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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 98.6 90.4 * 96.5
Weighted Avg. Price 101.2 86.9 * 99.8
Avg. Price Bottom 5 Trades 93.1 86.6 * 88.1
2nd Quartile Price 97.1 88.1 * 97.0
3rd Quartile Price 99.6 90.4 * 98.9
4th Quartile Price 102.8 94.3 * 100.8
Avg. Price Top 5 Trades 104.0 94.8 * 101.9
Standard Deviation 4.6 4.1 * 8.4
VOLUME OF TRADES (000'S) 209.4 21,797.6 * 57,119.7
Customer Buy 94.9 11,390.5 * 35,361.5
Customer Sell 32.0 * - -
Dealer to Dealer 82.5 * - 21,758.3
<= $1MM 209.4 505.7 * 2,883.9
<= $10MM - * * 43,012.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 26 14 * 16
Customer Buy 7 6 * 11
Customer Sell 10 * - -
Dealer to Dealer 9 * - 5
<= $1MM 26 11 * 7
<= $10MM - * * 8
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.6 91.1 84.5 82.6
Weighted Avg. Price 97.6 93.1 94.3 93.2
Avg. Price Bottom 5 Trades 91.6 76.3 74.1 48.6
2nd Quartile Price 96.6 91.9 90.1 86.0
3rd Quartile Price 98.0 94.5 92.0 96.3
4th Quartile Price 100.0 97.0 94.8 97.3
Avg. Price Top 5 Trades 100.7 99.0 94.4 98.0
Standard Deviation 3.4 8.8 14.5 21.7
VOLUME OF TRADES (000'S) 749.5 2,274.8 3,261.6 37,475.3
Customer Buy 46.1 555.1 1,382.4 32,328.7
Customer Sell 513.1 1,534.8 * 611.9
Dealer to Dealer 190.3 185.0 * *
<= $1MM 749.5 2,274.8 659.0 1,882.3
<= $10MM - - * 21,600.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 33 29 15 19
Customer Buy 5 6 7 10
Customer Sell 15 14 * 5
Dealer to Dealer 13 9 * *
<= $1MM 33 29 13 12
<= $10MM - - * 6
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 98.2 87.6 - 95.7
Weighted Avg. Price 97.9 84.0 - 94.7
Avg. Price Bottom 5 Trades 94.6 74.6 - 73.3
2nd Quartile Price 97.4 81.8 - 97.8
3rd Quartile Price 99.1 88.2 - 98.7
4th Quartile Price 100.3 95.9 - 99.8
Avg. Price Top 5 Trades 101.7 97.5 - 101.1
Standard Deviation 2.9 8.4 - 9.9
VOLUME OF TRADES (000'S) 846.9 21,528.1 - 164,622.9
Customer Buy 276.0 10,397.5 - 106,773.6
Customer Sell * 365.7 - *
Dealer to Dealer 320.4 10,764.9 - 57,839.8
<= $1MM 846.9 1,145.9 - 3,979.3
<= $10MM - - - 60,450.9
<= $100MM - * - 100,192.7
> $100MM - - - -
NUMBER OF TRADES 22 40 - 47
Customer Buy 8 11 - 33
Customer Sell * 9 - *
Dealer to Dealer 11 20 - 12
<= $1MM 22 38 - 30
<= $10MM - - - 12
<= $100MM - * - 5
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 30.6 * * 16.1
Weighted Avg. Price 7.1 * * 16.6
Avg. Price Bottom 5 Trades 30.6 * * 14.2
2nd Quartile Price * * * 16.4
3rd Quartile Price * * * 18.0
4th Quartile Price * * * 18.0
Avg. Price Top 5 Trades 30.6 * * 17.8
Standard Deviation 36.2 * * 3.0
VOLUME OF TRADES (000'S) 616.2 * * 345,552.3
Customer Buy * * * 242,760.8
Customer Sell - - * *
Dealer to Dealer * * * *
<= $1MM 616.2 * * *
<= $10MM - - * *
<= $100MM - - - 337,390.7
> $100MM - - - -
NUMBER OF TRADES 5 * * 10
Customer Buy * * * 7
Customer Sell - - * *
Dealer to Dealer * * * *
<= $1MM 5 * * *
<= $10MM - - * *
<= $100MM - - - 6
> $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 - 9.8 13.4 13.5
Weighted Avg. Price - 12.1 12.0 7.6
Avg. Price Bottom 5 Trades - 2.8 13.4 6.1
2nd Quartile Price - 5.0 * 13.3
3rd Quartile Price - 15.1 * 15.8
4th Quartile Price - 16.5 * 20.0
Avg. Price Top 5 Trades - 16.4 13.4 19.2
Standard Deviation - 6.9 3.1 6.1
VOLUME OF TRADES (000'S) - 6,162.2 3,870.3 335,739.5
Customer Buy - 4,135.5 * 323,758.2
Customer Sell - * * *
Dealer to Dealer - * * 11,292.3
<= $1MM - 3,920.2 2,295.2 5,248.5
<= $10MM - * * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - 12 7 15
Customer Buy - 7 * 8
Customer Sell - * * *
Dealer to Dealer - * * 6
<= $1MM - 11 6 7
<= $10MM - * * *
<= $100MM - - - *
> $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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