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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 111.0 98.2 99.7 99.6
Weighted Avg. Price 107.2 98.6 101.4 102.1
Avg. Price Bottom 5 Trades 93.4 89.2 94.6 97.3
2nd Quartile Price 102.6 96.1 97.5 98.7
3rd Quartile Price 109.0 99.0 99.1 99.2
4th Quartile Price 117.5 100.5 103.0 101.4
Avg. Price Top 5 Trades 123.1 107.4 104.0 103.6
Standard Deviation 11.0 4.7 3.4 3.6
VOLUME OF TRADES (000'S) 2,743.2 14,315.0 44,786.2 46,001.1
Customer Buy 1,613.7 7,694.6 928.7 27,777.7
Customer Sell 541.7 3,548.4 21,663.6 734.0
Dealer to Dealer 587.7 3,072.0 22,193.9 *
<= $1MM 1,644.7 7,872.2 1,833.0 2,591.3
<= $10MM * * 0.0 *
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 119 88 36 19
Customer Buy 25 36 16 10
Customer Sell 72 24 8 5
Dealer to Dealer 22 28 12 *
<= $1MM 118 84 34 15
<= $10MM * * 0 *
<= $100MM 0 0 * *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 112.4 98.9 98.5 99.9
Weighted Avg. Price 107.2 100.1 104.2 104.7
Avg. Price Bottom 5 Trades 89.2 87.4 95.0 99.2
2nd Quartile Price 102.5 97.7 96.6 99.4
3rd Quartile Price 113.0 99.0 99.0 100.0
4th Quartile Price 116.0 101.0 99.9 100.0
Avg. Price Top 5 Trades 139.2 108.2 104.2 100.6
Standard Deviation 12.8 4.2 3.3 2.3
VOLUME OF TRADES (000'S) 5,482.3 20,529.7 6,602.5 2,947.8
Customer Buy 2,192.4 5,164.4 5,896.7 2,042.9
Customer Sell 1,504.8 7,507.5 137.1 *
Dealer to Dealer 1,785.0 7,857.9 568.7 *
<= $1MM 1,069.3 6,655.4 1,582.0 978.6
<= $10MM * * * *
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 171 100 35 14
Customer Buy 32 50 12 7
Customer Sell 103 22 10 *
Dealer to Dealer 36 28 13 *
<= $1MM 168 96 32 13
<= $10MM * * * *
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 109.2 99.3 92.9 101.2
Weighted Avg. Price 109.5 102.2 101.3 100.0
Avg. Price Bottom 5 Trades 98.5 88.3 88.9 98.4
2nd Quartile Price 105.3 96.5 94.0 99.8
3rd Quartile Price 107.5 99.3 95.0 100.0
4th Quartile Price 111.8 101.8 99.4 101.0
Avg. Price Top 5 Trades 126.6 111.2 101.0 107.1
Standard Deviation 9.6 5.4 10.8 3.8
VOLUME OF TRADES (000'S) 328.8 12,447.7 4,849.6 234,516.2
Customer Buy 183.7 10,381.8 1,529.4 228,517.1
Customer Sell 47.5 822.7 1,416.4 *
Dealer to Dealer 97.5 1,243.2 1,903.8 4,320.5
<= $1MM 328.8 3,566.9 952.3 1,893.4
<= $10MM 0.0 * * 10,642.9
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 57 67 23 27
Customer Buy 15 25 6 17
Customer Sell 20 17 10 *
Dealer to Dealer 22 25 7 8
<= $1MM 57 66 20 18
<= $10MM 0 * * 5
<= $100MM 0 0 0 *
> $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 * 10.9 * 8.2
Weighted Avg. Price * 13.5 * 6.7
Avg. Price Bottom 5 Trades * 9.4 * 6.5
2nd Quartile Price * 11.0 * 6.4
3rd Quartile Price * 11.0 * 7.6
4th Quartile Price * 11.1 * 12.1
Avg. Price Top 5 Trades * 12.5 * 9.2
Standard Deviation * 4.4 * 3.2
VOLUME OF TRADES (000'S) * 69,010.2 * 139,673.9
Customer Buy * * 0.0 136,542.3
Customer Sell * 11,604.5 * 0.0
Dealer to Dealer 0.0 * 0.0 *
<= $1MM * 1,875.5 * *
<= $10MM 0.0 36,318.5 0.0 *
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES * 14 * 8
Customer Buy * * 0 6
Customer Sell * 8 * 0
Dealer to Dealer 0 * 0 *
<= $1MM * 5 * *
<= $10MM 0 7 0 *
<= $100MM 0 * 0 *
> $100MM 0 0 0 *
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 0.0 * * *
Customer Sell * 0.0 0.0 *
Dealer to Dealer * * * 0.0
<= $1MM * 0.0 0.0 0.0
<= $10MM 0.0 * * 0.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * * * *
Customer Buy 0 * * *
Customer Sell * 0 0 *
Dealer to Dealer * * * 0
<= $1MM * 0 0 0
<= $10MM 0 * * 0
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 13.8 * 14.1
Weighted Avg. Price 0.0 14.3 * 9.4
Avg. Price Bottom 5 Trades 0.0 13.3 * 5.3
2nd Quartile Price 0.0 13.9 * 6.4
3rd Quartile Price 0.0 14.3 * 9.4
4th Quartile Price 0.0 14.8 * 21.8
Avg. Price Top 5 Trades 0.0 14.5 * 25.4
Standard Deviation 0.0 1.4 * 15.1
VOLUME OF TRADES (000'S) 0.0 25,772.1 * 248,065.6
Customer Buy 0.0 * * 50,108.4
Customer Sell 0.0 * 0.0 *
Dealer to Dealer 0.0 * * 165,308.4
<= $1MM 0.0 * 0.0 747.7
<= $10MM 0.0 25,688.4 * 53,236.9
<= $100MM 0.0 0.0 0.0 194,081.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 10 * 22
Customer Buy 0 * * 8
Customer Sell 0 * 0 *
Dealer to Dealer 0 * * 13
<= $1MM 0 * 0 6
<= $10MM 0 9 * 9
<= $100MM 0 0 0 7
> $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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