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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 104.0 104.4 100.4 98.3
Weighted Avg. Price 116.2 109.2 102.2 101.3
Avg. Price Bottom 5 Trades 91.0 98.1 100.4 90.8
2nd Quartile Price 99.4 100.0 * 100.3
3rd Quartile Price 106.5 102.1 * 100.6
4th Quartile Price 109.3 107.0 * 101.4
Avg. Price Top 5 Trades 117.2 120.6 100.4 102.4
Standard Deviation 11.2 7.4 1.6 7.6
VOLUME OF TRADES (000'S) 8,100.3 20,033.2 512.5 106,800.9
Customer Buy * 8,020.5 * 25,257.8
Customer Sell 4,215.9 8,712.2 * 53,902.3
Dealer to Dealer 827.8 3,300.4 * 27,640.8
<= $1MM 3,845.9 3,819.8 512.5 4,441.2
<= $10MM * 16,213.4 0.0 49,471.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 30 47 9 26
Customer Buy * 21 * 12
Customer Sell 19 14 * 5
Dealer to Dealer 8 12 * 9
<= $1MM 27 41 9 11
<= $10MM * 6 0 12
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 108.1 101.1 104.2 100.2
Weighted Avg. Price 112.9 100.9 103.6 101.3
Avg. Price Bottom 5 Trades 103.3 99.0 100.7 99.0
2nd Quartile Price 106.0 99.9 99.9 99.8
3rd Quartile Price 108.5 101.5 103.5 100.0
4th Quartile Price 110.0 102.8 125.8 100.6
Avg. Price Top 5 Trades 112.8 103.1 107.1 102.2
Standard Deviation 3.5 1.6 9.9 1.1
VOLUME OF TRADES (000'S) 644.8 8,690.4 14,061.0 69,180.1
Customer Buy * 527.4 * 5,423.6
Customer Sell 312.0 7,982.0 * 52,745.2
Dealer to Dealer 101.6 181.0 * 11,011.2
<= $1MM 644.8 1,137.7 364.0 1,376.2
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 27 30 7 32
Customer Buy * 9 * 17
Customer Sell 14 14 * 5
Dealer to Dealer 11 7 * 10
<= $1MM 27 29 5 24
<= $10MM 0 * * *
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 108.6 104.3 100.1 99.0
Weighted Avg. Price 109.8 106.9 100.5 98.8
Avg. Price Bottom 5 Trades 103.5 96.9 98.9 90.3
2nd Quartile Price 107.5 100.0 99.9 98.8
3rd Quartile Price 109.3 103.8 100.7 100.0
4th Quartile Price 110.5 110.6 101.9 100.5
Avg. Price Top 5 Trades 110.9 112.5 101.7 103.7
Standard Deviation 2.5 5.8 2.3 4.5
VOLUME OF TRADES (000'S) 720.2 355.1 5,727.6 34,797.7
Customer Buy 69.1 109.9 * 15,984.4
Customer Sell 187.9 152.6 * *
Dealer to Dealer 463.2 92.5 * 18,787.8
<= $1MM 720.2 355.1 51.0 8,007.9
<= $10MM 0.0 0.0 * 26,789.8
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 46 28 10 50
Customer Buy 9 7 * 27
Customer Sell 14 12 * *
Dealer to Dealer 23 9 * 21
<= $1MM 46 28 8 41
<= $10MM 0 0 * 9
<= $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 0.0 8.8 4.2 10.6
Weighted Avg. Price 0.0 13.6 4.2 12.3
Avg. Price Bottom 5 Trades 0.0 6.3 4.2 7.7
2nd Quartile Price 0.0 8.3 * 9.0
3rd Quartile Price 0.0 10.0 * 12.0
4th Quartile Price 0.0 15.5 * 13.6
Avg. Price Top 5 Trades 0.0 12.4 4.2 13.4
Standard Deviation 0.0 6.2 0.1 3.0
VOLUME OF TRADES (000'S) 0.0 1,303.5 1,486.1 202,392.3
Customer Buy 0.0 1,231.1 * 139,618.2
Customer Sell 0.0 * * 59,830.3
Dealer to Dealer 0.0 * * *
<= $1MM 0.0 1,303.5 1,486.1 1,419.7
<= $10MM 0.0 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 192,631.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 8 5 16
Customer Buy 0 5 * 10
Customer Sell 0 * * 5
Dealer to Dealer 0 * * *
<= $1MM 0 8 5 7
<= $10MM 0 0 0 *
<= $100MM 0 0 0 6
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 0.0 12.7
Weighted Avg. Price 0.0 * 0.0 12.5
Avg. Price Bottom 5 Trades 0.0 * 0.0 10.6
2nd Quartile Price 0.0 * 0.0 10.9
3rd Quartile Price 0.0 * 0.0 12.0
4th Quartile Price 0.0 * 0.0 15.9
Avg. Price Top 5 Trades 0.0 * 0.0 15.1
Standard Deviation 0.0 * 0.0 3.1
VOLUME OF TRADES (000'S) 0.0 * 0.0 189,481.3
Customer Buy 0.0 0.0 0.0 141,993.7
Customer Sell 0.0 * 0.0 47,487.6
Dealer to Dealer 0.0 * 0.0 0.0
<= $1MM 0.0 * 0.0 1,083.2
<= $10MM 0.0 * 0.0 0.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 0 * 0 11
Customer Buy 0 0 0 6
Customer Sell 0 * 0 5
Dealer to Dealer 0 * 0 0
<= $1MM 0 * 0 6
<= $10MM 0 * 0 0
<= $100MM 0 0 0 *
> $100MM 0 0 0 *
GNMA
AVERAGE PRICE 0.0 0.0 * 10.8
Weighted Avg. Price 0.0 0.0 * 11.4
Avg. Price Bottom 5 Trades 0.0 0.0 * 7.6
2nd Quartile Price 0.0 0.0 * 10.3
3rd Quartile Price 0.0 0.0 * 11.4
4th Quartile Price 0.0 0.0 * 12.1
Avg. Price Top 5 Trades 0.0 0.0 * 13.9
Standard Deviation 0.0 0.0 * 2.7
VOLUME OF TRADES (000'S) 0.0 0.0 * 108,415.2
Customer Buy 0.0 0.0 * 41,478.3
Customer Sell 0.0 0.0 0.0 22,153.9
Dealer to Dealer 0.0 0.0 0.0 44,782.9
<= $1MM 0.0 0.0 * 3,513.7
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 104,901.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 0 * 23
Customer Buy 0 0 * 10
Customer Sell 0 0 0 8
Dealer to Dealer 0 0 0 5
<= $1MM 0 0 * 18
<= $10MM 0 0 0 0
<= $100MM 0 0 0 5
> $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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