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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 98.3 89.9 82.2 89.8
Weighted Avg. Price 99.6 87.2 90.5 89.3
Avg. Price Bottom 5 Trades 95.5 75.4 73.8 49.3
2nd Quartile Price 97.4 88.6 81.8 88.4
3rd Quartile Price 98.3 92.0 90.5 96.8
4th Quartile Price 100.0 96.3 96.3 99.6
Avg. Price Top 5 Trades 101.0 99.5 93.9 102.1
Standard Deviation 2.4 7.6 15.0 15.4
VOLUME OF TRADES (000'S) 246.3 2,947.2 2,979.9 611,898.9
Customer Buy 103.1 2,122.8 * 324,657.7
Customer Sell 11.4 215.9 * 42,639.5
Dealer to Dealer 131.8 608.5 1,513.3 244,601.7
<= $1MM 246.3 1,322.2 158.5 15,783.4
<= $10MM 0.0 * * 188,725.5
<= $100MM 0.0 0.0 0.0 407,390.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 28 46 10 111
Customer Buy 11 16 * 64
Customer Sell 7 6 * 9
Dealer to Dealer 10 24 5 38
<= $1MM 28 45 8 48
<= $10MM 0 * * 43
<= $100MM 0 0 0 20
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 93.3 86.9 95.0 94.7
Weighted Avg. Price 103.5 95.3 92.2 98.7
Avg. Price Bottom 5 Trades 72.2 62.5 93.1 56.6
2nd Quartile Price 97.5 82.0 94.9 97.5
3rd Quartile Price 98.8 89.9 95.6 99.2
4th Quartile Price 101.4 97.3 98.3 100.1
Avg. Price Top 5 Trades 103.4 99.4 97.3 101.3
Standard Deviation 19.9 14.0 2.9 11.3
VOLUME OF TRADES (000'S) 1,631.9 52,881.1 15,634.1 857,447.1
Customer Buy 583.2 23,589.0 * 296,572.1
Customer Sell 12.8 3,406.6 * 29,321.4
Dealer to Dealer 1,035.8 25,885.5 13,132.3 531,553.6
<= $1MM 1,631.9 997.5 1,696.2 12,222.2
<= $10MM 0.0 51,883.6 * 120,001.5
<= $100MM 0.0 0.0 0.0 725,223.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 28 63 11 95
Customer Buy 10 20 * 52
Customer Sell 7 14 * 6
Dealer to Dealer 11 29 7 37
<= $1MM 28 47 7 34
<= $10MM 0 16 * 39
<= $100MM 0 0 0 22
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 96.0 87.6 91.7 95.6
Weighted Avg. Price 98.8 97.2 93.8 97.5
Avg. Price Bottom 5 Trades 87.4 74.6 89.8 55.7
2nd Quartile Price 96.9 84.0 90.0 95.8
3rd Quartile Price 97.1 88.5 93.6 99.0
4th Quartile Price 98.3 93.0 98.0 100.0
Avg. Price Top 5 Trades 100.2 98.5 93.5 103.5
Standard Deviation 6.7 7.4 4.5 8.8
VOLUME OF TRADES (000'S) 138.9 43,754.9 301.6 1,663,469.1
Customer Buy 28.3 40,838.4 109.2 898,621.8
Customer Sell 40.4 1,423.4 * 81,839.7
Dealer to Dealer 70.2 1,493.1 105.2 683,007.6
<= $1MM 138.9 1,849.4 301.6 23,570.3
<= $10MM 0.0 * 0.0 455,995.5
<= $100MM 0.0 * 0.0 1,183,903.3
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 48 70 11 298
Customer Buy 12 18 5 161
Customer Sell 11 13 * 23
Dealer to Dealer 25 39 5 114
<= $1MM 48 68 11 138
<= $10MM 0 * 0 109
<= $100MM 0 * 0 51
> $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 0.0 0.0 0.0 17.4
Weighted Avg. Price 0.0 0.0 0.0 17.6
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 17.4
2nd Quartile Price 0.0 0.0 0.0 *
3rd Quartile Price 0.0 0.0 0.0 *
4th Quartile Price 0.0 0.0 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 17.4
Standard Deviation 0.0 0.0 0.0 29.3
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 24,408.0
Customer Buy 0.0 0.0 0.0 *
Customer Sell 0.0 0.0 0.0 *
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 *
<= $10MM 0.0 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0 5
Customer Buy 0 0 0 *
Customer Sell 0 0 0 *
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 *
<= $10MM 0 0 0 *
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 0.0 15.6
Weighted Avg. Price 0.0 * 0.0 15.2
Avg. Price Bottom 5 Trades 0.0 * 0.0 13.2
2nd Quartile Price 0.0 * 0.0 16.2
3rd Quartile Price 0.0 * 0.0 16.2
4th Quartile Price 0.0 * 0.0 16.2
Avg. Price Top 5 Trades 0.0 * 0.0 16.1
Standard Deviation 0.0 * 0.0 1.3
VOLUME OF TRADES (000'S) 0.0 * 0.0 58,664.5
Customer Buy 0.0 * 0.0 4,983.1
Customer Sell 0.0 * 0.0 *
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 * 0.0 3,220.0
<= $10MM 0.0 0.0 0.0 6,746.2
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * 0 27
Customer Buy 0 * 0 22
Customer Sell 0 * 0 *
Dealer to Dealer 0 0 0 *
<= $1MM 0 * 0 21
<= $10MM 0 0 0 5
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 *
Weighted Avg. Price 0.0 0.0 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 *
2nd Quartile Price 0.0 0.0 0.0 *
3rd Quartile Price 0.0 0.0 0.0 *
4th Quartile Price 0.0 0.0 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 *
Standard Deviation 0.0 0.0 0.0 *
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 *
Customer Buy 0.0 0.0 0.0 *
Customer Sell 0.0 0.0 0.0 *
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 0.0 0.0 *
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0 *
Customer Buy 0 0 0 *
Customer Sell 0 0 0 *
Dealer to Dealer 0 0 0 *
<= $1MM 0 0 0 *
<= $10MM 0 0 0 0
<= $100MM 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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