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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE 101.3 105.3 102.9
Weighted Avg. Price 109.2 104.6 104.0
Avg. Price Bottom 5 Trades 36.6 99.4 97.4
2nd Quartile Price 100.0 102.3 100.7
3rd Quartile Price 104.5 105.3 102.0
4th Quartile Price 107.4 107.5 105.7
Avg. Price Top 5 Trades 116.4 110.6 112.1
Standard Deviation 15.2 3.5 3.3
VOLUME OF TRADES (000'S) 23,787.8 65,859.2 650,945.4
Customer Buy 11,416.5 39,894.5 414,067.7
Customer Sell 7,703.5 18,877.0 15,336.0
Dealer to Dealer 4,667.8 7,087.7 221,541.8
<= $1MM 4,622.6 4,899.2 11,629.3
<= $10MM 19,165.2 26,133.0 149,146.5
<= $100MM 0.0 * 490,169.5
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 128 61 138
Customer Buy 46 27 87
Customer Sell 48 17 11
Dealer to Dealer 34 17 40
<= $1MM 118 52 84
<= $10MM 10 7 37
<= $100MM 0 * 17
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 102.2 104.7 101.8
Weighted Avg. Price 105.5 103.1 102.6
Avg. Price Bottom 5 Trades 60.8 99.6 95.1
2nd Quartile Price 101.0 102.0 100.0
3rd Quartile Price 105.0 105.8 101.7
4th Quartile Price 107.3 108.3 103.9
Avg. Price Top 5 Trades 113.5 110.5 110.2
Standard Deviation 12.7 3.7 3.0
VOLUME OF TRADES (000'S) 66,966.1 38,261.6 500,777.7
Customer Buy 21,341.1 25,451.0 112,700.4
Customer Sell 25,130.0 1,153.1 250,551.0
Dealer to Dealer 20,495.0 11,657.5 137,526.2
<= $1MM 11,173.8 2,571.0 18,073.9
<= $10MM 42,240.7 * 191,666.9
<= $100MM * * 291,036.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 134 42 174
Customer Buy 58 12 84
Customer Sell 39 16 36
Dealer to Dealer 37 14 54
<= $1MM 123 37 130
<= $10MM 10 * 34
<= $100MM * * 10
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.3 107.8 102.6
Weighted Avg. Price 108.5 110.6 103.4
Avg. Price Bottom 5 Trades 82.8 100.8 96.7
2nd Quartile Price 102.8 105.1 100.0
3rd Quartile Price 107.3 108.1 101.4
4th Quartile Price 110.0 111.0 103.7
Avg. Price Top 5 Trades 115.2 113.4 114.8
Standard Deviation 9.6 3.8 3.6
VOLUME OF TRADES (000'S) 5,428.2 20,257.0 374,917.2
Customer Buy 1,689.4 6,394.9 118,846.0
Customer Sell 1,428.7 6,697.5 81,950.3
Dealer to Dealer 2,310.0 7,164.6 174,120.9
<= $1MM 5,428.2 2,109.2 29,159.9
<= $10MM 0.0 18,147.8 186,983.9
<= $100MM 0.0 0.0 158,773.5
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 117 64 500
Customer Buy 30 13 299
Customer Sell 48 26 88
Dealer to Dealer 39 25 113
<= $1MM 117 58 444
<= $10MM 0 6 47
<= $100MM 0 0 9
> $100MM 0 0 0
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE 0.1 0.0 14.7
Weighted Avg. Price 0.1 0.0 13.6
Avg. Price Bottom 5 Trades 0.1 0.0 5.8
2nd Quartile Price * 0.0 11.7
3rd Quartile Price * 0.0 15.9
4th Quartile Price * 0.0 16.1
Avg. Price Top 5 Trades 0.1 0.0 28.9
Standard Deviation 0.1 0.0 9.5
VOLUME OF TRADES (000'S) 1,520.9 0.0 960,294.1
Customer Buy * 0.0 552,909.7
Customer Sell * 0.0 115,414.7
Dealer to Dealer * 0.0 291,969.7
<= $1MM 1,520.9 0.0 4,530.6
<= $10MM 0.0 0.0 60,701.0
<= $100MM 0.0 0.0 895,062.5
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 6 0 72
Customer Buy * 0 50
Customer Sell * 0 8
Dealer to Dealer * 0 14
<= $1MM 6 0 37
<= $10MM 0 0 13
<= $100MM 0 0 22
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * 10.6 21.3
Weighted Avg. Price * 10.2 16.4
Avg. Price Bottom 5 Trades * 10.6 8.1
2nd Quartile Price * * 13.9
3rd Quartile Price * * 15.6
4th Quartile Price * * 19.3
Avg. Price Top 5 Trades * 10.6 51.5
Standard Deviation * 5.6 23.9
VOLUME OF TRADES (000'S) * 21,156.2 447,832.1
Customer Buy 0.0 * 118,337.9
Customer Sell * 0.0 94,898.2
Dealer to Dealer 0.0 * 234,596.1
<= $1MM 0.0 0.0 *
<= $10MM 0.0 21,156.2 17,557.8
<= $100MM * 0.0 429,871.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 7 25
Customer Buy 0 * 7
Customer Sell * 0 7
Dealer to Dealer 0 * 11
<= $1MM 0 0 *
<= $10MM 0 7 6
<= $100MM * 0 16
> $100MM 0 0 0
GNMA
AVERAGE PRICE * 0.0 20.4
Weighted Avg. Price * 0.0 14.5
Avg. Price Bottom 5 Trades * 0.0 12.1
2nd Quartile Price * 0.0 13.6
3rd Quartile Price * 0.0 15.5
4th Quartile Price * 0.0 20.1
Avg. Price Top 5 Trades * 0.0 29.7
Standard Deviation * 0.0 19.9
VOLUME OF TRADES (000'S) * 0.0 235,916.5
Customer Buy * 0.0 121,487.8
Customer Sell * 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM * 0.0 *
<= $10MM 0.0 0.0 0.0
<= $100MM * 0.0 234,951.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 11
Customer Buy * 0 7
Customer Sell * 0 *
Dealer to Dealer 0 0 *
<= $1MM * 0 *
<= $10MM 0 0 0
<= $100MM * 0 7
> $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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