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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 105.4 102.8 102.0 100.6
Weighted Avg. Price 114.6 102.0 104.1 106.2
Avg. Price Bottom 5 Trades 96.0 94.9 97.2 97.7
2nd Quartile Price 99.8 99.9 100.4 98.4
3rd Quartile Price 107.0 102.2 102.6 100.0
4th Quartile Price 112.3 105.6 109.1 102.1
Avg. Price Top 5 Trades 117.0 114.3 107.3 109.7
Standard Deviation 7.5 5.1 6.2 4.4
VOLUME OF TRADES (000'S) 1,686.5 29,088.2 13,930.5 52,940.2
Customer Buy 626.8 12,522.0 6,964.7 37,426.6
Customer Sell 1,027.3 13,454.3 6,939.0 *
Dealer to Dealer 32.4 3,111.9 * 1,567.3
<= $1MM 1,686.5 8,729.0 3,190.8 3,394.5
<= $10MM 0.0 20,359.2 * 36,889.6
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 45 64 15 41
Customer Buy 10 22 6 22
Customer Sell 25 27 6 *
Dealer to Dealer 10 15 * 15
<= $1MM 45 58 11 33
<= $10MM 0 6 * 7
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 102.2 105.2 101.4 103.6
Weighted Avg. Price 110.0 107.0 100.8 100.8
Avg. Price Bottom 5 Trades 93.4 87.3 99.7 94.8
2nd Quartile Price 99.3 100.0 99.9 98.5
3rd Quartile Price 100.0 102.2 100.8 99.6
4th Quartile Price 108.0 111.6 104.0 102.9
Avg. Price Top 5 Trades 113.9 126.4 103.3 138.7
Standard Deviation 7.3 11.8 2.0 14.4
VOLUME OF TRADES (000'S) 576.0 47,330.3 830.6 176,639.5
Customer Buy 131.2 14,558.7 * 83,940.8
Customer Sell 238.7 25,679.3 739.2 46,338.0
Dealer to Dealer 206.1 7,092.3 * 46,360.7
<= $1MM 576.0 6,356.4 830.6 10,816.5
<= $10MM 0.0 20,254.2 0.0 88,212.9
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 56 59 11 72
Customer Buy 14 18 * 36
Customer Sell 25 19 7 15
Dealer to Dealer 17 22 * 21
<= $1MM 56 51 11 42
<= $10MM 0 6 0 26
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 107.1 100.3 95.8 102.7
Weighted Avg. Price 110.3 101.9 102.5 101.5
Avg. Price Bottom 5 Trades 98.1 93.5 94.1 94.2
2nd Quartile Price 100.0 99.0 92.0 98.0
3rd Quartile Price 108.1 100.2 101.4 100.0
4th Quartile Price 109.9 103.2 101.5 103.0
Avg. Price Top 5 Trades 119.9 107.6 101.8 137.2
Standard Deviation 9.9 4.6 5.4 14.2
VOLUME OF TRADES (000'S) 715.7 583.6 657.3 101,782.1
Customer Buy 353.4 220.3 * 43,566.1
Customer Sell 211.0 220.6 * 15,427.7
Dealer to Dealer 151.4 142.6 53.2 42,788.3
<= $1MM 715.7 583.6 657.3 5,925.9
<= $10MM 0.0 0.0 0.0 65,890.6
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 60 51 14 72
Customer Buy 15 15 * 35
Customer Sell 23 15 * 15
Dealer to Dealer 22 21 8 22
<= $1MM 60 51 14 56
<= $10MM 0 0 0 14
<= $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 * 14.6 18.0 13.3
Weighted Avg. Price * 15.8 18.2 13.4
Avg. Price Bottom 5 Trades * 14.6 17.6 10.8
2nd Quartile Price * * 16.6 12.5
3rd Quartile Price * * 20.0 13.5
4th Quartile Price * * 20.0 15.3
Avg. Price Top 5 Trades * 14.6 18.3 15.6
Standard Deviation * 3.0 1.7 2.4
VOLUME OF TRADES (000'S) * 24,605.4 27,682.6 178,558.5
Customer Buy * * * 155,485.4
Customer Sell 0.0 * * 18,176.8
Dealer to Dealer 0.0 * * *
<= $1MM * * 0.0 1,841.5
<= $10MM 0.0 * 10,126.2 *
<= $100MM 0.0 * * 161,844.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 5 6 14
Customer Buy * * * 7
Customer Sell 0 * * 6
Dealer to Dealer 0 * * *
<= $1MM * * 0 6
<= $10MM 0 * 5 *
<= $100MM 0 * * 5
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * 18.1 17.9 13.8
Weighted Avg. Price * 17.7 17.6 16.0
Avg. Price Bottom 5 Trades * 18.1 17.9 10.5
2nd Quartile Price * * * 12.1
3rd Quartile Price * * * 15.0
4th Quartile Price * * * 17.6
Avg. Price Top 5 Trades * 18.1 17.9 16.0
Standard Deviation * 1.1 2.4 3.6
VOLUME OF TRADES (000'S) * 47,609.3 11,566.4 60,997.3
Customer Buy 0.0 * * *
Customer Sell * * * 21,372.7
Dealer to Dealer 0.0 * * *
<= $1MM * * * 1,918.5
<= $10MM 0.0 * * *
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 6 5 11
Customer Buy 0 * * *
Customer Sell * * * 7
Dealer to Dealer 0 * * *
<= $1MM * * * 5
<= $10MM 0 * * *
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 * 17.7 13.7
Weighted Avg. Price 0.0 * 17.3 14.5
Avg. Price Bottom 5 Trades 0.0 * 16.0 11.2
2nd Quartile Price 0.0 * 16.4 11.6
3rd Quartile Price 0.0 * 16.4 14.2
4th Quartile Price 0.0 * 20.7 14.8
Avg. Price Top 5 Trades 0.0 * 18.7 17.1
Standard Deviation 0.0 * 2.6 2.5
VOLUME OF TRADES (000'S) 0.0 * 15,844.5 247,702.0
Customer Buy 0.0 * * 158,990.3
Customer Sell 0.0 0.0 5,841.9 78,245.5
Dealer to Dealer 0.0 0.0 * *
<= $1MM 0.0 * * 3,370.6
<= $10MM 0.0 0.0 14,955.1 36,424.0
<= $100MM 0.0 0.0 0.0 207,907.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * 9 27
Customer Buy 0 * * 18
Customer Sell 0 0 5 7
Dealer to Dealer 0 0 * *
<= $1MM 0 * * 11
<= $10MM 0 0 5 9
<= $100MM 0 0 0 7
> $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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