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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 93.7 87.3 * 82.7
Weighted Avg. Price 100.1 91.4 * 72.1
Avg. Price Bottom 5 Trades 87.8 75.9 * 47.6
2nd Quartile Price 88.0 82.8 * 56.5
3rd Quartile Price 92.0 90.5 * 97.3
4th Quartile Price 99.0 94.3 * 99.7
Avg. Price Top 5 Trades 100.4 96.8 * 100.9
Standard Deviation 5.4 10.5 * 20.5
VOLUME OF TRADES (000'S) 129.3 15,229.4 * 202,272.2
Customer Buy 84.5 15,036.6 - 85,164.1
Customer Sell * 10.7 * 48,416.3
Dealer to Dealer 38.7 182.0 * 68,691.8
<= $1MM 129.3 373.2 * 9,142.1
<= $10MM - * - 115,295.4
<= $100MM - * - *
> $100MM - - - -
NUMBER OF TRADES 20 21 * 74
Customer Buy 6 10 - 30
Customer Sell * 5 * 18
Dealer to Dealer 10 6 * 26
<= $1MM 20 18 * 45
<= $10MM - * - 25
<= $100MM - * - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.2 85.1 - 88.8
Weighted Avg. Price 100.9 92.5 - 89.7
Avg. Price Bottom 5 Trades 84.7 73.2 - 45.0
2nd Quartile Price 97.5 77.0 - 90.0
3rd Quartile Price 98.5 86.5 - 98.7
4th Quartile Price 100.0 92.9 - 100.0
Avg. Price Top 5 Trades 101.4 97.0 - 100.2
Standard Deviation 10.1 8.7 - 17.6
VOLUME OF TRADES (000'S) 2,975.1 4,284.9 - 198,272.9
Customer Buy 2,010.3 2,021.8 - 97,007.5
Customer Sell * 151.6 - 36,441.6
Dealer to Dealer 949.9 2,111.6 - 64,823.8
<= $1MM 2,975.1 1,031.9 - 16,047.6
<= $10MM - * - 60,687.9
<= $100MM - - - 121,537.3
> $100MM - - - -
NUMBER OF TRADES 31 51 - 72
Customer Buy 12 10 - 30
Customer Sell * 11 - 18
Dealer to Dealer 15 30 - 24
<= $1MM 31 49 - 45
<= $10MM - * - 21
<= $100MM - - - 6
> $100MM - - - -
GNMA
AVERAGE PRICE 96.6 87.7 82.7 91.0
Weighted Avg. Price 97.9 84.9 92.1 97.8
Avg. Price Bottom 5 Trades 87.5 77.3 76.2 46.7
2nd Quartile Price 97.1 85.4 81.3 91.0
3rd Quartile Price 97.7 91.5 92.8 96.3
4th Quartile Price 99.0 94.0 97.3 99.0
Avg. Price Top 5 Trades 100.0 95.7 92.3 104.3
Standard Deviation 7.0 7.5 16.8 13.7
VOLUME OF TRADES (000'S) 189.6 343.0 2,051.7 478,071.0
Customer Buy 54.8 123.3 * 169,289.0
Customer Sell 48.7 * * 53,981.9
Dealer to Dealer 86.1 186.5 151.1 254,800.2
<= $1MM 189.6 343.0 162.8 14,169.8
<= $10MM - - * 82,618.2
<= $100MM - - - 381,283.0
> $100MM - - - -
NUMBER OF TRADES 50 23 9 197
Customer Buy 18 6 * 84
Customer Sell 14 * * 57
Dealer to Dealer 18 13 5 56
<= $1MM 50 23 8 159
<= $10MM - - * 23
<= $100MM - - - 15
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - 13.5
Weighted Avg. Price - - - 12.7
Avg. Price Bottom 5 Trades - - - 10.7
2nd Quartile Price - - - 13.0
3rd Quartile Price - - - 13.1
4th Quartile Price - - - 13.2
Avg. Price Top 5 Trades - - - 16.3
Standard Deviation - - - 4.2
VOLUME OF TRADES (000'S) - - - 535,596.9
Customer Buy - - - 224,288.6
Customer Sell - - - 168,617.4
Dealer to Dealer - - - 142,690.8
<= $1MM - - - -
<= $10MM - - - 38,057.8
<= $100MM - - - 497,539.1
> $100MM - - - -
NUMBER OF TRADES - - - 21
Customer Buy - - - 8
Customer Sell - - - 8
Dealer to Dealer - - - 5
<= $1MM - - - -
<= $10MM - - - 7
<= $100MM - - - 14
> $100MM - - - -
FHLMC
AVERAGE PRICE - - - 17.5
Weighted Avg. Price - - - 8.6
Avg. Price Bottom 5 Trades - - - 8.0
2nd Quartile Price - - - 11.3
3rd Quartile Price - - - 13.2
4th Quartile Price - - - 13.3
Avg. Price Top 5 Trades - - - 25.4
Standard Deviation - - - 23.1
VOLUME OF TRADES (000'S) - - - 374,155.7
Customer Buy - - - 270,576.7
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - 259,658.0
> $100MM - - - *
NUMBER OF TRADES - - - 11
Customer Buy - - - 8
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - 6
> $100MM - - - *
GNMA
AVERAGE PRICE * - - 11.1
Weighted Avg. Price * - - 7.6
Avg. Price Bottom 5 Trades * - - 4.5
2nd Quartile Price * - - 6.2
3rd Quartile Price * - - 12.8
4th Quartile Price * - - 17.8
Avg. Price Top 5 Trades * - - 18.0
Standard Deviation * - - 5.4
VOLUME OF TRADES (000'S) * - - 272,068.2
Customer Buy - - - 132,347.7
Customer Sell * - - 93,205.0
Dealer to Dealer * - - *
<= $1MM * - - 2,891.2
<= $10MM - - - 38,144.0
<= $100MM - - - 231,032.9
> $100MM - - - -
NUMBER OF TRADES * - - 23
Customer Buy - - - 11
Customer Sell * - - 9
Dealer to Dealer * - - *
<= $1MM * - - 5
<= $10MM - - - 9
<= $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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