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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
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 106.8 100.8 101.2 101.6
Weighted Avg. Price 114.7 102.0 105.2 101.4
Avg. Price Bottom 5 Trades 97.8 93.6 99.8 98.4
2nd Quartile Price 101.0 99.0 100.3 99.8
3rd Quartile Price 107.3 100.2 100.4 100.5
4th Quartile Price 114.4 104.5 102.8 103.3
Avg. Price Top 5 Trades 116.9 107.3 104.2 107.0
Standard Deviation 7.8 4.3 2.2 3.3
VOLUME OF TRADES (000'S) 6,708.9 4,895.4 19,198.5 162,155.3
Customer Buy 2,225.2 2,682.3 7,128.5 141,766.9
Customer Sell 27.5 715.0 11,950.8 15,910.3
Dealer to Dealer 4,456.2 1,498.1 * 4,478.1
<= $1MM 592.6 3,057.9 1,151.2 1,922.3
<= $10MM * * * 28,730.3
<= $100MM - - * 131,502.7
> $100MM - - - -
NUMBER OF TRADES 29 62 17 32
Customer Buy 6 18 9 20
Customer Sell 15 15 5 6
Dealer to Dealer 8 29 * 6
<= $1MM 26 61 14 15
<= $10MM * * * 12
<= $100MM - - * 5
> $100MM - - - -
FHLMC
AVERAGE PRICE 104.7 100.4 101.6 99.7
Weighted Avg. Price 113.3 103.3 104.0 103.2
Avg. Price Bottom 5 Trades 87.7 91.0 101.1 89.5
2nd Quartile Price 102.0 100.0 101.1 99.0
3rd Quartile Price 102.0 100.6 104.2 100.1
4th Quartile Price 111.0 100.6 104.2 101.5
Avg. Price Top 5 Trades 121.5 108.3 102.1 105.4
Standard Deviation 8.9 3.9 2.2 4.7
VOLUME OF TRADES (000'S) 7,400.9 8,530.9 11,606.1 541,138.7
Customer Buy 2,643.4 3,892.4 * 88,410.3
Customer Sell 10.3 2,908.9 * 329,710.9
Dealer to Dealer 4,747.2 1,729.6 * 123,017.5
<= $1MM 1,016.9 4,733.1 * 13,990.7
<= $10MM * * * 115,284.1
<= $100MM - - - 411,863.9
> $100MM - - - -
NUMBER OF TRADES 59 87 6 81
Customer Buy 13 15 * 40
Customer Sell 28 52 * 16
Dealer to Dealer 18 20 * 25
<= $1MM 56 85 * 39
<= $10MM * * * 31
<= $100MM - - - 11
> $100MM - - - -
GNMA
AVERAGE PRICE 108.9 102.1 101.8 100.2
Weighted Avg. Price 111.9 106.7 104.7 99.3
Avg. Price Bottom 5 Trades 97.7 99.3 99.0 96.0
2nd Quartile Price 107.2 100.0 99.6 98.8
3rd Quartile Price 110.0 100.8 100.0 100.0
4th Quartile Price 111.7 103.7 106.6 100.9
Avg. Price Top 5 Trades 117.4 108.4 107.2 107.3
Standard Deviation 5.9 3.5 3.9 3.2
VOLUME OF TRADES (000'S) 472.9 4,210.9 25,442.2 381,038.7
Customer Buy 173.0 1,799.9 12,235.9 194,994.7
Customer Sell 98.7 588.1 13,166.0 161,611.0
Dealer to Dealer 201.2 1,822.8 40.3 24,433.0
<= $1MM 472.9 2,791.9 158.8 4,143.2
<= $10MM - * 25,283.4 45,832.6
<= $100MM - - - 331,062.9
> $100MM - - - -
NUMBER OF TRADES 46 44 17 57
Customer Buy 9 19 6 31
Customer Sell 14 12 6 8
Dealer to Dealer 23 13 5 18
<= $1MM 46 43 12 41
<= $10MM - * 5 10
<= $100MM - - - 6
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * 11.9 - 12.5
Weighted Avg. Price * 12.3 - 14.9
Avg. Price Bottom 5 Trades * 11.9 - 10.6
2nd Quartile Price * * - 7.8
3rd Quartile Price * * - 15.5
4th Quartile Price * * - 15.7
Avg. Price Top 5 Trades * 11.9 - 15.3
Standard Deviation * 0.5 - 3.9
VOLUME OF TRADES (000'S) * 996.6 - 156,300.8
Customer Buy * * - *
Customer Sell * 332.2 - *
Dealer to Dealer * * - *
<= $1MM * 996.6 - -
<= $10MM * - - *
<= $100MM - - - 146,091.6
> $100MM - - - -
NUMBER OF TRADES * 8 - 8
Customer Buy * * - *
Customer Sell * 6 - *
Dealer to Dealer * * - *
<= $1MM * 8 - -
<= $10MM * - - *
<= $100MM - - - 5
> $100MM - - - -
FHLMC
AVERAGE PRICE - * 13.3 12.1
Weighted Avg. Price - * 13.4 15.2
Avg. Price Bottom 5 Trades - * 6.1 7.8
2nd Quartile Price - * 10.4 11.0
3rd Quartile Price - * 14.5 13.4
4th Quartile Price - * 16.1 14.6
Avg. Price Top 5 Trades - * 18.4 16.1
Standard Deviation - * 3.7 3.8
VOLUME OF TRADES (000'S) - * 719,041.1 246,806.5
Customer Buy - * 359,520.5 123,302.9
Customer Sell - * 359,520.5 123,403.2
Dealer to Dealer - - - *
<= $1MM - - 4,112.5 5,251.1
<= $10MM - * 261,074.1 48,296.7
<= $100MM - - 453,854.5 *
> $100MM - - - -
NUMBER OF TRADES - * 86 22
Customer Buy - * 43 10
Customer Sell - * 43 11
Dealer to Dealer - - - *
<= $1MM - - 8 10
<= $10MM - * 42 8
<= $100MM - - 36 *
> $100MM - - - -
GNMA
AVERAGE PRICE - - * 11.7
Weighted Avg. Price - - * 11.9
Avg. Price Bottom 5 Trades - - * 7.9
2nd Quartile Price - - * 9.5
3rd Quartile Price - - * 12.7
4th Quartile Price - - * 14.1
Avg. Price Top 5 Trades - - * 15.1
Standard Deviation - - * 2.8
VOLUME OF TRADES (000'S) - - * 969,021.4
Customer Buy - - * 662,947.4
Customer Sell - - - 306,074.0
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - * 953,445.9
> $100MM - - - -
NUMBER OF TRADES - - * 28
Customer Buy - - * 19
Customer Sell - - - 9
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - * 25
> $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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