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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 98.1 86.4 81.3 87.8
Weighted Avg. Price 99.3 95.4 86.1 94.9
Avg. Price Bottom 5 Trades 95.4 66.0 69.3 52.5
2nd Quartile Price 97.3 81.3 75.2 83.0
3rd Quartile Price 99.0 91.1 86.1 92.7
4th Quartile Price 99.5 97.3 90.9 99.5
Avg. Price Top 5 Trades 100.5 98.2 92.2 100.5
Standard Deviation 1.9 11.2 10.2 14.9
VOLUME OF TRADES (000'S) 933.4 31,280.8 11,159.7 216,506.2
Customer Buy 398.0 7,237.8 * 108,512.5
Customer Sell 429.3 17,427.5 3,499.3 58,117.5
Dealer to Dealer 106.1 6,615.6 2,487.5 49,876.2
<= $1MM 933.4 1,526.6 4,313.7 4,867.2
<= $10MM - 18,294.4 * 32,858.9
<= $100MM - * - 178,780.1
> $100MM - - - -
NUMBER OF TRADES 31 45 17 47
Customer Buy 9 14 * 23
Customer Sell 14 18 5 11
Dealer to Dealer 8 13 9 13
<= $1MM 31 37 15 29
<= $10MM - 7 * 9
<= $100MM - * - 9
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.8 89.8 82.0 77.9
Weighted Avg. Price 98.6 92.3 87.5 93.0
Avg. Price Bottom 5 Trades 92.3 70.3 72.9 43.4
2nd Quartile Price 95.0 88.1 86.6 51.1
3rd Quartile Price 97.5 96.5 96.7 88.3
4th Quartile Price 99.2 97.8 97.0 99.5
Avg. Price Top 5 Trades 99.7 99.0 96.3 100.5
Standard Deviation 2.8 12.2 31.6 22.8
VOLUME OF TRADES (000'S) 406.5 47,929.3 12,750.7 159,812.9
Customer Buy 96.8 3,066.7 12,640.1 101,836.6
Customer Sell 124.6 4,287.3 * 34,208.3
Dealer to Dealer 185.1 40,575.3 - 23,768.0
<= $1MM 406.5 1,026.6 205.5 3,396.1
<= $10MM - 8,179.3 * 42,138.6
<= $100MM - * * 114,278.1
> $100MM - - - -
NUMBER OF TRADES 48 30 8 45
Customer Buy 7 10 5 20
Customer Sell 25 11 * 12
Dealer to Dealer 16 9 - 13
<= $1MM 48 24 6 27
<= $10MM - 5 * 11
<= $100MM - * * 7
> $100MM - - - -
GNMA
AVERAGE PRICE 97.3 88.8 90.0 84.7
Weighted Avg. Price 100.9 94.4 89.5 98.8
Avg. Price Bottom 5 Trades 93.3 69.2 88.2 42.5
2nd Quartile Price 95.9 85.7 88.8 81.0
3rd Quartile Price 97.8 92.0 89.0 96.0
4th Quartile Price 99.3 96.9 89.8 98.5
Avg. Price Top 5 Trades 101.2 97.9 91.4 102.7
Standard Deviation 2.4 10.0 4.0 20.1
VOLUME OF TRADES (000'S) 6,335.6 2,128.7 617.6 289,106.5
Customer Buy 1,510.7 1,445.1 * 214,027.1
Customer Sell 1,646.2 87.7 * 55,730.4
Dealer to Dealer 3,178.7 595.9 * 19,349.0
<= $1MM 723.2 845.0 617.6 11,155.1
<= $10MM * * - 43,108.3
<= $100MM - - - 234,843.0
> $100MM - - - -
NUMBER OF TRADES 62 35 8 118
Customer Buy 9 11 * 60
Customer Sell 24 10 * 21
Dealer to Dealer 29 14 * 37
<= $1MM 58 34 8 94
<= $10MM * * - 14
<= $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 * 9.3 7.4 13.6
Weighted Avg. Price * 4.6 10.9 12.1
Avg. Price Bottom 5 Trades * 2.8 5.3 7.4
2nd Quartile Price * 4.2 4.5 13.0
3rd Quartile Price * 8.1 8.8 14.6
4th Quartile Price * 14.5 16.3 15.4
Avg. Price Top 5 Trades * 16.5 8.6 17.5
Standard Deviation * 5.4 4.4 3.5
VOLUME OF TRADES (000'S) * 2,333.6 779.4 150,624.3
Customer Buy * 1,486.2 * 83,632.4
Customer Sell * 847.4 * 54,603.1
Dealer to Dealer - - - 12,388.8
<= $1MM * 2,333.6 779.4 2,521.4
<= $10MM * - - 37,787.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * 24 7 28
Customer Buy * 9 * 11
Customer Sell * 15 * 11
Dealer to Dealer - - - 6
<= $1MM * 24 7 11
<= $10MM * - - 13
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * 7.7 8.4 13.8
Weighted Avg. Price * 6.8 7.8 12.6
Avg. Price Bottom 5 Trades * 6.2 8.4 12.5
2nd Quartile Price * 6.0 * 12.9
3rd Quartile Price * 6.7 * 14.2
4th Quartile Price * 7.6 * 15.3
Avg. Price Top 5 Trades * 8.7 8.4 15.5
Standard Deviation * 3.2 4.3 1.2
VOLUME OF TRADES (000'S) * 1,813.4 469.0 61,555.5
Customer Buy - * * 2,624.2
Customer Sell * * * 56,459.7
Dealer to Dealer - * * 2,471.6
<= $1MM * 1,813.4 469.0 10,152.6
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * 8 6 26
Customer Buy - * * 7
Customer Sell * * * 13
Dealer to Dealer - * * 6
<= $1MM * 8 6 23
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - 7.6 8.7 13.1
Weighted Avg. Price - 7.6 8.0 18.7
Avg. Price Bottom 5 Trades - 5.8 7.0 10.7
2nd Quartile Price - 7.4 7.5 12.0
3rd Quartile Price - 7.6 10.3 13.1
4th Quartile Price - 9.5 16.8 14.0
Avg. Price Top 5 Trades - 9.3 9.9 16.4
Standard Deviation - 3.5 4.7 2.5
VOLUME OF TRADES (000'S) - 4,421.9 291.8 95,314.1
Customer Buy - * * 91,476.8
Customer Sell - 2,269.6 267.4 3,601.2
Dealer to Dealer - * - *
<= $1MM - 677.9 291.8 5,248.0
<= $10MM - * - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - 9 6 21
Customer Buy - * * 8
Customer Sell - 6 5 11
Dealer to Dealer - * - *
<= $1MM - 7 6 19
<= $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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