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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 96.2 83.8 82.8 87.0
Weighted Avg. Price 99.0 88.2 79.7 97.5
Avg. Price Bottom 5 Trades 89.5 69.8 76.0 51.7
2nd Quartile Price 94.9 77.7 92.3 76.5
3rd Quartile Price 98.0 86.7 95.8 97.8
4th Quartile Price 99.5 91.3 96.2 99.8
Avg. Price Top 5 Trades 100.4 95.9 94.9 99.8
Standard Deviation 5.1 8.9 20.4 17.2
VOLUME OF TRADES (000'S) 838.1 2,142.7 12,995.2 421,401.4
Customer Buy 771.8 1,779.4 * 127,080.6
Customer Sell 62.1 207.3 * 9,998.9
Dealer to Dealer * 156.0 * 284,321.9
<= $1MM 838.1 1,130.0 2,411.1 7,250.7
<= $10MM - * - 64,456.8
<= $100MM - - * 349,693.9
> $100MM - - - -
NUMBER OF TRADES 23 41 9 96
Customer Buy 11 12 * 54
Customer Sell 9 17 * 20
Dealer to Dealer * 12 * 22
<= $1MM 23 40 8 70
<= $10MM - * - 21
<= $100MM - - * 5
> $100MM - - - -
FHLMC
AVERAGE PRICE 95.1 84.9 86.6 70.7
Weighted Avg. Price 98.2 88.9 89.7 94.4
Avg. Price Bottom 5 Trades 80.5 72.1 86.6 42.5
2nd Quartile Price 95.0 74.5 * 53.4
3rd Quartile Price 97.1 88.0 * 72.6
4th Quartile Price 99.0 93.4 * 95.0
Avg. Price Top 5 Trades 99.8 98.3 86.6 99.7
Standard Deviation 7.3 9.5 11.7 21.3
VOLUME OF TRADES (000'S) 130.6 31,528.8 257,753.1 63,460.6
Customer Buy 20.2 15,541.1 128,961.5 19,356.6
Customer Sell 41.3 13,982.8 128,791.6 8,550.6
Dealer to Dealer 69.0 2,004.9 - 35,553.5
<= $1MM 130.6 1,270.3 * 1,609.9
<= $10MM - 30,258.5 * 39,921.1
<= $100MM - - 246,536.1 *
> $100MM - - - -
NUMBER OF TRADES 49 66 15 40
Customer Buy 6 19 8 10
Customer Sell 22 19 7 15
Dealer to Dealer 21 28 - 15
<= $1MM 49 60 * 25
<= $10MM - 6 * 13
<= $100MM - - 10 *
> $100MM - - - -
GNMA
AVERAGE PRICE 96.6 87.2 78.1 96.7
Weighted Avg. Price 98.2 94.3 91.1 94.4
Avg. Price Bottom 5 Trades 92.9 76.2 63.5 53.3
2nd Quartile Price 94.8 79.3 68.3 98.6
3rd Quartile Price 97.1 90.5 91.4 99.3
4th Quartile Price 99.2 95.6 94.8 100.0
Avg. Price Top 5 Trades 99.8 100.7 85.9 103.6
Standard Deviation 2.8 9.7 15.8 8.9
VOLUME OF TRADES (000'S) 239.9 1,753.0 7,314.7 245,489.5
Customer Buy 33.9 965.3 * 196,156.0
Customer Sell 104.1 79.5 * 6,211.5
Dealer to Dealer 102.0 708.3 * 43,122.0
<= $1MM 239.9 1,753.0 176.7 15,627.7
<= $10MM - - * 54,700.4
<= $100MM - - - 175,161.4
> $100MM - - - -
NUMBER OF TRADES 32 22 10 247
Customer Buy 6 8 * 194
Customer Sell 12 5 * 11
Dealer to Dealer 14 9 * 42
<= $1MM 32 22 8 220
<= $10MM - - * 21
<= $100MM - - - 6
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * 77.1 - 12.9
Weighted Avg. Price * 17.4 - 13.2
Avg. Price Bottom 5 Trades * 77.1 - 5.8
2nd Quartile Price * * - 10.1
3rd Quartile Price * * - 13.0
4th Quartile Price * * - 20.9
Avg. Price Top 5 Trades * 77.1 - 19.1
Standard Deviation * 25.5 - 6.1
VOLUME OF TRADES (000'S) * 2,074.5 - 546,722.7
Customer Buy * * - 36,176.1
Customer Sell * - - *
Dealer to Dealer - 226.3 - 509,182.4
<= $1MM * 226.3 - *
<= $10MM - * - 6,820.9
<= $100MM - - - 538,537.6
> $100MM - - - -
NUMBER OF TRADES * 9 - 17
Customer Buy * * - 5
Customer Sell * - - *
Dealer to Dealer - 8 - 11
<= $1MM * 8 - *
<= $10MM - * - 5
<= $100MM - - - 10
> $100MM - - - -
FHLMC
AVERAGE PRICE - * - 16.0
Weighted Avg. Price - * - 14.2
Avg. Price Bottom 5 Trades - * - 13.5
2nd Quartile Price - * - 13.4
3rd Quartile Price - * - 20.6
4th Quartile Price - * - 22.3
Avg. Price Top 5 Trades - * - 19.8
Standard Deviation - * - 7.5
VOLUME OF TRADES (000'S) - * - 240,732.3
Customer Buy - * - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - * - *
> $100MM - - - -
NUMBER OF TRADES - * - 7
Customer Buy - * - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - * - *
> $100MM - - - -
GNMA
AVERAGE PRICE - - - 6.7
Weighted Avg. Price - - - 3.2
Avg. Price Bottom 5 Trades - - - 1.2
2nd Quartile Price - - - 2.2
3rd Quartile Price - - - 3.7
4th Quartile Price - - - 13.6
Avg. Price Top 5 Trades - - - 16.1
Standard Deviation - - - 5.8
VOLUME OF TRADES (000'S) - - - 2,224,027.6
Customer Buy - - - 1,186,346.8
Customer Sell - - - -
Dealer to Dealer - - - 1,037,680.8
<= $1MM - - - 1,782.1
<= $10MM - - - 27,666.9
<= $100MM - - - 785,195.9
> $100MM - - - 1,409,382.8
NUMBER OF TRADES - - - 37
Customer Buy - - - 19
Customer Sell - - - -
Dealer to Dealer - - - 18
<= $1MM - - - 5
<= $10MM - - - 8
<= $100MM - - - 15
> $100MM - - - 9
* 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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