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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/CDO 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 97.2 97.0 92.3 81.0
Weighted Avg. Price 103.6 102.4 98.7 84.7
Avg. Price Bottom 5 Trades 81.1 86.7 90.4 51.6
2nd Quartile Price 94.3 92.0 98.1 74.1
3rd Quartile Price 100.0 97.0 98.8 84.9
4th Quartile Price 102.4 102.2 101.8 86.3
Avg. Price Top 5 Trades 105.3 107.6 96.7 99.2
Standard Deviation 7.8 7.5 12.2 14.5
VOLUME OF TRADES (000'S) 523.9 66,914.5 953.9 26,998.1
Customer Buy 385.4 40,115.3 * 24,462.8
Customer Sell 19.2 11,017.1 0.0 *
Dealer to Dealer 119.3 15,782.1 * 578.2
<= $1MM 523.9 626.0 953.9 2,402.8
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 60 24 6 41
Customer Buy 13 10 * 31
Customer Sell 21 6 0 *
Dealer to Dealer 26 8 * 6
<= $1MM 60 19 6 37
<= $10MM 0 * 0 *
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 99.0 92.7 97.7 85.3
Weighted Avg. Price 103.4 92.8 96.0 94.7
Avg. Price Bottom 5 Trades 65.0 85.0 97.7 56.3
2nd Quartile Price 99.7 85.6 * 73.9
3rd Quartile Price 100.7 93.5 * 93.0
4th Quartile Price 103.0 97.6 * 99.2
Avg. Price Top 5 Trades 110.9 104.4 97.7 101.0
Standard Deviation 13.5 7.0 0.8 17.2
VOLUME OF TRADES (000'S) 1,912.9 7,135.3 3,285.3 82,669.3
Customer Buy 1,225.7 5,731.6 1,503.3 41,367.1
Customer Sell 51.8 1,155.6 0.0 5,028.2
Dealer to Dealer 635.4 248.1 * 36,274.1
<= $1MM 1,912.9 1,582.7 3,285.3 1,409.3
<= $10MM 0.0 * 0.0 69,128.3
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 72 35 65 34
Customer Buy 21 23 63 12
Customer Sell 29 6 0 7
Dealer to Dealer 22 6 * 15
<= $1MM 72 32 65 14
<= $10MM 0 * 0 19
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 99.8 100.4 97.7 90.5
Weighted Avg. Price 103.3 101.5 99.6 86.3
Avg. Price Bottom 5 Trades 93.8 91.4 95.6 51.5
2nd Quartile Price 100.0 96.5 97.0 92.0
3rd Quartile Price 100.5 101.5 99.8 98.0
4th Quartile Price 103.0 105.7 99.9 98.5
Avg. Price Top 5 Trades 104.0 106.3 99.9 104.0
Standard Deviation 4.3 5.5 3.0 15.1
VOLUME OF TRADES (000'S) 150.3 10,160.4 5,296.8 98,239.8
Customer Buy 73.6 6,451.9 2,259.2 21,527.6
Customer Sell 38.8 3,219.1 0.0 *
Dealer to Dealer 37.9 489.4 * 5,732.5
<= $1MM 150.3 1,103.4 1,913.6 12,865.7
<= $10MM 0.0 * * 14,453.1
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 24 45 10 129
Customer Buy 5 15 6 86
Customer Sell 11 9 0 *
Dealer to Dealer 8 21 * 39
<= $1MM 24 42 8 119
<= $10MM 0 * * 8
<= $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 * 11.6 * 14.6
Weighted Avg. Price * 13.2 * 14.6
Avg. Price Bottom 5 Trades * 11.6 * 11.6
2nd Quartile Price * * * 13.4
3rd Quartile Price * * * 14.5
4th Quartile Price * * * 16.5
Avg. Price Top 5 Trades * 11.6 * 18.4
Standard Deviation * 3.1 * 2.4
VOLUME OF TRADES (000'S) * 60,429.8 * 506,232.6
Customer Buy * * 0.0 127,721.1
Customer Sell 0.0 * * 322,956.0
Dealer to Dealer * * * 55,555.5
<= $1MM * 0.0 0.0 0.0
<= $10MM 0.0 * * 88,459.9
<= $100MM 0.0 * * 417,772.6
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 6 * 33
Customer Buy * * 0 12
Customer Sell 0 * * 14
Dealer to Dealer * * * 7
<= $1MM * 0 0 0
<= $10MM 0 * * 20
<= $100MM 0 * * 13
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 9.3 * 15.3
Weighted Avg. Price 0.0 10.8 * 14.7
Avg. Price Bottom 5 Trades 0.0 9.3 * 13.3
2nd Quartile Price 0.0 * * 13.9
3rd Quartile Price 0.0 * * 16.7
4th Quartile Price 0.0 * * 16.8
Avg. Price Top 5 Trades 0.0 9.3 * 17.0
Standard Deviation 0.0 2.5 * 1.7
VOLUME OF TRADES (000'S) 0.0 7,589.9 * 302,136.1
Customer Buy 0.0 * 0.0 97,885.6
Customer Sell 0.0 * * 134,835.3
Dealer to Dealer 0.0 * 0.0 69,415.3
<= $1MM 0.0 * 0.0 0.0
<= $10MM 0.0 * * 41,313.1
<= $100MM 0.0 0.0 0.0 155,817.2
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 0 5 * 18
Customer Buy 0 * 0 8
Customer Sell 0 * * 5
Dealer to Dealer 0 * 0 5
<= $1MM 0 * 0 0
<= $10MM 0 * * 9
<= $100MM 0 0 0 8
> $100MM 0 0 0 *
GNMA
AVERAGE PRICE * 0.0 0.0 14.2
Weighted Avg. Price * 0.0 0.0 12.3
Avg. Price Bottom 5 Trades * 0.0 0.0 10.2
2nd Quartile Price * 0.0 0.0 12.5
3rd Quartile Price * 0.0 0.0 15.0
4th Quartile Price * 0.0 0.0 16.2
Avg. Price Top 5 Trades * 0.0 0.0 17.8
Standard Deviation * 0.0 0.0 2.6
VOLUME OF TRADES (000'S) * 0.0 0.0 714,028.2
Customer Buy * 0.0 0.0 *
Customer Sell 0.0 0.0 0.0 548,093.1
Dealer to Dealer * 0.0 0.0 72,073.1
<= $1MM * 0.0 0.0 1,656.6
<= $10MM 0.0 0.0 0.0 67,888.7
<= $100MM 0.0 0.0 0.0 334,558.2
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES * 0 0 32
Customer Buy * 0 0 *
Customer Sell 0 0 0 19
Dealer to Dealer * 0 0 10
<= $1MM * 0 0 6
<= $10MM 0 0 0 14
<= $100MM 0 0 0 10
> $100MM 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 tracedataservices@finra.org.
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