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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 104.4 101.4 101.3 100.3
Weighted Avg. Price 109.6 101.7 101.7 100.4
Avg. Price Bottom 5 Trades 90.7 99.7 101.3 95.6
2nd Quartile Price 104.8 100.7 * 98.4
3rd Quartile Price 107.1 100.9 * 100.7
4th Quartile Price 109.1 102.9 * 103.3
Avg. Price Top 5 Trades 112.5 104.0 101.3 103.9
Standard Deviation 9.2 1.5 2.0 2.8
VOLUME OF TRADES (000'S) 135.7 3,371.0 1,210.1 158,750.4
Customer Buy * 772.8 * 70,514.8
Customer Sell 60.8 1,650.6 * 5,528.7
Dealer to Dealer 47.0 947.5 * 82,706.9
<= $1MM 135.7 3,371.0 1,210.1 5,491.3
<= $10MM 0.0 0.0 0.0 54,247.5
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 25 29 7 38
Customer Buy * 8 * 16
Customer Sell 12 11 * 10
Dealer to Dealer 9 10 * 12
<= $1MM 25 29 7 23
<= $10MM 0 0 0 11
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 102.5 105.5 100.8 96.6
Weighted Avg. Price 105.0 110.0 101.0 100.7
Avg. Price Bottom 5 Trades 92.4 102.0 100.1 86.8
2nd Quartile Price 104.8 103.1 100.4 95.3
3rd Quartile Price 107.5 106.5 101.0 97.7
4th Quartile Price 109.5 108.5 101.6 100.2
Avg. Price Top 5 Trades 110.1 108.8 101.7 104.1
Standard Deviation 12.9 3.3 0.9 5.5
VOLUME OF TRADES (000'S) 183.5 6,748.1 25,780.8 146,233.1
Customer Buy 52.5 2,034.7 23,013.4 29,271.6
Customer Sell 89.2 * 693.8 41,666.0
Dealer to Dealer 41.7 4,636.9 * 75,295.6
<= $1MM 183.5 217.5 1,045.2 1,442.3
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 * 131,983.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 24 13 13 42
Customer Buy 7 5 6 12
Customer Sell 9 * 5 19
Dealer to Dealer 8 6 * 11
<= $1MM 24 11 9 29
<= $10MM 0 * * *
<= $100MM 0 0 * 9
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 106.9 102.6 102.3 98.6
Weighted Avg. Price 108.8 102.4 101.5 99.6
Avg. Price Bottom 5 Trades 105.2 92.4 100.2 90.9
2nd Quartile Price 105.0 99.0 101.3 97.8
3rd Quartile Price 107.7 101.9 101.7 99.5
4th Quartile Price 109.0 108.7 102.0 100.6
Avg. Price Top 5 Trades 109.3 112.9 106.1 103.3
Standard Deviation 2.7 7.5 3.5 3.7
VOLUME OF TRADES (000'S) 32.3 11,514.0 43,011.1 36,775.0
Customer Buy * 5,720.6 16,444.9 15,674.4
Customer Sell * 109.9 * 1,750.0
Dealer to Dealer 13.9 5,683.5 26,488.5 19,350.6
<= $1MM 32.3 401.6 596.2 9,538.3
<= $10MM 0.0 * 31,510.5 27,236.7
<= $100MM 0.0 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 12 31 20 49
Customer Buy * 9 10 17
Customer Sell * 6 * 7
Dealer to Dealer 6 16 7 25
<= $1MM 12 27 10 43
<= $10MM 0 * 9 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 17.6 14.6 6.0 12.5
Weighted Avg. Price 17.5 15.0 15.9 11.3
Avg. Price Bottom 5 Trades 12.9 12.5 6.0 9.2
2nd Quartile Price 16.4 14.3 * 10.9
3rd Quartile Price 17.3 14.9 * 12.3
4th Quartile Price 19.9 15.7 * 15.1
Avg. Price Top 5 Trades 22.2 16.0 6.0 15.8
Standard Deviation 2.9 2.2 5.0 2.9
VOLUME OF TRADES (000'S) 11,102.8 45,499.6 5,007.0 229,054.8
Customer Buy 0.0 * * 150,983.0
Customer Sell 3,700.9 23,722.8 * *
Dealer to Dealer 7,401.8 2,414.1 * 65,512.7
<= $1MM 11,102.8 3,935.0 537.1 0.0
<= $10MM 0.0 * * 52,654.3
<= $100MM 0.0 * 0.0 176,400.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 94 42 7 21
Customer Buy 0 * * 10
Customer Sell 62 27 * *
Dealer to Dealer 32 11 * 10
<= $1MM 94 37 6 0
<= $10MM 0 * * 14
<= $100MM 0 * 0 7
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 12.9 * 6.5 12.8
Weighted Avg. Price 1.6 * 5.6 13.2
Avg. Price Bottom 5 Trades 7.2 * 6.5 11.0
2nd Quartile Price 9.6 * * 11.7
3rd Quartile Price 14.5 * * 14.1
4th Quartile Price 15.0 * * 14.3
Avg. Price Top 5 Trades 18.7 * 6.5 14.4
Standard Deviation 6.5 * 5.6 1.7
VOLUME OF TRADES (000'S) 61,293.1 * 7,693.6 104,706.2
Customer Buy 0.0 0.0 * 71,713.7
Customer Sell 20,431.0 * 0.0 *
Dealer to Dealer 40,862.1 * * 24,394.3
<= $1MM 6,052.4 * * *
<= $10MM * 0.0 * 38,933.5
<= $100MM * 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 43 * 5 13
Customer Buy 0 0 * 6
Customer Sell 31 * 0 *
Dealer to Dealer 12 * * 6
<= $1MM 38 * * *
<= $10MM * 0 * 10
<= $100MM * 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 14.4 9.8 13.0 10.5
Weighted Avg. Price 14.8 11.6 13.0 11.2
Avg. Price Bottom 5 Trades 13.9 9.8 13.0 3.9
2nd Quartile Price 13.9 * * 9.7
3rd Quartile Price 14.3 * * 12.6
4th Quartile Price 15.8 * * 15.6
Avg. Price Top 5 Trades 14.6 9.8 13.0 15.3
Standard Deviation 0.9 4.2 0.7 5.6
VOLUME OF TRADES (000'S) 6,136.5 4,380.0 3,719.3 414,775.0
Customer Buy 551.3 0.0 0.0 290,180.7
Customer Sell 2,045.5 2,781.0 1,110.9 86,627.0
Dealer to Dealer 3,539.7 1,599.0 2,608.3 37,967.3
<= $1MM 4,130.6 2,398.5 3,719.3 2,035.1
<= $10MM * * 0.0 54,672.8
<= $100MM 0.0 0.0 0.0 358,067.1
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 26 16 14 27
Customer Buy 11 0 0 8
Customer Sell 10 11 9 10
Dealer to Dealer 5 5 5 9
<= $1MM 24 15 14 9
<= $10MM * * 0 12
<= $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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