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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 141.5 104.4 0.0 102.5
Weighted Avg. Price 240.6 105.0 0.0 102.1
Avg. Price Bottom 5 Trades 100.2 97.4 0.0 99.9
2nd Quartile Price 102.0 100.5 0.0 101.5
3rd Quartile Price 108.1 103.0 0.0 102.5
4th Quartile Price 114.1 110.5 0.0 102.7
Avg. Price Top 5 Trades 241.4 113.3 0.0 107.1
Standard Deviation 70.1 5.4 0.0 2.3
VOLUME OF TRADES (000'S) 814.5 9,627.8 0.0 255,332.3
Customer Buy 233.6 7,157.0 0.0 162,250.1
Customer Sell 288.8 885.3 0.0 *
Dealer to Dealer 292.1 1,585.5 0.0 90,957.2
<= $1MM 814.5 2,189.6 0.0 10,949.7
<= $10MM 0.0 * 0.0 76,721.0
<= $100MM 0.0 0.0 0.0 167,661.6
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 40 41 0 49
Customer Buy 6 15 0 28
Customer Sell 21 11 0 *
Dealer to Dealer 13 15 0 19
<= $1MM 40 37 0 22
<= $10MM 0 * 0 20
<= $100MM 0 0 0 7
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 105.0 102.4 0.0 101.5
Weighted Avg. Price 110.2 107.0 0.0 102.0
Avg. Price Bottom 5 Trades 101.1 98.8 0.0 99.2
2nd Quartile Price 101.8 100.6 0.0 99.5
3rd Quartile Price 105.0 101.6 0.0 100.9
4th Quartile Price 108.1 105.0 0.0 101.9
Avg. Price Top 5 Trades 110.0 107.7 0.0 106.8
Standard Deviation 4.1 3.8 0.0 3.2
VOLUME OF TRADES (000'S) 78.6 816.9 0.0 176,610.2
Customer Buy 37.0 392.9 0.0 121,135.7
Customer Sell 26.6 119.0 0.0 29,880.4
Dealer to Dealer 15.1 305.0 0.0 25,594.0
<= $1MM 78.6 816.9 0.0 1,270.1
<= $10MM 0.0 0.0 0.0 25,110.3
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 24 24 0 28
Customer Buy 7 7 0 14
Customer Sell 8 7 0 8
Dealer to Dealer 9 10 0 6
<= $1MM 24 24 0 18
<= $10MM 0 0 0 6
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 111.1 103.2 100.7 102.3
Weighted Avg. Price 112.8 104.9 102.8 101.2
Avg. Price Bottom 5 Trades 107.8 98.5 100.7 99.8
2nd Quartile Price 110.9 99.5 * 100.9
3rd Quartile Price 112.0 102.0 * 102.0
4th Quartile Price 112.3 106.8 * 102.1
Avg. Price Top 5 Trades 112.9 108.9 100.7 108.1
Standard Deviation 2.3 4.3 3.8 3.1
VOLUME OF TRADES (000'S) 859.7 6,073.4 59.0 88,960.5
Customer Buy 320.1 137.9 * 82,689.8
Customer Sell 131.3 5,518.0 * *
Dealer to Dealer 408.3 417.5 * 416.7
<= $1MM 859.7 1,698.1 59.0 1,134.4
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 29 36 5 44
Customer Buy 6 10 * 29
Customer Sell 10 10 * *
Dealer to Dealer 13 16 * 14
<= $1MM 29 35 5 37
<= $10MM 0 * 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 *
Weighted Avg. Price * * 0.0 *
Avg. Price Bottom 5 Trades * * 0.0 *
2nd Quartile Price * * 0.0 *
3rd Quartile Price * * 0.0 *
4th Quartile Price * * 0.0 *
Avg. Price Top 5 Trades * * 0.0 *
Standard Deviation * * 0.0 *
VOLUME OF TRADES (000'S) * * 0.0 *
Customer Buy * * 0.0 *
Customer Sell 0.0 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM * * 0.0 0.0
<= $10MM 0.0 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * * 0 *
Customer Buy * * 0 *
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 *
<= $1MM * * 0 0
<= $10MM 0 0 0 *
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * * 0.0 *
Weighted Avg. Price * * 0.0 *
Avg. Price Bottom 5 Trades * * 0.0 *
2nd Quartile Price * * 0.0 *
3rd Quartile Price * * 0.0 *
4th Quartile Price * * 0.0 *
Avg. Price Top 5 Trades * * 0.0 *
Standard Deviation * * 0.0 *
VOLUME OF TRADES (000'S) * * 0.0 *
Customer Buy * * 0.0 *
Customer Sell 0.0 0.0 0.0 *
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM * * 0.0 0.0
<= $10MM 0.0 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * * 0 *
Customer Buy * * 0 *
Customer Sell 0 0 0 *
Dealer to Dealer 0 0 0 0
<= $1MM * * 0 0
<= $10MM 0 0 0 *
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE * 0.0 * *
Weighted Avg. Price * 0.0 * *
Avg. Price Bottom 5 Trades * 0.0 * *
2nd Quartile Price * 0.0 * *
3rd Quartile Price * 0.0 * *
4th Quartile Price * 0.0 * *
Avg. Price Top 5 Trades * 0.0 * *
Standard Deviation * 0.0 * *
VOLUME OF TRADES (000'S) * 0.0 * *
Customer Buy * 0.0 * *
Customer Sell 0.0 0.0 * 0.0
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM * 0.0 * *
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 * *
Customer Buy * 0 * *
Customer Sell 0 0 * 0
Dealer to Dealer 0 0 0 *
<= $1MM * 0 * *
<= $10MM 0 0 0 0
<= $100MM 0 0 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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