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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 97.6 93.1 84.1 85.7
Weighted Avg. Price 101.6 98.5 97.2 94.7
Avg. Price Bottom 5 Trades 91.1 78.8 73.5 44.3
2nd Quartile Price 95.4 88.0 92.1 88.3
3rd Quartile Price 98.0 96.0 92.9 92.0
4th Quartile Price 101.1 98.7 98.8 98.5
Avg. Price Top 5 Trades 103.8 101.8 99.3 102.6
Standard Deviation 4.0 7.9 24.0 18.5
VOLUME OF TRADES (000'S) 7,290.8 31,767.0 7,804.5 195,278.7
Customer Buy 1,848.4 19,292.5 210.0 93,829.4
Customer Sell 4,077.8 3,658.6 * 34,765.5
Dealer to Dealer 1,364.7 8,815.9 4,121.5 66,683.7
<= $1MM 7,290.8 4,467.0 1,175.4 9,556.8
<= $10MM 0.0 12,300.0 * 125,049.3
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 67 61 14 100
Customer Buy 17 19 5 33
Customer Sell 26 12 * 23
Dealer to Dealer 24 30 5 44
<= $1MM 67 53 12 63
<= $10MM 0 7 * 34
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 96.0 87.2 82.9 88.4
Weighted Avg. Price 99.9 95.6 88.7 98.1
Avg. Price Bottom 5 Trades 81.8 67.1 79.6 46.9
2nd Quartile Price 95.3 82.5 80.7 87.7
3rd Quartile Price 98.0 88.2 89.2 93.2
4th Quartile Price 99.5 97.5 89.3 99.2
Avg. Price Top 5 Trades 103.1 99.9 90.7 103.8
Standard Deviation 6.8 12.1 12.1 17.0
VOLUME OF TRADES (000'S) 7,813.7 12,451.4 34,863.9 779,804.4
Customer Buy 362.1 3,268.4 * 218,152.3
Customer Sell 5,486.3 3,219.8 * 221,529.9
Dealer to Dealer 1,965.3 5,963.3 * 340,122.2
<= $1MM 3,005.2 5,119.7 * 11,810.1
<= $10MM * * * 99,702.2
<= $100MM 0.0 0.0 * 148,523.3
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 74 33 8 109
Customer Buy 20 10 * 49
Customer Sell 23 5 * 21
Dealer to Dealer 31 18 * 39
<= $1MM 71 29 * 72
<= $10MM * * * 26
<= $100MM 0 0 * 8
> $100MM 0 0 0 *
GNMA
AVERAGE PRICE 97.3 87.4 88.2 84.3
Weighted Avg. Price 100.4 98.5 96.3 94.1
Avg. Price Bottom 5 Trades 88.2 75.0 77.9 42.8
2nd Quartile Price 96.6 80.6 82.3 62.0
3rd Quartile Price 98.1 87.0 94.8 97.1
4th Quartile Price 99.5 96.3 101.2 100.0
Avg. Price Top 5 Trades 101.7 101.4 102.5 109.0
Standard Deviation 4.1 8.6 14.5 22.8
VOLUME OF TRADES (000'S) 1,882.7 4,344.5 10,381.8 404,932.9
Customer Buy 405.5 941.6 4,367.4 290,712.3
Customer Sell 902.6 1,507.6 1,605.6 30,243.6
Dealer to Dealer 574.7 1,895.3 4,408.9 83,977.0
<= $1MM 1,882.7 4,344.5 1,804.0 20,602.1
<= $10MM 0.0 0.0 * 109,169.5
<= $100MM 0.0 0.0 0.0 275,161.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 68 45 22 255
Customer Buy 21 9 7 132
Customer Sell 17 12 8 39
Dealer to Dealer 30 24 7 84
<= $1MM 68 45 20 214
<= $10MM 0 0 * 30
<= $100MM 0 0 0 11
> $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 4.6 * 0.0 14.5
Weighted Avg. Price 4.7 * 0.0 14.4
Avg. Price Bottom 5 Trades 4.5 * 0.0 11.8
2nd Quartile Price 4.6 * 0.0 13.4
3rd Quartile Price 4.8 * 0.0 13.8
4th Quartile Price 4.8 * 0.0 16.6
Avg. Price Top 5 Trades 4.8 * 0.0 16.8
Standard Deviation 0.3 * 0.0 1.9
VOLUME OF TRADES (000'S) 246.3 * 0.0 224,262.8
Customer Buy * 0.0 0.0 *
Customer Sell * * 0.0 156,686.9
Dealer to Dealer 0.0 * 0.0 39,113.1
<= $1MM 246.3 * 0.0 6,951.3
<= $10MM 0.0 * 0.0 104,277.1
<= $100MM 0.0 0.0 0.0 113,034.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 8 * 0 47
Customer Buy * 0 0 *
Customer Sell * * 0 30
Dealer to Dealer 0 * 0 14
<= $1MM 8 * 0 15
<= $10MM 0 * 0 26
<= $100MM 0 0 0 6
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 0.0 14.0
Weighted Avg. Price 0.0 * 0.0 10.5
Avg. Price Bottom 5 Trades 0.0 * 0.0 5.3
2nd Quartile Price 0.0 * 0.0 13.1
3rd Quartile Price 0.0 * 0.0 13.5
4th Quartile Price 0.0 * 0.0 16.1
Avg. Price Top 5 Trades 0.0 * 0.0 17.3
Standard Deviation 0.0 * 0.0 2.7
VOLUME OF TRADES (000'S) 0.0 * 0.0 969,311.7
Customer Buy 0.0 0.0 0.0 617,479.0
Customer Sell 0.0 * 0.0 228,971.5
Dealer to Dealer 0.0 * 0.0 122,861.1
<= $1MM 0.0 * 0.0 19,355.6
<= $10MM 0.0 0.0 0.0 113,932.1
<= $100MM 0.0 0.0 0.0 475,756.1
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 0 * 0 98
Customer Buy 0 0 0 8
Customer Sell 0 * 0 51
Dealer to Dealer 0 * 0 39
<= $1MM 0 * 0 37
<= $10MM 0 0 0 43
<= $100MM 0 0 0 16
> $100MM 0 0 0 *
GNMA
AVERAGE PRICE 7.5 8.4 9.4 10.7
Weighted Avg. Price 7.3 5.2 15.3 6.9
Avg. Price Bottom 5 Trades 7.5 8.4 7.4 2.1
2nd Quartile Price * * 3.0 4.7
3rd Quartile Price * * 19.2 10.4
4th Quartile Price * * 19.3 14.5
Avg. Price Top 5 Trades 7.5 8.4 10.7 30.2
Standard Deviation 0.2 6.4 8.0 11.8
VOLUME OF TRADES (000'S) 2,771.1 5,633.5 55,120.1 1,306,745.2
Customer Buy 923.7 1,882.2 * 771,814.2
Customer Sell 0.0 0.0 * 494,532.4
Dealer to Dealer * * * 40,398.6
<= $1MM 2,771.1 1,895.4 0.0 5,288.9
<= $10MM 0.0 * * 19,378.3
<= $100MM 0.0 0.0 * 1,282,078.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 7 9 6 54
Customer Buy 5 6 * 26
Customer Sell 0 0 * 21
Dealer to Dealer * * * 7
<= $1MM 7 7 0 22
<= $10MM 0 * * 5
<= $100MM 0 0 * 27
> $100MM 0 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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