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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 Daily CMBS Weekly CMBS CBO/CDO/CLO
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 96.0 80.7 93.3 88.0
Weighted Avg. Price 102.1 94.0 94.3 97.0
Avg. Price Bottom 5 Trades 90.5 71.1 91.6 51.7
2nd Quartile Price 94.0 75.7 91.6 79.9
3rd Quartile Price 96.2 81.0 92.4 97.7
4th Quartile Price 98.0 94.3 95.0 100.0
Avg. Price Top 5 Trades 101.5 96.4 94.1 101.2
Standard Deviation 3.3 14.4 2.7 17.4
VOLUME OF TRADES (000'S) 2,125.3 8,740.8 3,715.8 260,110.7
Customer Buy 1,978.0 3,694.2 * 190,903.1
Customer Sell 89.0 * * 17,349.7
Dealer to Dealer 58.3 2,076.7 * 51,857.9
<= $1MM 927.8 589.7 2,321.3 5,175.5
<= $10MM * * * 109,256.0
<= $100MM - - - 145,679.2
> $100MM - - - -
NUMBER OF TRADES 44 20 8 84
Customer Buy 6 8 * 50
Customer Sell 14 * * 8
Dealer to Dealer 24 8 * 26
<= $1MM 43 16 7 38
<= $10MM * * * 38
<= $100MM - - - 8
> $100MM - - - -
FHLMC
AVERAGE PRICE 95.4 80.8 92.9 92.5
Weighted Avg. Price 99.7 95.0 91.5 99.1
Avg. Price Bottom 5 Trades 84.5 70.6 92.9 59.7
2nd Quartile Price 92.0 74.0 * 91.2
3rd Quartile Price 97.3 82.0 * 98.2
4th Quartile Price 99.3 91.7 * 99.5
Avg. Price Top 5 Trades 102.3 97.9 92.9 100.7
Standard Deviation 5.0 12.4 8.2 12.6
VOLUME OF TRADES (000'S) 346.6 413.8 7,549.3 701,107.9
Customer Buy 89.6 186.8 * 412,553.0
Customer Sell 133.6 17.4 * 214,014.6
Dealer to Dealer 123.5 209.6 * 74,540.2
<= $1MM 346.6 413.8 * 8,560.4
<= $10MM - - * 130,051.1
<= $100MM - - - 335,122.5
> $100MM - - - *
NUMBER OF TRADES 71 29 5 79
Customer Buy 10 5 * 45
Customer Sell 28 7 * 13
Dealer to Dealer 33 17 * 21
<= $1MM 71 29 * 26
<= $10MM - - * 42
<= $100MM - - - 9
> $100MM - - - *
GNMA
AVERAGE PRICE 97.4 87.5 74.3 91.9
Weighted Avg. Price 98.1 91.1 91.4 96.8
Avg. Price Bottom 5 Trades 93.4 75.7 74.3 49.7
2nd Quartile Price 95.1 86.9 * 94.0
3rd Quartile Price 98.4 90.0 * 99.0
4th Quartile Price 99.4 96.7 * 99.9
Avg. Price Top 5 Trades 100.2 97.9 74.3 103.6
Standard Deviation 2.3 9.2 14.3 15.1
VOLUME OF TRADES (000'S) 153.8 305.2 668.7 690,851.3
Customer Buy 33.2 66.9 * 324,471.3
Customer Sell 86.3 92.8 * 59,192.5
Dealer to Dealer 34.3 145.5 * 307,187.6
<= $1MM 153.8 305.2 668.7 26,036.0
<= $10MM - - - 126,111.6
<= $100MM - - - 538,703.8
> $100MM - - - -
NUMBER OF TRADES 44 26 8 221
Customer Buy 13 6 * 131
Customer Sell 15 7 * 25
Dealer to Dealer 16 13 * 65
<= $1MM 44 26 8 156
<= $10MM - - - 40
<= $100MM - - - 25
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * - - 14.1
Weighted Avg. Price * - - 11.8
Avg. Price Bottom 5 Trades * - - 8.5
2nd Quartile Price * - - 11.3
3rd Quartile Price * - - 17.3
4th Quartile Price * - - 19.6
Avg. Price Top 5 Trades * - - 19.4
Standard Deviation * - - 5.0
VOLUME OF TRADES (000'S) * - - 713,122.0
Customer Buy * - - 404,712.2
Customer Sell - - - *
Dealer to Dealer - - - 57,591.5
<= $1MM * - - -
<= $10MM - - - 39,073.8
<= $100MM - - - 513,048.7
> $100MM - - - *
NUMBER OF TRADES * - - 17
Customer Buy * - - 8
Customer Sell - - - *
Dealer to Dealer - - - 6
<= $1MM * - - -
<= $10MM - - - 6
<= $100MM - - - 10
> $100MM - - - *
FHLMC
AVERAGE PRICE - - - 9.1
Weighted Avg. Price - - - 8.1
Avg. Price Bottom 5 Trades - - - 6.9
2nd Quartile Price - - - 7.6
3rd Quartile Price - - - 7.9
4th Quartile Price - - - 11.6
Avg. Price Top 5 Trades - - - 10.9
Standard Deviation - - - 3.2
VOLUME OF TRADES (000'S) - - - 462,756.8
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - -
<= $100MM - - - 462,539.5
> $100MM - - - -
NUMBER OF TRADES - - - 9
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - -
<= $100MM - - - 8
> $100MM - - - -
GNMA
AVERAGE PRICE - - - 12.1
Weighted Avg. Price - - - 11.4
Avg. Price Bottom 5 Trades - - - 12.1
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 12.1
Standard Deviation - - - 2.8
VOLUME OF TRADES (000'S) - - - 106,886.4
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 5
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
* 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 List or 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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