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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 96.5 96.2 90.9 93.6
Weighted Avg. Price 102.0 99.1 95.4 86.6
Avg. Price Bottom 5 Trades 81.3 82.2 77.3 72.4
2nd Quartile Price 95.0 92.0 92.5 91.9
3rd Quartile Price 99.1 97.9 95.8 97.9
4th Quartile Price 102.1 102.1 98.0 99.3
Avg. Price Top 5 Trades 101.8 101.2 98.5 100.8
Standard Deviation 7.2 6.9 10.6 8.8
VOLUME OF TRADES (000'S) 16,152.1 20,368.2 3,601.7 100,915.1
Customer Buy 100.1 680.9 * 40,014.6
Customer Sell 52.7 1,065.2 1,444.9 19,470.6
Dealer to Dealer 15,999.3 18,622.1 2,045.1 41,429.8
<= $1MM 5,747.7 8,640.6 3,601.7 11,820.6
<= $10MM 10,404.4 11,727.6 - 41,429.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 64 54 21 60
Customer Buy 12 11 * 28
Customer Sell 16 11 8 15
Dealer to Dealer 36 32 10 17
<= $1MM 58 48 21 43
<= $10MM 6 6 - 14
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.4 89.7 94.2 94.4
Weighted Avg. Price 102.8 96.1 94.1 98.3
Avg. Price Bottom 5 Trades 85.7 71.5 92.9 73.7
2nd Quartile Price 96.0 84.3 94.5 91.1
3rd Quartile Price 99.0 95.6 97.1 97.9
4th Quartile Price 101.5 97.0 97.4 99.5
Avg. Price Top 5 Trades 101.7 98.7 95.6 100.9
Standard Deviation 7.2 9.7 4.6 7.7
VOLUME OF TRADES (000'S) 2,622.1 2,992.8 6,327.2 103,759.1
Customer Buy 2,481.4 1,948.1 * 39,994.4
Customer Sell 27.2 661.6 * 40,646.2
Dealer to Dealer 113.5 383.0 * 23,118.5
<= $1MM 246.1 1,557.4 * 11,850.0
<= $10MM * * * 34,113.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 43 51 7 79
Customer Buy 15 13 * 39
Customer Sell 13 20 * 13
Dealer to Dealer 15 18 * 27
<= $1MM 42 50 * 63
<= $10MM * * * 12
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 96.0 84.6 85.2 94.8
Weighted Avg. Price 97.9 97.1 96.8 98.0
Avg. Price Bottom 5 Trades 86.9 59.6 77.6 47.9
2nd Quartile Price 97.0 77.0 75.2 97.6
3rd Quartile Price 98.0 84.3 87.1 99.0
4th Quartile Price 98.8 97.3 97.5 100.0
Avg. Price Top 5 Trades 99.5 99.2 95.5 103.5
Standard Deviation 5.2 12.7 10.2 12.3
VOLUME OF TRADES (000'S) 132.8 10,097.2 1,146.3 197,599.8
Customer Buy * 2,098.5 532.0 47,695.0
Customer Sell 61.9 1,441.2 * 89,302.6
Dealer to Dealer 61.9 6,557.5 566.3 60,602.2
<= $1MM 132.8 2,515.0 1,146.3 20,337.2
<= $10MM - * - 64,006.1
<= $100MM - - - 113,256.5
> $100MM - - - -
NUMBER OF TRADES 30 64 14 285
Customer Buy * 13 5 168
Customer Sell 13 21 * 31
Dealer to Dealer 13 30 6 86
<= $1MM 30 61 14 253
<= $10MM - * - 27
<= $100MM - - - 5
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 8.6 10.0 - 7.7
Weighted Avg. Price 7.7 8.6 - 10.8
Avg. Price Bottom 5 Trades 1.8 3.1 - 7.7
2nd Quartile Price 6.0 6.1 - *
3rd Quartile Price 8.0 8.2 - *
4th Quartile Price 9.1 13.3 - *
Avg. Price Top 5 Trades 17.4 19.2 - 7.7
Standard Deviation 4.2 5.6 - 4.9
VOLUME OF TRADES (000'S) 59,679.3 47,631.0 - 86,400.9
Customer Buy * * - *
Customer Sell * * - 175.2
Dealer to Dealer 58,524.5 43,869.6 - -
<= $1MM 23,948.6 8,810.7 - 350.4
<= $10MM 35,730.7 38,820.2 - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 68 40 - 9
Customer Buy * * - *
Customer Sell * * - 6
Dealer to Dealer 62 33 - -
<= $1MM 54 22 - 7
<= $10MM 14 18 - -
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 7.0 6.6 - -
Weighted Avg. Price 8.1 8.8 - -
Avg. Price Bottom 5 Trades 3.2 2.8 - -
2nd Quartile Price 5.7 4.1 - -
3rd Quartile Price 8.3 5.5 - -
4th Quartile Price 9.0 10.5 - -
Avg. Price Top 5 Trades 9.6 12.8 - -
Standard Deviation 2.5 3.7 - -
VOLUME OF TRADES (000'S) 17,845.2 25,836.9 - -
Customer Buy 2,693.6 4,728.4 - -
Customer Sell * * - -
Dealer to Dealer 15,151.0 21,085.2 - -
<= $1MM 8,558.6 9,795.5 - -
<= $10MM 9,286.6 16,041.5 - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 30 31 - -
Customer Buy 6 7 - -
Customer Sell * * - -
Dealer to Dealer 23 23 - -
<= $1MM 23 25 - -
<= $10MM 7 6 - -
<= $100MM - - - -
> $100MM - - - -
GNMA
AVERAGE PRICE * - * 5.8
Weighted Avg. Price * - * 6.4
Avg. Price Bottom 5 Trades * - * 5.2
2nd Quartile Price * - * 4.3
3rd Quartile Price * - * 8.0
4th Quartile Price * - * 8.7
Avg. Price Top 5 Trades * - * 6.2
Standard Deviation * - * 2.2
VOLUME OF TRADES (000'S) * - * 72,022.7
Customer Buy - - - *
Customer Sell * - * *
Dealer to Dealer - - - -
<= $1MM * - * -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * - * 6
Customer Buy - - - *
Customer Sell * - * *
Dealer to Dealer - - - -
<= $1MM * - * -
<= $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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