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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 95.3 76.4 78.2 76.0
Weighted Avg. Price 98.5 92.5 90.9 85.7
Avg. Price Bottom 5 Trades 91.4 53.0 61.6 44.7
2nd Quartile Price 93.5 51.0 61.5 47.4
3rd Quartile Price 95.5 86.1 85.9 85.3
4th Quartile Price 99.6 92.8 85.9 93.8
Avg. Price Top 5 Trades 99.7 97.2 87.3 99.8
Standard Deviation 3.6 19.1 12.8 21.5
VOLUME OF TRADES (000'S) 315.2 7,364.8 91,303.8 235,719.4
Customer Buy * 4,604.0 61,707.1 89,210.5
Customer Sell 20.2 332.4 28,646.0 145,121.1
Dealer to Dealer 54.9 2,428.4 950.8 1,387.8
<= $1MM 315.2 2,891.4 1,905.7 4,636.4
<= $10MM - * * *
<= $100MM - - * 225,959.0
> $100MM - - - -
NUMBER OF TRADES 18 40 28 47
Customer Buy * 18 8 14
Customer Sell 9 14 9 20
Dealer to Dealer 5 8 11 13
<= $1MM 18 36 23 31
<= $10MM - * * *
<= $100MM - - * 12
> $100MM - - - -
FHLMC
AVERAGE PRICE 90.1 94.4 89.3 74.2
Weighted Avg. Price 98.5 95.0 80.4 95.2
Avg. Price Bottom 5 Trades 60.9 89.7 83.4 36.5
2nd Quartile Price 88.3 92.2 90.3 40.5
3rd Quartile Price 97.5 95.7 95.7 88.8
4th Quartile Price 99.8 97.8 96.1 97.4
Avg. Price Top 5 Trades 100.8 97.5 95.3 99.4
Standard Deviation 14.9 3.4 9.7 26.8
VOLUME OF TRADES (000'S) 124.9 12,867.9 9,597.8 262,517.9
Customer Buy 40.8 10,098.0 * 187,075.4
Customer Sell 33.7 * 8,942.3 73,849.2
Dealer to Dealer 50.4 * * 1,593.3
<= $1MM 124.9 2,560.9 854.8 4,022.7
<= $10MM - 10,307.0 * *
<= $100MM - - - 247,514.2
> $100MM - - - -
NUMBER OF TRADES 43 18 10 43
Customer Buy 6 13 * 19
Customer Sell 22 * 6 14
Dealer to Dealer 15 * * 10
<= $1MM 43 13 9 30
<= $10MM - 5 * *
<= $100MM - - - 9
> $100MM - - - -
GNMA
AVERAGE PRICE 97.1 92.9 89.9 79.1
Weighted Avg. Price 97.1 92.9 94.6 94.2
Avg. Price Bottom 5 Trades 95.0 87.9 85.5 36.0
2nd Quartile Price 96.0 91.5 91.0 49.9
3rd Quartile Price 97.4 94.5 94.8 96.5
4th Quartile Price 98.6 96.2 94.8 99.8
Avg. Price Top 5 Trades 99.2 96.6 92.1 101.4
Standard Deviation 1.7 4.7 7.7 25.6
VOLUME OF TRADES (000'S) 142.6 3,875.4 27,600.2 349,934.1
Customer Buy 48.3 1,099.9 13,318.8 190,488.2
Customer Sell 25.9 2,714.4 14,215.0 115,811.0
Dealer to Dealer 68.4 61.1 * 43,634.9
<= $1MM 142.6 2,104.4 1,109.6 21,524.5
<= $10MM - * 26,490.7 135,150.3
<= $100MM - - - 193,259.3
> $100MM - - - -
NUMBER OF TRADES 32 19 17 174
Customer Buy 10 6 7 80
Customer Sell 12 6 8 39
Dealer to Dealer 10 7 * 55
<= $1MM 32 18 9 132
<= $10MM - * 8 35
<= $100MM - - - 7
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - 8.7 13.0 16.3
Weighted Avg. Price - 8.5 7.5 17.7
Avg. Price Bottom 5 Trades - 5.2 9.0 9.7
2nd Quartile Price - 7.5 8.8 10.8
3rd Quartile Price - 9.1 16.8 15.1
4th Quartile Price - 12.6 21.4 20.0
Avg. Price Top 5 Trades - 12.9 17.0 31.0
Standard Deviation - 4.2 6.8 12.4
VOLUME OF TRADES (000'S) - 33,959.9 22,859.4 214,942.1
Customer Buy - * * 142,557.1
Customer Sell - 21,470.9 16,112.0 67,171.0
Dealer to Dealer - * * 5,214.0
<= $1MM - 2,068.4 * 6,368.5
<= $10MM - 31,891.5 * *
<= $100MM - - - 193,276.2
> $100MM - - - -
NUMBER OF TRADES - 15 8 26
Customer Buy - * * 11
Customer Sell - 9 5 5
Dealer to Dealer - * * 10
<= $1MM - 7 * 13
<= $10MM - 8 * *
<= $100MM - - - 9
> $100MM - - - -
FHLMC
AVERAGE PRICE - * * 9.2
Weighted Avg. Price - * * 7.8
Avg. Price Bottom 5 Trades - * * 6.5
2nd Quartile Price - * * 9.3
3rd Quartile Price - * * 10.0
4th Quartile Price - * * 17.8
Avg. Price Top 5 Trades - * * 12.0
Standard Deviation - * * 5.9
VOLUME OF TRADES (000'S) - * * 85,138.5
Customer Buy - - * *
Customer Sell - * * 77,084.9
Dealer to Dealer - - * *
<= $1MM - * * -
<= $10MM - * * 22,005.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * * 7
Customer Buy - - * *
Customer Sell - * * 5
Dealer to Dealer - - * *
<= $1MM - * * -
<= $10MM - * * 5
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - 13.5 * 24.2
Weighted Avg. Price - 9.2 * 10.2
Avg. Price Bottom 5 Trades - 13.5 * 5.4
2nd Quartile Price - * * 7.7
3rd Quartile Price - * * 15.0
4th Quartile Price - * * 64.9
Avg. Price Top 5 Trades - 13.5 * 54.7
Standard Deviation - 4.3 * 29.6
VOLUME OF TRADES (000'S) - 3,791.0 * 223,970.5
Customer Buy - * - 151,739.4
Customer Sell - * * 72,188.5
Dealer to Dealer - * * *
<= $1MM - * * 2,102.7
<= $10MM - * - *
<= $100MM - - - 213,657.4
> $100MM - - - -
NUMBER OF TRADES - 5 * 15
Customer Buy - * - 8
Customer Sell - * * 6
Dealer to Dealer - * * *
<= $1MM - * * 5
<= $10MM - * - *
<= $100MM - - - 6
> $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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