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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 92.7 88.1 93.2 91.1
Weighted Avg. Price 95.2 95.0 95.1 96.9
Avg. Price Bottom 5 Trades 84.3 76.8 93.2 59.1
2nd Quartile Price 92.0 85.8 * 86.6
3rd Quartile Price 95.6 91.0 * 98.5
4th Quartile Price 98.3 95.3 * 99.8
Avg. Price Top 5 Trades 98.9 97.3 93.2 100.4
Standard Deviation 11.4 7.9 2.3 13.5
VOLUME OF TRADES (000'S) 60.3 8,362.2 42,491.8 233,642.7
Customer Buy 19.0 4,238.1 * 90,823.5
Customer Sell 5.8 107.4 * 102,699.0
Dealer to Dealer 35.5 4,016.7 * 40,120.2
<= $1MM 60.3 656.1 * 10,790.2
<= $10MM - * - 81,022.7
<= $100MM - - * 141,829.8
> $100MM - - - -
NUMBER OF TRADES 21 26 5 56
Customer Buy 6 8 * 33
Customer Sell 9 5 * 9
Dealer to Dealer 6 13 * 14
<= $1MM 21 24 * 31
<= $10MM - * - 20
<= $100MM - - * 5
> $100MM - - - -
FHLMC
AVERAGE PRICE 95.1 87.9 87.9 87.1
Weighted Avg. Price 100.7 87.7 91.6 94.7
Avg. Price Bottom 5 Trades 85.3 80.0 83.8 41.3
2nd Quartile Price 92.0 84.8 88.8 82.9
3rd Quartile Price 95.7 90.8 93.3 94.2
4th Quartile Price 99.3 92.8 97.5 99.9
Avg. Price Top 5 Trades 100.4 95.4 94.3 101.6
Standard Deviation 4.7 7.9 9.6 18.1
VOLUME OF TRADES (000'S) 1,220.5 2,918.7 51,100.7 286,472.6
Customer Buy 565.7 2,325.0 * 100,702.4
Customer Sell 47.9 463.0 * 122,095.2
Dealer to Dealer 606.9 130.7 * 63,675.0
<= $1MM 1,220.5 741.3 955.6 4,071.5
<= $10MM - * * 84,768.0
<= $100MM - - * 197,633.1
> $100MM - - - -
NUMBER OF TRADES 53 19 10 59
Customer Buy 10 6 * 33
Customer Sell 18 5 * 7
Dealer to Dealer 25 8 * 19
<= $1MM 53 18 6 28
<= $10MM - * * 24
<= $100MM - - * 7
> $100MM - - - -
GNMA
AVERAGE PRICE 98.4 91.9 84.1 92.9
Weighted Avg. Price 99.6 88.9 93.4 97.7
Avg. Price Bottom 5 Trades 94.5 77.2 84.1 46.7
2nd Quartile Price 97.4 88.0 * 92.7
3rd Quartile Price 98.9 96.2 * 98.7
4th Quartile Price 99.8 98.0 * 99.8
Avg. Price Top 5 Trades 100.9 98.5 84.1 120.1
Standard Deviation 2.0 8.6 8.0 15.3
VOLUME OF TRADES (000'S) 1,302.2 1,620.5 11,573.7 896,012.4
Customer Buy 294.5 1,202.6 * 568,898.1
Customer Sell 407.3 * - 120,184.6
Dealer to Dealer 600.4 259.6 * 206,929.7
<= $1MM 1,302.2 575.6 * 11,167.0
<= $10MM - * - 128,822.4
<= $100MM - - * 756,023.1
> $100MM - - - -
NUMBER OF TRADES 70 24 5 150
Customer Buy 12 9 * 88
Customer Sell 25 * - 19
Dealer to Dealer 33 11 * 43
<= $1MM 70 23 * 87
<= $10MM - * - 32
<= $100MM - - * 31
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - 7.1
Weighted Avg. Price - - - 5.3
Avg. Price Bottom 5 Trades - - - 7.1
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 7.1
Standard Deviation - - - 4.8
VOLUME OF TRADES (000'S) - - - 322,226.4
Customer Buy - - - 322,226.4
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - - 5
Customer Buy - - - 5
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
FHLMC
AVERAGE PRICE - - * *
Weighted Avg. Price - - * *
Avg. Price Bottom 5 Trades - - * *
2nd Quartile Price - - * *
3rd Quartile Price - - * *
4th Quartile Price - - * *
Avg. Price Top 5 Trades - - * *
Standard Deviation - - * *
VOLUME OF TRADES (000'S) - - * *
Customer Buy - - * -
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - * -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - * *
Customer Buy - - * -
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - * -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - 8.4 15.1 9.5
Weighted Avg. Price - 8.2 15.8 6.9
Avg. Price Bottom 5 Trades - 6.8 14.3 3.2
2nd Quartile Price - 6.6 11.4 5.9
3rd Quartile Price - 9.8 16.2 7.0
4th Quartile Price - 11.6 20.1 11.3
Avg. Price Top 5 Trades - 9.9 16.4 21.9
Standard Deviation - 3.0 3.9 5.5
VOLUME OF TRADES (000'S) - 24,981.1 49,800.2 6,611,939.8
Customer Buy - - - 283,929.2
Customer Sell - 24,981.1 49,800.2 6,205,558.0
Dealer to Dealer - - - *
<= $1MM - * - 6,614.2
<= $10MM - 22,047.1 39,106.0 709,846.5
<= $100MM - - * 4,977,449.5
> $100MM - - - 918,029.6
NUMBER OF TRADES - 11 8 331
Customer Buy - - - 6
Customer Sell - 11 8 324
Dealer to Dealer - - - *
<= $1MM - * - 11
<= $10MM - 7 7 158
<= $100MM - - * 155
> $100MM - - - 7
* 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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