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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 94.2 95.7 90.2 84.9
Weighted Avg. Price 99.5 97.9 89.8 91.7
Avg. Price Bottom 5 Trades 87.1 91.7 84.2 58.0
2nd Quartile Price 90.0 91.8 89.7 72.0
3rd Quartile Price 96.3 96.3 91.4 97.7
4th Quartile Price 100.0 98.8 95.4 99.7
Avg. Price Top 5 Trades 100.1 99.8 95.2 100.4
Standard Deviation 5.8 3.6 7.0 17.7
VOLUME OF TRADES (000'S) 315.3 10,307.5 20,049.7 124,895.4
Customer Buy 106.8 8,847.1 1,338.4 74,921.8
Customer Sell 67.1 * * *
Dealer to Dealer 141.4 1,390.3 14,026.5 49,957.8
<= $1MM 315.3 3,377.6 823.0 4,642.4
<= $10MM - * 19,226.7 63,633.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 23 24 25 39
Customer Buy 6 11 9 22
Customer Sell 6 * * *
Dealer to Dealer 11 9 15 14
<= $1MM 23 23 20 25
<= $10MM - * 5 11
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.0 88.7 96.2 92.3
Weighted Avg. Price 99.2 93.1 95.2 83.4
Avg. Price Bottom 5 Trades 95.9 81.3 96.2 62.7
2nd Quartile Price 96.0 88.5 * 85.0
3rd Quartile Price 98.9 90.5 * 99.3
4th Quartile Price 100.0 93.8 * 100.0
Avg. Price Top 5 Trades 98.5 94.0 96.2 100.1
Standard Deviation 3.2 6.4 1.6 11.2
VOLUME OF TRADES (000'S) 46.2 586.9 785.2 136,880.8
Customer Buy * 464.7 505.8 73,077.5
Customer Sell * * - *
Dealer to Dealer * 112.2 * 60,751.2
<= $1MM 46.2 586.9 785.2 6,110.9
<= $10MM - - - 39,812.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 8 20 7 73
Customer Buy * 11 5 53
Customer Sell * * - *
Dealer to Dealer * 8 * 16
<= $1MM 8 20 7 55
<= $10MM - - - 14
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 96.3 86.9 85.7 92.3
Weighted Avg. Price 99.2 96.6 85.0 94.3
Avg. Price Bottom 5 Trades 90.3 76.9 82.0 47.2
2nd Quartile Price 94.7 78.2 81.0 93.1
3rd Quartile Price 97.8 89.4 90.0 98.3
4th Quartile Price 99.0 96.0 94.0 100.3
Avg. Price Top 5 Trades 100.5 97.0 91.8 114.6
Standard Deviation 4.4 9.6 8.3 17.2
VOLUME OF TRADES (000'S) 1,299.7 15,461.2 225.1 202,964.8
Customer Buy 1,157.9 11,754.1 148.4 100,776.0
Customer Sell 52.4 * * 28,368.1
Dealer to Dealer 89.4 3,298.7 48.8 73,820.6
<= $1MM 1,299.7 1,792.0 225.1 13,258.6
<= $10MM - * - 43,222.6
<= $100MM - * - *
> $100MM - - - -
NUMBER OF TRADES 51 27 18 164
Customer Buy 17 7 11 102
Customer Sell 12 * * 15
Dealer to Dealer 22 16 5 47
<= $1MM 51 24 18 148
<= $10MM - * - 12
<= $100MM - * - *
> $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 * * - *
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 - - - -
GNMA
AVERAGE PRICE * - * 16.4
Weighted Avg. Price * - * 10.8
Avg. Price Bottom 5 Trades * - * 12.0
2nd Quartile Price * - * 14.5
3rd Quartile Price * - * 16.7
4th Quartile Price * - * 21.4
Avg. Price Top 5 Trades * - * 20.8
Standard Deviation * - * 5.7
VOLUME OF TRADES (000'S) * - * 108,338.0
Customer Buy * - - *
Customer Sell * - * 62,586.2
Dealer to Dealer * - - -
<= $1MM * - - -
<= $10MM - - * 36,344.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * - * 12
Customer Buy * - - *
Customer Sell * - * 10
Dealer to Dealer * - - -
<= $1MM * - - -
<= $10MM - - * 10
<= $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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