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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 101.1 97.8 100.2 98.0
Weighted Avg. Price 101.3 99.8 102.5 100.5
Avg. Price Bottom 5 Trades 83.8 84.6 97.1 79.0
2nd Quartile Price 98.8 95.7 97.8 99.7
3rd Quartile Price 103.6 99.3 102.4 100.2
4th Quartile Price 106.7 100.4 102.8 100.9
Avg. Price Top 5 Trades 112.8 106.1 102.7 104.9
Standard Deviation 9.0 4.9 2.9 15.9
VOLUME OF TRADES (000'S) 3,726.4 81,924.5 17,658.2 597,811.0
Customer Buy 543.6 57,278.8 10,628.4 309,427.6
Customer Sell 265.5 10,270.3 * 242,812.4
Dealer to Dealer 2,917.2 14,375.3 6,519.6 45,571.1
<= $1MM 1,155.5 16,544.1 1,596.1 10,997.8
<= $10MM * 25,326.7 16,062.1 111,478.9
<= $100MM 0.0 * 0.0 171,977.5
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 79 105 17 78
Customer Buy 19 28 7 41
Customer Sell 26 27 * 9
Dealer to Dealer 34 50 7 28
<= $1MM 77 95 10 41
<= $10MM * 8 7 29
<= $100MM 0 * 0 5
> $100MM 0 0 0 *
FHLMC
AVERAGE PRICE 104.0 101.1 99.7 98.3
Weighted Avg. Price 100.2 101.1 101.8 102.5
Avg. Price Bottom 5 Trades 98.4 83.9 93.6 74.6
2nd Quartile Price 100.0 99.1 98.5 100.0
3rd Quartile Price 104.1 100.5 100.9 101.3
4th Quartile Price 107.0 107.6 102.3 102.0
Avg. Price Top 5 Trades 112.1 114.1 104.9 105.4
Standard Deviation 4.0 7.1 4.9 17.7
VOLUME OF TRADES (000'S) 5,556.7 33,489.1 21,285.1 360,390.6
Customer Buy 2,714.7 8,938.3 9,462.4 263,037.1
Customer Sell 2,649.1 13,157.2 9,560.9 12,090.2
Dealer to Dealer 192.9 11,393.5 2,261.8 85,263.3
<= $1MM 636.6 13,466.9 5,871.3 7,042.3
<= $10MM * 20,022.1 15,413.7 101,153.4
<= $100MM 0.0 0.0 0.0 252,194.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 73 113 26 64
Customer Buy 13 25 9 38
Customer Sell 27 41 10 5
Dealer to Dealer 33 47 7 21
<= $1MM 71 103 21 26
<= $10MM * 10 5 29
<= $100MM 0 0 0 9
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 106.5 97.5 98.2 99.8
Weighted Avg. Price 106.8 99.0 101.2 104.4
Avg. Price Bottom 5 Trades 97.6 86.1 93.4 96.1
2nd Quartile Price 105.3 94.9 98.9 98.8
3rd Quartile Price 107.5 98.3 99.8 99.9
4th Quartile Price 108.7 100.0 99.8 101.1
Avg. Price Top 5 Trades 113.3 110.7 101.2 105.0
Standard Deviation 4.4 6.0 3.9 3.2
VOLUME OF TRADES (000'S) 1,087.4 11,358.5 83,111.5 308,133.1
Customer Buy 393.4 3,630.5 30,124.9 154,377.2
Customer Sell 306.5 1,489.7 834.3 144,493.9
Dealer to Dealer 387.4 6,238.3 52,152.4 9,262.1
<= $1MM 1,087.4 5,158.9 4,405.4 1,162.3
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 73 85 37 30
Customer Buy 10 28 11 10
Customer Sell 27 19 10 8
Dealer to Dealer 36 38 16 12
<= $1MM 73 82 33 21
<= $10MM 0 * * *
<= $100MM 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 * * * 14.0
Weighted Avg. Price * * * 11.2
Avg. Price Bottom 5 Trades * * * 12.6
2nd Quartile Price * * * 12.4
3rd Quartile Price * * * 17.1
4th Quartile Price * * * 21.1
Avg. Price Top 5 Trades * * * 15.5
Standard Deviation * * * 5.0
VOLUME OF TRADES (000'S) * * * 149,016.4
Customer Buy 0.0 * * *
Customer Sell * * 0.0 *
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM * * 0.0 *
<= $100MM 0.0 * * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * * * 6
Customer Buy 0 * * *
Customer Sell * * 0 *
Dealer to Dealer 0 0 0 *
<= $1MM 0 0 0 0
<= $10MM * * 0 *
<= $100MM 0 * * *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * 14.3 * 13.0
Weighted Avg. Price * 16.5 * 13.5
Avg. Price Bottom 5 Trades * 13.6 * 11.6
2nd Quartile Price * 16.1 * 12.3
3rd Quartile Price * 16.4 * 13.3
4th Quartile Price * 18.0 * 14.3
Avg. Price Top 5 Trades * 15.8 * 14.9
Standard Deviation * 4.1 * 2.4
VOLUME OF TRADES (000'S) * 33,831.9 * 350,142.8
Customer Buy * * * 183,531.5
Customer Sell * * * 166,611.3
Dealer to Dealer 0.0 * 0.0 0.0
<= $1MM * * * *
<= $10MM * * * 11,628.1
<= $100MM 0.0 0.0 * 337,283.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 6 * 16
Customer Buy * * * 9
Customer Sell * * * 7
Dealer to Dealer 0 * 0 0
<= $1MM * * * *
<= $10MM * * * 5
<= $100MM 0 0 * 8
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 23.5 * *
Weighted Avg. Price 0.0 15.8 * *
Avg. Price Bottom 5 Trades 0.0 23.5 * *
2nd Quartile Price 0.0 * * *
3rd Quartile Price 0.0 * * *
4th Quartile Price 0.0 * * *
Avg. Price Top 5 Trades 0.0 23.5 * *
Standard Deviation 0.0 17.7 * *
VOLUME OF TRADES (000'S) 0.0 2,944.6 * *
Customer Buy 0.0 * * *
Customer Sell 0.0 * 0.0 *
Dealer to Dealer 0.0 * * 0.0
<= $1MM 0.0 * * 0.0
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 6 * *
Customer Buy 0 * * *
Customer Sell 0 * 0 *
Dealer to Dealer 0 * * 0
<= $1MM 0 * * 0
<= $10MM 0 * 0 *
<= $100MM 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 tracedataservices@finra.org.
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