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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 98.9 93.8 86.4 89.2
Weighted Avg. Price 105.6 97.9 94.4 95.7
Avg. Price Bottom 5 Trades 94.1 80.7 76.9 52.4
2nd Quartile Price 95.5 88.0 84.3 85.5
3rd Quartile Price 99.0 99.1 86.8 96.8
4th Quartile Price 100.8 100.9 94.8 99.6
Avg. Price Top 5 Trades 106.5 103.7 94.0 100.6
Standard Deviation 5.7 9.4 9.6 13.6
VOLUME OF TRADES (000'S) 399.4 21,069.0 30,755.2 347,011.7
Customer Buy * 19,016.4 29,711.3 90,138.4
Customer Sell 196.8 1,817.6 * *
Dealer to Dealer 194.8 234.9 * 244,450.5
<= $1MM 399.4 2,690.3 2,301.2 7,812.8
<= $10MM - * * 55,563.5
<= $100MM - * * 283,635.5
> $100MM - - - -
NUMBER OF TRADES 22 34 16 66
Customer Buy * 14 9 38
Customer Sell 9 12 * *
Dealer to Dealer 10 8 * 24
<= $1MM 22 30 13 33
<= $10MM - * * 23
<= $100MM - * * 10
> $100MM - - - -
FHLMC
AVERAGE PRICE 93.9 88.5 90.8 91.0
Weighted Avg. Price 100.0 86.9 89.2 98.3
Avg. Price Bottom 5 Trades 78.3 80.3 87.4 60.4
2nd Quartile Price 96.9 85.5 88.5 90.5
3rd Quartile Price 98.0 88.2 98.5 98.6
4th Quartile Price 99.0 94.5 99.4 100.0
Avg. Price Top 5 Trades 100.7 96.4 96.6 100.7
Standard Deviation 17.8 5.5 10.7 13.8
VOLUME OF TRADES (000'S) 6,976.1 3,186.4 24,681.3 290,826.8
Customer Buy 1,301.4 658.6 * 148,443.5
Customer Sell 5,606.3 30.3 * 16,381.7
Dealer to Dealer 68.4 2,497.5 * 126,001.6
<= $1MM 1,126.7 2,044.3 1,829.4 10,001.9
<= $10MM * * - 82,459.5
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES 31 38 7 50
Customer Buy 7 9 * 21
Customer Sell 12 6 * 13
Dealer to Dealer 12 23 * 16
<= $1MM 28 37 6 34
<= $10MM * * - 13
<= $100MM - - * *
> $100MM - - - -
GNMA
AVERAGE PRICE 96.4 84.7 82.8 90.8
Weighted Avg. Price 97.9 89.9 97.0 97.4
Avg. Price Bottom 5 Trades 93.9 73.1 75.3 42.7
2nd Quartile Price 95.0 79.8 77.8 91.1
3rd Quartile Price 96.5 87.5 82.8 98.0
4th Quartile Price 98.1 93.5 88.0 100.0
Avg. Price Top 5 Trades 99.2 95.2 87.5 111.7
Standard Deviation 2.3 7.8 7.7 16.9
VOLUME OF TRADES (000'S) 100.8 1,242.1 10,579.2 250,290.6
Customer Buy 33.5 934.4 * 162,931.3
Customer Sell 30.8 128.9 * 22,177.3
Dealer to Dealer 36.5 178.8 38.5 65,182.0
<= $1MM 100.8 1,242.1 70.4 18,160.5
<= $10MM - - * 113,078.8
<= $100MM - - - 119,051.3
> $100MM - - - -
NUMBER OF TRADES 29 50 14 263
Customer Buy 7 17 * 179
Customer Sell 11 9 * 27
Dealer to Dealer 11 24 7 57
<= $1MM 29 50 12 227
<= $10MM - - * 30
<= $100MM - - - 6
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * 5.9 26.2 13.1
Weighted Avg. Price * 4.6 10.5 10.1
Avg. Price Bottom 5 Trades * 2.7 4.7 7.1
2nd Quartile Price * 1.9 5.0 9.9
3rd Quartile Price * 9.1 5.5 15.1
4th Quartile Price * 10.3 90.0 15.9
Avg. Price Top 5 Trades * 9.7 33.5 19.0
Standard Deviation * 4.5 39.4 4.9
VOLUME OF TRADES (000'S) * 2,065.9 1,186.1 355,210.3
Customer Buy - 2,044.0 1,100.6 235,332.2
Customer Sell * * * 119,139.7
Dealer to Dealer * - - *
<= $1MM * 2,065.9 1,186.1 2,907.9
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES * 9 8 20
Customer Buy - 8 6 9
Customer Sell * * * 9
Dealer to Dealer * - - *
<= $1MM * 9 8 15
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
FHLMC
AVERAGE PRICE - 4.6 * 16.7
Weighted Avg. Price - 3.9 * 19.4
Avg. Price Bottom 5 Trades - 2.8 * 14.1
2nd Quartile Price - 2.6 * 15.6
3rd Quartile Price - 4.6 * 15.9
4th Quartile Price - 7.5 * 23.3
Avg. Price Top 5 Trades - 6.7 * 19.1
Standard Deviation - 2.8 * 4.3
VOLUME OF TRADES (000'S) - 3,910.2 * 54,453.4
Customer Buy - 3,866.6 * *
Customer Sell - * * *
Dealer to Dealer - - - *
<= $1MM - 1,933.1 * 2,218.6
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - 10 * 9
Customer Buy - 8 * *
Customer Sell - * * *
Dealer to Dealer - - - *
<= $1MM - 9 * 6
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE * * * 16.7
Weighted Avg. Price * * * 12.4
Avg. Price Bottom 5 Trades * * * 8.7
2nd Quartile Price * * * 11.1
3rd Quartile Price * * * 18.8
4th Quartile Price * * * 22.1
Avg. Price Top 5 Trades * * * 23.6
Standard Deviation * * * 6.0
VOLUME OF TRADES (000'S) * * * 356,648.7
Customer Buy * - - 244,777.2
Customer Sell - * * 111,871.6
Dealer to Dealer - - - -
<= $1MM * - * 2,272.1
<= $10MM - * - *
<= $100MM - - - 243,099.6
> $100MM - - - *
NUMBER OF TRADES * * * 20
Customer Buy * - - 12
Customer Sell - * * 8
Dealer to Dealer - - - -
<= $1MM * - * 7
<= $10MM - * - *
<= $100MM - - - 10
> $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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