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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 91.1 85.2 87.5 77.3
Weighted Avg. Price 102.5 88.8 83.9 95.9
Avg. Price Bottom 5 Trades 61.9 70.5 81.6 41.6
2nd Quartile Price 94.7 81.8 85.6 76.7
3rd Quartile Price 96.5 88.8 89.1 87.4
4th Quartile Price 98.4 90.0 96.9 92.5
Avg. Price Top 5 Trades 100.7 95.9 93.1 97.6
Standard Deviation 21.6 8.5 7.9 20.9
VOLUME OF TRADES (000'S) 2,494.5 12,161.4 4,103.4 79,172.6
Customer Buy 1,831.8 2,037.0 * 5,254.5
Customer Sell 620.7 8,860.3 2,972.3 73,791.3
Dealer to Dealer 42.0 1,264.0 * *
<= $1MM 774.6 4,928.7 4,103.4 2,839.0
<= $10MM * 7,232.7 - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 40 42 11 27
Customer Buy 10 9 * 10
Customer Sell 19 26 7 14
Dealer to Dealer 11 7 * *
<= $1MM 39 37 11 23
<= $10MM * 5 - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 86.6 83.1 87.0 71.3
Weighted Avg. Price 99.7 93.4 90.5 89.6
Avg. Price Bottom 5 Trades 61.7 70.6 83.0 56.6
2nd Quartile Price 94.2 73.0 90.3 64.0
3rd Quartile Price 95.8 89.4 92.6 86.5
4th Quartile Price 99.1 93.5 96.5 95.4
Avg. Price Top 5 Trades 100.4 97.5 93.8 91.4
Standard Deviation 28.2 11.2 11.1 23.0
VOLUME OF TRADES (000'S) 2,812.2 34,386.7 680.1 41,546.0
Customer Buy 2,008.0 15,992.6 * *
Customer Sell 798.8 17,548.7 * 41,485.1
Dealer to Dealer * 845.4 101.2 *
<= $1MM 1,122.1 4,679.9 680.1 2,113.8
<= $10MM * - - -
<= $100MM - * - *
> $100MM - - - -
NUMBER OF TRADES 33 34 10 10
Customer Buy 8 10 * *
Customer Sell 22 13 * 6
Dealer to Dealer * 11 5 *
<= $1MM 32 32 10 8
<= $10MM * - - -
<= $100MM - * - *
> $100MM - - - -
GNMA
AVERAGE PRICE 96.1 84.8 78.0 91.6
Weighted Avg. Price 98.0 79.3 90.9 96.0
Avg. Price Bottom 5 Trades 90.6 64.8 78.0 43.1
2nd Quartile Price 95.0 78.0 * 89.5
3rd Quartile Price 97.6 90.5 * 99.4
4th Quartile Price 98.7 93.0 * 100.0
Avg. Price Top 5 Trades 99.6 95.0 78.0 101.6
Standard Deviation 4.2 11.2 10.8 15.9
VOLUME OF TRADES (000'S) 397.7 843.4 8,598.2 64,549.8
Customer Buy 37.0 39.9 * 37,261.0
Customer Sell 75.2 744.5 * 536.1
Dealer to Dealer 285.4 59.1 * 26,752.7
<= $1MM 397.7 843.4 264.0 8,952.1
<= $10MM - - * 35,856.4
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 37 32 6 171
Customer Buy 9 9 * 126
Customer Sell 12 10 * 12
Dealer to Dealer 16 13 * 33
<= $1MM 37 32 5 161
<= $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 - - * *
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 - - - -
FHLMC
AVERAGE PRICE * * - 9.2
Weighted Avg. Price * * - 17.5
Avg. Price Bottom 5 Trades * * - 9.2
2nd Quartile Price * * - *
3rd Quartile Price * * - *
4th Quartile Price * * - *
Avg. Price Top 5 Trades * * - 9.2
Standard Deviation * * - 3.8
VOLUME OF TRADES (000'S) * * - 18,392.3
Customer Buy - * - *
Customer Sell * * - 326.4
Dealer to Dealer - - - -
<= $1MM * * - 652.7
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * - 7
Customer Buy - * - *
Customer Sell * * - 5
Dealer to Dealer - - - -
<= $1MM * * - 6
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - * - 2.2
Weighted Avg. Price - * - 4.7
Avg. Price Bottom 5 Trades - * - 1.6
2nd Quartile Price - * - 1.6
3rd Quartile Price - * - 1.8
4th Quartile Price - * - 1.8
Avg. Price Top 5 Trades - * - 2.7
Standard Deviation - * - 1.5
VOLUME OF TRADES (000'S) - * - 26,767.9
Customer Buy - - - *
Customer Sell - * - 2,142.1
Dealer to Dealer - - - *
<= $1MM - * - 2,968.3
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * - 13
Customer Buy - - - *
Customer Sell - * - 8
Dealer to Dealer - - - *
<= $1MM - * - 9
<= $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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