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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/CDO 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 93.2 87.7 89.9
Weighted Avg. Price 100.7 98.6 98.0 94.0
Avg. Price Bottom 5 Trades 87.3 71.4 87.7 53.1
2nd Quartile Price 98.0 90.0 * 86.2
3rd Quartile Price 98.9 98.2 * 99.9
4th Quartile Price 99.5 98.9 * 100.0
Avg. Price Top 5 Trades 100.0 100.7 87.7 100.5
Standard Deviation 12.1 9.3 11.2 17.2
VOLUME OF TRADES (000'S) 4,143.7 64,680.9 8,320.3 84,750.0
Customer Buy 2,093.5 31,806.0 * 40,934.9
Customer Sell 38.0 31,440.8 * 23,335.5
Dealer to Dealer 2,012.1 1,434.1 * 20,479.6
<= $1MM 246.6 2,596.6 111.8 4,457.1
<= $10MM * 62,084.3 * 52,134.3
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 28 64 7 62
Customer Buy 12 20 * 39
Customer Sell 5 20 * 7
Dealer to Dealer 11 24 * 16
<= $1MM 26 48 5 48
<= $10MM * 16 * 12
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 96.7 88.9 90.4 83.3
Weighted Avg. Price 90.6 98.2 98.2 91.7
Avg. Price Bottom 5 Trades 90.1 73.3 84.0 50.9
2nd Quartile Price 97.0 80.5 98.2 82.8
3rd Quartile Price 98.2 96.4 98.3 92.0
4th Quartile Price 98.8 98.2 98.4 100.0
Avg. Price Top 5 Trades 99.8 99.1 98.4 100.8
Standard Deviation 3.8 10.2 14.4 20.7
VOLUME OF TRADES (000'S) 2,871.8 65,246.6 65,772.3 107,912.6
Customer Buy 2,315.4 30,558.4 * 87,031.1
Customer Sell 80.2 28,715.5 49,355.6 *
Dealer to Dealer 476.2 5,972.6 0.0 20,721.4
<= $1MM 1,075.9 3,553.6 * 4,441.7
<= $10MM * 61,692.9 * 20,672.7
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 25 57 9 29
Customer Buy 6 19 * 16
Customer Sell 11 15 5 *
Dealer to Dealer 8 23 0 9
<= $1MM 24 43 * 19
<= $10MM * 14 * 6
<= $100MM 0 0 * *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 97.4 86.0 88.0 79.8
Weighted Avg. Price 100.4 89.9 92.4 97.4
Avg. Price Bottom 5 Trades 90.0 77.4 86.5 43.4
2nd Quartile Price 97.0 79.2 90.8 55.3
3rd Quartile Price 98.5 84.6 91.1 92.7
4th Quartile Price 100.0 93.0 92.6 99.9
Avg. Price Top 5 Trades 101.6 96.3 91.7 102.9
Standard Deviation 4.8 8.5 6.6 22.1
VOLUME OF TRADES (000'S) 313.7 2,711.4 3,634.5 142,426.9
Customer Buy 207.1 * * 117,956.2
Customer Sell 26.1 1,084.3 * 1,014.9
Dealer to Dealer 80.5 599.7 * 23,455.9
<= $1MM 313.7 2,711.4 361.8 7,482.5
<= $10MM 0.0 0.0 * 43,887.9
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 34 20 8 103
Customer Buy 13 * * 46
Customer Sell 8 8 * 21
Dealer to Dealer 13 8 * 36
<= $1MM 34 20 6 84
<= $10MM 0 0 * 16
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * 0.0 *
Weighted Avg. Price * * 0.0 *
Avg. Price Bottom 5 Trades * * 0.0 *
2nd Quartile Price * * 0.0 *
3rd Quartile Price * * 0.0 *
4th Quartile Price * * 0.0 *
Avg. Price Top 5 Trades * * 0.0 *
Standard Deviation * * 0.0 *
VOLUME OF TRADES (000'S) * * 0.0 *
Customer Buy 0.0 0.0 0.0 *
Customer Sell * * 0.0 *
Dealer to Dealer * * 0.0 *
<= $1MM * 0.0 0.0 0.0
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * * 0 *
Customer Buy 0 0 0 *
Customer Sell * * 0 *
Dealer to Dealer * * 0 *
<= $1MM * 0 0 0
<= $10MM 0 * 0 *
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * 0.0 0.0 *
Weighted Avg. Price * 0.0 0.0 *
Avg. Price Bottom 5 Trades * 0.0 0.0 *
2nd Quartile Price * 0.0 0.0 *
3rd Quartile Price * 0.0 0.0 *
4th Quartile Price * 0.0 0.0 *
Avg. Price Top 5 Trades * 0.0 0.0 *
Standard Deviation * 0.0 0.0 *
VOLUME OF TRADES (000'S) * 0.0 0.0 *
Customer Buy 0.0 0.0 0.0 *
Customer Sell * 0.0 0.0 *
Dealer to Dealer * 0.0 0.0 0.0
<= $1MM * 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES * 0 0 *
Customer Buy 0 0 0 *
Customer Sell * 0 0 *
Dealer to Dealer * 0 0 0
<= $1MM * 0 0 0
<= $10MM 0 0 0 0
<= $100MM 0 0 0 0
> $100MM 0 0 0 *
GNMA
AVERAGE PRICE 0.0 * * 9.7
Weighted Avg. Price 0.0 * * 5.0
Avg. Price Bottom 5 Trades 0.0 * * 5.7
2nd Quartile Price 0.0 * * 10.8
3rd Quartile Price 0.0 * * 11.3
4th Quartile Price 0.0 * * 15.8
Avg. Price Top 5 Trades 0.0 * * 13.5
Standard Deviation 0.0 * * 6.1
VOLUME OF TRADES (000'S) 0.0 * * 523,188.9
Customer Buy 0.0 * 0.0 *
Customer Sell 0.0 * * 115,094.3
Dealer to Dealer 0.0 * * 0.0
<= $1MM 0.0 * * *
<= $10MM 0.0 * * 0.0
<= $100MM 0.0 0.0 0.0 114,299.0
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 0 * * 9
Customer Buy 0 * 0 *
Customer Sell 0 * * 6
Dealer to Dealer 0 * * 0
<= $1MM 0 * * *
<= $10MM 0 * * 0
<= $100MM 0 0 0 5
> $100MM 0 0 0 *
* 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 Listor 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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