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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 97.2 88.9 78.9 86.7
Weighted Avg. Price 99.2 103.5 84.4 98.3
Avg. Price Bottom 5 Trades 92.5 68.8 74.9 50.9
2nd Quartile Price 96.1 75.0 82.6 79.7
3rd Quartile Price 97.6 96.3 83.6 98.0
4th Quartile Price 100.0 98.8 92.3 100.3
Avg. Price Top 5 Trades 101.1 101.3 85.4 100.6
Standard Deviation 3.5 13.4 11.6 17.8
VOLUME OF TRADES (000'S) 1,374.0 107,121.3 5,115.5 190,966.3
Customer Buy 529.1 54,057.8 * 123,006.1
Customer Sell 776.2 259.2 * 2,013.1
Dealer to Dealer 68.7 52,804.4 * 65,947.0
<= $1MM 1,374.0 4,090.0 1,615.5 7,338.1
<= $10MM - * * 67,601.9
<= $100MM - * - 116,026.2
> $100MM - - - -
NUMBER OF TRADES 41 38 7 55
Customer Buy 16 16 * 37
Customer Sell 14 11 * 5
Dealer to Dealer 11 11 * 13
<= $1MM 41 35 6 32
<= $10MM - * * 18
<= $100MM - * - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE 98.0 88.7 96.3 90.7
Weighted Avg. Price 98.8 93.2 94.8 91.8
Avg. Price Bottom 5 Trades 91.1 76.3 95.5 48.8
2nd Quartile Price 97.6 82.3 94.8 81.6
3rd Quartile Price 98.2 93.6 97.5 98.8
4th Quartile Price 100.3 96.0 98.2 100.3
Avg. Price Top 5 Trades 101.3 98.1 97.2 101.9
Standard Deviation 3.9 9.0 1.9 15.5
VOLUME OF TRADES (000'S) 381.3 195.1 9,127.2 121,149.0
Customer Buy 252.7 151.1 8,839.9 62,430.0
Customer Sell 30.8 28.3 * 29,512.3
Dealer to Dealer 97.7 15.7 - 29,206.8
<= $1MM 381.3 195.1 823.1 6,900.3
<= $10MM - - * 114,248.8
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 39 23 7 62
Customer Buy 15 8 6 32
Customer Sell 14 8 * 11
Dealer to Dealer 10 7 - 19
<= $1MM 39 23 5 33
<= $10MM - - * 29
<= $100MM - - - -
> $100MM - - - -
GNMA
AVERAGE PRICE 98.5 84.8 85.6 89.6
Weighted Avg. Price 101.3 96.6 81.3 97.0
Avg. Price Bottom 5 Trades 95.5 71.4 85.6 45.4
2nd Quartile Price 97.6 77.0 * 84.3
3rd Quartile Price 98.7 84.8 * 98.0
4th Quartile Price 99.9 95.1 * 99.9
Avg. Price Top 5 Trades 101.2 98.0 85.6 103.6
Standard Deviation 1.9 10.2 9.4 16.7
VOLUME OF TRADES (000'S) 8,071.5 3,161.2 46.4 328,335.9
Customer Buy 7,928.0 1,844.8 * 138,268.6
Customer Sell 41.1 60.2 * 63,056.7
Dealer to Dealer 102.5 1,256.2 - 127,010.5
<= $1MM 212.1 1,136.9 46.4 5,129.5
<= $10MM * * - 104,241.0
<= $100MM - - - 218,965.3
> $100MM - - - -
NUMBER OF TRADES 41 31 5 124
Customer Buy 13 7 * 68
Customer Sell 13 9 * 17
Dealer to Dealer 15 15 - 39
<= $1MM 39 29 5 88
<= $10MM * * - 28
<= $100MM - - - 8
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * - 15.7
Weighted Avg. Price * * - 17.4
Avg. Price Bottom 5 Trades * * - 14.9
2nd Quartile Price * * - 12.8
3rd Quartile Price * * - 17.5
4th Quartile Price * * - 20.5
Avg. Price Top 5 Trades * * - 16.6
Standard Deviation * * - 4.0
VOLUME OF TRADES (000'S) * * - 152,060.3
Customer Buy * - - 147,624.8
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM * * - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * - 7
Customer Buy * - - 5
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM * * - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * 5.9 * 12.6
Weighted Avg. Price * 8.1 * 1.8
Avg. Price Bottom 5 Trades * 5.9 * 1.9
2nd Quartile Price * * * 5.8
3rd Quartile Price * * * 16.8
4th Quartile Price * * * 22.8
Avg. Price Top 5 Trades * 5.9 * 21.8
Standard Deviation * 3.3 * 9.2
VOLUME OF TRADES (000'S) * 1,366.3 * 1,981,967.5
Customer Buy * * - 1,794,816.8
Customer Sell - * * 187,150.7
Dealer to Dealer - - - -
<= $1MM * 1,366.3 * 2,682.3
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - 1,818,731.0
NUMBER OF TRADES * 5 * 18
Customer Buy * * - 11
Customer Sell - * * 7
Dealer to Dealer - - - -
<= $1MM * 5 * 6
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - 6
GNMA
AVERAGE PRICE * * - 13.7
Weighted Avg. Price * * - 3.2
Avg. Price Bottom 5 Trades * * - 1.8
2nd Quartile Price * * - 6.3
3rd Quartile Price * * - 14.5
4th Quartile Price * * - 15.8
Avg. Price Top 5 Trades * * - 30.5
Standard Deviation * * - 13.7
VOLUME OF TRADES (000'S) * * - 1,024,402.1
Customer Buy * * - 888,472.7
Customer Sell - - - 131,694.6
Dealer to Dealer - - - *
<= $1MM * * - *
<= $10MM - - - 50,418.2
<= $100MM - - - 387,469.3
> $100MM - - - *
NUMBER OF TRADES * * - 28
Customer Buy * * - 12
Customer Sell - - - 14
Dealer to Dealer - - - *
<= $1MM * * - *
<= $10MM - - - 15
<= $100MM - - - 7
> $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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