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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 98.5 86.7 89.0 95.7
Weighted Avg. Price 101.4 98.4 96.1 99.7
Avg. Price Bottom 5 Trades 79.0 67.3 76.2 86.9
2nd Quartile Price 97.3 75.0 81.0 95.4
3rd Quartile Price 100.0 88.5 97.7 97.5
4th Quartile Price 105.0 97.8 99.1 99.9
Avg. Price Top 5 Trades 112.2 105.3 99.6 102.2
Standard Deviation 10.6 11.7 11.8 6.8
VOLUME OF TRADES (000'S) 22,059.3 63,250.2 47,263.3 88,053.5
Customer Buy 4,337.1 8,069.5 24,768.8 38,164.8
Customer Sell 14,861.1 49,126.4 8,993.6 9,774.2
Dealer to Dealer 2,861.1 6,054.3 13,500.9 40,114.4
<= $1MM 1,753.2 13,117.8 7,495.1 7,677.0
<= $10MM * 8,011.5 17,513.3 80,376.4
<= $100MM * * * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 80 187 29 55
Customer Buy 18 33 7 22
Customer Sell 33 92 13 20
Dealer to Dealer 29 62 9 13
<= $1MM 75 179 23 38
<= $10MM * 6 5 17
<= $100MM * * * 0
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 101.6 92.4 88.7 95.9
Weighted Avg. Price 109.9 92.3 98.2 100.9
Avg. Price Bottom 5 Trades 82.0 68.2 71.7 84.1
2nd Quartile Price 100.0 88.9 78.0 95.5
3rd Quartile Price 103.8 95.6 96.3 100.3
4th Quartile Price 106.4 98.8 99.1 102.0
Avg. Price Top 5 Trades 112.1 106.6 100.3 103.5
Standard Deviation 8.4 9.2 11.8 17.2
VOLUME OF TRADES (000'S) 2,951.3 46,014.4 105,937.3 184,685.0
Customer Buy 591.7 27,858.8 6,054.9 79,618.0
Customer Sell 2,231.7 7,443.3 52,220.3 36,955.4
Dealer to Dealer 127.9 10,712.3 47,662.1 68,111.7
<= $1MM 2,951.3 13,022.6 7,428.3 4,496.6
<= $10MM 0.0 15,743.1 17,360.1 55,836.8
<= $100MM 0.0 * * 124,351.6
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 87 113 63 35
Customer Buy 28 25 11 17
Customer Sell 39 49 28 9
Dealer to Dealer 20 39 24 9
<= $1MM 87 102 49 19
<= $10MM 0 10 11 11
<= $100MM 0 * * 5
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 103.2 93.7 94.7 97.3
Weighted Avg. Price 106.9 98.0 93.2 99.7
Avg. Price Bottom 5 Trades 85.8 77.6 89.4 71.1
2nd Quartile Price 101.9 88.1 90.6 97.9
3rd Quartile Price 105.1 97.2 95.3 99.1
4th Quartile Price 107.0 99.5 100.3 99.8
Avg. Price Top 5 Trades 113.2 106.7 100.3 100.9
Standard Deviation 7.4 7.6 4.8 9.5
VOLUME OF TRADES (000'S) 1,699.9 79,785.1 37,811.6 203,193.3
Customer Buy 828.1 22,871.2 11,644.8 174,351.3
Customer Sell 353.4 38,523.6 26,083.6 270.6
Dealer to Dealer 518.4 18,390.3 * 28,571.4
<= $1MM 1,699.9 12,497.4 1,658.9 8,690.2
<= $10MM 0.0 67,287.7 * *
<= $100MM 0.0 0.0 * 189,748.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 109 146 20 113
Customer Buy 25 59 12 80
Customer Sell 41 46 5 7
Dealer to Dealer 43 41 * 26
<= $1MM 109 131 16 105
<= $10MM 0 15 * *
<= $100MM 0 0 * 5
> $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 15.5 11.1 17.1 *
Weighted Avg. Price 0.7 13.2 18.8 *
Avg. Price Bottom 5 Trades 3.3 6.4 15.9 *
2nd Quartile Price 0.0 7.0 15.8 *
3rd Quartile Price 10.3 7.7 19.6 *
4th Quartile Price 15.8 17.0 22.8 *
Avg. Price Top 5 Trades 40.0 21.5 18.0 *
Standard Deviation 24.6 6.1 3.8 *
VOLUME OF TRADES (000'S) 72,326.6 89,174.1 74,305.2 *
Customer Buy 35,626.9 40,229.4 * *
Customer Sell 36,285.2 37,215.7 * *
Dealer to Dealer * 11,729.1 0.0 0.0
<= $1MM 4,887.0 11,021.8 0.0 0.0
<= $10MM 0.0 31,747.2 * 0.0
<= $100MM * * * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 16 33 6 *
Customer Buy 7 13 * *
Customer Sell 8 15 * *
Dealer to Dealer * 5 0 0
<= $1MM 12 21 0 0
<= $10MM 0 10 * 0
<= $100MM * * * *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 2.0 8.0 15.3 *
Weighted Avg. Price 0.4 7.9 12.8 *
Avg. Price Bottom 5 Trades 2.0 7.7 14.5 *
2nd Quartile Price * 7.2 15.3 *
3rd Quartile Price * 9.0 17.0 *
4th Quartile Price * 9.3 17.4 *
Avg. Price Top 5 Trades 2.0 8.2 16.4 *
Standard Deviation 4.1 1.3 2.1 *
VOLUME OF TRADES (000'S) 43,611.7 3,663.4 57,607.4 *
Customer Buy 21,805.9 * * *
Customer Sell 21,805.9 * * 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM * 3,663.4 * *
<= $10MM * 0.0 * 0.0
<= $100MM * 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 10 6 7 *
Customer Buy 5 * * *
Customer Sell 5 * * 0
Dealer to Dealer 0 0 0 0
<= $1MM * 6 * *
<= $10MM * 0 * 0
<= $100MM * 0 * 0
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 21.4 10.8 *
Weighted Avg. Price 0.0 14.2 13.1 *
Avg. Price Bottom 5 Trades 0.0 21.4 10.8 *
2nd Quartile Price * * * *
3rd Quartile Price * * * *
4th Quartile Price * * * *
Avg. Price Top 5 Trades 0.0 21.4 10.8 *
Standard Deviation 0.0 6.9 5.3 *
VOLUME OF TRADES (000'S) 264.2 72,696.1 18,959.2 *
Customer Buy * * * *
Customer Sell * * * *
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 264.2 * * 0.0
<= $10MM 0.0 0.0 * *
<= $100MM 0.0 * * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 8 5 6 *
Customer Buy * * * *
Customer Sell * * * *
Dealer to Dealer 0 0 0 0
<= $1MM 8 * * 0
<= $10MM 0 0 * *
<= $100MM 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 tracedataservices@finra.org.
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