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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 103.6 101.1 99.9 101.4
Weighted Avg. Price 102.7 102.6 106.2 102.0
Avg. Price Bottom 5 Trades 90.4 93.6 97.6 96.7
2nd Quartile Price 98.5 98.6 98.1 100.0
3rd Quartile Price 106.1 100.4 99.1 101.0
4th Quartile Price 109.4 103.9 100.7 102.4
Avg. Price Top 5 Trades 115.1 112.2 105.3 107.9
Standard Deviation 7.5 4.2 2.9 2.8
VOLUME OF TRADES (000'S) 713.0 98,072.7 9,196.5 270,447.6
Customer Buy 235.2 45,735.8 8,383.8 156,467.9
Customer Sell 247.4 46,014.7 629.5 6,846.0
Dealer to Dealer 230.5 6,322.2 183.3 107,133.6
<= $1MM 713.0 5,006.4 1,540.3 7,112.4
<= $10MM 0.0 11,180.3 * 125,514.3
<= $100MM 0.0 81,885.9 0.0 137,820.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 61 97 32 76
Customer Buy 15 31 8 35
Customer Sell 22 24 13 13
Dealer to Dealer 24 42 11 28
<= $1MM 61 83 30 47
<= $10MM 0 8 * 23
<= $100MM 0 6 0 6
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 105.3 101.2 99.9 101.7
Weighted Avg. Price 100.4 107.7 101.0 102.2
Avg. Price Bottom 5 Trades 95.8 96.8 97.5 95.0
2nd Quartile Price 101.5 99.1 99.0 101.2
3rd Quartile Price 106.5 100.2 100.3 102.3
4th Quartile Price 108.9 102.1 101.6 102.6
Avg. Price Top 5 Trades 115.0 114.8 103.3 106.8
Standard Deviation 5.5 4.4 2.2 2.7
VOLUME OF TRADES (000'S) 5,906.2 15,076.3 47,226.0 423,867.6
Customer Buy 4,464.0 6,164.9 * 186,916.5
Customer Sell 463.5 5,779.6 14,634.5 39,747.9
Dealer to Dealer 978.7 3,131.8 15,592.9 197,203.2
<= $1MM 1,555.9 4,106.6 946.2 19,555.5
<= $10MM * 10,969.6 26,240.5 183,865.4
<= $100MM 0.0 0.0 * 220,446.7
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 71 86 26 139
Customer Buy 13 25 * 77
Customer Sell 27 22 12 24
Dealer to Dealer 31 39 10 38
<= $1MM 70 79 18 86
<= $10MM * 7 6 45
<= $100MM 0 0 * 8
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 106.6 102.6 101.9 102.5
Weighted Avg. Price 113.3 106.2 104.8 102.2
Avg. Price Bottom 5 Trades 91.0 93.2 97.8 95.2
2nd Quartile Price 104.4 100.0 99.3 100.0
3rd Quartile Price 109.0 102.5 102.2 101.9
4th Quartile Price 110.5 105.3 103.0 104.0
Avg. Price Top 5 Trades 116.3 112.4 109.2 112.3
Standard Deviation 6.9 4.7 3.6 3.8
VOLUME OF TRADES (000'S) 33,007.1 9,161.3 9,311.2 540,297.1
Customer Buy 14,002.2 4,591.7 5,403.4 272,637.4
Customer Sell 2,786.0 2,846.9 2,672.6 118,182.0
Dealer to Dealer 16,219.0 1,722.7 1,235.2 149,477.6
<= $1MM 872.8 6,163.6 2,419.2 11,019.7
<= $10MM 32,134.4 * * 78,473.3
<= $100MM 0.0 0.0 0.0 450,804.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 82 110 41 133
Customer Buy 15 33 6 40
Customer Sell 29 39 23 33
Dealer to Dealer 38 38 12 60
<= $1MM 74 108 37 83
<= $10MM 8 * * 34
<= $100MM 0 0 0 16
> $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 3.7 15.5 0.0 14.8
Weighted Avg. Price 2.5 19.0 0.0 14.9
Avg. Price Bottom 5 Trades 0.9 12.6 0.0 13.4
2nd Quartile Price 0.6 11.8 0.0 14.2
3rd Quartile Price 1.3 16.1 0.0 14.7
4th Quartile Price 2.4 20.2 0.0 18.1
Avg. Price Top 5 Trades 9.0 17.4 0.0 16.1
Standard Deviation 6.7 4.7 0.0 2.0
VOLUME OF TRADES (000'S) 132,885.0 37,698.0 0.0 144,186.0
Customer Buy 87,377.7 * 0.0 106,005.3
Customer Sell 45,507.3 * 0.0 *
Dealer to Dealer 0.0 * 0.0 *
<= $1MM 0.0 * 0.0 *
<= $10MM 41,789.6 * 0.0 38,064.4
<= $100MM * * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 14 8 0 10
Customer Buy 9 * 0 6
Customer Sell 5 * 0 *
Dealer to Dealer 0 * 0 *
<= $1MM 0 * 0 *
<= $10MM 10 * 0 5
<= $100MM * * 0 *
> $100MM 0 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 * * * *
Customer Sell * * 0.0 *
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM * 0.0 0.0 0.0
<= $100MM 0.0 * * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * * * *
Customer Buy * * * *
Customer Sell * * 0 *
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM * 0 0 0
<= $100MM 0 * * *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 * * 15.2
Weighted Avg. Price 0.0 * * 16.8
Avg. Price Bottom 5 Trades 0.0 * * 7.9
2nd Quartile Price 0.0 * * 14.6
3rd Quartile Price 0.0 * * 15.7
4th Quartile Price 0.0 * * 20.4
Avg. Price Top 5 Trades 0.0 * * 21.2
Standard Deviation 0.0 * * 6.4
VOLUME OF TRADES (000'S) 0.0 * * 550,977.0
Customer Buy 0.0 0.0 * 263,287.8
Customer Sell 0.0 0.0 0.0 284,864.3
Dealer to Dealer 0.0 * 0.0 *
<= $1MM 0.0 * 0.0 *
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 * 435,028.6
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 0 * * 17
Customer Buy 0 0 * 7
Customer Sell 0 0 0 7
Dealer to Dealer 0 * 0 *
<= $1MM 0 * 0 *
<= $10MM 0 0 0 0
<= $100MM 0 0 * 12
> $100MM 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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