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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 101.1 100.3 101.9 102.3
Weighted Avg. Price 97.7 100.4 105.5 103.2
Avg. Price Bottom 5 Trades 81.1 94.2 98.0 98.1
2nd Quartile Price 95.5 99.0 99.9 100.6
3rd Quartile Price 103.4 99.8 101.5 102.3
4th Quartile Price 108.6 101.6 103.9 104.3
Avg. Price Top 5 Trades 117.8 109.1 106.9 104.7
Standard Deviation 10.8 3.2 3.7 2.4
VOLUME OF TRADES (000'S) 4,780.1 78,632.1 64,553.7 80,051.7
Customer Buy 1,358.7 23,276.5 32,475.5 56,882.7
Customer Sell 1,671.9 25,352.2 16,793.7 2,368.7
Dealer to Dealer 1,749.4 30,003.4 * 20,800.2
<= $1MM 4,780.1 6,145.3 906.2 9,466.6
<= $10MM 0.0 31,464.9 12,752.5 56,549.9
<= $100MM 0.0 * * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 86 100 24 81
Customer Buy 17 30 13 53
Customer Sell 38 34 7 7
Dealer to Dealer 31 36 * 21
<= $1MM 86 84 14 63
<= $10MM 0 13 6 17
<= $100MM 0 * * *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 100.6 102.9 100.7 99.6
Weighted Avg. Price 111.8 105.4 103.2 101.6
Avg. Price Bottom 5 Trades 84.4 96.3 95.1 97.8
2nd Quartile Price 99.5 99.0 98.0 99.0
3rd Quartile Price 100.6 100.5 102.1 99.4
4th Quartile Price 107.4 104.4 103.1 101.2
Avg. Price Top 5 Trades 112.2 125.7 105.8 103.3
Standard Deviation 8.7 7.7 3.9 2.6
VOLUME OF TRADES (000'S) 2,480.9 47,883.1 36,375.8 294,220.5
Customer Buy 1,190.5 19,625.2 19,599.3 166,412.5
Customer Sell 1,152.8 21,921.0 16,691.4 *
Dealer to Dealer 137.5 6,336.8 * 104,725.9
<= $1MM 2,480.9 6,041.4 1,578.8 2,834.8
<= $10MM 0.0 41,841.6 34,797.0 31,105.8
<= $100MM 0.0 0.0 0.0 260,279.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 54 77 25 45
Customer Buy 7 29 10 21
Customer Sell 30 30 11 *
Dealer to Dealer 17 18 * 20
<= $1MM 54 61 16 30
<= $10MM 0 16 9 10
<= $100MM 0 0 0 5
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 106.3 99.7 97.4 99.4
Weighted Avg. Price 101.9 102.8 102.2 99.7
Avg. Price Bottom 5 Trades 93.7 90.1 92.3 94.4
2nd Quartile Price 104.8 96.6 95.5 98.9
3rd Quartile Price 107.3 99.2 98.8 100.0
4th Quartile Price 110.0 104.0 99.9 100.0
Avg. Price Top 5 Trades 113.0 111.9 101.2 103.0
Standard Deviation 6.3 5.5 3.8 1.8
VOLUME OF TRADES (000'S) 9,387.0 25,563.8 10,132.8 115,439.9
Customer Buy 5,554.3 11,448.7 338.7 106,152.1
Customer Sell 129.2 13,498.8 9,677.8 2,432.0
Dealer to Dealer 3,703.5 616.3 116.3 6,855.7
<= $1MM 568.4 3,059.0 470.7 9,643.7
<= $10MM 8,818.6 22,504.8 * *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 52 80 22 89
Customer Buy 14 26 6 52
Customer Sell 14 25 7 10
Dealer to Dealer 24 29 9 27
<= $1MM 47 73 19 82
<= $10MM 5 7 * *
<= $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 * 14.4 * *
Weighted Avg. Price * 14.7 * *
Avg. Price Bottom 5 Trades * 14.4 * *
2nd Quartile Price * * * *
3rd Quartile Price * * * *
4th Quartile Price * * * *
Avg. Price Top 5 Trades * 14.4 * *
Standard Deviation * 2.8 * *
VOLUME OF TRADES (000'S) * 88,435.4 * *
Customer Buy * * * *
Customer Sell 0.0 * * *
Dealer to Dealer 0.0 * * 0.0
<= $1MM * * * 0.0
<= $10MM 0.0 * * 0.0
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 5 * *
Customer Buy * * * *
Customer Sell 0 * * *
Dealer to Dealer 0 * * 0
<= $1MM * * * 0
<= $10MM 0 * * 0
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * 20.8 * 39.6
Weighted Avg. Price * 18.4 * 19.5
Avg. Price Bottom 5 Trades * 11.8 * 39.6
2nd Quartile Price * 10.8 * *
3rd Quartile Price * 16.8 * *
4th Quartile Price * 23.5 * *
Avg. Price Top 5 Trades * 27.6 * 39.6
Standard Deviation * 21.2 * 41.4
VOLUME OF TRADES (000'S) * 87,538.8 * 156,892.2
Customer Buy 0.0 * * *
Customer Sell * * * *
Dealer to Dealer * * 0.0 0.0
<= $1MM * * 0.0 0.0
<= $10MM 0.0 * 0.0 0.0
<= $100MM 0.0 * * 156,892.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 11 * 5
Customer Buy 0 * * *
Customer Sell * * * *
Dealer to Dealer * * 0 0
<= $1MM * * 0 0
<= $10MM 0 * 0 0
<= $100MM 0 * * 5
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 * * 17.7
Weighted Avg. Price 0.0 * * 18.8
Avg. Price Bottom 5 Trades 0.0 * * 12.1
2nd Quartile Price 0.0 * * 15.5
3rd Quartile Price 0.0 * * 17.5
4th Quartile Price 0.0 * * 22.0
Avg. Price Top 5 Trades 0.0 * * 23.9
Standard Deviation 0.0 * * 4.5
VOLUME OF TRADES (000'S) 0.0 * * 807,605.1
Customer Buy 0.0 * * 438,109.0
Customer Sell 0.0 0.0 * 369,496.0
Dealer to Dealer 0.0 * 0.0 0.0
<= $1MM 0.0 * 0.0 *
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 0.0 * 784,752.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 23
Customer Buy 0 * * 13
Customer Sell 0 0 * 10
Dealer to Dealer 0 * 0 0
<= $1MM 0 * 0 *
<= $10MM 0 * 0 *
<= $100MM 0 0 * 19
> $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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