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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 93.9 83.9 86.7 79.4
Weighted Avg. Price 96.1 91.6 80.1 86.3
Avg. Price Bottom 5 Trades 84.8 62.7 79.2 46.4
2nd Quartile Price 92.2 74.1 80.7 76.1
3rd Quartile Price 95.3 87.1 91.2 87.5
4th Quartile Price 97.6 92.0 98.5 91.2
Avg. Price Top 5 Trades 100.0 97.1 94.3 97.4
Standard Deviation 5.1 10.5 8.3 17.4
VOLUME OF TRADES (000'S) 1,269.5 21,583.8 17,197.9 194,571.4
Customer Buy 100.2 8,696.4 * 70,256.7
Customer Sell 960.3 11,852.3 16,016.1 113,750.4
Dealer to Dealer 209.0 1,035.2 * *
<= $1MM 1,269.5 7,156.2 1,942.8 1,994.9
<= $10MM - * 15,255.2 41,743.2
<= $100MM - - - 150,833.3
> $100MM - - - -
NUMBER OF TRADES 43 75 11 35
Customer Buy 6 19 * 16
Customer Sell 21 33 7 16
Dealer to Dealer 16 23 * *
<= $1MM 43 71 6 15
<= $10MM - * 5 12
<= $100MM - - - 8
> $100MM - - - -
FHLMC
AVERAGE PRICE 93.4 84.8 79.7 82.9
Weighted Avg. Price 98.7 92.6 23.9 91.4
Avg. Price Bottom 5 Trades 80.7 62.5 52.0 53.7
2nd Quartile Price 92.0 80.0 88.0 81.4
3rd Quartile Price 95.0 86.3 91.3 86.2
4th Quartile Price 97.4 94.5 93.6 90.5
Avg. Price Top 5 Trades 99.5 97.8 94.6 97.9
Standard Deviation 6.1 10.7 30.0 14.9
VOLUME OF TRADES (000'S) 1,870.9 13,401.0 130,110.8 295,335.0
Customer Buy 618.4 3,430.6 * 168,111.5
Customer Sell 105.0 7,146.9 75,655.1 101,843.0
Dealer to Dealer 1,147.5 2,823.4 54,363.6 25,380.5
<= $1MM 1,870.9 6,691.9 2,960.8 3,405.8
<= $10MM - * 27,731.9 15,919.1
<= $100MM - - * 276,010.1
> $100MM - - - -
NUMBER OF TRADES 58 60 16 47
Customer Buy 12 10 * 17
Customer Sell 20 34 9 24
Dealer to Dealer 26 16 5 6
<= $1MM 58 57 8 30
<= $10MM - * 6 5
<= $100MM - - * 12
> $100MM - - - -
GNMA
AVERAGE PRICE 95.2 81.4 71.7 86.8
Weighted Avg. Price 96.6 89.7 88.8 95.2
Avg. Price Bottom 5 Trades 86.6 62.2 59.9 35.3
2nd Quartile Price 93.5 70.9 64.6 86.0
3rd Quartile Price 96.0 86.1 72.5 93.5
4th Quartile Price 97.8 92.5 83.0 98.5
Avg. Price Top 5 Trades 99.4 96.2 80.1 101.9
Standard Deviation 3.6 12.0 14.2 18.0
VOLUME OF TRADES (000'S) 430.4 2,674.4 3,132.2 286,471.1
Customer Buy 149.2 100.0 * 148,645.8
Customer Sell 85.6 2,242.7 216.5 79,247.3
Dealer to Dealer 195.6 331.8 * 58,578.0
<= $1MM 430.4 1,080.4 331.9 10,136.1
<= $10MM - * * 82,568.1
<= $100MM - - - 193,766.9
> $100MM - - - -
NUMBER OF TRADES 63 47 12 157
Customer Buy 21 8 * 74
Customer Sell 19 19 5 58
Dealer to Dealer 23 20 * 25
<= $1MM 63 46 10 122
<= $10MM - * * 25
<= $100MM - - - 10
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - 26.7 4.1 9.4
Weighted Avg. Price - 19.6 4.0 12.7
Avg. Price Bottom 5 Trades - 7.9 4.1 5.4
2nd Quartile Price - 12.5 * 7.4
3rd Quartile Price - 20.2 * 11.1
4th Quartile Price - 66.0 * 16.5
Avg. Price Top 5 Trades - 37.5 4.1 14.2
Standard Deviation - 28.2 0.9 6.7
VOLUME OF TRADES (000'S) - 11,545.1 347.8 123,784.8
Customer Buy - * * *
Customer Sell - 11,102.4 * 66,658.7
Dealer to Dealer - * * *
<= $1MM - 561.9 347.8 *
<= $10MM - - - -
<= $100MM - * - 123,607.5
> $100MM - - - -
NUMBER OF TRADES - 10 5 10
Customer Buy - * * *
Customer Sell - 7 * 6
Dealer to Dealer - * * *
<= $1MM - 9 5 *
<= $10MM - - - -
<= $100MM - * - 6
> $100MM - - - -
FHLMC
AVERAGE PRICE - * - 25.1
Weighted Avg. Price - * - 25.7
Avg. Price Bottom 5 Trades - * - 12.8
2nd Quartile Price - * - 13.4
3rd Quartile Price - * - 15.3
4th Quartile Price - * - 69.8
Avg. Price Top 5 Trades - * - 37.5
Standard Deviation - * - 23.6
VOLUME OF TRADES (000'S) - * - 70,837.5
Customer Buy - - - 38,954.2
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * - 421.4
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * - 10
Customer Buy - - - 5
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - * - 5
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - - * 5.5
Weighted Avg. Price - - * 3.9
Avg. Price Bottom 5 Trades - - * 1.9
2nd Quartile Price - - * 2.7
3rd Quartile Price - - * 5.6
4th Quartile Price - - * 11.1
Avg. Price Top 5 Trades - - * 10.9
Standard Deviation - - * 3.8
VOLUME OF TRADES (000'S) - - * 814,490.0
Customer Buy - - - 320,823.2
Customer Sell - - * 493,654.1
Dealer to Dealer - - * *
<= $1MM - - * 895.8
<= $10MM - - * *
<= $100MM - - - 795,798.6
> $100MM - - - -
NUMBER OF TRADES - - * 22
Customer Buy - - - 7
Customer Sell - - * 14
Dealer to Dealer - - * *
<= $1MM - - * 5
<= $10MM - - * *
<= $100MM - - - 15
> $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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