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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 103.2 101.6 102.4 98.1
Weighted Avg. Price 108.6 103.8 108.5 96.0
Avg. Price Bottom 5 Trades 84.4 97.9 99.7 81.4
2nd Quartile Price 102.7 99.0 99.9 96.5
3rd Quartile Price 105.0 100.6 100.6 99.3
4th Quartile Price 108.0 102.5 109.4 103.0
Avg. Price Top 5 Trades 111.4 106.1 104.0 107.1
Standard Deviation 9.0 4.3 4.3 7.3
VOLUME OF TRADES (000'S) 722.2 6,727.3 62,179.7 152,429.4
Customer Buy 79.1 2,158.7 * 88,146.6
Customer Sell 511.2 4,371.2 * *
Dealer to Dealer 131.8 197.3 * 64,109.5
<= $1MM 722.2 575.5 233.6 10,268.2
<= $10MM - * - 101,921.2
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES 52 32 9 51
Customer Buy 9 14 * 28
Customer Sell 26 7 * *
Dealer to Dealer 17 11 * 19
<= $1MM 52 30 6 23
<= $10MM - * - 26
<= $100MM - - * *
> $100MM - - - -
FHLMC
AVERAGE PRICE 104.3 100.3 101.6 95.9
Weighted Avg. Price 106.5 102.9 102.5 99.0
Avg. Price Bottom 5 Trades 92.7 97.2 99.4 77.9
2nd Quartile Price 101.8 99.9 99.3 93.4
3rd Quartile Price 105.5 100.0 102.3 98.5
4th Quartile Price 107.5 101.0 104.0 100.5
Avg. Price Top 5 Trades 110.7 104.2 103.4 102.4
Standard Deviation 4.6 2.0 2.7 7.5
VOLUME OF TRADES (000'S) 200.7 38,785.2 2,028.3 224,005.5
Customer Buy 58.6 3,211.6 1,850.5 124,018.8
Customer Sell 66.1 35,011.4 97.7 *
Dealer to Dealer 75.9 562.1 * 38,633.3
<= $1MM 200.7 1,151.0 905.5 7,638.1
<= $10MM - * * 73,983.4
<= $100MM - * - 142,384.1
> $100MM - - - -
NUMBER OF TRADES 78 52 16 63
Customer Buy 17 15 7 36
Customer Sell 34 12 5 *
Dealer to Dealer 27 25 * 24
<= $1MM 78 49 15 33
<= $10MM - * * 25
<= $100MM - * - 5
> $100MM - - - -
GNMA
AVERAGE PRICE 107.0 103.6 98.4 94.7
Weighted Avg. Price 110.2 100.6 102.9 100.7
Avg. Price Bottom 5 Trades 101.7 98.4 95.8 75.8
2nd Quartile Price 105.2 100.1 94.0 90.4
3rd Quartile Price 106.3 102.9 100.7 98.7
4th Quartile Price 109.0 106.0 103.0 99.1
Avg. Price Top 5 Trades 114.6 113.3 101.8 100.9
Standard Deviation 3.5 4.8 4.9 7.6
VOLUME OF TRADES (000'S) 370.3 13,749.4 2,246.4 146,045.8
Customer Buy 110.7 6,602.4 * 142,344.9
Customer Sell 37.9 5,811.8 * 201.1
Dealer to Dealer 221.7 1,335.2 1,030.8 3,499.7
<= $1MM 370.3 1,802.5 2,246.4 4,102.4
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 56 48 11 91
Customer Buy 15 16 * 55
Customer Sell 16 11 * 7
Dealer to Dealer 25 21 5 29
<= $1MM 56 45 11 83
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - 13.1
Weighted Avg. Price - - - 10.1
Avg. Price Bottom 5 Trades - - - 8.6
2nd Quartile Price - - - 10.3
3rd Quartile Price - - - 16.7
4th Quartile Price - - - 18.2
Avg. Price Top 5 Trades - - - 17.5
Standard Deviation - - - 5.0
VOLUME OF TRADES (000'S) - - - 131,610.1
Customer Buy - - - 92,225.0
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - 43,442.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 11
Customer Buy - - - 7
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - 8
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * - - *
Weighted Avg. Price * - - *
Avg. Price Bottom 5 Trades * - - *
2nd Quartile Price * - - *
3rd Quartile Price * - - *
4th Quartile Price * - - *
Avg. Price Top 5 Trades * - - *
Standard Deviation * - - *
VOLUME OF TRADES (000'S) * - - *
Customer Buy * - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM * - - *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * - - *
Customer Buy * - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM * - - *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - * - 12.6
Weighted Avg. Price - * - 12.1
Avg. Price Bottom 5 Trades - * - 10.0
2nd Quartile Price - * - 10.1
3rd Quartile Price - * - 10.3
4th Quartile Price - * - 15.4
Avg. Price Top 5 Trades - * - 16.7
Standard Deviation - * - 4.5
VOLUME OF TRADES (000'S) - * - 319,384.0
Customer Buy - * - 162,726.3
Customer Sell - * - 156,657.7
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - * - *
<= $100MM - - - 304,389.9
> $100MM - - - -
NUMBER OF TRADES - * - 13
Customer Buy - * - 6
Customer Sell - * - 7
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - * - *
<= $100MM - - - 11
> $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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