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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 94.2 85.7 * 71.0
Weighted Avg. Price 101.9 98.3 * 87.2
Avg. Price Bottom 5 Trades 84.9 76.0 * 48.5
2nd Quartile Price 90.9 80.0 * 51.8
3rd Quartile Price 97.0 86.0 * 68.4
4th Quartile Price 99.5 94.5 * 96.6
Avg. Price Top 5 Trades 101.9 97.8 * 100.3
Standard Deviation 8.1 8.1 * 20.8
VOLUME OF TRADES (000'S) 3,772.7 4,775.4 * 55,347.0
Customer Buy 767.4 2,884.3 * 29,007.0
Customer Sell 1,015.4 1,428.5 * 18,874.2
Dealer to Dealer 1,990.0 462.6 0.0 7,465.8
<= $1MM 3,772.7 990.8 * 5,014.2
<= $10MM 0.0 * * 35,485.6
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 40 30 * 43
Customer Buy 8 11 * 14
Customer Sell 19 10 * 9
Dealer to Dealer 13 9 0 20
<= $1MM 40 28 * 30
<= $10MM 0 * * 12
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 95.8 86.9 89.0 71.7
Weighted Avg. Price 99.8 91.4 92.2 97.6
Avg. Price Bottom 5 Trades 90.2 72.6 85.5 51.5
2nd Quartile Price 92.0 84.0 86.0 51.0
3rd Quartile Price 98.0 87.8 86.0 62.2
4th Quartile Price 99.8 97.9 96.9 97.2
Avg. Price Top 5 Trades 100.4 99.1 91.3 97.8
Standard Deviation 4.3 10.2 5.9 22.0
VOLUME OF TRADES (000'S) 446.0 3,348.9 21,356.1 58,599.6
Customer Buy 53.6 1,893.2 18,819.5 8,922.8
Customer Sell 76.2 * * *
Dealer to Dealer 316.1 151.3 88.7 *
<= $1MM 446.0 2,049.5 1,097.1 1,184.6
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 41 24 13 16
Customer Buy 8 11 5 8
Customer Sell 20 * * *
Dealer to Dealer 13 9 5 *
<= $1MM 41 23 10 11
<= $10MM 0 * * *
<= $100MM 0 0 * *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 96.4 94.7 94.3 85.4
Weighted Avg. Price 99.2 97.2 96.9 92.2
Avg. Price Bottom 5 Trades 88.2 77.8 87.2 40.6
2nd Quartile Price 95.0 94.8 92.0 74.0
3rd Quartile Price 97.5 97.7 97.0 98.9
4th Quartile Price 100.0 99.0 103.0 100.0
Avg. Price Top 5 Trades 102.5 102.0 100.9 101.3
Standard Deviation 5.3 7.8 8.2 20.8
VOLUME OF TRADES (000'S) 1,154.4 14,598.3 26,468.9 269,274.9
Customer Buy 905.1 9,822.3 7,975.7 83,653.6
Customer Sell 61.4 2,017.8 * 146,730.8
Dealer to Dealer 187.9 2,758.2 * 38,890.6
<= $1MM 1,154.4 617.4 806.8 11,721.5
<= $10MM 0.0 * * 35,208.6
<= $100MM 0.0 0.0 * 222,344.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 69 53 11 181
Customer Buy 21 22 6 108
Customer Sell 22 10 * 22
Dealer to Dealer 26 21 * 51
<= $1MM 69 49 8 166
<= $10MM 0 * * 10
<= $100MM 0 0 * 5
> $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 * 7.6 9.8 14.1
Weighted Avg. Price * 7.4 7.4 15.8
Avg. Price Bottom 5 Trades * 7.6 7.9 6.9
2nd Quartile Price * * 8.3 11.1
3rd Quartile Price * * 11.8 18.0
4th Quartile Price * * 21.1 19.6
Avg. Price Top 5 Trades * 7.6 10.8 19.0
Standard Deviation * 1.8 6.1 6.1
VOLUME OF TRADES (000'S) * 18,386.9 82,067.8 318,503.6
Customer Buy * * * 192,730.6
Customer Sell 0.0 * 61,763.7 125,773.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM * * * 1,256.6
<= $10MM 0.0 * * *
<= $100MM 0.0 0.0 * 307,690.3
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 6 7 15
Customer Buy * * * 6
Customer Sell 0 * 6 9
Dealer to Dealer 0 0 0 0
<= $1MM * * * 5
<= $10MM 0 * * *
<= $100MM 0 0 * 9
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * * 14.9
Weighted Avg. Price 0.0 * * 16.9
Avg. Price Bottom 5 Trades 0.0 * * 10.9
2nd Quartile Price 0.0 * * 11.5
3rd Quartile Price 0.0 * * 15.9
4th Quartile Price 0.0 * * 21.5
Avg. Price Top 5 Trades 0.0 * * 19.3
Standard Deviation 0.0 * * 7.4
VOLUME OF TRADES (000'S) 0.0 * * 173,580.5
Customer Buy 0.0 0.0 * *
Customer Sell 0.0 * * *
Dealer to Dealer 0.0 * * *
<= $1MM 0.0 0.0 * *
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 0.0 * 166,617.7
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 8
Customer Buy 0 0 * *
Customer Sell 0 * * *
Dealer to Dealer 0 * * *
<= $1MM 0 0 * *
<= $10MM 0 * 0 *
<= $100MM 0 0 * 5
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 * * 12.6
Weighted Avg. Price 0.0 * * 11.8
Avg. Price Bottom 5 Trades 0.0 * * 7.0
2nd Quartile Price 0.0 * * 10.8
3rd Quartile Price 0.0 * * 12.5
4th Quartile Price 0.0 * * 15.2
Avg. Price Top 5 Trades 0.0 * * 16.6
Standard Deviation 0.0 * * 4.0
VOLUME OF TRADES (000'S) 0.0 * * 141,471.6
Customer Buy 0.0 0.0 * 54,960.4
Customer Sell 0.0 * * 85,262.2
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 * 0.0 5,341.1
<= $10MM 0.0 0.0 * *
<= $100MM 0.0 0.0 0.0 123,967.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 24
Customer Buy 0 0 * 7
Customer Sell 0 * * 15
Dealer to Dealer 0 0 0 *
<= $1MM 0 * 0 15
<= $10MM 0 0 * *
<= $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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