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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 97.2 88.3 * 95.2
Weighted Avg. Price 99.9 86.6 * 96.4
Avg. Price Bottom 5 Trades 94.8 74.4 * 82.2
2nd Quartile Price 95.0 82.1 * 90.5
3rd Quartile Price 97.3 92.3 * 97.9
4th Quartile Price 99.5 95.6 * 99.6
Avg. Price Top 5 Trades 99.7 98.3 * 100.4
Standard Deviation 2.3 9.4 * 6.0
VOLUME OF TRADES (000'S) 131.2 3,248.0 * 225,738.6
Customer Buy * 1,970.0 * 126,885.0
Customer Sell 107.5 * * *
Dealer to Dealer 14.2 1,009.7 0.0 86,139.2
<= $1MM 131.2 2,217.3 * 6,793.2
<= $10MM 0.0 * 0.0 72,297.8
<= $100MM 0.0 0.0 * 146,647.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 16 32 * 48
Customer Buy * 11 * 28
Customer Sell 7 * * *
Dealer to Dealer 5 18 0 18
<= $1MM 16 31 * 21
<= $10MM 0 * 0 17
<= $100MM 0 0 * 10
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 95.3 85.1 * 94.6
Weighted Avg. Price 100.5 91.8 * 96.0
Avg. Price Bottom 5 Trades 87.7 74.7 * 61.9
2nd Quartile Price 92.0 78.5 * 98.4
3rd Quartile Price 96.6 85.0 * 100.0
4th Quartile Price 99.2 95.3 * 100.0
Avg. Price Top 5 Trades 101.4 98.3 * 100.6
Standard Deviation 4.8 9.5 * 12.5
VOLUME OF TRADES (000'S) 1,060.2 4,654.6 * 78,417.4
Customer Buy * 4,009.7 * 54,201.5
Customer Sell 942.6 155.9 0.0 *
Dealer to Dealer 106.0 489.0 * 24,184.1
<= $1MM 1,060.2 1,467.5 * 7,214.4
<= $10MM 0.0 * 0.0 26,203.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 42 23 * 50
Customer Buy * 7 * 38
Customer Sell 20 5 0 *
Dealer to Dealer 18 11 * 11
<= $1MM 42 22 * 39
<= $10MM 0 * 0 8
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 96.9 85.8 81.5 95.5
Weighted Avg. Price 99.5 83.0 85.9 98.4
Avg. Price Bottom 5 Trades 92.4 72.3 70.3 57.9
2nd Quartile Price 95.0 79.3 77.8 97.3
3rd Quartile Price 97.7 86.1 83.8 99.5
4th Quartile Price 98.4 92.5 85.5 99.8
Avg. Price Top 5 Trades 100.6 97.4 92.7 102.5
Standard Deviation 2.4 7.3 8.1 9.4
VOLUME OF TRADES (000'S) 907.2 4,557.6 2,233.8 631,757.1
Customer Buy 28.2 1,420.7 720.3 278,197.0
Customer Sell 658.1 1,147.1 * 298,661.5
Dealer to Dealer 220.9 1,989.9 1,063.8 54,898.6
<= $1MM 907.2 4,557.6 2,233.8 21,189.2
<= $10MM 0.0 0.0 0.0 93,507.0
<= $100MM 0.0 0.0 0.0 384,762.8
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 52 109 34 176
Customer Buy 7 35 18 115
Customer Sell 24 37 * 18
Dealer to Dealer 21 37 13 43
<= $1MM 52 109 34 127
<= $10MM 0 0 0 29
<= $100MM 0 0 0 19
> $100MM 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 6.9 0.0 * 18.0
Weighted Avg. Price 15.9 0.0 * 18.9
Avg. Price Bottom 5 Trades 6.9 0.0 * 18.0
2nd Quartile Price * 0.0 * *
3rd Quartile Price * 0.0 * *
4th Quartile Price * 0.0 * *
Avg. Price Top 5 Trades 6.9 0.0 * 18.0
Standard Deviation 9.4 0.0 * 4.9
VOLUME OF TRADES (000'S) 2,950.0 0.0 * 87,213.8
Customer Buy 2,950.0 0.0 * *
Customer Sell 0.0 0.0 0.0 *
Dealer to Dealer 0.0 0.0 * 0.0
<= $1MM * 0.0 * 0.0
<= $10MM * 0.0 * 0.0
<= $100MM 0.0 0.0 0.0 87,213.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 5 0 * 5
Customer Buy 5 0 * *
Customer Sell 0 0 0 *
Dealer to Dealer 0 0 * 0
<= $1MM * 0 * 0
<= $10MM * 0 * 0
<= $100MM 0 0 0 5
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * * 16.5
Weighted Avg. Price 0.0 * * 18.0
Avg. Price Bottom 5 Trades 0.0 * * 15.3
2nd Quartile Price 0.0 * * 17.2
3rd Quartile Price 0.0 * * 19.2
4th Quartile Price 0.0 * * 19.7
Avg. Price Top 5 Trades 0.0 * * 18.0
Standard Deviation 0.0 * * 4.2
VOLUME OF TRADES (000'S) 0.0 * * 165,641.9
Customer Buy 0.0 * * *
Customer Sell 0.0 0.0 0.0 *
Dealer to Dealer 0.0 * * *
<= $1MM 0.0 * * *
<= $10MM 0.0 0.0 * 0.0
<= $100MM 0.0 0.0 0.0 165,476.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 7
Customer Buy 0 * * *
Customer Sell 0 0 0 *
Dealer to Dealer 0 * * *
<= $1MM 0 * * *
<= $10MM 0 0 * 0
<= $100MM 0 0 0 6
> $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 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 0.0 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 *
Customer Buy 0 0 0 *
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 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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