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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 99.0 91.4 93.3 81.6
Weighted Avg. Price 99.9 96.2 95.4 95.3
Avg. Price Bottom 5 Trades 95.4 81.4 90.7 51.8
2nd Quartile Price 98.1 86.0 91.0 58.3
3rd Quartile Price 99.0 93.3 96.3 90.7
4th Quartile Price 100.6 97.0 97.4 99.1
Avg. Price Top 5 Trades 102.9 103.1 96.4 101.7
Standard Deviation 3.2 7.5 3.7 20.0
VOLUME OF TRADES (000'S) 1,369.6 2,837.7 9,613.8 93,511.6
Customer Buy 93.7 914.0 * 71,495.6
Customer Sell 82.6 1,276.9 9,547.9 12,835.0
Dealer to Dealer 1,193.3 646.7 * 9,181.0
<= $1MM 266.6 2,837.7 78.9 4,233.2
<= $10MM * - * 37,506.4
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 22 47 10 45
Customer Buy 8 11 * 19
Customer Sell 7 18 6 11
Dealer to Dealer 7 18 * 15
<= $1MM 21 47 6 34
<= $10MM * - * 9
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 94.6 89.6 89.2 91.5
Weighted Avg. Price 98.9 92.7 89.7 94.5
Avg. Price Bottom 5 Trades 87.0 75.4 84.4 76.2
2nd Quartile Price 95.0 88.5 86.3 89.8
3rd Quartile Price 97.9 93.6 87.3 98.1
4th Quartile Price 99.8 95.1 95.8 99.5
Avg. Price Top 5 Trades 100.4 97.7 96.8 100.5
Standard Deviation 9.2 8.5 5.5 11.0
VOLUME OF TRADES (000'S) 231.9 8,351.4 46,118.9 77,270.1
Customer Buy 59.5 886.9 31,338.2 55,108.1
Customer Sell 57.8 6,985.7 * *
Dealer to Dealer 114.7 478.9 * 22,080.5
<= $1MM 231.9 1,699.9 1,043.4 2,347.2
<= $10MM - * * 47,565.4
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES 27 43 18 26
Customer Buy 6 13 11 15
Customer Sell 10 12 * *
Dealer to Dealer 11 18 * 8
<= $1MM 27 39 12 11
<= $10MM - * * 13
<= $100MM - - * *
> $100MM - - - -
GNMA
AVERAGE PRICE 99.8 91.0 85.9 93.5
Weighted Avg. Price 100.7 92.1 85.2 98.9
Avg. Price Bottom 5 Trades 96.7 80.2 80.9 45.9
2nd Quartile Price 98.0 90.0 87.0 94.1
3rd Quartile Price 100.5 93.9 95.0 99.2
4th Quartile Price 101.5 97.0 95.9 100.0
Avg. Price Top 5 Trades 102.3 97.9 92.8 110.8
Standard Deviation 2.2 7.0 10.9 14.3
VOLUME OF TRADES (000'S) 551.5 11,915.1 3,654.4 281,415.0
Customer Buy 225.6 5,199.3 * 103,607.4
Customer Sell 98.9 2,550.2 * 14,386.1
Dealer to Dealer 227.1 4,165.6 * 163,421.5
<= $1MM 551.5 452.2 3,654.4 15,125.5
<= $10MM - 11,463.0 - 138,423.2
<= $100MM - - - 127,866.3
> $100MM - - - -
NUMBER OF TRADES 29 33 9 171
Customer Buy 12 8 * 86
Customer Sell 10 12 * 27
Dealer to Dealer 7 13 * 58
<= $1MM 29 28 9 131
<= $10MM - 5 - 35
<= $100MM - - - 5
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * - * *
Weighted Avg. Price * - * *
Avg. Price Bottom 5 Trades * - * *
2nd Quartile Price * - * *
3rd Quartile Price * - * *
4th Quartile Price * - * *
Avg. Price Top 5 Trades * - * *
Standard Deviation * - * *
VOLUME OF TRADES (000'S) * - * *
Customer Buy - - - *
Customer Sell - - * *
Dealer to Dealer * - - -
<= $1MM * - * -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * - * *
Customer Buy - - - *
Customer Sell - - * *
Dealer to Dealer * - - -
<= $1MM * - * -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - 6.5 - *
Weighted Avg. Price - 8.0 - *
Avg. Price Bottom 5 Trades - 4.9 - *
2nd Quartile Price - 4.7 - *
3rd Quartile Price - 5.1 - *
4th Quartile Price - 10.2 - *
Avg. Price Top 5 Trades - 8.6 - *
Standard Deviation - 3.1 - *
VOLUME OF TRADES (000'S) - 5,539.8 - *
Customer Buy - * - *
Customer Sell - 2,455.8 - -
Dealer to Dealer - * - -
<= $1MM - 2,016.0 - -
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - 13 - *
Customer Buy - * - *
Customer Sell - 9 - -
Dealer to Dealer - * - -
<= $1MM - 11 - -
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - * * 7.0
Weighted Avg. Price - * * 4.6
Avg. Price Bottom 5 Trades - * * 3.8
2nd Quartile Price - * * 3.1
3rd Quartile Price - * * 6.1
4th Quartile Price - * * 10.6
Avg. Price Top 5 Trades - * * 9.4
Standard Deviation - * * 5.2
VOLUME OF TRADES (000'S) - * * 262,348.8
Customer Buy - - - *
Customer Sell - - * *
Dealer to Dealer - * * *
<= $1MM - * * *
<= $10MM - - - -
<= $100MM - - - 261,497.2
> $100MM - - - -
NUMBER OF TRADES - * * 8
Customer Buy - - - *
Customer Sell - - * *
Dealer to Dealer - * * *
<= $1MM - * * *
<= $10MM - - - -
<= $100MM - - - 5
> $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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