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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 98.2 82.7 72.1 80.8
Weighted Avg. Price 99.2 92.4 85.4 96.3
Avg. Price Bottom 5 Trades 95.2 63.1 58.8 41.6
2nd Quartile Price 97.0 69.0 63.2 55.0
3rd Quartile Price 98.0 93.0 66.8 91.2
4th Quartile Price 100.7 98.1 91.6 99.8
Avg. Price Top 5 Trades 101.3 99.4 94.1 101.0
Standard Deviation 2.4 15.5 14.6 22.4
VOLUME OF TRADES (000'S) 626.5 669.4 4,822.4 234,478.8
Customer Buy 258.3 106.9 2,426.2 107,991.5
Customer Sell 50.8 18.8 966.6 34,550.4
Dealer to Dealer 317.4 543.7 1,429.6 91,936.8
<= $1MM 626.5 669.4 1,195.1 4,432.5
<= $10MM - - * 162,897.0
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 27 22 24 98
Customer Buy 7 8 7 35
Customer Sell 7 6 6 21
Dealer to Dealer 13 8 11 42
<= $1MM 27 22 21 55
<= $10MM - - * 39
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 98.2 86.0 76.0 81.0
Weighted Avg. Price 101.2 87.4 82.0 95.4
Avg. Price Bottom 5 Trades 94.2 79.6 76.0 39.2
2nd Quartile Price 96.6 82.1 * 69.9
3rd Quartile Price 98.6 96.3 * 94.0
4th Quartile Price 100.7 99.0 * 99.2
Avg. Price Top 5 Trades 101.7 97.1 76.0 100.6
Standard Deviation 2.8 13.8 19.2 22.5
VOLUME OF TRADES (000'S) 4,055.4 84.0 76.6 206,162.0
Customer Buy 1,206.1 57.0 * 66,678.9
Customer Sell 11.7 * * 7,892.7
Dealer to Dealer 2,837.6 * * 131,590.3
<= $1MM 4,055.4 84.0 76.6 6,621.5
<= $10MM - - - 107,602.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 34 9 5 76
Customer Buy 10 5 * 29
Customer Sell 8 * * 15
Dealer to Dealer 16 * * 32
<= $1MM 34 9 5 48
<= $10MM - - - 26
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 97.4 82.9 75.6 88.0
Weighted Avg. Price 99.2 78.7 77.5 97.9
Avg. Price Bottom 5 Trades 92.7 69.7 66.8 39.9
2nd Quartile Price 96.4 73.7 74.0 86.0
3rd Quartile Price 98.0 80.0 79.5 97.0
4th Quartile Price 100.0 93.1 79.9 99.5
Avg. Price Top 5 Trades 100.1 97.7 82.5 102.4
Standard Deviation 3.2 10.5 10.5 17.9
VOLUME OF TRADES (000'S) 152.8 472.6 277.5 508,533.1
Customer Buy 47.4 159.4 184.7 291,715.6
Customer Sell 20.9 48.4 * 78,675.2
Dealer to Dealer 84.5 264.9 76.7 138,142.3
<= $1MM 152.8 472.6 277.5 16,676.5
<= $10MM - - - 180,872.8
<= $100MM - - - 310,983.8
> $100MM - - - -
NUMBER OF TRADES 50 45 17 234
Customer Buy 12 13 6 111
Customer Sell 11 10 * 37
Dealer to Dealer 27 22 8 86
<= $1MM 50 45 17 184
<= $10MM - - - 35
<= $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 * - - 25.1
Weighted Avg. Price * - - 10.4
Avg. Price Bottom 5 Trades * - - 8.2
2nd Quartile Price * - - 12.9
3rd Quartile Price * - - 19.4
4th Quartile Price * - - 22.6
Avg. Price Top 5 Trades * - - 52.6
Standard Deviation * - - 23.4
VOLUME OF TRADES (000'S) * - - 298,779.8
Customer Buy - - - 239,924.7
Customer Sell * - - 57,945.2
Dealer to Dealer * - - *
<= $1MM * - - 2,560.3
<= $10MM - - - *
<= $100MM - - - 281,880.6
> $100MM - - - -
NUMBER OF TRADES * - - 17
Customer Buy - - - 7
Customer Sell * - - 9
Dealer to Dealer * - - *
<= $1MM * - - 10
<= $10MM - - - *
<= $100MM - - - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE * * - 28.8
Weighted Avg. Price * * - 7.9
Avg. Price Bottom 5 Trades * * - 12.4
2nd Quartile Price * * - 16.4
3rd Quartile Price * * - 18.0
4th Quartile Price * * - 63.3
Avg. Price Top 5 Trades * * - 49.5
Standard Deviation * * - 24.9
VOLUME OF TRADES (000'S) * * - 170,491.3
Customer Buy - - - *
Customer Sell - - - 1,215.7
Dealer to Dealer * * - -
<= $1MM * * - 1,285.6
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * - 12
Customer Buy - - - *
Customer Sell - - - 8
Dealer to Dealer * * - -
<= $1MM * * - 9
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - * * 15.1
Weighted Avg. Price - * * 6.7
Avg. Price Bottom 5 Trades - * * 2.7
2nd Quartile Price - * * 6.3
3rd Quartile Price - * * 9.4
4th Quartile Price - * * 16.3
Avg. Price Top 5 Trades - * * 42.1
Standard Deviation - * * 19.4
VOLUME OF TRADES (000'S) - * * 859,454.3
Customer Buy - - - 494,864.7
Customer Sell - * * 358,788.0
Dealer to Dealer - - - *
<= $1MM - - * 1,207.6
<= $10MM - * - 35,478.4
<= $100MM - - - 299,146.7
> $100MM - - - *
NUMBER OF TRADES - * * 25
Customer Buy - - - 11
Customer Sell - * * 11
Dealer to Dealer - - - *
<= $1MM - - * 9
<= $10MM - * - 6
<= $100MM - - - 6
> $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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