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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 103.7 100.4 99.1 100.0
Weighted Avg. Price 108.0 101.5 101.4 100.0
Avg. Price Bottom 5 Trades 93.3 95.1 93.1 96.3
2nd Quartile Price 99.5 97.4 97.1 99.9
3rd Quartile Price 100.0 99.7 100.5 100.0
4th Quartile Price 109.9 102.4 102.9 101.5
Avg. Price Top 5 Trades 117.0 109.9 105.8 103.1
Standard Deviation 7.6 4.4 5.3 2.2
VOLUME OF TRADES (000'S) 691.3 27,597.7 9,634.2 312,496.6
Customer Buy 422.6 14,648.9 4,273.2 246,476.1
Customer Sell 32.0 8,454.7 1,172.3 0.0
Dealer to Dealer 236.7 4,494.1 4,188.7 66,020.5
<= $1MM 691.3 6,796.7 7,597.0 4,959.1
<= $10MM 0.0 20,801.0 * 34,848.3
<= $100MM 0.0 0.0 0.0 272,689.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 63 53 30 30
Customer Buy 21 29 10 20
Customer Sell 19 11 7 0
Dealer to Dealer 23 13 13 10
<= $1MM 63 42 29 13
<= $10MM 0 11 * 11
<= $100MM 0 0 0 6
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 105.1 98.5 100.8 101.9
Weighted Avg. Price 106.4 100.7 100.3 101.4
Avg. Price Bottom 5 Trades 87.5 89.0 97.5 99.5
2nd Quartile Price 99.7 97.8 98.9 100.4
3rd Quartile Price 104.7 99.5 101.0 102.3
4th Quartile Price 108.3 101.0 104.1 102.9
Avg. Price Top 5 Trades 128.6 104.4 104.8 104.3
Standard Deviation 13.4 4.3 2.8 2.0
VOLUME OF TRADES (000'S) 1,123.8 73,445.9 121,024.7 221,447.3
Customer Buy 220.5 62,685.5 64,164.1 176,293.7
Customer Sell 67.6 5,139.4 * *
Dealer to Dealer 835.7 5,621.0 22,094.4 9,825.8
<= $1MM 1,123.8 8,505.2 4,065.1 4,905.8
<= $10MM 0.0 12,702.7 * 23,696.0
<= $100MM 0.0 * * 192,845.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 77 54 27 24
Customer Buy 22 23 14 16
Customer Sell 22 18 * *
Dealer to Dealer 33 13 9 7
<= $1MM 77 46 20 11
<= $10MM 0 7 * 8
<= $100MM 0 * * 5
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 104.8 97.9 98.3 99.7
Weighted Avg. Price 108.8 93.6 98.1 100.2
Avg. Price Bottom 5 Trades 96.6 88.7 97.0 96.2
2nd Quartile Price 100.0 96.0 98.0 99.0
3rd Quartile Price 107.5 98.6 98.2 100.0
4th Quartile Price 110.1 100.4 99.9 101.0
Avg. Price Top 5 Trades 111.8 109.6 99.7 102.7
Standard Deviation 5.6 6.1 1.6 2.0
VOLUME OF TRADES (000'S) 1,219.7 10,162.4 5,753.4 77,254.2
Customer Buy 443.2 4,229.8 2,861.1 67,241.6
Customer Sell 211.0 4,529.3 * *
Dealer to Dealer 565.5 1,403.3 2,883.7 8,097.3
<= $1MM 1,219.7 2,896.4 148.3 9,605.0
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 65 49 16 38
Customer Buy 20 14 8 18
Customer Sell 15 13 * *
Dealer to Dealer 30 22 7 16
<= $1MM 65 47 14 32
<= $10MM 0 * * *
<= $100MM 0 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 0.0 17.1 * 12.2
Weighted Avg. Price 0.0 19.1 * 15.0
Avg. Price Bottom 5 Trades 0.0 16.6 * 10.9
2nd Quartile Price 0.0 17.3 * 6.4
3rd Quartile Price 0.0 19.6 * 14.1
4th Quartile Price 0.0 19.6 * 19.9
Avg. Price Top 5 Trades 0.0 17.7 * 13.2
Standard Deviation 0.0 2.5 * 5.9
VOLUME OF TRADES (000'S) 0.0 46,577.3 * 165,818.5
Customer Buy 0.0 * * 151,940.1
Customer Sell 0.0 * 0.0 0.0
Dealer to Dealer 0.0 * * *
<= $1MM 0.0 * 0.0 *
<= $10MM 0.0 * * 0.0
<= $100MM 0.0 * 0.0 165,369.1
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 6 * 7
Customer Buy 0 * * 6
Customer Sell 0 * 0 0
Dealer to Dealer 0 * * *
<= $1MM 0 * 0 *
<= $10MM 0 * * 0
<= $100MM 0 * 0 6
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * * 10.3
Weighted Avg. Price 0.0 * * 17.3
Avg. Price Bottom 5 Trades 0.0 * * 9.2
2nd Quartile Price 0.0 * * 8.6
3rd Quartile Price 0.0 * * 9.3
4th Quartile Price 0.0 * * 10.7
Avg. Price Top 5 Trades 0.0 * * 11.7
Standard Deviation 0.0 * * 3.5
VOLUME OF TRADES (000'S) 0.0 * * 27,418.0
Customer Buy 0.0 * * *
Customer Sell 0.0 * * *
Dealer to Dealer 0.0 * 0.0 *
<= $1MM 0.0 0.0 0.0 *
<= $10MM 0.0 * * *
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 9
Customer Buy 0 * * *
Customer Sell 0 * * *
Dealer to Dealer 0 * 0 *
<= $1MM 0 0 0 *
<= $10MM 0 * * *
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 * * 17.1
Weighted Avg. Price 0.0 * * 15.5
Avg. Price Bottom 5 Trades 0.0 * * 16.0
2nd Quartile Price 0.0 * * 18.8
3rd Quartile Price 0.0 * * 19.9
4th Quartile Price 0.0 * * 19.9
Avg. Price Top 5 Trades 0.0 * * 18.9
Standard Deviation 0.0 * * 4.9
VOLUME OF TRADES (000'S) 0.0 * * 178,160.3
Customer Buy 0.0 * * *
Customer Sell 0.0 * * *
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 0.0 * 0.0
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 * * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 7
Customer Buy 0 * * *
Customer Sell 0 * * *
Dealer to Dealer 0 0 0 *
<= $1MM 0 0 * 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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