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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 94.8 87.4 72.2 81.1
Weighted Avg. Price 97.0 90.1 88.0 93.5
Avg. Price Bottom 5 Trades 85.7 67.9 59.7 52.1
2nd Quartile Price 92.5 80.6 61.0 60.0
3rd Quartile Price 96.2 88.1 66.5 89.0
4th Quartile Price 99.0 95.8 89.4 98.4
Avg. Price Top 5 Trades 99.6 98.7 96.1 102.2
Standard Deviation 5.0 9.2 14.9 18.8
VOLUME OF TRADES (000'S) 324.3 19,534.1 12,292.1 132,568.1
Customer Buy 99.5 7,959.3 4,041.7 58,986.1
Customer Sell 112.2 10,724.7 4,123.3 65,136.3
Dealer to Dealer 112.6 850.2 4,127.1 8,445.7
<= $1MM 324.3 2,982.1 296.6 7,687.0
<= $10MM - 16,552.0 * 40,272.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 47 91 33 73
Customer Buy 5 28 7 26
Customer Sell 21 24 8 18
Dealer to Dealer 21 39 18 29
<= $1MM 47 84 30 55
<= $10MM - 7 * 14
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.9 90.1 91.3 86.6
Weighted Avg. Price 99.7 94.9 97.2 98.1
Avg. Price Bottom 5 Trades 89.6 75.5 87.0 45.0
2nd Quartile Price 95.5 84.9 89.0 84.0
3rd Quartile Price 97.3 89.8 92.6 98.3
4th Quartile Price 98.4 97.5 95.4 99.9
Avg. Price Top 5 Trades 101.5 102.2 97.7 102.4
Standard Deviation 3.4 8.7 6.5 20.2
VOLUME OF TRADES (000'S) 535.2 22,445.5 23,545.3 162,857.6
Customer Buy 114.9 16,396.5 6,030.1 74,014.2
Customer Sell 262.7 1,748.3 15,303.2 10,207.0
Dealer to Dealer 157.5 4,300.6 * 78,636.4
<= $1MM 535.2 2,673.1 2,288.1 4,705.9
<= $10MM - 19,772.4 21,257.2 61,906.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 56 52 21 66
Customer Buy 8 19 12 31
Customer Sell 24 13 6 13
Dealer to Dealer 24 20 * 22
<= $1MM 56 43 15 43
<= $10MM - 9 6 19
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 98.1 89.4 90.4 86.8
Weighted Avg. Price 99.9 91.6 94.2 94.3
Avg. Price Bottom 5 Trades 94.5 71.6 82.9 42.7
2nd Quartile Price 96.8 84.0 85.0 81.8
3rd Quartile Price 98.5 91.0 92.9 97.4
4th Quartile Price 99.8 97.0 97.0 100.0
Avg. Price Top 5 Trades 101.2 100.9 97.0 105.0
Standard Deviation 2.2 8.9 7.2 18.9
VOLUME OF TRADES (000'S) 351.4 5,507.6 1,861.7 546,947.6
Customer Buy 113.7 4,681.0 1,080.5 304,548.3
Customer Sell 103.7 474.6 239.0 107,953.6
Dealer to Dealer 134.1 352.1 542.2 134,445.6
<= $1MM 351.4 1,930.9 1,861.7 12,814.4
<= $10MM - * - 188,528.8
<= $100MM - - - 345,604.3
> $100MM - - - -
NUMBER OF TRADES 66 74 20 234
Customer Buy 19 14 8 117
Customer Sell 25 31 5 57
Dealer to Dealer 22 29 7 60
<= $1MM 66 73 20 165
<= $10MM - * - 55
<= $100MM - - - 14
> $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 - * * 37.4
Weighted Avg. Price - * * 17.7
Avg. Price Bottom 5 Trades - * * 32.9
2nd Quartile Price - * * 16.0
3rd Quartile Price - * * 59.8
4th Quartile Price - * * 60.1
Avg. Price Top 5 Trades - * * 42.0
Standard Deviation - * * 24.6
VOLUME OF TRADES (000'S) - * * 105,415.0
Customer Buy - * - *
Customer Sell - * * *
Dealer to Dealer - * * *
<= $1MM - * * -
<= $10MM - * * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * * 6
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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