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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 93.9 84.4 95.4 89.8
Weighted Avg. Price 102.7 98.0 93.2 94.8
Avg. Price Bottom 5 Trades 73.0 65.5 93.0 57.0
2nd Quartile Price 97.0 83.0 95.6 88.3
3rd Quartile Price 98.9 86.0 97.6 94.5
4th Quartile Price 99.5 92.0 98.5 99.5
Avg. Price Top 5 Trades 101.9 98.2 98.2 100.8
Standard Deviation 18.1 15.6 4.0 13.4
VOLUME OF TRADES (000'S) 823.9 4,210.2 4,621.9 145,922.4
Customer Buy 628.6 696.4 * 96,163.2
Customer Sell 54.7 3,052.5 * 10,574.1
Dealer to Dealer 140.6 461.4 997.2 39,185.1
<= $1MM 823.9 1,367.2 1,283.2 13,469.1
<= $10MM - * * 92,864.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 35 42 11 76
Customer Buy 10 12 * 36
Customer Sell 12 8 * 13
Dealer to Dealer 13 22 5 27
<= $1MM 35 41 9 44
<= $10MM - * * 30
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.2 91.9 89.5 92.0
Weighted Avg. Price 99.4 97.0 93.1 95.6
Avg. Price Bottom 5 Trades 90.8 73.8 81.4 54.2
2nd Quartile Price 96.0 92.8 88.6 93.0
3rd Quartile Price 98.9 96.3 94.8 98.3
4th Quartile Price 99.3 97.6 95.6 99.3
Avg. Price Top 5 Trades 100.7 98.9 96.3 100.2
Standard Deviation 4.3 9.0 7.7 12.9
VOLUME OF TRADES (000'S) 1,498.9 2,030.5 40,550.2 360,465.5
Customer Buy 103.8 277.5 * 257,965.3
Customer Sell 1,280.1 1,324.4 * 6,434.7
Dealer to Dealer 115.0 428.6 21,480.7 96,065.5
<= $1MM 345.4 2,030.5 1,039.5 13,770.3
<= $10MM * - 24,569.0 109,787.8
<= $100MM - - * 236,907.3
> $100MM - - - -
NUMBER OF TRADES 40 34 14 107
Customer Buy 10 6 * 55
Customer Sell 19 13 * 16
Dealer to Dealer 11 15 8 36
<= $1MM 39 34 8 62
<= $10MM * - 5 32
<= $100MM - - * 13
> $100MM - - - -
GNMA
AVERAGE PRICE 96.4 86.3 84.6 90.4
Weighted Avg. Price 98.0 88.3 97.4 96.8
Avg. Price Bottom 5 Trades 85.8 79.3 81.5 46.3
2nd Quartile Price 96.3 81.0 80.6 94.2
3rd Quartile Price 98.3 85.0 84.4 98.3
4th Quartile Price 99.9 90.3 87.5 99.3
Avg. Price Top 5 Trades 101.4 94.0 85.8 107.3
Standard Deviation 5.6 8.3 5.7 16.8
VOLUME OF TRADES (000'S) 190.0 262.6 15,183.2 440,269.7
Customer Buy 63.3 59.5 * 282,703.1
Customer Sell 42.6 56.9 * 6,993.0
Dealer to Dealer 84.1 146.2 * 150,573.6
<= $1MM 190.0 262.6 285.7 20,860.5
<= $10MM - - - 133,440.1
<= $100MM - - * 285,969.1
> $100MM - - - -
NUMBER OF TRADES 41 24 9 191
Customer Buy 11 7 * 117
Customer Sell 12 5 * 22
Dealer to Dealer 18 12 * 52
<= $1MM 41 24 8 146
<= $10MM - - - 32
<= $100MM - - * 13
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * - 12.6
Weighted Avg. Price * * - 9.0
Avg. Price Bottom 5 Trades * * - 11.0
2nd Quartile Price * * - 13.3
3rd Quartile Price * * - 13.6
4th Quartile Price * * - 14.5
Avg. Price Top 5 Trades * * - 14.5
Standard Deviation * * - 4.5
VOLUME OF TRADES (000'S) * * - 3,582.4
Customer Buy * * - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM * * - 2,061.0
<= $10MM - - - *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES * * - 8
Customer Buy * * - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM * * - 7
<= $10MM - - - *
<= $100MM - - - -
> $100MM - - - -
FHLMC
AVERAGE PRICE - - - 11.6
Weighted Avg. Price - - - 0.9
Avg. Price Bottom 5 Trades - - - 11.6
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 11.6
Standard Deviation - - - 7.2
VOLUME OF TRADES (000'S) - - - 52,657.6
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 5
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE * * - 11.2
Weighted Avg. Price * * - 2.3
Avg. Price Bottom 5 Trades * * - 10.1
2nd Quartile Price * * - 6.0
3rd Quartile Price * * - 14.5
4th Quartile Price * * - 17.8
Avg. Price Top 5 Trades * * - 12.7
Standard Deviation * * - 6.4
VOLUME OF TRADES (000'S) * * - 85,826.9
Customer Buy * * - *
Customer Sell * - - *
Dealer to Dealer - - - *
<= $1MM * * - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * - 7
Customer Buy * * - *
Customer Sell * - - *
Dealer to Dealer - - - *
<= $1MM * * - *
<= $10MM - - - *
<= $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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