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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 103.5 100.5 99.3 93.5
Weighted Avg. Price 100.1 101.1 100.0 99.7
Avg. Price Bottom 5 Trades 98.8 95.5 98.6 80.8
2nd Quartile Price 100.1 98.0 98.0 83.0
3rd Quartile Price 104.5 99.0 99.7 98.3
4th Quartile Price 106.5 100.8 99.9 100.3
Avg. Price Top 5 Trades 108.5 116.3 100.7 101.5
Standard Deviation 3.8 5.6 1.1 8.8
VOLUME OF TRADES (000'S) 17,868.7 2,214.0 30,033.5 95,585.7
Customer Buy 926.5 521.4 9,407.1 20,541.6
Customer Sell 10,463.0 1,421.2 * 11,326.7
Dealer to Dealer 6,479.3 271.4 10,762.3 63,717.3
<= $1MM 2,166.0 2,214.0 931.7 3,990.6
<= $10MM 15,702.7 - 29,101.8 49,859.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 27 65 20 60
Customer Buy 7 22 7 32
Customer Sell 10 16 * 10
Dealer to Dealer 10 27 10 18
<= $1MM 22 65 14 47
<= $10MM 5 - 6 11
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 99.7 99.8 100.1 90.5
Weighted Avg. Price 99.8 100.6 100.4 98.7
Avg. Price Bottom 5 Trades 81.5 96.6 99.4 68.9
2nd Quartile Price 100.5 98.6 99.8 80.0
3rd Quartile Price 103.0 100.0 100.3 98.7
4th Quartile Price 105.5 101.8 100.7 100.0
Avg. Price Top 5 Trades 107.1 103.0 100.7 100.7
Standard Deviation 17.7 2.4 0.8 13.4
VOLUME OF TRADES (000'S) 1,676.5 7,337.7 11,717.0 44,957.9
Customer Buy 812.8 2,639.9 8,278.2 19,618.9
Customer Sell 42.2 1,736.7 * 3,542.0
Dealer to Dealer 821.5 2,961.1 * 21,797.0
<= $1MM 1,676.5 2,625.0 132.2 2,282.1
<= $10MM - * 11,584.8 42,675.8
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 36 37 12 28
Customer Buy 10 12 6 11
Customer Sell 11 9 * 5
Dealer to Dealer 15 16 * 12
<= $1MM 36 34 7 17
<= $10MM - * 5 11
<= $100MM - - - -
> $100MM - - - -
GNMA
AVERAGE PRICE 105.9 98.3 97.6 93.0
Weighted Avg. Price 109.7 101.7 98.7 96.6
Avg. Price Bottom 5 Trades 99.7 89.8 93.0 70.4
2nd Quartile Price 103.5 96.0 97.5 94.5
3rd Quartile Price 107.0 98.5 98.1 96.8
4th Quartile Price 110.0 100.1 101.6 98.9
Avg. Price Top 5 Trades 112.3 108.7 101.5 100.6
Standard Deviation 4.4 4.5 3.6 9.7
VOLUME OF TRADES (000'S) 419.9 9,284.2 207.1 194,747.9
Customer Buy 110.6 1,400.5 67.7 27,004.8
Customer Sell 135.8 7,239.4 92.4 15,823.5
Dealer to Dealer 173.5 644.3 47.0 151,919.7
<= $1MM 419.9 1,295.0 207.1 6,179.0
<= $10MM - * - 41,064.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 38 70 18 67
Customer Buy 10 16 6 30
Customer Sell 12 22 7 12
Dealer to Dealer 16 32 5 25
<= $1MM 38 67 18 56
<= $10MM - * - 9
<= $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 * - * 14.8
Weighted Avg. Price * - * 13.4
Avg. Price Bottom 5 Trades * - * 13.0
2nd Quartile Price * - * 12.6
3rd Quartile Price * - * 14.2
4th Quartile Price * - * 19.2
Avg. Price Top 5 Trades * - * 15.6
Standard Deviation * - * 2.9
VOLUME OF TRADES (000'S) * - * 242,240.6
Customer Buy * - * 149,775.7
Customer Sell * - * *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM * - - 9,994.5
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES * - * 8
Customer Buy * - * 5
Customer Sell * - * *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM * - - 5
<= $100MM - - * *
> $100MM - - - -
FHLMC
AVERAGE PRICE - - * 15.8
Weighted Avg. Price - - * 15.1
Avg. Price Bottom 5 Trades - - * 15.2
2nd Quartile Price - - * 14.6
3rd Quartile Price - - * 16.9
4th Quartile Price - - * 17.1
Avg. Price Top 5 Trades - - * 17.0
Standard Deviation - - * 1.3
VOLUME OF TRADES (000'S) - - * 122,397.5
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - * *
<= $1MM - - * -
<= $10MM - - - 26,786.1
<= $100MM - - - 95,611.4
> $100MM - - - -
NUMBER OF TRADES - - * 10
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - * *
<= $1MM - - * -
<= $10MM - - - 5
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE - - * 10.6
Weighted Avg. Price - - * 11.1
Avg. Price Bottom 5 Trades - - * 6.0
2nd Quartile Price - - * 10.3
3rd Quartile Price - - * 10.7
4th Quartile Price - - * 12.8
Avg. Price Top 5 Trades - - * 13.7
Standard Deviation - - * 2.8
VOLUME OF TRADES (000'S) - - * 448,418.7
Customer Buy - - - 222,653.3
Customer Sell - - * 215,877.5
Dealer to Dealer - - - *
<= $1MM - - - 1,692.2
<= $10MM - - * 84,535.0
<= $100MM - - - 362,191.5
> $100MM - - - -
NUMBER OF TRADES - - * 34
Customer Buy - - - 9
Customer Sell - - * 23
Dealer to Dealer - - - *
<= $1MM - - - 5
<= $10MM - - * 15
<= $100MM - - - 14
> $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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