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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 103.4 101.7 98.6 99.1
Weighted Avg. Price 99.9 105.6 100.5 100.9
Avg. Price Bottom 5 Trades 92.5 94.3 95.7 96.5
2nd Quartile Price 99.6 99.0 98.5 97.7
3rd Quartile Price 105.0 100.0 100.1 100.0
4th Quartile Price 109.2 104.3 101.4 101.5
Avg. Price Top 5 Trades 111.3 114.1 101.5 102.8
Standard Deviation 6.1 5.4 5.0 3.3
VOLUME OF TRADES (000'S) 825.6 12,927.9 24,127.3 15,147.3
Customer Buy 348.3 12,023.3 17,563.9 14,812.8
Customer Sell 355.1 489.1 * *
Dealer to Dealer 122.2 415.6 * *
<= $1MM 825.6 2,200.2 2,566.0 1,124.3
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 55 74 13 18
Customer Buy 9 29 7 12
Customer Sell 21 24 * *
Dealer to Dealer 25 21 * *
<= $1MM 55 71 10 15
<= $10MM 0 * * *
<= $100MM 0 0 * 0
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 103.6 98.6 96.0 101.1
Weighted Avg. Price 101.9 102.1 100.5 101.1
Avg. Price Bottom 5 Trades 91.3 86.3 86.9 99.2
2nd Quartile Price 97.0 95.8 95.7 100.0
3rd Quartile Price 104.5 99.5 99.9 100.6
4th Quartile Price 108.3 102.5 100.1 102.2
Avg. Price Top 5 Trades 125.8 113.6 101.0 104.4
Standard Deviation 9.3 9.3 8.0 2.7
VOLUME OF TRADES (000'S) 5,820.1 2,705.8 7,942.7 54,108.9
Customer Buy 4,681.9 2,151.8 2,130.0 52,436.8
Customer Sell 224.6 150.3 298.5 *
Dealer to Dealer 913.6 403.7 5,514.2 *
<= $1MM 2,196.4 1,257.8 1,385.6 4,231.4
<= $10MM * * * *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 72 43 26 22
Customer Buy 14 20 10 16
Customer Sell 29 8 6 *
Dealer to Dealer 29 15 10 *
<= $1MM 71 42 23 16
<= $10MM * * * *
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 105.6 100.3 95.9 98.2
Weighted Avg. Price 109.7 101.4 93.5 100.6
Avg. Price Bottom 5 Trades 94.7 94.9 89.6 89.5
2nd Quartile Price 103.3 97.3 89.5 97.7
3rd Quartile Price 109.2 99.6 97.9 99.8
4th Quartile Price 110.5 103.0 101.8 100.8
Avg. Price Top 5 Trades 113.0 108.5 102.1 104.8
Standard Deviation 7.3 4.1 5.7 5.7
VOLUME OF TRADES (000'S) 361.1 5,773.6 599.2 127,916.7
Customer Buy 33.1 5,095.2 333.5 122,464.3
Customer Sell 149.5 181.0 222.2 1,057.4
Dealer to Dealer 178.5 497.4 * 4,394.9
<= $1MM 361.1 1,847.2 599.2 234.2
<= $10MM 0.0 * 0.0 20,094.7
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 38 43 20 26
Customer Buy 5 13 10 11
Customer Sell 18 10 7 5
Dealer to Dealer 15 20 * 10
<= $1MM 38 42 20 14
<= $10MM 0 * 0 9
<= $100MM 0 0 0 *
> $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 12.4 17.3 * *
Weighted Avg. Price 4.9 11.8 * *
Avg. Price Bottom 5 Trades 4.7 9.9 * *
2nd Quartile Price 3.2 14.5 * *
3rd Quartile Price 17.8 18.4 * *
4th Quartile Price 18.6 18.8 * *
Avg. Price Top 5 Trades 18.0 21.5 * *
Standard Deviation 7.8 7.1 * *
VOLUME OF TRADES (000'S) 18,011.3 38,199.5 * *
Customer Buy 8,521.6 30,095.7 * *
Customer Sell * * 0.0 0.0
Dealer to Dealer * * 0.0 0.0
<= $1MM 2,716.8 1,950.3 * 0.0
<= $10MM 15,294.4 * * *
<= $100MM 0.0 * 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 16 16 * *
Customer Buy 11 13 * *
Customer Sell * * 0 0
Dealer to Dealer * * 0 0
<= $1MM 10 12 * 0
<= $10MM 6 * * *
<= $100MM 0 * 0 0
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * 8.0 0.0 *
Weighted Avg. Price * 11.0 0.0 *
Avg. Price Bottom 5 Trades * 7.5 0.0 *
2nd Quartile Price * 8.9 0.0 *
3rd Quartile Price * 8.9 0.0 *
4th Quartile Price * 11.0 0.0 *
Avg. Price Top 5 Trades * 8.9 0.0 *
Standard Deviation * 3.9 0.0 *
VOLUME OF TRADES (000'S) * 15,807.3 0.0 *
Customer Buy * 11,576.1 0.0 *
Customer Sell 0.0 * 0.0 *
Dealer to Dealer 0.0 * 0.0 0.0
<= $1MM * 1,933.1 0.0 *
<= $10MM 0.0 * 0.0 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 9 0 *
Customer Buy * 6 0 *
Customer Sell 0 * 0 *
Dealer to Dealer 0 * 0 0
<= $1MM * 6 0 *
<= $10MM 0 * 0 0
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE * 12.1 9.2 7.4
Weighted Avg. Price * 14.6 0.9 7.4
Avg. Price Bottom 5 Trades * 12.1 2.7 7.4
2nd Quartile Price * * 0.3 *
3rd Quartile Price * * 15.2 *
4th Quartile Price * * 16.8 *
Avg. Price Top 5 Trades * 12.1 14.7 7.4
Standard Deviation * 3.1 7.7 0.0
VOLUME OF TRADES (000'S) * 1,681.6 61,965.3 1,256.3
Customer Buy * * 32,127.4 1,256.3
Customer Sell 0.0 * 29,837.9 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM * 1,681.6 2,875.6 1,256.3
<= $10MM 0.0 0.0 29,544.9 0.0
<= $100MM 0.0 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 6 21 7
Customer Buy * * 13 7
Customer Sell 0 * 8 0
Dealer to Dealer 0 0 0 0
<= $1MM * 6 13 7
<= $10MM 0 0 7 0
<= $100MM 0 0 * 0
> $100MM 0 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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