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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 98.5 86.4 85.8 89.7
Weighted Avg. Price 99.4 97.7 91.3 97.8
Avg. Price Bottom 5 Trades 96.7 71.1 78.8 47.0
2nd Quartile Price 97.0 76.4 88.0 94.8
3rd Quartile Price 98.1 92.5 91.5 98.1
4th Quartile Price 99.0 97.8 98.0 99.0
Avg. Price Top 5 Trades 102.2 98.8 93.7 100.6
Standard Deviation 1.8 11.3 13.4 16.9
VOLUME OF TRADES (000'S) 3,033.3 5,993.8 195.0 236,487.1
Customer Buy 1,241.9 2,964.8 * 114,428.3
Customer Sell 1,681.1 32.8 * 94,362.6
Dealer to Dealer 110.4 2,996.2 * 27,696.2
<= $1MM 3,033.3 261.3 195.0 15,818.3
<= $10MM - * - 71,645.0
<= $100MM - - - 149,023.7
> $100MM - - - -
NUMBER OF TRADES 36 23 11 122
Customer Buy 12 10 * 75
Customer Sell 11 5 * 20
Dealer to Dealer 13 8 * 27
<= $1MM 36 19 11 105
<= $10MM - * - 12
<= $100MM - - - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.4 91.9 83.9 87.1
Weighted Avg. Price 101.1 95.7 88.9 97.8
Avg. Price Bottom 5 Trades 86.9 80.7 75.5 46.7
2nd Quartile Price 95.3 91.7 85.0 76.3
3rd Quartile Price 98.0 95.9 88.6 98.5
4th Quartile Price 99.6 97.7 94.9 99.9
Avg. Price Top 5 Trades 102.3 98.2 93.9 101.3
Standard Deviation 5.0 8.6 14.6 17.8
VOLUME OF TRADES (000'S) 6,437.1 5,844.4 3,858.1 312,423.2
Customer Buy 1,401.3 3,457.6 2,656.1 201,805.6
Customer Sell 5,015.2 1,057.0 * 54,143.5
Dealer to Dealer 20.6 1,329.7 * 56,474.1
<= $1MM 5,387.2 3,510.5 3,858.1 11,182.0
<= $10MM * * - 133,058.6
<= $100MM - - - 168,182.7
> $100MM - - - -
NUMBER OF TRADES 49 26 11 88
Customer Buy 13 12 6 46
Customer Sell 24 9 * 11
Dealer to Dealer 12 5 * 31
<= $1MM 48 24 11 54
<= $10MM * * - 28
<= $100MM - - - 6
> $100MM - - - -
GNMA
AVERAGE PRICE 93.2 85.1 80.6 90.5
Weighted Avg. Price 101.5 95.3 84.9 98.6
Avg. Price Bottom 5 Trades 79.9 62.6 80.6 43.0
2nd Quartile Price 94.5 77.3 * 93.2
3rd Quartile Price 97.5 95.5 * 98.2
4th Quartile Price 98.8 99.8 * 99.0
Avg. Price Top 5 Trades 100.7 100.0 80.6 103.4
Standard Deviation 16.2 16.9 10.3 16.0
VOLUME OF TRADES (000'S) 1,114.2 4,253.4 52.5 396,167.6
Customer Buy 27.3 2,693.1 * 284,922.4
Customer Sell 1,025.4 1,150.2 * 14,531.1
Dealer to Dealer 61.5 410.1 * 96,714.1
<= $1MM 1,114.2 2,706.9 52.5 14,991.8
<= $10MM - * - 97,259.5
<= $100MM - - - 283,916.3
> $100MM - - - -
NUMBER OF TRADES 45 26 7 216
Customer Buy 7 11 * 141
Customer Sell 19 7 * 22
Dealer to Dealer 19 8 * 53
<= $1MM 45 25 7 179
<= $10MM - * - 23
<= $100MM - - - 14
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * 7.2 * 15.8
Weighted Avg. Price * 9.5 * 7.3
Avg. Price Bottom 5 Trades * 2.5 * 5.5
2nd Quartile Price * 2.3 * 7.7
3rd Quartile Price * 7.0 * 14.7
4th Quartile Price * 16.0 * 16.9
Avg. Price Top 5 Trades * 12.4 * 30.1
Standard Deviation * 5.9 * 15.6
VOLUME OF TRADES (000'S) * 603.6 * 1,087,597.4
Customer Buy * * * 675,297.7
Customer Sell - 396.7 * 412,299.7
Dealer to Dealer * * - -
<= $1MM * 603.6 * 4,039.4
<= $10MM - - - 21,227.3
<= $100MM - - * *
> $100MM - - - 894,258.5
NUMBER OF TRADES * 11 * 20
Customer Buy * * * 7
Customer Sell - 5 * 13
Dealer to Dealer * * - -
<= $1MM * 11 * 6
<= $10MM - - - 6
<= $100MM - - * *
> $100MM - - - 5
FHLMC
AVERAGE PRICE * - * 24.6
Weighted Avg. Price * - * 14.0
Avg. Price Bottom 5 Trades * - * 12.5
2nd Quartile Price * - * 16.0
3rd Quartile Price * - * 16.6
4th Quartile Price * - * 16.8
Avg. Price Top 5 Trades * - * 39.2
Standard Deviation * - * 21.8
VOLUME OF TRADES (000'S) * - * 316,484.5
Customer Buy * - * 161,706.3
Customer Sell * - * 8,006.6
Dealer to Dealer - - - 146,771.6
<= $1MM * - * 5,325.4
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES * - * 17
Customer Buy * - * 5
Customer Sell * - * 7
Dealer to Dealer - - - 5
<= $1MM * - * 8
<= $10MM - - * *
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - - - 13.9
Weighted Avg. Price - - - 11.9
Avg. Price Bottom 5 Trades - - - 4.0
2nd Quartile Price - - - 6.2
3rd Quartile Price - - - 10.1
4th Quartile Price - - - 10.1
Avg. Price Top 5 Trades - - - 16.7
Standard Deviation - - - 19.6
VOLUME OF TRADES (000'S) - - - 361,357.9
Customer Buy - - - 274,436.0
Customer Sell - - - 86,921.9
Dealer to Dealer - - - -
<= $1MM - - - 1,581.7
<= $10MM - - - -
<= $100MM - - - 359,776.2
> $100MM - - - -
NUMBER OF TRADES - - - 14
Customer Buy - - - 6
Customer Sell - - - 8
Dealer to Dealer - - - -
<= $1MM - - - 7
<= $10MM - - - -
<= $100MM - - - 7
> $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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