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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 100.9 101.9 104.2 102.4
Weighted Avg. Price 110.6 102.7 104.8 102.9
Avg. Price Bottom 5 Trades 82.8 98.3 100.9 100.0
2nd Quartile Price 99.8 100.0 101.2 102.1
3rd Quartile Price 100.9 101.3 105.3 102.6
4th Quartile Price 107.8 102.8 106.5 103.5
Avg. Price Top 5 Trades 114.4 111.6 106.7 104.0
Standard Deviation 10.2 3.6 2.9 1.4
VOLUME OF TRADES (000'S) 53,275.3 23,645.2 3,737.0 125,608.3
Customer Buy 33,505.6 14,689.2 2,373.2 26,460.1
Customer Sell 17,353.5 4,720.4 * 71,854.7
Dealer to Dealer 2,416.3 4,235.6 814.5 27,293.5
<= $1MM 3,581.3 10,774.8 3,737.0 3,805.5
<= $10MM 34,771.8 12,870.4 0.0 19,651.4
<= $100MM * 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 103 74 16 26
Customer Buy 27 26 7 15
Customer Sell 51 27 * 5
Dealer to Dealer 25 21 5 6
<= $1MM 93 69 16 14
<= $10MM 9 5 0 8
<= $100MM * 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 100.8 100.8 100.8 99.3
Weighted Avg. Price 103.2 102.2 101.0 100.5
Avg. Price Bottom 5 Trades 82.6 97.5 100.2 96.0
2nd Quartile Price 99.8 99.2 100.4 98.2
3rd Quartile Price 101.6 100.1 100.4 99.9
4th Quartile Price 105.8 101.7 100.4 100.5
Avg. Price Top 5 Trades 111.6 109.2 101.2 104.6
Standard Deviation 8.2 2.9 1.0 2.6
VOLUME OF TRADES (000'S) 439.8 32,854.7 1,836.5 188,496.6
Customer Buy 231.1 3,057.8 1,173.4 118,132.9
Customer Sell 101.4 28,352.4 * 3,299.3
Dealer to Dealer 107.3 1,444.4 * 67,064.4
<= $1MM 439.8 9,213.5 1,836.5 4,447.0
<= $10MM 0.0 0.0 0.0 130,284.7
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 95 81 28 76
Customer Buy 14 22 22 50
Customer Sell 55 35 * 6
Dealer to Dealer 26 24 * 20
<= $1MM 95 80 28 40
<= $10MM 0 0 0 33
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 106.3 102.3 * 97.5
Weighted Avg. Price 108.5 102.4 * 100.7
Avg. Price Bottom 5 Trades 99.0 94.9 * 69.8
2nd Quartile Price 102.2 100.0 * 98.9
3rd Quartile Price 107.6 100.8 * 99.8
4th Quartile Price 110.1 104.5 * 100.8
Avg. Price Top 5 Trades 114.4 112.1 * 104.3
Standard Deviation 4.7 4.7 * 9.7
VOLUME OF TRADES (000'S) 456.9 15,118.2 * 76,222.3
Customer Buy 161.6 1,057.6 * 47,737.4
Customer Sell 115.5 10,688.4 * 2,436.3
Dealer to Dealer 179.8 3,372.2 0.0 26,048.5
<= $1MM 456.9 6,085.6 * 7,698.3
<= $10MM 0.0 9,032.5 0.0 68,523.9
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 72 61 * 77
Customer Buy 19 21 * 44
Customer Sell 25 20 * 5
Dealer to Dealer 28 20 0 28
<= $1MM 72 56 * 60
<= $10MM 0 5 0 17
<= $100MM 0 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 * 12.5 * 14.9
Weighted Avg. Price * 14.3 * 15.3
Avg. Price Bottom 5 Trades * 12.5 * 14.6
2nd Quartile Price * * * 14.9
3rd Quartile Price * * * 15.3
4th Quartile Price * * * 15.8
Avg. Price Top 5 Trades * 12.5 * 15.3
Standard Deviation * 3.2 * 1.2
VOLUME OF TRADES (000'S) * 10,180.7 * 176,605.3
Customer Buy 0.0 * 0.0 *
Customer Sell * * * 0.0
Dealer to Dealer * 0.0 0.0 135,643.5
<= $1MM * * 0.0 0.0
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 0.0 173,732.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 5 * 9
Customer Buy 0 * 0 *
Customer Sell * * * 0
Dealer to Dealer * 0 0 8
<= $1MM * * 0 0
<= $10MM 0 * * *
<= $100MM 0 0 0 8
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 13.8 0.0 9.1
Weighted Avg. Price 0.0 15.6 0.0 10.3
Avg. Price Bottom 5 Trades 0.0 11.9 0.0 6.4
2nd Quartile Price 0.0 12.1 0.0 7.9
3rd Quartile Price 0.0 17.7 0.0 8.1
4th Quartile Price 0.0 18.9 0.0 14.8
Avg. Price Top 5 Trades 0.0 15.7 0.0 11.3
Standard Deviation 0.0 5.6 0.0 3.7
VOLUME OF TRADES (000'S) 0.0 22,938.4 0.0 207,986.0
Customer Buy 0.0 * 0.0 *
Customer Sell 0.0 22,790.0 0.0 *
Dealer to Dealer 0.0 0.0 0.0 61,396.0
<= $1MM 0.0 * 0.0 0.0
<= $10MM 0.0 21,976.2 0.0 43,436.1
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 9 0 11
Customer Buy 0 * 0 *
Customer Sell 0 8 0 *
Dealer to Dealer 0 0 0 5
<= $1MM 0 * 0 0
<= $10MM 0 7 0 7
<= $100MM 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 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 0.0 * * 0.0
<= $10MM 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 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 * * 0
<= $10MM 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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