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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 106.8 104.5 103.5 102.7
Weighted Avg. Price 111.1 105.0 117.3 103.3
Avg. Price Bottom 5 Trades 95.6 99.0 97.1 99.8
2nd Quartile Price 105.0 100.5 102.2 100.8
3rd Quartile Price 108.2 104.0 103.4 102.8
4th Quartile Price 111.5 105.5 104.5 103.5
Avg. Price Top 5 Trades 114.5 119.2 113.4 107.4
Standard Deviation 6.8 5.8 6.1 2.1
VOLUME OF TRADES (000'S) 239.2 21,759.0 92,529.4 313,717.0
Customer Buy 138.9 16,617.8 45,920.0 142,818.5
Customer Sell 55.0 991.3 1,212.4 48,198.2
Dealer to Dealer 45.4 4,149.9 45,397.0 122,700.3
<= $1MM 239.2 8,132.2 3,281.3 8,321.4
<= $10MM 0.0 * * 153,077.2
<= $100MM 0.0 0.0 * 152,318.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 29 52 35 75
Customer Buy 6 28 14 46
Customer Sell 12 7 5 8
Dealer to Dealer 11 17 16 21
<= $1MM 29 48 28 38
<= $10MM 0 * * 28
<= $100MM 0 0 * 9
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 106.6 104.0 103.6 102.4
Weighted Avg. Price 109.7 108.4 103.1 103.7
Avg. Price Bottom 5 Trades 86.4 99.2 102.8 98.4
2nd Quartile Price 105.0 101.0 103.3 100.3
3rd Quartile Price 109.5 103.2 104.7 102.0
4th Quartile Price 112.0 107.7 106.3 103.5
Avg. Price Top 5 Trades 115.5 112.2 104.8 110.1
Standard Deviation 8.1 4.3 2.3 3.0
VOLUME OF TRADES (000'S) 670.8 227,849.7 4,490.6 661,657.4
Customer Buy 186.4 90,706.9 * 266,947.0
Customer Sell 243.8 133,376.4 * 136,978.0
Dealer to Dealer 240.5 3,766.4 * 257,732.4
<= $1MM 670.8 7,252.6 2,067.3 13,030.5
<= $10MM 0.0 * * 61,282.0
<= $100MM 0.0 * 0.0 587,344.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 62 53 7 76
Customer Buy 11 20 * 38
Customer Sell 28 13 * 9
Dealer to Dealer 23 20 * 29
<= $1MM 62 49 6 40
<= $10MM 0 * * 16
<= $100MM 0 * 0 20
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 109.0 102.5 100.1 102.2
Weighted Avg. Price 101.7 101.9 101.2 101.2
Avg. Price Bottom 5 Trades 96.0 95.2 99.8 91.2
2nd Quartile Price 106.4 100.0 100.0 100.1
3rd Quartile Price 109.5 101.9 100.9 100.6
4th Quartile Price 113.1 105.2 102.1 102.8
Avg. Price Top 5 Trades 121.0 111.3 100.7 114.3
Standard Deviation 6.7 4.9 1.7 7.1
VOLUME OF TRADES (000'S) 35,529.3 19,731.7 205.6 90,565.9
Customer Buy 25,691.3 18,385.5 * 69,587.8
Customer Sell 9,650.7 157.7 * 276.6
Dealer to Dealer 187.3 1,188.5 * 20,701.5
<= $1MM 1,474.8 2,116.6 205.6 6,766.3
<= $10MM 34,054.5 * 0.0 21,100.7
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 71 70 7 138
Customer Buy 14 22 * 75
Customer Sell 32 16 * 17
Dealer to Dealer 25 32 * 46
<= $1MM 64 66 7 128
<= $10MM 7 * 0 6
<= $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 18.6 * 3.6 7.6
Weighted Avg. Price 22.8 * 11.7 8.3
Avg. Price Bottom 5 Trades 14.3 * 2.6 4.6
2nd Quartile Price 22.9 * 2.6 5.1
3rd Quartile Price 24.1 * 3.0 7.4
4th Quartile Price 26.0 * 4.6 14.3
Avg. Price Top 5 Trades 24.6 * 4.4 11.2
Standard Deviation 9.0 * 2.7 4.9
VOLUME OF TRADES (000'S) 16,206.6 * 9,670.1 372,196.7
Customer Buy * 0.0 * 245,365.9
Customer Sell 9,000.6 * 247.8 *
Dealer to Dealer * * 247.8 *
<= $1MM * * 495.6 *
<= $10MM 16,205.0 0.0 * *
<= $100MM 0.0 0.0 0.0 370,866.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 10 * 13 11
Customer Buy * 0 * 6
Customer Sell 5 * 6 *
Dealer to Dealer * * 6 *
<= $1MM * * 12 *
<= $10MM 8 0 * *
<= $100MM 0 0 0 8
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 13.5 6.6 6.0 7.4
Weighted Avg. Price 22.3 9.3 11.9 13.1
Avg. Price Bottom 5 Trades 9.9 6.6 6.0 7.4
2nd Quartile Price 9.0 * * *
3rd Quartile Price 15.6 * * *
4th Quartile Price 22.1 * * *
Avg. Price Top 5 Trades 20.1 6.6 6.0 7.4
Standard Deviation 6.7 3.6 5.9 2.8
VOLUME OF TRADES (000'S) 9,190.3 15,266.7 8,289.2 155,010.9
Customer Buy * * * 150,199.1
Customer Sell 4,595.2 * * 0.0
Dealer to Dealer 61.5 * * *
<= $1MM 123.1 * 201.7 847.6
<= $10MM * * * *
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 14 5 6 9
Customer Buy * * * 8
Customer Sell 7 * * 0
Dealer to Dealer 5 * * *
<= $1MM 10 * 5 5
<= $10MM * * * *
<= $100MM 0 0 0 0
> $100MM 0 0 0 *
GNMA
AVERAGE PRICE * 0.0 * 28.0
Weighted Avg. Price * 0.0 * 12.0
Avg. Price Bottom 5 Trades * 0.0 * 10.3
2nd Quartile Price * 0.0 * 11.1
3rd Quartile Price * 0.0 * 11.7
4th Quartile Price * 0.0 * 87.5
Avg. Price Top 5 Trades * 0.0 * 42.4
Standard Deviation * 0.0 * 34.0
VOLUME OF TRADES (000'S) * 0.0 * 229,801.7
Customer Buy 0.0 0.0 0.0 189,343.8
Customer Sell * 0.0 * *
Dealer to Dealer * 0.0 * *
<= $1MM * 0.0 * *
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 227,705.3
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 * 9
Customer Buy 0 0 0 7
Customer Sell * 0 * *
Dealer to Dealer * 0 * *
<= $1MM * 0 * *
<= $10MM 0 0 0 0
<= $100MM 0 0 0 6
> $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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