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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 98.6 86.4 94.7 90.2
Weighted Avg. Price 103.8 94.3 95.1 96.9
Avg. Price Bottom 5 Trades 98.6 60.2 88.6 56.8
2nd Quartile Price * 83.4 95.3 88.5
3rd Quartile Price * 91.5 98.9 96.8
4th Quartile Price * 95.4 98.9 99.9
Avg. Price Top 5 Trades 98.6 98.7 99.0 101.0
Standard Deviation 3.3 16.7 10.5 14.0
VOLUME OF TRADES (000'S) 1,571.5 13,699.0 5,067.3 266,957.5
Customer Buy - 2,494.6 4,066.0 182,682.7
Customer Sell 1,571.5 419.6 * 56,853.9
Dealer to Dealer - 10,784.7 * 27,420.9
<= $1MM * 3,506.5 1,759.7 12,412.4
<= $10MM * * * 88,570.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 5 41 12 73
Customer Buy - 11 5 35
Customer Sell 5 12 * 18
Dealer to Dealer - 18 * 20
<= $1MM * 39 11 45
<= $10MM * * * 25
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 90.0 92.0 95.7 94.9
Weighted Avg. Price 101.7 97.0 95.0 99.0
Avg. Price Bottom 5 Trades 70.6 81.6 93.6 72.4
2nd Quartile Price 92.0 86.0 93.9 94.3
3rd Quartile Price 98.8 94.8 96.9 98.4
4th Quartile Price 101.3 97.5 99.0 100.2
Avg. Price Top 5 Trades 102.3 98.6 97.8 100.9
Standard Deviation 25.7 6.9 2.6 8.7
VOLUME OF TRADES (000'S) 2,231.3 7,851.4 1,340.1 282,416.0
Customer Buy 1,054.8 4,007.8 * 81,382.5
Customer Sell 78.4 3,328.2 * 84,862.3
Dealer to Dealer 1,098.1 515.4 * 116,171.3
<= $1MM 2,231.3 1,227.4 1,340.1 12,731.6
<= $10MM - * - 68,574.6
<= $100MM - - - 201,109.8
> $100MM - - - -
NUMBER OF TRADES 29 32 10 80
Customer Buy 5 9 * 36
Customer Sell 14 9 * 25
Dealer to Dealer 10 14 * 19
<= $1MM 29 29 10 53
<= $10MM - * - 21
<= $100MM - - - 6
> $100MM - - - -
GNMA
AVERAGE PRICE 94.8 88.3 91.8 87.5
Weighted Avg. Price 98.2 92.7 94.5 96.5
Avg. Price Bottom 5 Trades 88.3 82.3 89.2 41.8
2nd Quartile Price 97.1 86.3 87.2 87.5
3rd Quartile Price 98.5 93.5 94.5 97.3
4th Quartile Price 99.5 94.3 95.1 99.5
Avg. Price Top 5 Trades 99.6 95.3 94.8 101.3
Standard Deviation 7.3 8.6 3.9 19.0
VOLUME OF TRADES (000'S) 58.2 194.0 49,649.7 562,521.5
Customer Buy 18.0 * 25,548.0 313,352.3
Customer Sell 33.6 15.0 * 108,309.9
Dealer to Dealer 6.7 45.4 * 140,859.3
<= $1MM 58.2 194.0 333.7 13,862.0
<= $10MM - - * 121,238.4
<= $100MM - - * 427,421.1
> $100MM - - - -
NUMBER OF TRADES 20 17 11 213
Customer Buy 5 * 5 98
Customer Sell 10 5 * 58
Dealer to Dealer 5 8 * 57
<= $1MM 20 17 8 154
<= $10MM - - * 39
<= $100MM - - * 20
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - * * 12.1
Weighted Avg. Price - * * 9.5
Avg. Price Bottom 5 Trades - * * 4.9
2nd Quartile Price - * * 7.7
3rd Quartile Price - * * 12.8
4th Quartile Price - * * 17.0
Avg. Price Top 5 Trades - * * 18.4
Standard Deviation - * * 5.6
VOLUME OF TRADES (000'S) - * * 77,449.3
Customer Buy - - * 59,497.8
Customer Sell - * - 8,638.5
Dealer to Dealer - - * 9,313.0
<= $1MM - * * 2,565.8
<= $10MM - - - 18,350.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * * 21
Customer Buy - - * 9
Customer Sell - * - 6
Dealer to Dealer - - * 6
<= $1MM - * * 8
<= $10MM - - - 12
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - * - 11.6
Weighted Avg. Price - * - 6.0
Avg. Price Bottom 5 Trades - * - 10.1
2nd Quartile Price - * - 12.0
3rd Quartile Price - * - 14.6
4th Quartile Price - * - 14.9
Avg. Price Top 5 Trades - * - 13.3
Standard Deviation - * - 4.6
VOLUME OF TRADES (000'S) - * - 44,160.7
Customer Buy - * - *
Customer Sell - * - 27,079.8
Dealer to Dealer - - - *
<= $1MM - * - -
<= $10MM - - - 22,776.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * - 10
Customer Buy - * - *
Customer Sell - * - 5
Dealer to Dealer - - - *
<= $1MM - * - -
<= $10MM - - - 9
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE * * - 15.6
Weighted Avg. Price * * - 7.1
Avg. Price Bottom 5 Trades * * - 5.4
2nd Quartile Price * * - 8.7
3rd Quartile Price * * - 14.1
4th Quartile Price * * - 16.8
Avg. Price Top 5 Trades * * - 26.1
Standard Deviation * * - 16.9
VOLUME OF TRADES (000'S) * * - 289,952.4
Customer Buy - - - 200,665.0
Customer Sell - - - 66,689.4
Dealer to Dealer * * - *
<= $1MM * * - 1,711.2
<= $10MM - - - *
<= $100MM - - - 282,930.4
> $100MM - - - -
NUMBER OF TRADES * * - 23
Customer Buy - - - 10
Customer Sell - - - 10
Dealer to Dealer * * - *
<= $1MM * * - 10
<= $10MM - - - *
<= $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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