MM - - - *
<= $100MM - - - 303,991.9
> $100MM - - - *
NUMBER OF TRADES - - 10 11
Customer Buy - - - 6
Customer Sell - - 5 *
Dealer to Dealer - - 5 *
<= $1MM - - 10 *
<= $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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