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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 90.9 93.0 79.2 96.3
Weighted Avg. Price 97.3 95.4 85.6 100.3
Avg. Price Bottom 5 Trades 78.4 81.6 63.9 79.3
2nd Quartile Price 93.0 89.0 71.0 95.3
3rd Quartile Price 96.0 98.1 95.0 98.0
4th Quartile Price 99.0 98.9 97.5 99.9
Avg. Price Top 5 Trades 99.0 99.2 87.8 102.1
Standard Deviation 18.5 7.4 17.2 8.0
VOLUME OF TRADES (000'S) 112.3 4,546.7 623.7 905,082.2
Customer Buy 28.2 2,956.3 27.6 556,995.0
Customer Sell 17.4 29.8 - 269,798.8
Dealer to Dealer 66.7 1,560.6 596.1 78,288.5
<= $1MM 112.3 416.3 623.7 8,597.2
<= $10MM - * - 99,417.9
<= $100MM - - - 371,763.2
> $100MM - - - *
NUMBER OF TRADES 30 23 10 79
Customer Buy 6 9 5 36
Customer Sell 11 5 - 9
Dealer to Dealer 13 9 5 34
<= $1MM 30 20 10 42
<= $10MM - * - 24
<= $100MM - - - 10
> $100MM - - - *
FHLMC
AVERAGE PRICE 94.3 93.1 * 92.1
Weighted Avg. Price 104.7 95.3 * 100.0
Avg. Price Bottom 5 Trades 80.0 90.4 * 56.1
2nd Quartile Price 92.0 94.5 * 98.2
3rd Quartile Price 95.0 95.0 * 99.3
4th Quartile Price 99.4 99.5 * 100.1
Avg. Price Top 5 Trades 103.7 97.3 * 101.8
Standard Deviation 7.7 6.1 * 16.6
VOLUME OF TRADES (000'S) 3,835.0 518.8 * 294,867.6
Customer Buy 1,889.7 249.2 * 256,672.6
Customer Sell 54.3 * - 25,772.6
Dealer to Dealer 1,891.0 * - 12,422.4
<= $1MM 152.7 518.8 * 8,117.8
<= $10MM * - - 49,295.0
<= $100MM - - - 237,454.8
> $100MM - - - -
NUMBER OF TRADES 51 11 * 39
Customer Buy 12 5 * 23
Customer Sell 20 * - 6
Dealer to Dealer 19 * - 10
<= $1MM 49 11 * 22
<= $10MM * - - 12
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE 96.6 88.1 88.0 94.5
Weighted Avg. Price 101.6 101.7 92.6 96.8
Avg. Price Bottom 5 Trades 94.0 73.1 83.0 60.2
2nd Quartile Price 94.3 83.1 80.4 95.5
3rd Quartile Price 98.1 90.1 80.8 97.6
4th Quartile Price 99.3 96.6 102.6 98.9
Avg. Price Top 5 Trades 99.4 98.7 90.9 101.5
Standard Deviation 3.8 10.2 11.1 10.4
VOLUME OF TRADES (000'S) 106.7 1,320.5 14,996.5 149,670.0
Customer Buy * 1,099.6 * 32,041.1
Customer Sell 4.4 120.7 - 78,463.0
Dealer to Dealer * 100.3 * 39,165.9
<= $1MM 106.7 233.6 84.8 10,844.6
<= $10MM - * * 27,411.0
<= $100MM - - - 111,414.5
> $100MM - - - -
NUMBER OF TRADES 13 25 8 102
Customer Buy * 5 * 31
Customer Sell 9 12 - 24
Dealer to Dealer * 8 * 47
<= $1MM 13 24 5 86
<= $10MM - * * 9
<= $100MM - - - 7
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * - - 12.9
Weighted Avg. Price * - - 13.8
Avg. Price Bottom 5 Trades * - - 7.0
2nd Quartile Price * - - 12.3
3rd Quartile Price * - - 13.1
4th Quartile Price * - - 15.1
Avg. Price Top 5 Trades * - - 17.9
Standard Deviation * - - 3.4
VOLUME OF TRADES (000'S) * - - 90,221.6
Customer Buy - - - *
Customer Sell * - - 71,287.1
Dealer to Dealer - - - -
<= $1MM * - - 6,336.0
<= $10MM - - - 16,915.9
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * - - 34
Customer Buy - - - *
Customer Sell * - - 31
Dealer to Dealer - - - -
<= $1MM * - - 23
<= $10MM - - - 7
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - - - 12.2
Weighted Avg. Price - - - 10.4
Avg. Price Bottom 5 Trades - - - 5.5
2nd Quartile Price - - - 10.3
3rd Quartile Price - - - 12.8
4th Quartile Price - - - 14.7
Avg. Price Top 5 Trades - - - 18.7
Standard Deviation - - - 4.3
VOLUME OF TRADES (000'S) - - - 516,039.0
Customer Buy - - - 334,038.3
Customer Sell - - - 91,083.6
Dealer to Dealer - - - *
<= $1MM - - - 2,758.8
<= $10MM - - - 21,408.2
<= $100MM - - - 342,918.7
> $100MM - - - *
NUMBER OF TRADES - - - 30
Customer Buy - - - 10
Customer Sell - - - 17
Dealer to Dealer - - - *
<= $1MM - - - 10
<= $10MM - - - 7
<= $100MM - - - 12
> $100MM - - - *
GNMA
AVERAGE PRICE * * - 13.2
Weighted Avg. Price * * - 10.4
Avg. Price Bottom 5 Trades * * - 6.2
2nd Quartile Price * * - 12.3
3rd Quartile Price * * - 13.8
4th Quartile Price * * - 15.0
Avg. Price Top 5 Trades * * - 18.0
Standard Deviation * * - 3.8
VOLUME OF TRADES (000'S) * * - 94,521.5
Customer Buy - - - 81,616.1
Customer Sell * * - 6,437.2
Dealer to Dealer * * - *
<= $1MM * * - 7,811.3
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * - 32
Customer Buy - - - 8
Customer Sell * * - 21
Dealer to Dealer * * - *
<= $1MM * * - 26
<= $10MM - - - *
<= $100MM - - - *
> $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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