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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 95.8 87.1 75.5 81.6
Weighted Avg. Price 96.8 97.5 94.4 91.2
Avg. Price Bottom 5 Trades 88.5 71.8 57.4 46.3
2nd Quartile Price 94.7 77.5 59.1 77.0
3rd Quartile Price 97.9 85.0 85.8 91.2
4th Quartile Price 99.5 98.4 95.1 99.5
Avg. Price Top 5 Trades 101.0 104.8 94.8 100.7
Standard Deviation 5.5 12.0 18.4 19.7
VOLUME OF TRADES (000'S) 3,756.4 3,732.7 5,251.0 282,759.1
Customer Buy 2,189.2 394.2 * 100,194.0
Customer Sell 52.2 3,075.4 2,188.5 133,942.9
Dealer to Dealer 1,515.0 263.0 2,969.1 48,622.2
<= $1MM 1,694.8 825.7 330.3 13,509.8
<= $10MM * * * 31,022.7
<= $100MM - - - 238,226.6
> $100MM - - - -
NUMBER OF TRADES 49 36 16 61
Customer Buy 12 8 * 19
Customer Sell 19 13 7 21
Dealer to Dealer 18 15 7 21
<= $1MM 47 34 14 45
<= $10MM * * * 9
<= $100MM - - - 7
> $100MM - - - -
FHLMC
AVERAGE PRICE 94.1 84.3 89.0 82.7
Weighted Avg. Price 101.3 92.5 95.1 95.1
Avg. Price Bottom 5 Trades 81.0 70.6 85.7 44.9
2nd Quartile Price 92.0 76.3 93.2 75.8
3rd Quartile Price 96.5 85.3 95.0 96.0
4th Quartile Price 99.3 93.3 98.4 98.3
Avg. Price Top 5 Trades 101.8 98.1 95.5 100.4
Standard Deviation 6.9 9.7 16.2 19.5
VOLUME OF TRADES (000'S) 721.6 3,346.7 922.0 185,583.3
Customer Buy 555.0 1,029.0 * 64,673.3
Customer Sell 65.1 1,385.4 * 104,605.4
Dealer to Dealer 101.6 932.3 * 16,304.7
<= $1MM 721.6 3,346.7 922.0 4,930.6
<= $10MM - - - 26,688.0
<= $100MM - - - 153,964.7
> $100MM - - - -
NUMBER OF TRADES 77 43 7 57
Customer Buy 10 6 * 16
Customer Sell 31 21 * 21
Dealer to Dealer 36 16 * 20
<= $1MM 77 43 7 43
<= $10MM - - - 9
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE 97.2 87.0 81.5 82.6
Weighted Avg. Price 98.6 91.5 82.9 95.8
Avg. Price Bottom 5 Trades 89.7 73.3 78.0 38.9
2nd Quartile Price 96.0 80.9 77.8 63.8
3rd Quartile Price 98.4 91.3 78.7 96.0
4th Quartile Price 99.5 95.6 90.5 99.4
Avg. Price Top 5 Trades 101.6 98.6 82.6 100.2
Standard Deviation 3.9 9.9 7.2 21.5
VOLUME OF TRADES (000'S) 300.8 501.6 68.3 200,094.0
Customer Buy 63.2 70.6 * 91,557.4
Customer Sell 70.1 263.6 * 16,957.0
Dealer to Dealer 167.5 167.3 * 91,579.5
<= $1MM 300.8 501.6 68.3 15,876.4
<= $10MM - - - 59,606.2
<= $100MM - - - 124,611.4
> $100MM - - - -
NUMBER OF TRADES 63 30 9 204
Customer Buy 10 5 * 89
Customer Sell 21 9 * 31
Dealer to Dealer 32 16 * 84
<= $1MM 63 30 9 177
<= $10MM - - - 21
<= $100MM - - - 6
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 7.9 7.5 * 20.9
Weighted Avg. Price 7.9 7.6 * 24.0
Avg. Price Bottom 5 Trades 7.9 7.3 * 20.9
2nd Quartile Price * 8.4 * *
3rd Quartile Price * 8.6 * *
4th Quartile Price * 8.6 * *
Avg. Price Top 5 Trades 7.9 7.9 * 20.9
Standard Deviation 0.1 1.6 * 6.3
VOLUME OF TRADES (000'S) 2,597.8 6,306.7 * 167,398.8
Customer Buy * - * *
Customer Sell * * * *
Dealer to Dealer - * * *
<= $1MM 2,597.8 * * *
<= $10MM - * - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 5 6 * 5
Customer Buy * - * *
Customer Sell * * * *
Dealer to Dealer - * * *
<= $1MM 5 * * *
<= $10MM - * - -
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * 6.0 * 5.7
Weighted Avg. Price * 5.6 * 5.0
Avg. Price Bottom 5 Trades * 6.0 * 5.7
2nd Quartile Price * * * *
3rd Quartile Price * * * *
4th Quartile Price * * * *
Avg. Price Top 5 Trades * 6.0 * 5.7
Standard Deviation * 1.7 * 1.8
VOLUME OF TRADES (000'S) * 6,649.8 * 611,720.3
Customer Buy * * - *
Customer Sell * * * *
Dealer to Dealer - * - *
<= $1MM * * - *
<= $10MM - * * -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES * 5 * 6
Customer Buy * * - *
Customer Sell * * * *
Dealer to Dealer - * - *
<= $1MM * * - *
<= $10MM - * * -
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - * * 21.4
Weighted Avg. Price - * * 14.9
Avg. Price Bottom 5 Trades - * * 7.7
2nd Quartile Price - * * 13.9
3rd Quartile Price - * * 17.0
4th Quartile Price - * * 42.5
Avg. Price Top 5 Trades - * * 25.6
Standard Deviation - * * 14.0
VOLUME OF TRADES (000'S) - * * 142,683.6
Customer Buy - - - 136,655.0
Customer Sell - * * -
Dealer to Dealer - * * *
<= $1MM - * * 3,544.7
<= $10MM - - - 100,625.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * * 29
Customer Buy - - - 27
Customer Sell - * * -
Dealer to Dealer - * * *
<= $1MM - * * 8
<= $10MM - - - 19
<= $100MM - - - *
> $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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