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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 97.8 91.1 96.2 85.6
Weighted Avg. Price 98.9 95.6 96.8 97.6
Avg. Price Bottom 5 Trades 93.0 79.0 91.6 48.8
2nd Quartile Price 97.0 89.9 95.4 81.8
3rd Quartile Price 98.6 92.7 97.0 92.8
4th Quartile Price 99.7 96.8 97.7 99.9
Avg. Price Top 5 Trades 100.9 98.8 100.6 100.6
Standard Deviation 3.0 6.9 6.6 18.5
VOLUME OF TRADES (000'S) 5,674.4 6,873.2 881.2 164,901.9
Customer Buy 42.7 977.8 422.4 128,261.3
Customer Sell 5,609.1 3,733.8 455.6 20,336.7
Dealer to Dealer * 2,161.6 * 16,303.8
<= $1MM 162.2 3,815.2 881.2 11,444.6
<= $10MM * * - 60,511.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 28 50 14 75
Customer Buy 10 11 7 37
Customer Sell 15 20 6 20
Dealer to Dealer * 19 * 18
<= $1MM 27 49 14 56
<= $10MM * * - 15
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 94.6 89.2 84.4 92.0
Weighted Avg. Price 98.5 97.6 88.0 96.0
Avg. Price Bottom 5 Trades 81.9 70.2 67.9 59.6
2nd Quartile Price 94.0 81.3 70.0 91.1
3rd Quartile Price 96.3 93.4 95.0 97.3
4th Quartile Price 98.6 97.0 96.5 100.0
Avg. Price Top 5 Trades 100.2 99.7 97.3 100.6
Standard Deviation 6.4 9.6 14.0 12.8
VOLUME OF TRADES (000'S) 216.6 15,558.9 1,849.6 253,707.7
Customer Buy 31.1 439.1 550.8 158,977.3
Customer Sell 148.3 7,231.4 591.6 32,553.6
Dealer to Dealer 37.1 7,888.4 707.2 62,176.8
<= $1MM 216.6 3,337.1 1,849.6 19,274.9
<= $10MM - * - 86,160.8
<= $100MM - - - 148,272.0
> $100MM - - - -
NUMBER OF TRADES 59 64 21 90
Customer Buy 9 14 5 47
Customer Sell 28 18 7 13
Dealer to Dealer 22 32 9 30
<= $1MM 59 62 21 50
<= $10MM - * - 31
<= $100MM - - - 9
> $100MM - - - -
GNMA
AVERAGE PRICE 97.5 85.7 82.4 88.7
Weighted Avg. Price 95.8 95.5 96.5 97.8
Avg. Price Bottom 5 Trades 92.5 63.9 79.3 40.0
2nd Quartile Price 96.0 73.5 94.0 88.5
3rd Quartile Price 98.4 91.9 97.0 98.3
4th Quartile Price 99.8 97.7 97.9 99.8
Avg. Price Top 5 Trades 101.5 99.6 88.5 103.8
Standard Deviation 3.1 13.3 21.7 18.7
VOLUME OF TRADES (000'S) 744.0 4,480.3 197.4 571,152.5
Customer Buy 394.9 2,520.2 * 259,582.1
Customer Sell 284.7 1,188.4 * 137,839.2
Dealer to Dealer 64.5 771.7 * 173,731.2
<= $1MM 744.0 3,257.6 197.4 15,241.2
<= $10MM - * - 66,218.8
<= $100MM - - - 489,692.5
> $100MM - - - -
NUMBER OF TRADES 49 52 6 190
Customer Buy 15 12 * 107
Customer Sell 20 16 * 30
Dealer to Dealer 14 24 * 53
<= $1MM 49 51 6 150
<= $10MM - * - 19
<= $100MM - - - 21
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * 10.4 - *
Weighted Avg. Price * 52.9 - *
Avg. Price Bottom 5 Trades * 3.5 - *
2nd Quartile Price * 4.5 - *
3rd Quartile Price * 4.9 - *
4th Quartile Price * 5.0 - *
Avg. Price Top 5 Trades * 13.4 - *
Standard Deviation * 18.8 - *
VOLUME OF TRADES (000'S) * 4,570.3 - *
Customer Buy - * - *
Customer Sell * * - *
Dealer to Dealer * * - -
<= $1MM - 342.5 - *
<= $10MM * * - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * 8 - *
Customer Buy - * - *
Customer Sell * * - *
Dealer to Dealer * * - -
<= $1MM - 7 - *
<= $10MM * * - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - 33.2 * 55.5
Weighted Avg. Price - 69.0 * 46.3
Avg. Price Bottom 5 Trades - 33.2 * 39.7
2nd Quartile Price - * * 35.3
3rd Quartile Price - * * 64.7
4th Quartile Price - * * 65.1
Avg. Price Top 5 Trades - 33.2 * 74.9
Standard Deviation - 37.7 * 23.4
VOLUME OF TRADES (000'S) - 4,348.8 * 234,037.4
Customer Buy - - - 115,459.1
Customer Sell - * * 65,311.9
Dealer to Dealer - * - *
<= $1MM - * - *
<= $10MM - * * *
<= $100MM - - - 213,031.2
> $100MM - - - -
NUMBER OF TRADES - 5 * 16
Customer Buy - - - 7
Customer Sell - * * 5
Dealer to Dealer - * - *
<= $1MM - * - *
<= $10MM - * * *
<= $100MM - - - 10
> $100MM - - - -
GNMA
AVERAGE PRICE - * 22.4 20.7
Weighted Avg. Price - * 73.9 20.3
Avg. Price Bottom 5 Trades - * 6.6 15.3
2nd Quartile Price - * 13.3 16.6
3rd Quartile Price - * 15.6 17.1
4th Quartile Price - * 76.8 17.1
Avg. Price Top 5 Trades - * 35.6 22.9
Standard Deviation - * 27.4 16.5
VOLUME OF TRADES (000'S) - * 18,681.5 30,012.5
Customer Buy - * * 23,988.4
Customer Sell - - * -
Dealer to Dealer - * 448.3 6,024.0
<= $1MM - * 769.8 2,744.7
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * 11 17
Customer Buy - * * 12
Customer Sell - - * -
Dealer to Dealer - * 5 5
<= $1MM - * 9 12
<= $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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