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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 93.5 81.8 91.3 87.3
Weighted Avg. Price 99.2 92.5 94.5 96.9
Avg. Price Bottom 5 Trades 85.5 56.9 86.6 54.3
2nd Quartile Price 90.1 75.1 88.9 87.7
3rd Quartile Price 95.2 85.3 90.0 94.1
4th Quartile Price 98.0 91.0 99.2 98.8
Avg. Price Top 5 Trades 101.5 97.5 98.7 99.5
Standard Deviation 5.6 11.6 5.1 16.9
VOLUME OF TRADES (000'S) 1,162.0 67,839.3 108,298.6 226,780.3
Customer Buy 706.0 2,485.7 * 97,483.6
Customer Sell 230.9 48,817.2 80,704.9 124,763.6
Dealer to Dealer 225.1 16,536.3 * 4,533.2
<= $1MM 1,162.0 3,159.2 781.7 11,210.3
<= $10MM 0.0 * 38,451.8 31,273.2
<= $100MM 0.0 * 69,065.1 184,296.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 46 93 18 53
Customer Buy 7 12 * 16
Customer Sell 19 47 14 25
Dealer to Dealer 20 34 * 12
<= $1MM 46 86 6 32
<= $10MM 0 * 7 13
<= $100MM 0 * 5 8
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 92.4 80.5 88.8 85.2
Weighted Avg. Price 99.1 90.9 95.4 95.2
Avg. Price Bottom 5 Trades 46.5 57.0 81.9 39.4
2nd Quartile Price 92.0 68.1 88.1 87.5
3rd Quartile Price 96.0 83.0 90.0 97.0
4th Quartile Price 99.0 91.7 98.1 98.7
Avg. Price Top 5 Trades 100.7 97.8 95.4 99.4
Standard Deviation 12.1 13.4 7.5 20.2
VOLUME OF TRADES (000'S) 1,730.4 34,523.2 51,877.4 61,952.3
Customer Buy 1,438.9 2,805.7 * 21,509.0
Customer Sell 53.6 30,708.7 36,211.2 24,366.7
Dealer to Dealer 237.8 1,008.8 * 16,076.5
<= $1MM 1,730.4 4,848.1 348.0 10,263.6
<= $10MM 0.0 * * 51,688.8
<= $100MM 0.0 * * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 90 80 13 46
Customer Buy 19 15 * 17
Customer Sell 30 36 8 14
Dealer to Dealer 41 29 * 15
<= $1MM 90 75 7 28
<= $10MM 0 * * 18
<= $100MM 0 * * 0
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 94.0 82.5 83.6 88.8
Weighted Avg. Price 97.4 93.0 99.0 96.2
Avg. Price Bottom 5 Trades 84.6 64.1 74.5 37.1
2nd Quartile Price 91.7 75.0 80.1 91.2
3rd Quartile Price 95.0 84.0 83.0 98.5
4th Quartile Price 97.5 91.0 89.1 100.0
Avg. Price Top 5 Trades 99.7 97.4 90.6 103.0
Standard Deviation 4.5 10.1 10.9 20.3
VOLUME OF TRADES (000'S) 626.8 1,744.0 990.3 123,459.5
Customer Buy 266.5 836.8 822.9 77,642.1
Customer Sell 45.9 408.3 36.1 6,728.0
Dealer to Dealer 314.4 498.9 131.3 39,089.4
<= $1MM 626.8 1,744.0 990.3 13,270.6
<= $10MM 0.0 0.0 0.0 46,942.3
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 99 73 16 138
Customer Buy 17 11 5 82
Customer Sell 33 27 5 21
Dealer to Dealer 49 35 6 35
<= $1MM 99 73 16 124
<= $10MM 0 0 0 11
<= $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 0.0 * * 15.5
Weighted Avg. Price 0.0 * * 11.7
Avg. Price Bottom 5 Trades 0.0 * * 7.3
2nd Quartile Price 0.0 * * 13.5
3rd Quartile Price 0.0 * * 16.8
4th Quartile Price 0.0 * * 20.0
Avg. Price Top 5 Trades 0.0 * * 21.3
Standard Deviation 0.0 * * 4.8
VOLUME OF TRADES (000'S) 0.0 * * 510,435.8
Customer Buy 0.0 * * 253,968.6
Customer Sell 0.0 * * 191,485.9
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 * * 4,002.3
<= $10MM 0.0 * 0.0 45,307.4
<= $100MM 0.0 0.0 0.0 461,126.1
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 29
Customer Buy 0 * * 16
Customer Sell 0 * * 10
Dealer to Dealer 0 0 0 *
<= $1MM 0 * * 7
<= $10MM 0 * 0 11
<= $100MM 0 0 0 11
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 14.5 0.0 11.1
Weighted Avg. Price 0.0 15.7 0.0 9.9
Avg. Price Bottom 5 Trades 0.0 11.2 0.0 5.2
2nd Quartile Price 0.0 10.9 0.0 8.7
3rd Quartile Price 0.0 15.1 0.0 8.7
4th Quartile Price 0.0 19.1 0.0 16.8
Avg. Price Top 5 Trades 0.0 17.7 0.0 17.4
Standard Deviation 0.0 3.7 0.0 4.5
VOLUME OF TRADES (000'S) 0.0 5,449.1 0.0 569,211.2
Customer Buy 0.0 2,446.0 0.0 153,452.8
Customer Sell 0.0 3,003.1 0.0 208,035.0
Dealer to Dealer 0.0 0.0 0.0 207,723.5
<= $1MM 0.0 5,449.1 0.0 *
<= $10MM 0.0 0.0 0.0 70,450.5
<= $100MM 0.0 0.0 0.0 498,643.1
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 11 0 29
Customer Buy 0 5 0 8
Customer Sell 0 6 0 13
Dealer to Dealer 0 0 0 8
<= $1MM 0 11 0 *
<= $10MM 0 0 0 16
<= $100MM 0 0 0 11
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE * * * 10.8
Weighted Avg. Price * * * 8.0
Avg. Price Bottom 5 Trades * * * 3.0
2nd Quartile Price * * * 8.4
3rd Quartile Price * * * 11.8
4th Quartile Price * * * 14.0
Avg. Price Top 5 Trades * * * 17.7
Standard Deviation * * * 5.5
VOLUME OF TRADES (000'S) * * * 713,214.0
Customer Buy * 0.0 * 581,503.4
Customer Sell * * 0.0 *
Dealer to Dealer 0.0 0.0 * 95,063.5
<= $1MM * 0.0 * *
<= $10MM * * * 50,654.0
<= $100MM 0.0 0.0 0.0 538,725.9
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES * * * 25
Customer Buy * 0 * 13
Customer Sell * * 0 *
Dealer to Dealer 0 0 * 9
<= $1MM * 0 * *
<= $10MM * * * 13
<= $100MM 0 0 0 10
> $100MM 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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