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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 102.4 90.9 91.1 97.5
Weighted Avg. Price 102.2 99.5 97.5 99.4
Avg. Price Bottom 5 Trades 86.1 69.5 77.8 90.9
2nd Quartile Price 100.0 83.0 85.0 97.4
3rd Quartile Price 103.3 94.0 96.6 99.1
4th Quartile Price 107.6 100.0 98.0 99.5
Avg. Price Top 5 Trades 111.1 108.1 99.3 101.3
Standard Deviation 7.8 11.1 8.7 4.0
VOLUME OF TRADES (000'S) 3,424.8 66,682.4 13,726.7 290,085.5
Customer Buy 601.0 18,291.1 710.7 192,144.1
Customer Sell 2,351.7 11,244.8 12,989.3 16,745.7
Dealer to Dealer 472.1 37,146.5 * 81,195.7
<= $1MM 1,339.8 7,870.4 5,204.3 5,612.3
<= $10MM * 17,588.4 8,522.5 30,653.0
<= $100MM 0.0 * 0.0 139,463.4
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 43 95 23 40
Customer Buy 15 21 8 23
Customer Sell 15 29 13 6
Dealer to Dealer 13 45 * 11
<= $1MM 42 85 17 21
<= $10MM * 7 6 9
<= $100MM 0 * 0 9
> $100MM 0 0 0 *
FHLMC
AVERAGE PRICE 102.4 95.8 94.3 81.4
Weighted Avg. Price 107.2 100.2 98.1 99.6
Avg. Price Bottom 5 Trades 98.0 77.2 83.6 66.5
2nd Quartile Price 100.1 96.7 94.0 65.4
3rd Quartile Price 101.3 99.1 97.7 81.3
4th Quartile Price 105.4 100.5 98.2 99.8
Avg. Price Top 5 Trades 109.4 105.5 98.8 101.6
Standard Deviation 3.5 8.2 6.3 17.0
VOLUME OF TRADES (000'S) 2,376.6 8,686.2 21,363.6 67,578.6
Customer Buy 1,242.9 2,816.4 11,311.1 54,240.4
Customer Sell 993.2 4,316.9 8,679.0 4,888.6
Dealer to Dealer 140.5 1,552.9 * 8,449.6
<= $1MM 2,376.6 6,436.2 8,212.3 2,453.8
<= $10MM 0.0 * 13,151.2 46,456.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 47 85 23 39
Customer Buy 9 20 9 18
Customer Sell 14 28 10 15
Dealer to Dealer 24 37 * 6
<= $1MM 47 84 17 26
<= $10MM 0 * 6 12
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 102.7 92.8 92.3 97.0
Weighted Avg. Price 107.1 95.9 97.0 98.1
Avg. Price Bottom 5 Trades 84.3 75.6 82.2 91.4
2nd Quartile Price 100.9 85.6 87.1 96.0
3rd Quartile Price 104.5 97.3 93.5 97.4
4th Quartile Price 106.0 101.1 97.5 98.5
Avg. Price Top 5 Trades 108.6 104.9 106.5 100.8
Standard Deviation 6.1 9.9 8.4 2.6
VOLUME OF TRADES (000'S) 1,956.4 29,815.8 6,405.0 62,318.7
Customer Buy 1,343.0 14,248.5 2,471.7 45,052.5
Customer Sell 148.2 14,169.2 * *
Dealer to Dealer 465.2 1,398.2 2,400.4 17,203.1
<= $1MM 771.6 2,098.1 1,834.6 6,536.8
<= $10MM * 0.0 * 41,482.9
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 73 74 33 66
Customer Buy 13 15 21 39
Customer Sell 20 17 * *
Dealer to Dealer 40 42 9 24
<= $1MM 72 72 29 53
<= $10MM * 0 * 12
<= $100MM 0 * 0 *
> $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 54.3 8.9 12.8 19.7
Weighted Avg. Price 9.5 10.7 14.5 21.9
Avg. Price Bottom 5 Trades 6.6 3.3 11.5 19.7
2nd Quartile Price 7.4 7.3 11.3 *
3rd Quartile Price 10.8 8.2 13.6 *
4th Quartile Price 16.5 12.3 20.7 *
Avg. Price Top 5 Trades 194.1 14.7 13.4 19.7
Standard Deviation 196.8 3.5 3.8 6.6
VOLUME OF TRADES (000'S) 1,141.7 119,762.8 107,094.9 43,752.5
Customer Buy 724.5 28,844.8 * 35,421.4
Customer Sell 211.9 72,039.5 * 0.0
Dealer to Dealer 205.4 18,878.5 * *
<= $1MM 1,141.7 2,039.8 0.0 *
<= $10MM 0.0 44,132.4 * 29,858.8
<= $100MM 0.0 73,590.6 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 33 41 7 7
Customer Buy 13 16 * 6
Customer Sell 10 13 * 0
Dealer to Dealer 10 12 * *
<= $1MM 33 24 0 *
<= $10MM 0 12 * 5
<= $100MM 0 5 * *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 31.4 6.7 * *
Weighted Avg. Price 12.2 7.9 * *
Avg. Price Bottom 5 Trades 11.9 4.0 * *
2nd Quartile Price 11.8 4.6 * *
3rd Quartile Price 12.5 6.9 * *
4th Quartile Price 90.0 11.0 * *
Avg. Price Top 5 Trades 34.3 11.6 * *
Standard Deviation 36.2 3.2 * *
VOLUME OF TRADES (000'S) 245.9 74,203.3 * *
Customer Buy * 30,770.1 * *
Customer Sell * * * 0.0
Dealer to Dealer * 13,719.0 0.0 0.0
<= $1MM 245.9 2,673.4 * *
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 8 24 * *
Customer Buy * 15 * *
Customer Sell * * * 0
Dealer to Dealer * 5 0 0
<= $1MM 8 18 * *
<= $10MM 0 * 0 *
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE * 17.2 6.9 17.4
Weighted Avg. Price * 13.2 7.7 16.7
Avg. Price Bottom 5 Trades * 11.4 4.3 16.5
2nd Quartile Price * 11.7 4.2 16.4
3rd Quartile Price * 13.5 4.2 16.8
4th Quartile Price * 15.9 9.7 22.9
Avg. Price Top 5 Trades * 24.8 7.8 18.0
Standard Deviation * 12.6 5.8 2.4
VOLUME OF TRADES (000'S) * 310,170.7 65,354.6 74,601.2
Customer Buy * 139,987.8 41,171.9 44,220.3
Customer Sell 0.0 169,846.8 * *
Dealer to Dealer * * * 0.0
<= $1MM * 688.0 1,876.4 *
<= $10MM 0.0 0.0 13,386.2 *
<= $100MM 0.0 309,482.7 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 17 16 7
Customer Buy * 7 12 6
Customer Sell 0 8 * *
Dealer to Dealer * * * 0
<= $1MM * 6 8 *
<= $10MM 0 0 5 *
<= $100MM 0 11 * *
> $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 tracedataservices@finra.org.
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