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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 88.3 81.2 83.5 84.4
Weighted Avg. Price 98.8 97.1 88.3 99.2
Avg. Price Bottom 5 Trades 68.8 38.7 70.6 48.6
2nd Quartile Price 94.0 77.4 83.3 74.3
3rd Quartile Price 96.9 86.6 88.3 94.7
4th Quartile Price 98.7 91.5 93.8 99.9
Avg. Price Top 5 Trades 100.0 99.2 95.8 100.5
Standard Deviation 18.6 20.4 13.5 19.4
VOLUME OF TRADES (000'S) 7,846.8 13,953.1 12,606.1 246,709.2
Customer Buy 2,733.8 4,599.3 10,898.2 174,701.3
Customer Sell 34.7 5,655.3 * 61,050.6
Dealer to Dealer 5,078.3 3,698.5 959.6 10,957.3
<= $1MM 249.0 2,855.4 3,060.3 7,794.8
<= $10MM * * * 46,937.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 24 48 15 53
Customer Buy 10 17 7 22
Customer Sell 7 11 * 17
Dealer to Dealer 7 20 6 14
<= $1MM 21 44 14 35
<= $10MM * * * 15
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 89.1 85.1 83.9 92.0
Weighted Avg. Price 101.0 95.4 92.2 92.9
Avg. Price Bottom 5 Trades 57.4 68.9 70.5 59.0
2nd Quartile Price 87.8 76.7 70.8 90.4
3rd Quartile Price 97.5 85.5 92.3 97.9
4th Quartile Price 99.0 98.5 96.6 99.9
Avg. Price Top 5 Trades 101.5 99.5 95.7 100.7
Standard Deviation 15.9 11.2 12.0 12.6
VOLUME OF TRADES (000'S) 551.3 7,763.9 25,243.5 493,581.6
Customer Buy 429.6 2,903.5 312.6 117,405.2
Customer Sell 86.1 4,441.5 * 189,026.2
Dealer to Dealer 35.6 418.9 107.2 187,150.2
<= $1MM 551.3 2,365.9 437.6 12,360.2
<= $10MM - * - 84,290.8
<= $100MM - - * 396,930.6
> $100MM - - - -
NUMBER OF TRADES 52 43 15 78
Customer Buy 21 16 6 29
Customer Sell 16 8 * 18
Dealer to Dealer 15 19 6 31
<= $1MM 52 40 14 42
<= $10MM - * - 24
<= $100MM - - * 12
> $100MM - - - -
GNMA
AVERAGE PRICE 95.9 84.5 80.3 89.1
Weighted Avg. Price 97.9 92.5 92.3 95.1
Avg. Price Bottom 5 Trades 82.2 68.9 69.5 45.5
2nd Quartile Price 96.3 76.0 71.5 85.2
3rd Quartile Price 98.6 83.6 76.4 96.5
4th Quartile Price 99.4 96.2 89.1 99.6
Avg. Price Top 5 Trades 101.1 99.0 93.1 103.0
Standard Deviation 6.9 10.1 9.4 16.2
VOLUME OF TRADES (000'S) 311.2 8,983.6 42,119.3 218,683.2
Customer Buy 52.2 674.1 17,532.1 114,644.0
Customer Sell 22.1 7,607.4 19,495.5 64,418.0
Dealer to Dealer 236.9 702.1 5,091.7 39,621.3
<= $1MM 311.2 1,479.5 2,422.0 16,447.8
<= $10MM - * * 118,659.8
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES 42 67 28 166
Customer Buy 12 17 6 65
Customer Sell 11 19 8 34
Dealer to Dealer 19 31 14 67
<= $1MM 42 64 22 127
<= $10MM - * * 35
<= $100MM - - * *
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * 4.6 - 17.7
Weighted Avg. Price * 8.4 - 10.5
Avg. Price Bottom 5 Trades * 2.6 - 7.9
2nd Quartile Price * 2.4 - 8.7
3rd Quartile Price * 4.7 - 16.1
4th Quartile Price * 10.3 - 22.3
Avg. Price Top 5 Trades * 5.7 - 27.4
Standard Deviation * 3.5 - 17.8
VOLUME OF TRADES (000'S) * 6,779.8 - 418,191.7
Customer Buy * * - 208,541.7
Customer Sell - * - *
Dealer to Dealer * - - -
<= $1MM * * - *
<= $10MM - * - -
<= $100MM * - - 417,627.8
> $100MM - - - -
NUMBER OF TRADES * 7 - 10
Customer Buy * * - 6
Customer Sell - * - *
Dealer to Dealer * - - -
<= $1MM * * - *
<= $10MM - * - -
<= $100MM * - - 9
> $100MM - - - -
FHLMC
AVERAGE PRICE * * * 12.1
Weighted Avg. Price * * * 12.0
Avg. Price Bottom 5 Trades * * * 6.9
2nd Quartile Price * * * 7.6
3rd Quartile Price * * * 11.8
4th Quartile Price * * * 19.9
Avg. Price Top 5 Trades * * * 17.4
Standard Deviation * * * 6.1
VOLUME OF TRADES (000'S) * * * 523,928.1
Customer Buy * * * 404,150.7
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM * * * *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES * * * 11
Customer Buy * * * 7
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM * * * *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE * * - 10.2
Weighted Avg. Price * * - 7.9
Avg. Price Bottom 5 Trades * * - 6.9
2nd Quartile Price * * - 7.1
3rd Quartile Price * * - 9.8
4th Quartile Price * * - 20.3
Avg. Price Top 5 Trades * * - 12.1
Standard Deviation * * - 5.9
VOLUME OF TRADES (000'S) * * - 292,438.2
Customer Buy * * - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM * - - -
<= $10MM - * - *
<= $100MM - - - 291,323.2
> $100MM - - - -
NUMBER OF TRADES * * - 7
Customer Buy * * - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM * - - -
<= $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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