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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS/CDO Daily CMBS Weekly CMBS
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 97.9 95.6 90.6 90.9
Weighted Avg. Price 100.5 98.3 98.6 95.9
Avg. Price Bottom 5 Trades 88.8 89.3 80.0 67.3
2nd Quartile Price 95.8 93.8 90.9 87.1
3rd Quartile Price 99.6 96.3 95.8 96.2
4th Quartile Price 101.0 97.7 97.3 98.5
Avg. Price Top 5 Trades 103.1 101.8 97.5 102.3
Standard Deviation 4.4 4.2 11.2 13.5
VOLUME OF TRADES (000'S) 4,175.3 25,759.3 11,451.4 77,031.2
Customer Buy 121.0 11,075.6 6,130.9 67,237.7
Customer Sell 3,838.3 4,844.1 * 8,736.3
Dealer to Dealer 215.9 9,839.7 * *
<= $1MM 4,175.3 4,025.7 1,053.9 3,105.3
<= $10MM 0.0 21,733.7 * 42,827.8
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 67 36 14 32
Customer Buy 12 20 8 22
Customer Sell 28 9 * 6
Dealer to Dealer 27 7 * *
<= $1MM 67 31 12 19
<= $10MM 0 5 * 11
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 98.6 92.9 95.1 84.9
Weighted Avg. Price 102.2 94.2 91.9 97.4
Avg. Price Bottom 5 Trades 88.6 88.3 95.1 55.1
2nd Quartile Price 95.1 93.1 * 71.5
3rd Quartile Price 99.9 94.1 * 94.3
4th Quartile Price 103.0 95.7 * 100.0
Avg. Price Top 5 Trades 114.7 96.0 95.1 103.0
Standard Deviation 9.4 4.5 3.7 18.5
VOLUME OF TRADES (000'S) 7,458.8 60,092.8 23,095.0 213,453.6
Customer Buy 31.9 1,251.3 * 85,465.2
Customer Sell 7,368.0 * 0.0 12,354.3
Dealer to Dealer 58.8 58,825.0 * 115,634.1
<= $1MM 2,895.5 1,298.0 * 2,673.0
<= $10MM * 0.0 * 45,661.8
<= $100MM 0.0 * 0.0 165,118.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 58 19 6 47
Customer Buy 7 9 * 27
Customer Sell 34 * 0 7
Dealer to Dealer 17 6 * 13
<= $1MM 56 17 * 27
<= $10MM * 0 * 10
<= $100MM 0 * 0 10
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 97.4 92.1 87.8 91.7
Weighted Avg. Price 104.7 102.5 103.0 95.1
Avg. Price Bottom 5 Trades 86.0 81.6 78.8 61.7
2nd Quartile Price 96.7 89.0 81.7 85.1
3rd Quartile Price 99.3 92.3 83.7 99.5
4th Quartile Price 100.1 96.0 101.3 100.1
Avg. Price Top 5 Trades 103.5 102.9 97.3 102.2
Standard Deviation 5.7 6.9 10.6 13.1
VOLUME OF TRADES (000'S) 2,995.5 14,588.9 1,901.5 392,122.6
Customer Buy 365.7 326.2 * 200,083.8
Customer Sell 2,551.9 11,620.1 1,133.1 *
Dealer to Dealer 77.9 2,642.6 387.3 161,369.9
<= $1MM 736.2 1,169.6 830.5 4,130.0
<= $10MM * 13,419.3 * 60,033.2
<= $100MM 0.0 0.0 0.0 327,959.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 46 43 13 79
Customer Buy 8 11 * 57
Customer Sell 24 12 5 *
Dealer to Dealer 14 20 5 18
<= $1MM 45 38 12 48
<= $10MM * 5 * 16
<= $100MM 0 0 0 15
> $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 13.4 8.3 * 15.1
Weighted Avg. Price 12.7 6.4 * 12.1
Avg. Price Bottom 5 Trades 13.4 8.3 * 14.6
2nd Quartile Price * * * 11.5
3rd Quartile Price * * * 18.1
4th Quartile Price * * * 18.1
Avg. Price Top 5 Trades 13.4 8.3 * 15.7
Standard Deviation 5.6 6.7 * 3.6
VOLUME OF TRADES (000'S) 4,532.3 13,082.0 * 104,004.5
Customer Buy * 0.0 * *
Customer Sell * * * *
Dealer to Dealer * * * *
<= $1MM * 0.0 * 0.0
<= $10MM * 13,082.0 0.0 17,243.2
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 6 5 * 7
Customer Buy * 0 * *
Customer Sell * * * *
Dealer to Dealer * * * *
<= $1MM * 0 * 0
<= $10MM * 5 0 5
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 10.0 * 0.0 14.9
Weighted Avg. Price 9.8 * 0.0 14.1
Avg. Price Bottom 5 Trades 9.5 * 0.0 14.9
2nd Quartile Price 9.9 * 0.0 *
3rd Quartile Price 10.1 * 0.0 *
4th Quartile Price 10.6 * 0.0 *
Avg. Price Top 5 Trades 10.4 * 0.0 14.9
Standard Deviation 0.7 * 0.0 3.3
VOLUME OF TRADES (000'S) 11,101.4 * 0.0 30,140.1
Customer Buy * 0.0 0.0 *
Customer Sell 7,686.8 * 0.0 *
Dealer to Dealer * 0.0 0.0 *
<= $1MM 7,608.1 0.0 0.0 0.0
<= $10MM * * 0.0 30,140.1
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 12 * 0 5
Customer Buy * 0 0 *
Customer Sell 7 * 0 *
Dealer to Dealer * 0 0 *
<= $1MM 10 0 0 0
<= $10MM * * 0 5
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 * 0.0 11.6
Weighted Avg. Price 0.0 * 0.0 13.4
Avg. Price Bottom 5 Trades 0.0 * 0.0 9.3
2nd Quartile Price 0.0 * 0.0 12.1
3rd Quartile Price 0.0 * 0.0 13.8
4th Quartile Price 0.0 * 0.0 14.6
Avg. Price Top 5 Trades 0.0 * 0.0 14.3
Standard Deviation 0.0 * 0.0 4.2
VOLUME OF TRADES (000'S) 0.0 * 0.0 181,740.2
Customer Buy 0.0 0.0 0.0 148,756.5
Customer Sell 0.0 * 0.0 *
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 * 0.0 *
<= $10MM 0.0 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 178,754.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * 0 11
Customer Buy 0 0 0 9
Customer Sell 0 * 0 *
Dealer to Dealer 0 0 0 *
<= $1MM 0 * 0 *
<= $10MM 0 0 0 *
<= $100MM 0 0 0 8
> $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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