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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/CDO Daily CMBS Weekly CMBS
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 99.3 93.2 83.7 90.6
Weighted Avg. Price 97.5 97.4 96.3 94.5
Avg. Price Bottom 5 Trades 97.7 79.3 65.2 50.4
2nd Quartile Price 98.1 90.0 67.8 90.0
3rd Quartile Price 99.5 96.8 92.0 99.8
4th Quartile Price 100.3 99.0 96.8 100.1
Avg. Price Top 5 Trades 101.4 99.4 96.5 100.1
Standard Deviation 1.5 7.4 16.0 16.0
VOLUME OF TRADES (000'S) 8,001.1 55,504.0 7,663.4 409,106.9
Customer Buy 24.2 12,666.1 3,591.0 286,609.9
Customer Sell 7,943.3 36,733.7 4,035.6 42,004.9
Dealer to Dealer 33.6 6,104.2 36.8 80,492.1
<= $1MM 448.7 3,614.7 900.8 3,915.4
<= $10MM * 51,889.3 * 114,749.7
<= $100MM 0.0 0.0 0.0 290,441.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 24 43 19 89
Customer Buy 7 12 5 40
Customer Sell 8 19 5 15
Dealer to Dealer 9 12 9 34
<= $1MM 21 30 16 52
<= $10MM * 13 * 28
<= $100MM 0 0 0 9
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 92.7 88.0 82.9 94.3
Weighted Avg. Price 97.2 97.3 93.4 98.8
Avg. Price Bottom 5 Trades 78.8 76.1 66.0 69.3
2nd Quartile Price 96.2 83.0 68.0 90.0
3rd Quartile Price 99.0 86.9 90.1 99.4
4th Quartile Price 99.8 94.9 95.8 100.0
Avg. Price Top 5 Trades 100.5 99.1 96.6 100.6
Standard Deviation 12.5 8.2 15.1 8.8
VOLUME OF TRADES (000'S) 108.7 22,588.4 70,130.9 703,016.5
Customer Buy 29.8 3,453.5 6,391.8 405,428.6
Customer Sell 26.1 18,737.2 11,868.5 58,056.3
Dealer to Dealer 52.8 397.7 51,870.5 239,531.6
<= $1MM 108.7 2,516.0 1,854.5 9,031.0
<= $10MM 0.0 20,072.4 18,377.8 149,414.1
<= $100MM 0.0 0.0 * 426,513.3
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 34 52 20 98
Customer Buy 8 13 6 56
Customer Sell 13 17 5 10
Dealer to Dealer 13 22 9 32
<= $1MM 34 46 12 43
<= $10MM 0 6 5 34
<= $100MM 0 0 * 20
> $100MM 0 0 0 *
GNMA
AVERAGE PRICE 99.2 88.1 82.4 93.4
Weighted Avg. Price 99.4 100.7 92.6 98.8
Avg. Price Bottom 5 Trades 94.5 68.7 76.3 43.0
2nd Quartile Price 99.0 80.0 75.2 97.3
3rd Quartile Price 99.3 95.0 85.0 97.8
4th Quartile Price 100.5 98.6 91.1 100.0
Avg. Price Top 5 Trades 101.6 101.0 92.3 108.5
Standard Deviation 2.3 14.3 10.6 15.6
VOLUME OF TRADES (000'S) 1,173.8 18,004.7 15,508.9 405,127.8
Customer Buy 209.9 9,251.9 * 195,452.4
Customer Sell 687.2 7,447.2 5,328.8 11,945.3
Dealer to Dealer 276.6 1,305.5 * 197,730.1
<= $1MM 1,173.8 1,354.2 413.0 19,615.1
<= $10MM 0.0 * * 91,579.5
<= $100MM 0.0 0.0 0.0 293,933.3
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 59 30 13 319
Customer Buy 25 7 * 179
Customer Sell 11 13 8 25
Dealer to Dealer 23 10 * 115
<= $1MM 59 26 10 281
<= $10MM 0 * * 26
<= $100MM 0 0 0 12
> $100MM 0 0 0 0
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 0.0 * * 10.5
Weighted Avg. Price 0.0 * * 7.6
Avg. Price Bottom 5 Trades 0.0 * * 5.8
2nd Quartile Price 0.0 * * 4.2
3rd Quartile Price 0.0 * * 13.4
4th Quartile Price 0.0 * * 17.3
Avg. Price Top 5 Trades 0.0 * * 16.1
Standard Deviation 0.0 * * 6.4
VOLUME OF TRADES (000'S) 0.0 * * 385,340.3
Customer Buy 0.0 * * 185,875.2
Customer Sell 0.0 0.0 * 199,465.1
Dealer to Dealer 0.0 0.0 * 0.0
<= $1MM 0.0 * * *
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 0.0 378,846.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 11
Customer Buy 0 * * 6
Customer Sell 0 0 * 5
Dealer to Dealer 0 0 * 0
<= $1MM 0 * * *
<= $10MM 0 * * *
<= $100MM 0 0 0 8
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * * 0.0 15.4
Weighted Avg. Price * * 0.0 11.7
Avg. Price Bottom 5 Trades * * 0.0 7.5
2nd Quartile Price * * 0.0 12.1
3rd Quartile Price * * 0.0 12.3
4th Quartile Price * * 0.0 15.4
Avg. Price Top 5 Trades * * 0.0 30.3
Standard Deviation * * 0.0 13.3
VOLUME OF TRADES (000'S) * * 0.0 334,784.9
Customer Buy 0.0 * 0.0 263,418.7
Customer Sell * 0.0 0.0 *
Dealer to Dealer * * 0.0 10,650.4
<= $1MM * * 0.0 7,843.1
<= $10MM 0.0 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 161,224.1
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES * * 0 24
Customer Buy 0 * 0 13
Customer Sell * 0 0 *
Dealer to Dealer * * 0 8
<= $1MM * * 0 15
<= $10MM 0 0 0 *
<= $100MM 0 0 0 5
> $100MM 0 0 0 *
GNMA
AVERAGE PRICE 0.0 0.0 * 9.4
Weighted Avg. Price 0.0 0.0 * 7.3
Avg. Price Bottom 5 Trades 0.0 0.0 * 3.1
2nd Quartile Price 0.0 0.0 * 6.4
3rd Quartile Price 0.0 0.0 * 8.4
4th Quartile Price 0.0 0.0 * 14.4
Avg. Price Top 5 Trades 0.0 0.0 * 17.2
Standard Deviation 0.0 0.0 * 5.1
VOLUME OF TRADES (000'S) 0.0 0.0 * 1,129,187.5
Customer Buy 0.0 0.0 * 912,453.1
Customer Sell 0.0 0.0 * 205,173.5
Dealer to Dealer 0.0 0.0 * *
<= $1MM 0.0 0.0 * *
<= $10MM 0.0 0.0 * 19,314.5
<= $100MM 0.0 0.0 0.0 836,810.3
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 0 0 * 26
Customer Buy 0 0 * 18
Customer Sell 0 0 * 5
Dealer to Dealer 0 0 * *
<= $1MM 0 0 * *
<= $10MM 0 0 * 5
<= $100MM 0 0 0 17
> $100MM 0 0 0 *
* 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 Listor 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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