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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 96.6 86.1 87.3 83.4
Weighted Avg. Price 98.2 95.3 89.0 98.1
Avg. Price Bottom 5 Trades 86.7 62.2 71.3 49.7
2nd Quartile Price 96.3 77.0 81.5 65.5
3rd Quartile Price 98.0 90.5 93.7 94.0
4th Quartile Price 99.5 94.9 96.7 97.9
Avg. Price Top 5 Trades 101.1 99.2 98.0 103.4
Standard Deviation 4.8 11.3 14.0 18.3
VOLUME OF TRADES (000'S) 2,479.9 11,855.6 2,553.0 273,847.2
Customer Buy 143.6 2,195.5 1,844.8 126,690.6
Customer Sell 822.4 4,147.0 335.8 103,306.5
Dealer to Dealer 1,513.9 5,513.1 372.4 43,850.1
<= $1MM 2,479.9 5,207.5 1,153.0 16,272.0
<= $10MM - * * 68,528.7
<= $100MM - - - 189,046.5
> $100MM - - - -
NUMBER OF TRADES 37 92 24 110
Customer Buy 6 14 7 31
Customer Sell 13 26 6 36
Dealer to Dealer 18 52 11 43
<= $1MM 37 89 23 77
<= $10MM - * * 22
<= $100MM - - - 11
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.8 93.0 92.7 91.2
Weighted Avg. Price 97.3 97.2 87.2 98.4
Avg. Price Bottom 5 Trades 89.7 76.1 81.0 45.2
2nd Quartile Price 95.5 92.0 93.1 85.7
3rd Quartile Price 98.1 95.5 95.4 98.8
4th Quartile Price 99.6 97.1 96.6 99.8
Avg. Price Top 5 Trades 100.4 99.3 97.5 102.1
Standard Deviation 3.8 6.1 7.3 14.4
VOLUME OF TRADES (000'S) 163.1 21,662.0 2,989.9 696,426.0
Customer Buy * 618.0 * 170,160.4
Customer Sell 36.0 13,150.8 2,262.5 66,279.9
Dealer to Dealer 89.7 7,893.2 610.7 459,985.7
<= $1MM 163.1 7,459.4 1,220.9 27,136.8
<= $10MM - * * 107,943.5
<= $100MM - - - 314,413.9
> $100MM - - - *
NUMBER OF TRADES 39 118 27 107
Customer Buy * 15 * 34
Customer Sell 20 39 10 32
Dealer to Dealer 16 64 14 41
<= $1MM 39 115 26 71
<= $10MM - * * 24
<= $100MM - - - 10
> $100MM - - - *
GNMA
AVERAGE PRICE 98.2 91.4 86.8 91.0
Weighted Avg. Price 99.1 95.1 92.3 98.6
Avg. Price Bottom 5 Trades 96.0 77.8 79.4 43.2
2nd Quartile Price 96.9 86.3 81.0 90.6
3rd Quartile Price 98.5 95.0 94.4 98.5
4th Quartile Price 99.3 96.5 95.7 100.0
Avg. Price Top 5 Trades 100.5 98.8 95.7 103.5
Standard Deviation 1.6 6.9 8.4 15.5
VOLUME OF TRADES (000'S) 485.5 3,895.8 688.6 1,088,012.0
Customer Buy 116.2 83.3 * 339,938.5
Customer Sell 128.3 2,962.3 253.2 374,935.6
Dealer to Dealer 241.1 850.1 334.5 373,138.0
<= $1MM 485.5 1,358.0 688.6 39,580.3
<= $10MM - * - 146,087.9
<= $100MM - - - 902,343.8
> $100MM - - - -
NUMBER OF TRADES 47 65 15 273
Customer Buy 11 10 * 132
Customer Sell 13 21 5 53
Dealer to Dealer 23 34 6 88
<= $1MM 47 64 15 213
<= $10MM - * - 41
<= $100MM - - - 19
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 4.4 * - 13.8
Weighted Avg. Price 1.5 * - 7.5
Avg. Price Bottom 5 Trades 4.4 * - 9.7
2nd Quartile Price * * - 12.6
3rd Quartile Price * * - 16.0
4th Quartile Price * * - 17.2
Avg. Price Top 5 Trades 4.4 * - 17.7
Standard Deviation 4.9 * - 5.0
VOLUME OF TRADES (000'S) 616.3 * - 204,322.3
Customer Buy 616.3 - - *
Customer Sell - * - 144,321.5
Dealer to Dealer - - - -
<= $1MM 616.3 * - 974.1
<= $10MM - * - -
<= $100MM - - - 93,671.3
> $100MM - - - *
NUMBER OF TRADES 5 * - 11
Customer Buy 5 - - *
Customer Sell - * - 7
Dealer to Dealer - - - -
<= $1MM 5 * - 5
<= $10MM - * - -
<= $100MM - - - 5
> $100MM - - - *
FHLMC
AVERAGE PRICE - * 11.2 8.1
Weighted Avg. Price - * 0.7 5.1
Avg. Price Bottom 5 Trades - * 11.2 1.6
2nd Quartile Price - * * 3.3
3rd Quartile Price - * * 5.8
4th Quartile Price - * * 14.5
Avg. Price Top 5 Trades - * 11.2 17.6
Standard Deviation - * 10.2 10.7
VOLUME OF TRADES (000'S) - * 5,325.2 424,074.7
Customer Buy - - * 220,269.2
Customer Sell - * * 201,457.9
Dealer to Dealer - - - *
<= $1MM - * * *
<= $10MM - - * 9,876.8
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - * 5 14
Customer Buy - - * 7
Customer Sell - * * 6
Dealer to Dealer - - - *
<= $1MM - * * *
<= $10MM - - * 5
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE * * * 13.3
Weighted Avg. Price * * * 7.4
Avg. Price Bottom 5 Trades * * * 4.1
2nd Quartile Price * * * 11.8
3rd Quartile Price * * * 14.7
4th Quartile Price * * * 18.1
Avg. Price Top 5 Trades * * * 19.1
Standard Deviation * * * 5.5
VOLUME OF TRADES (000'S) * * * 417,586.6
Customer Buy * - * 211,386.3
Customer Sell * * * 202,444.2
Dealer to Dealer - - - *
<= $1MM * - * *
<= $10MM - * * 48,549.8
<= $100MM - - - 366,317.3
> $100MM - - - -
NUMBER OF TRADES * * * 23
Customer Buy * - * 7
Customer Sell * * * 14
Dealer to Dealer - - - *
<= $1MM * - * *
<= $10MM - * * 11
<= $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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