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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 99.0 93.2 93.4 92.5
Weighted Avg. Price 101.1 98.1 95.6 97.4
Avg. Price Bottom 5 Trades 92.4 60.2 82.3 58.4
2nd Quartile Price 98.3 90.5 95.4 93.2
3rd Quartile Price 99.5 96.5 96.8 98.8
4th Quartile Price 101.5 100.1 97.2 99.8
Avg. Price Top 5 Trades 104.1 105.5 98.1 101.3
Standard Deviation 3.6 11.6 11.8 12.6
VOLUME OF TRADES (000'S) 3,220.1 31,097.0 66,738.3 69,776.8
Customer Buy 1,650.1 7,183.3 15,905.4 29,028.7
Customer Sell 1,500.5 18,228.8 24,337.8 8,012.3
Dealer to Dealer 69.5 5,684.9 26,495.1 32,735.8
<= $1MM 3,220.1 14,925.0 4,594.5 8,849.2
<= $10MM 0.0 16,172.0 39,241.8 60,927.7
<= $100MM 0.0 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 44 67 21 53
Customer Buy 13 17 6 22
Customer Sell 19 29 5 16
Dealer to Dealer 12 21 10 15
<= $1MM 44 60 12 37
<= $10MM 0 7 7 16
<= $100MM 0 0 * 0
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 97.8 92.4 95.1 81.1
Weighted Avg. Price 103.4 98.0 96.8 97.4
Avg. Price Bottom 5 Trades 90.8 71.6 85.3 34.9
2nd Quartile Price 95.0 90.3 95.2 63.3
3rd Quartile Price 98.5 96.2 97.1 92.1
4th Quartile Price 100.0 98.0 98.5 99.6
Avg. Price Top 5 Trades 104.2 100.3 99.7 101.1
Standard Deviation 3.9 8.7 8.0 23.1
VOLUME OF TRADES (000'S) 5,351.7 49,161.9 36,687.4 66,155.8
Customer Buy 2,607.4 769.5 9,107.9 42,737.9
Customer Sell 2,696.0 41,962.6 12,710.8 2,359.0
Dealer to Dealer 48.3 6,429.7 14,868.8 21,058.9
<= $1MM 2,567.4 8,009.8 4,453.5 9,085.0
<= $10MM * 29,492.0 32,233.9 25,507.0
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 61 65 28 57
Customer Buy 12 8 11 23
Customer Sell 32 36 6 13
Dealer to Dealer 17 21 11 21
<= $1MM 59 57 19 46
<= $10MM * 7 9 9
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 97.0 92.3 94.7 87.3
Weighted Avg. Price 98.4 91.6 103.9 94.8
Avg. Price Bottom 5 Trades 85.4 79.3 89.2 46.3
2nd Quartile Price 96.9 91.0 92.9 68.6
3rd Quartile Price 98.2 94.9 95.9 97.5
4th Quartile Price 99.9 96.0 105.6 101.2
Avg. Price Top 5 Trades 101.3 99.6 103.5 107.4
Standard Deviation 6.4 6.5 9.7 19.2
VOLUME OF TRADES (000'S) 1,122.3 4,487.9 1,070.5 158,481.9
Customer Buy 51.7 3,992.0 * 103,500.8
Customer Sell 971.1 88.6 63.8 30,028.0
Dealer to Dealer 99.5 407.3 * 24,953.1
<= $1MM 1,122.3 815.8 1,070.5 19,447.7
<= $10MM 0.0 * 0.0 99,633.7
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 66 47 13 169
Customer Buy 14 17 * 88
Customer Sell 34 11 5 30
Dealer to Dealer 18 19 * 51
<= $1MM 66 46 13 137
<= $10MM 0 * 0 30
<= $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 * 10.5 * 14.6
Weighted Avg. Price * 13.7 * 13.3
Avg. Price Bottom 5 Trades * 2.6 * 11.9
2nd Quartile Price * 7.4 * 14.3
3rd Quartile Price * 13.8 * 15.8
4th Quartile Price * 17.4 * 16.1
Avg. Price Top 5 Trades * 17.8 * 16.3
Standard Deviation * 6.8 * 1.8
VOLUME OF TRADES (000'S) * 6,462.0 * 100,070.1
Customer Buy 0.0 * * 58,327.3
Customer Sell * 5,348.0 * 31,720.3
Dealer to Dealer 0.0 * 0.0 *
<= $1MM * 2,208.4 0.0 3,303.5
<= $10MM 0.0 * * 29,170.1
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 17 * 21
Customer Buy 0 * * 8
Customer Sell * 9 * 11
Dealer to Dealer 0 * 0 *
<= $1MM * 15 0 9
<= $10MM 0 * * 9
<= $100MM 0 0 * *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 7.5 * 14.3
Weighted Avg. Price 0.0 11.1 * 8.0
Avg. Price Bottom 5 Trades 0.0 7.5 * 10.8
2nd Quartile Price 0.0 * * 12.5
3rd Quartile Price 0.0 * * 15.8
4th Quartile Price 0.0 * * 16.0
Avg. Price Top 5 Trades 0.0 7.5 * 17.2
Standard Deviation 0.0 5.6 * 3.3
VOLUME OF TRADES (000'S) 0.0 3,125.2 * 78,683.5
Customer Buy 0.0 0.0 0.0 67,190.6
Customer Sell 0.0 * * 9,554.6
Dealer to Dealer 0.0 * 0.0 *
<= $1MM 0.0 * * 2,768.9
<= $10MM 0.0 * 0.0 16,263.6
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 5 * 18
Customer Buy 0 0 0 7
Customer Sell 0 * * 10
Dealer to Dealer 0 * 0 *
<= $1MM 0 * * 8
<= $10MM 0 * 0 9
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 * * 12.3
Weighted Avg. Price 0.0 * * 13.1
Avg. Price Bottom 5 Trades 0.0 * * 10.4
2nd Quartile Price 0.0 * * 13.9
3rd Quartile Price 0.0 * * 14.0
4th Quartile Price 0.0 * * 14.0
Avg. Price Top 5 Trades 0.0 * * 14.0
Standard Deviation 0.0 * * 4.4
VOLUME OF TRADES (000'S) 0.0 * * 11,292.8
Customer Buy 0.0 0.0 0.0 2,192.8
Customer Sell 0.0 * * 8,757.9
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 * 0.0 3,123.3
<= $10MM 0.0 0.0 * 8,169.5
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 17
Customer Buy 0 0 0 6
Customer Sell 0 * * 10
Dealer to Dealer 0 0 0 *
<= $1MM 0 * 0 12
<= $10MM 0 0 * 5
<= $100MM 0 0 0 0
> $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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