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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
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 93.7 93.6 94.4 94.3
Weighted Avg. Price 100.1 94.0 96.3 98.4
Avg. Price Bottom 5 Trades 91.6 90.2 94.4 63.6
2nd Quartile Price 90.0 91.5 * 92.1
3rd Quartile Price 92.0 95.0 * 99.2
4th Quartile Price 98.9 96.0 * 100.3
Avg. Price Top 5 Trades 96.9 96.5 94.4 101.3
Standard Deviation 4.6 2.7 2.5 10.8
VOLUME OF TRADES (000'S) 985.6 3,409.3 1,177.3 330,029.1
Customer Buy * * * 219,824.9
Customer Sell 41.3 2,383.1 * 4,243.5
Dealer to Dealer 4.3 * * 105,960.7
<= $1MM 985.6 1,869.3 1,177.3 8,370.7
<= $10MM - * - 98,653.6
<= $100MM - - - 113,004.8
> $100MM - - - *
NUMBER OF TRADES 16 18 6 74
Customer Buy * * * 42
Customer Sell 7 12 * 5
Dealer to Dealer 6 * * 27
<= $1MM 16 17 6 45
<= $10MM - * - 22
<= $100MM - - - 6
> $100MM - - - *
FHLMC
AVERAGE PRICE 97.9 92.0 90.6 80.7
Weighted Avg. Price 100.5 95.5 88.9 91.1
Avg. Price Bottom 5 Trades 95.3 77.1 88.6 49.5
2nd Quartile Price 95.3 90.0 88.8 68.6
3rd Quartile Price 97.5 94.0 89.4 89.4
4th Quartile Price 103.2 96.8 95.5 96.4
Avg. Price Top 5 Trades 101.3 99.0 92.0 100.2
Standard Deviation 3.5 7.1 3.5 18.4
VOLUME OF TRADES (000'S) 2,296.4 17,987.5 73,909.1 117,999.7
Customer Buy * 8,425.0 * 80,214.5
Customer Sell 62.7 6,805.3 37,270.8 24,984.0
Dealer to Dealer * 2,757.2 - 12,801.2
<= $1MM 1,156.5 2,604.0 * 6,510.9
<= $10MM * 15,383.5 * 43,282.6
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES 14 43 8 41
Customer Buy * 9 * 17
Customer Sell 6 20 5 12
Dealer to Dealer * 14 - 12
<= $1MM 13 36 * 27
<= $10MM * 7 * 10
<= $100MM - - * *
> $100MM - - - -
GNMA
AVERAGE PRICE 97.8 92.0 91.1 92.2
Weighted Avg. Price 99.1 96.2 93.2 95.6
Avg. Price Bottom 5 Trades 94.2 76.8 89.5 46.7
2nd Quartile Price 96.5 89.2 92.7 88.9
3rd Quartile Price 98.1 96.0 94.9 98.3
4th Quartile Price 99.8 97.5 95.3 99.8
Avg. Price Top 5 Trades 101.2 99.0 94.2 114.5
Standard Deviation 2.5 8.6 7.5 15.5
VOLUME OF TRADES (000'S) 512.6 7,976.3 28,380.4 388,293.8
Customer Buy 59.6 26.9 * 203,916.4
Customer Sell 183.4 5,963.6 * 46,315.7
Dealer to Dealer 269.6 1,985.8 * 138,061.7
<= $1MM 512.6 1,449.1 * 16,517.0
<= $10MM - * 28,378.3 106,677.4
<= $100MM - - - 265,099.4
> $100MM - - - -
NUMBER OF TRADES 38 32 7 188
Customer Buy 7 5 * 88
Customer Sell 14 15 * 42
Dealer to Dealer 17 12 * 58
<= $1MM 38 29 * 150
<= $10MM - * 6 29
<= $100MM - - - 9
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 14.3 8.5 - 12.6
Weighted Avg. Price 12.3 7.6 - 10.7
Avg. Price Bottom 5 Trades 10.0 6.0 - 6.9
2nd Quartile Price 15.5 5.7 - 12.4
3rd Quartile Price 18.9 5.7 - 13.6
4th Quartile Price 19.0 18.4 - 14.7
Avg. Price Top 5 Trades 18.5 10.2 - 16.3
Standard Deviation 5.7 5.0 - 3.6
VOLUME OF TRADES (000'S) 1,731.0 3,979.3 - 300,116.0
Customer Buy * 731.8 - 212,661.0
Customer Sell * * - 87,455.0
Dealer to Dealer * * - -
<= $1MM 1,731.0 2,318.7 - *
<= $10MM - * - 66,943.1
<= $100MM - - - 127,868.4
> $100MM - - - *
NUMBER OF TRADES 10 11 - 26
Customer Buy * 5 - 8
Customer Sell * * - 18
Dealer to Dealer * * - -
<= $1MM 10 10 - *
<= $10MM - * - 16
<= $100MM - - - 6
> $100MM - - - *
FHLMC
AVERAGE PRICE * * - 13.6
Weighted Avg. Price * * - 7.0
Avg. Price Bottom 5 Trades * * - 12.7
2nd Quartile Price * * - 14.4
3rd Quartile Price * * - 16.5
4th Quartile Price * * - 18.0
Avg. Price Top 5 Trades * * - 15.3
Standard Deviation * * - 4.6
VOLUME OF TRADES (000'S) * * - 73,679.4
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 - - - -
GNMA
AVERAGE PRICE * 6.6 * 10.1
Weighted Avg. Price * 6.0 * 6.5
Avg. Price Bottom 5 Trades * 6.3 * 7.1
2nd Quartile Price * 7.6 * 10.9
3rd Quartile Price * 7.8 * 12.7
4th Quartile Price * 8.1 * 15.2
Avg. Price Top 5 Trades * 7.2 * 13.9
Standard Deviation * 2.0 * 5.9
VOLUME OF TRADES (000'S) * 4,148.9 * 186,061.9
Customer Buy - * * 136,931.3
Customer Sell * * * *
Dealer to Dealer - * - -
<= $1MM - 3,015.2 * *
<= $10MM * * - *
<= $100MM - - - 167,427.6
> $100MM - - - -
NUMBER OF TRADES * 6 * 10
Customer Buy - * * 6
Customer Sell * * * *
Dealer to Dealer - * - -
<= $1MM - 5 * *
<= $10MM * * - *
<= $100MM - - - 5
> $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 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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