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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 97.4 89.6 87.1 69.1
Weighted Avg. Price 97.2 88.2 83.3 90.5
Avg. Price Bottom 5 Trades 94.6 76.3 79.5 39.0
2nd Quartile Price 96.0 86.3 83.0 45.9
3rd Quartile Price 98.0 92.0 88.3 72.5
4th Quartile Price 99.0 95.5 90.4 92.9
Avg. Price Top 5 Trades 99.6 98.6 91.4 100.0
Standard Deviation 2.2 7.2 6.3 22.8
VOLUME OF TRADES (000'S) 1,448.0 44,297.4 6,544.7 40,647.2
Customer Buy 685.9 1,523.5 * 23,234.0
Customer Sell 713.6 4,768.8 3,552.7 11,658.6
Dealer to Dealer 48.4 38,005.1 2,935.3 5,754.6
<= $1MM 1,448.0 8,327.1 6,544.7 10,870.3
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 31 51 19 49
Customer Buy 9 12 * 14
Customer Sell 12 18 8 19
Dealer to Dealer 10 21 7 16
<= $1MM 31 47 19 44
<= $10MM 0 * 0 *
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 95.9 80.1 83.5 84.0
Weighted Avg. Price 98.6 87.4 85.8 87.3
Avg. Price Bottom 5 Trades 91.0 62.9 74.9 61.7
2nd Quartile Price 93.4 72.5 73.0 77.0
3rd Quartile Price 97.4 86.3 87.0 83.2
4th Quartile Price 98.9 96.5 91.1 99.5
Avg. Price Top 5 Trades 100.6 97.7 90.2 99.9
Standard Deviation 4.3 14.8 8.9 14.1
VOLUME OF TRADES (000'S) 255.6 11,955.5 28,256.6 101,066.1
Customer Buy 53.1 2,017.1 3,353.0 27,356.3
Customer Sell 140.2 508.5 * 50,418.3
Dealer to Dealer 62.3 9,429.9 24,879.8 23,291.5
<= $1MM 255.6 3,581.9 618.1 5,635.0
<= $10MM 0.0 * 27,638.5 45,937.8
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 42 33 16 32
Customer Buy 11 10 8 14
Customer Sell 13 7 * 6
Dealer to Dealer 18 16 6 12
<= $1MM 42 31 10 19
<= $10MM 0 * 6 12
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 97.7 87.4 * 78.8
Weighted Avg. Price 97.6 79.7 * 86.9
Avg. Price Bottom 5 Trades 95.9 75.5 * 40.2
2nd Quartile Price 96.9 83.0 * 51.4
3rd Quartile Price 98.0 90.2 * 89.3
4th Quartile Price 99.0 93.6 * 98.2
Avg. Price Top 5 Trades 99.6 94.8 * 99.9
Standard Deviation 1.4 8.2 * 21.8
VOLUME OF TRADES (000'S) 409.8 2,146.9 * 59,123.8
Customer Buy 54.0 1,990.8 * 46,681.1
Customer Sell 209.8 * 0.0 3,305.8
Dealer to Dealer 146.0 57.9 * 9,137.0
<= $1MM 409.8 2,146.9 * 7,611.5
<= $10MM 0.0 0.0 0.0 31,719.1
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 26 20 * 102
Customer Buy 6 11 * 49
Customer Sell 9 * 0 21
Dealer to Dealer 11 5 * 32
<= $1MM 26 20 * 89
<= $10MM 0 0 0 12
<= $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 * 0.0 16.4
Weighted Avg. Price 0.0 * 0.0 16.0
Avg. Price Bottom 5 Trades 0.0 * 0.0 9.4
2nd Quartile Price 0.0 * 0.0 15.5
3rd Quartile Price 0.0 * 0.0 17.4
4th Quartile Price 0.0 * 0.0 24.4
Avg. Price Top 5 Trades 0.0 * 0.0 20.6
Standard Deviation 0.0 * 0.0 6.3
VOLUME OF TRADES (000'S) 0.0 * 0.0 590,613.4
Customer Buy 0.0 * 0.0 140,522.5
Customer Sell 0.0 * 0.0 *
Dealer to Dealer 0.0 * 0.0 *
<= $1MM 0.0 * 0.0 *
<= $10MM 0.0 0.0 0.0 33,031.6
<= $100MM 0.0 0.0 0.0 557,078.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * 0 18
Customer Buy 0 * 0 10
Customer Sell 0 * 0 *
Dealer to Dealer 0 * 0 *
<= $1MM 0 * 0 *
<= $10MM 0 0 0 6
<= $100MM 0 0 0 11
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 15.5
Weighted Avg. Price 0.0 0.0 0.0 15.1
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 11.3
2nd Quartile Price 0.0 0.0 0.0 14.1
3rd Quartile Price 0.0 0.0 0.0 15.6
4th Quartile Price 0.0 0.0 0.0 18.4
Avg. Price Top 5 Trades 0.0 0.0 0.0 19.4
Standard Deviation 0.0 0.0 0.0 4.1
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 683,038.7
Customer Buy 0.0 0.0 0.0 302,756.8
Customer Sell 0.0 0.0 0.0 *
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 474,025.4
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 0 0 0 16
Customer Buy 0 0 0 8
Customer Sell 0 0 0 *
Dealer to Dealer 0 0 0 *
<= $1MM 0 0 0 0
<= $10MM 0 0 0 *
<= $100MM 0 0 0 13
> $100MM 0 0 0 *
GNMA
AVERAGE PRICE 3.8 6.0 0.0 12.8
Weighted Avg. Price 3.8 6.4 0.0 11.2
Avg. Price Bottom 5 Trades 3.8 6.0 0.0 4.3
2nd Quartile Price * * 0.0 11.3
3rd Quartile Price * * 0.0 13.7
4th Quartile Price * * 0.0 16.0
Avg. Price Top 5 Trades 3.8 6.0 0.0 21.5
Standard Deviation 0.3 2.3 0.0 6.0
VOLUME OF TRADES (000'S) 148.2 210.9 0.0 689,153.1
Customer Buy * * 0.0 286,668.2
Customer Sell * * 0.0 121,802.6
Dealer to Dealer * * 0.0 280,682.3
<= $1MM 148.2 210.9 0.0 *
<= $10MM 0.0 0.0 0.0 41,903.7
<= $100MM 0.0 0.0 0.0 644,114.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 9 9 0 26
Customer Buy * * 0 8
Customer Sell * * 0 9
Dealer to Dealer * * 0 9
<= $1MM 9 9 0 *
<= $10MM 0 0 0 8
<= $100MM 0 0 0 14
> $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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