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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 97.7 87.0 * 80.9
Weighted Avg. Price 98.2 97.6 * 89.6
Avg. Price Bottom 5 Trades 94.7 74.0 * 47.0
2nd Quartile Price 97.1 78.5 * 58.0
3rd Quartile Price 98.5 93.1 * 92.0
4th Quartile Price 99.2 96.4 * 99.4
Avg. Price Top 5 Trades 100.0 99.1 * 99.9
Standard Deviation 1.9 10.2 * 20.8
VOLUME OF TRADES (000'S) 3,434.8 5,306.7 * 189,813.5
Customer Buy 1,568.4 1,707.1 * 72,250.5
Customer Sell 1,633.9 2,469.5 - 24,067.6
Dealer to Dealer 232.5 1,130.1 - 93,495.4
<= $1MM 1,952.9 1,863.8 * 5,121.9
<= $10MM * * - 68,579.7
<= $100MM - - - 116,111.9
> $100MM - - - -
NUMBER OF TRADES 29 30 * 57
Customer Buy 9 13 * 26
Customer Sell 12 5 - 12
Dealer to Dealer 8 12 - 19
<= $1MM 28 28 * 33
<= $10MM * * - 17
<= $100MM - - - 7
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.9 88.5 82.7 94.8
Weighted Avg. Price 98.7 95.0 93.8 99.0
Avg. Price Bottom 5 Trades 93.4 78.1 82.7 61.5
2nd Quartile Price 95.3 80.0 * 92.8
3rd Quartile Price 97.0 92.0 * 98.6
4th Quartile Price 98.8 96.0 * 99.9
Avg. Price Top 5 Trades 99.8 96.4 82.7 100.9
Standard Deviation 2.2 7.8 9.3 10.0
VOLUME OF TRADES (000'S) 3,365.2 3,561.6 3,518.4 167,129.3
Customer Buy 20.2 2,368.4 * 73,627.1
Customer Sell 2,935.8 1,131.9 * 43,713.5
Dealer to Dealer 409.2 61.3 * 49,788.6
<= $1MM 2,312.6 1,767.5 * 11,502.9
<= $10MM * * * 94,653.4
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 40 25 5 81
Customer Buy 8 8 * 39
Customer Sell 18 8 * 5
Dealer to Dealer 14 9 * 37
<= $1MM 39 24 * 60
<= $10MM * * * 19
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 95.2 83.1 * 90.7
Weighted Avg. Price 99.9 96.5 * 99.5
Avg. Price Bottom 5 Trades 77.5 72.1 * 44.6
2nd Quartile Price 96.0 74.0 * 94.5
3rd Quartile Price 97.9 83.3 * 98.0
4th Quartile Price 98.8 92.0 * 99.7
Avg. Price Top 5 Trades 100.6 96.2 * 103.0
Standard Deviation 14.7 9.5 * 17.1
VOLUME OF TRADES (000'S) 1,600.3 6,312.9 * 822,423.0
Customer Buy 895.1 411.3 * 344,580.0
Customer Sell 236.3 5,775.5 - 344,315.2
Dealer to Dealer 469.0 126.1 - 133,527.8
<= $1MM 1,600.3 842.3 * 7,941.9
<= $10MM - * - 124,645.1
<= $100MM - - - 478,148.9
> $100MM - - - *
NUMBER OF TRADES 45 28 * 113
Customer Buy 13 10 * 51
Customer Sell 15 9 - 23
Dealer to Dealer 17 9 - 39
<= $1MM 45 26 * 69
<= $10MM - * - 25
<= $100MM - - - 17
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 7.9 8.5 13.2 12.9
Weighted Avg. Price 8.6 8.3 9.1 8.0
Avg. Price Bottom 5 Trades 5.2 2.7 7.3 3.3
2nd Quartile Price 7.1 6.4 7.9 7.1
3rd Quartile Price 8.2 9.4 15.8 14.6
4th Quartile Price 9.1 11.3 18.3 17.6
Avg. Price Top 5 Trades 10.4 12.9 17.8 20.7
Standard Deviation 1.9 4.1 5.1 5.7
VOLUME OF TRADES (000'S) 41,784.0 97,478.2 116,948.4 339,060.9
Customer Buy - 4,151.6 - *
Customer Sell 41,784.0 87,635.5 106,855.4 231,490.7
Dealer to Dealer - 5,691.1 10,093.0 43,267.0
<= $1MM 5,835.4 5,271.6 2,884.9 12,539.3
<= $10MM 35,948.6 40,689.0 35,109.7 82,435.4
<= $100MM - * * 244,086.2
> $100MM - - - -
NUMBER OF TRADES 25 28 19 69
Customer Buy - 7 - *
Customer Sell 25 16 13 40
Dealer to Dealer - 5 6 25
<= $1MM 15 13 6 28
<= $10MM 10 12 9 24
<= $100MM - * * 17
> $100MM - - - -
FHLMC
AVERAGE PRICE - * * 11.9
Weighted Avg. Price - * * 6.2
Avg. Price Bottom 5 Trades - * * 11.9
2nd Quartile Price - * * *
3rd Quartile Price - * * *
4th Quartile Price - * * *
Avg. Price Top 5 Trades - * * 11.9
Standard Deviation - * * 7.3
VOLUME OF TRADES (000'S) - * * 120,018.4
Customer Buy - * * *
Customer Sell - * * *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - * * -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * * 6
Customer Buy - * * *
Customer Sell - * * *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - * * -
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - - - 6.5
Weighted Avg. Price - - - 7.7
Avg. Price Bottom 5 Trades - - - 6.5
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 6.5
Standard Deviation - - - 5.7
VOLUME OF TRADES (000'S) - - - 326,752.0
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 - - - *
* 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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