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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 90.8 88.0 79.1 92.0
Weighted Avg. Price 99.7 84.7 88.7 90.9
Avg. Price Bottom 5 Trades 75.5 75.9 79.1 53.7
2nd Quartile Price 92.0 84.6 * 87.3
3rd Quartile Price 94.0 88.5 * 99.2
4th Quartile Price 97.6 92.0 * 99.8
Avg. Price Top 5 Trades 100.7 98.9 79.1 101.1
Standard Deviation 13.3 7.2 11.2 12.7
VOLUME OF TRADES (000'S) 866.2 16,503.3 4,883.3 561,542.6
Customer Buy 344.0 1,907.6 * 307,386.0
Customer Sell 177.2 14,049.3 - 91,953.7
Dealer to Dealer 345.0 546.4 * 162,202.9
<= $1MM 866.2 1,986.8 1,794.9 10,768.2
<= $10MM - * * 189,716.2
<= $100MM - * - 361,058.3
> $100MM - - - -
NUMBER OF TRADES 35 52 6 110
Customer Buy 5 8 * 61
Customer Sell 16 23 - 18
Dealer to Dealer 14 21 * 31
<= $1MM 35 50 5 42
<= $10MM - * * 53
<= $100MM - * - 15
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.6 87.2 83.5 86.0
Weighted Avg. Price 102.2 91.7 87.3 90.7
Avg. Price Bottom 5 Trades 89.2 67.2 71.9 43.8
2nd Quartile Price 96.8 82.0 74.6 68.7
3rd Quartile Price 98.3 92.5 92.3 99.1
4th Quartile Price 99.7 96.3 97.0 99.9
Avg. Price Top 5 Trades 102.2 98.3 96.3 101.6
Standard Deviation 4.1 12.1 12.4 21.0
VOLUME OF TRADES (000'S) 4,749.5 69,050.6 20,172.8 336,749.4
Customer Buy 1,876.1 252.8 * 170,890.1
Customer Sell 495.9 364.3 * 97,167.8
Dealer to Dealer 2,377.5 68,433.5 9,361.9 68,691.5
<= $1MM 1,932.0 720.9 2,269.2 13,506.6
<= $10MM * * 17,903.6 109,731.4
<= $100MM - * - 213,511.4
> $100MM - - - -
NUMBER OF TRADES 53 27 13 84
Customer Buy 8 10 * 36
Customer Sell 23 6 * 13
Dealer to Dealer 22 11 5 35
<= $1MM 51 24 7 45
<= $10MM * * 6 31
<= $100MM - * - 8
> $100MM - - - -
GNMA
AVERAGE PRICE 95.5 86.2 84.3 95.0
Weighted Avg. Price 97.2 87.5 91.7 97.0
Avg. Price Bottom 5 Trades 90.7 68.1 79.9 60.1
2nd Quartile Price 92.0 80.3 78.3 94.5
3rd Quartile Price 96.8 86.8 82.5 97.9
4th Quartile Price 98.8 96.6 92.3 99.5
Avg. Price Top 5 Trades 100.7 99.6 87.9 100.9
Standard Deviation 4.0 10.8 6.4 7.7
VOLUME OF TRADES (000'S) 74.0 4,983.8 2,517.8 1,081,114.3
Customer Buy 20.2 3,626.0 * 566,550.4
Customer Sell 20.0 116.7 * 278,950.8
Dealer to Dealer 33.8 1,241.0 1,211.8 235,613.0
<= $1MM 74.0 2,260.4 146.2 19,121.7
<= $10MM - * * 291,310.3
<= $100MM - - - 770,682.3
> $100MM - - - -
NUMBER OF TRADES 38 58 11 283
Customer Buy 7 11 * 172
Customer Sell 13 14 * 48
Dealer to Dealer 18 33 5 63
<= $1MM 38 57 9 167
<= $10MM - * * 79
<= $100MM - - - 37
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 1.3 3.8 3.6 14.6
Weighted Avg. Price 1.1 9.6 6.4 18.7
Avg. Price Bottom 5 Trades 1.1 2.0 2.7 9.4
2nd Quartile Price 1.0 0.4 0.2 11.1
3rd Quartile Price 1.4 4.8 1.0 15.9
4th Quartile Price 2.7 8.6 10.3 22.8
Avg. Price Top 5 Trades 1.5 5.9 4.4 19.6
Standard Deviation 0.7 3.9 4.9 6.1
VOLUME OF TRADES (000'S) 18.9 4,629.3 21.6 424,386.7
Customer Buy - * * 200,533.9
Customer Sell * * * *
Dealer to Dealer * * * *
<= $1MM 18.9 298.3 21.6 *
<= $10MM - * - *
<= $100MM - - - 262,982.3
> $100MM - - - *
NUMBER OF TRADES 6 8 10 11
Customer Buy - * * 7
Customer Sell * * * *
Dealer to Dealer * * * *
<= $1MM 6 7 10 *
<= $10MM - * - *
<= $100MM - - - 5
> $100MM - - - *
FHLMC
AVERAGE PRICE 3.9 2.4 - 13.1
Weighted Avg. Price 4.6 9.1 - 11.3
Avg. Price Bottom 5 Trades 2.5 1.1 - 10.4
2nd Quartile Price 2.3 1.0 - 10.8
3rd Quartile Price 5.0 1.9 - 12.9
4th Quartile Price 6.0 9.2 - 21.9
Avg. Price Top 5 Trades 5.7 3.0 - 15.0
Standard Deviation 2.0 3.1 - 5.2
VOLUME OF TRADES (000'S) 31.6 2,480.8 - 169,548.3
Customer Buy - * - *
Customer Sell 16.8 * - *
Dealer to Dealer 14.9 * - -
<= $1MM 31.6 33.3 - -
<= $10MM - * - *
<= $100MM - - - 160,650.7
> $100MM - - - -
NUMBER OF TRADES 11 7 - 7
Customer Buy - * - *
Customer Sell 6 * - *
Dealer to Dealer 5 * - -
<= $1MM 11 6 - -
<= $10MM - * - *
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE * - * 7.7
Weighted Avg. Price * - * 6.6
Avg. Price Bottom 5 Trades * - * 4.6
2nd Quartile Price * - * 6.4
3rd Quartile Price * - * 8.1
4th Quartile Price * - * 13.4
Avg. Price Top 5 Trades * - * 11.0
Standard Deviation * - * 5.8
VOLUME OF TRADES (000'S) * - * 159,429.4
Customer Buy - - - *
Customer Sell * - * *
Dealer to Dealer * - * *
<= $1MM * - * *
<= $10MM - - - *
<= $100MM - - - 157,733.3
> $100MM - - - -
NUMBER OF TRADES * - * 8
Customer Buy - - - *
Customer Sell * - * *
Dealer to Dealer * - * *
<= $1MM * - * *
<= $10MM - - - *
<= $100MM - - - 5
> $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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