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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 105.1 103.0 106.3 102.9
Weighted Avg. Price 102.1 105.0 106.3 103.9
Avg. Price Bottom 5 Trades 96.5 98.8 103.3 99.1
2nd Quartile Price 100.1 100.3 100.2 100.0
3rd Quartile Price 104.6 101.2 113.5 100.9
4th Quartile Price 109.1 106.6 113.5 103.9
Avg. Price Top 5 Trades 116.4 110.6 107.6 112.7
Standard Deviation 6.6 4.0 7.1 6.2
VOLUME OF TRADES (000'S) 2,424.8 13,209.8 5,065.2 29,517.2
Customer Buy 1,429.6 3,527.8 * 4,238.8
Customer Sell 935.1 2,413.8 4,609.2 22,979.2
Dealer to Dealer 60.1 7,268.1 0.0 2,299.2
<= $1MM 2,424.8 6,725.0 1,234.1 5,392.3
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 49 50 7 29
Customer Buy 14 18 * 12
Customer Sell 18 17 5 9
Dealer to Dealer 17 15 0 8
<= $1MM 49 46 6 25
<= $10MM 0 * * *
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 104.5 108.2 104.7 100.3
Weighted Avg. Price 110.1 109.6 106.5 100.9
Avg. Price Bottom 5 Trades 79.8 99.2 100.8 94.6
2nd Quartile Price 100.0 101.1 101.3 99.0
3rd Quartile Price 108.0 107.8 103.8 100.0
4th Quartile Price 111.0 110.3 105.8 101.5
Avg. Price Top 5 Trades 116.4 126.3 110.0 106.1
Standard Deviation 10.0 10.6 6.4 2.9
VOLUME OF TRADES (000'S) 1,124.4 63,084.8 15,407.1 148,557.5
Customer Buy 646.3 25,878.0 8,025.1 84,166.4
Customer Sell 113.9 12,259.5 * 17,041.7
Dealer to Dealer 364.1 24,947.3 * 47,349.4
<= $1MM 1,124.4 5,955.1 1,931.8 3,916.3
<= $10MM 0.0 57,129.7 13,475.4 47,642.7
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 77 75 14 61
Customer Buy 15 36 8 29
Customer Sell 30 21 * 8
Dealer to Dealer 32 18 * 24
<= $1MM 77 58 9 46
<= $10MM 0 17 5 12
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 109.3 104.3 * 101.2
Weighted Avg. Price 118.1 102.1 * 101.1
Avg. Price Bottom 5 Trades 99.7 99.8 * 92.6
2nd Quartile Price 107.6 100.3 * 100.2
3rd Quartile Price 109.2 101.3 * 101.5
4th Quartile Price 111.1 108.2 * 102.7
Avg. Price Top 5 Trades 123.6 113.0 * 108.9
Standard Deviation 7.9 5.1 * 5.4
VOLUME OF TRADES (000'S) 1,036.3 1,263.7 * 482,492.9
Customer Buy 75.8 412.1 * 162,694.7
Customer Sell 788.3 207.8 0.0 177,298.0
Dealer to Dealer 172.2 643.9 * 142,500.2
<= $1MM 1,036.3 1,263.7 * 5,508.6
<= $10MM 0.0 0.0 0.0 62,175.4
<= $100MM 0.0 0.0 0.0 414,808.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 49 33 * 51
Customer Buy 10 9 * 25
Customer Sell 17 9 0 8
Dealer to Dealer 22 15 * 18
<= $1MM 49 33 * 27
<= $10MM 0 0 0 11
<= $100MM 0 0 0 13
> $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 21.6 9.6 19.9 15.7
Weighted Avg. Price 22.9 13.0 19.9 15.9
Avg. Price Bottom 5 Trades 21.6 5.6 19.9 10.5
2nd Quartile Price * 3.1 * 15.0
3rd Quartile Price * 10.3 * 17.3
4th Quartile Price * 18.3 * 18.7
Avg. Price Top 5 Trades 21.6 15.0 19.9 19.2
Standard Deviation 3.6 7.1 0.0 3.5
VOLUME OF TRADES (000'S) 28,366.4 106,150.2 16,159.1 171,548.9
Customer Buy * 41,057.4 * 75,526.0
Customer Sell * 27,630.6 * 82,764.5
Dealer to Dealer * 37,462.1 * *
<= $1MM * * * *
<= $10MM 27,480.3 55,680.5 * 71,837.4
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 9 20 5 22
Customer Buy * 5 * 7
Customer Sell * 9 * 13
Dealer to Dealer * 6 * *
<= $1MM * * * *
<= $10MM 6 13 * 18
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 28.5 18.9 19.2
Weighted Avg. Price 0.0 26.3 18.5 17.8
Avg. Price Bottom 5 Trades 0.0 28.5 18.9 11.9
2nd Quartile Price 0.0 * * 13.3
3rd Quartile Price 0.0 * * 17.4
4th Quartile Price 0.0 * * 17.5
Avg. Price Top 5 Trades 0.0 28.5 18.9 29.7
Standard Deviation 0.0 27.1 1.3 15.7
VOLUME OF TRADES (000'S) 0.0 91,384.2 54,771.8 192,446.0
Customer Buy 0.0 * * 142,696.2
Customer Sell 0.0 * 18,257.3 15,171.3
Dealer to Dealer 0.0 * * *
<= $1MM 0.0 0.0 * *
<= $10MM 0.0 * 29,869.6 49,374.5
<= $100MM 0.0 76,342.4 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 8 10 16
Customer Buy 0 * * 6
Customer Sell 0 * 6 6
Dealer to Dealer 0 * * *
<= $1MM 0 0 * *
<= $10MM 0 * 7 11
<= $100MM 0 5 * *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE * 0.0 15.9 12.4
Weighted Avg. Price * 0.0 15.5 11.5
Avg. Price Bottom 5 Trades * 0.0 13.8 6.3
2nd Quartile Price * 0.0 13.9 8.4
3rd Quartile Price * 0.0 17.3 10.8
4th Quartile Price * 0.0 17.3 14.8
Avg. Price Top 5 Trades * 0.0 16.7 22.6
Standard Deviation * 0.0 2.1 5.7
VOLUME OF TRADES (000'S) * 0.0 62,652.0 684,136.0
Customer Buy 0.0 0.0 * 242,483.3
Customer Sell * 0.0 * 138,753.4
Dealer to Dealer * 0.0 * 302,899.3
<= $1MM * 0.0 * *
<= $10MM 0.0 0.0 61,363.8 82,188.8
<= $100MM 0.0 0.0 0.0 601,243.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 11 33
Customer Buy 0 0 * 11
Customer Sell * 0 * 11
Dealer to Dealer * 0 * 11
<= $1MM * 0 * *
<= $10MM 0 0 9 18
<= $100MM 0 0 0 14
> $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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