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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
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE 103.6 102.3 103.9
Weighted Avg. Price 105.8 104.8 104.2
Avg. Price Bottom 5 Trades 90.2 98.6 96.2
2nd Quartile Price 100.0 99.9 101.4
3rd Quartile Price 103.1 102.0 103.4
4th Quartile Price 107.5 105.8 106.5
Avg. Price Top 5 Trades 115.2 106.7 113.9
Standard Deviation 5.7 3.3 3.8
VOLUME OF TRADES (000'S) 12,967.9 44,489.1 470,086.1
Customer Buy 2,358.4 24,013.2 220,848.0
Customer Sell 3,577.1 4,885.0 14,997.1
Dealer to Dealer 7,032.4 15,590.9 234,241.0
<= $1MM 7,362.1 809.9 13,857.8
<= $10MM * * 221,342.0
<= $100MM - * 234,886.3
> $100MM - - -
NUMBER OF TRADES 156 25 147
Customer Buy 46 9 84
Customer Sell 59 8 18
Dealer to Dealer 51 8 45
<= $1MM 152 19 69
<= $10MM * * 62
<= $100MM - * 16
> $100MM - - -
FHLMC
AVERAGE PRICE 103.9 105.0 101.8
Weighted Avg. Price 106.3 102.5 102.8
Avg. Price Bottom 5 Trades 84.7 99.8 96.2
2nd Quartile Price 100.0 100.7 100.0
3rd Quartile Price 105.0 103.8 101.1
4th Quartile Price 109.0 110.5 103.3
Avg. Price Top 5 Trades 114.8 111.7 110.3
Standard Deviation 8.0 4.7 3.0
VOLUME OF TRADES (000'S) 41,399.3 124,716.9 685,608.8
Customer Buy 24,006.8 36,923.5 501,338.6
Customer Sell 7,868.6 5,688.8 114,965.4
Dealer to Dealer 9,523.9 82,104.6 69,304.8
<= $1MM 9,354.8 3,360.9 16,913.7
<= $10MM 32,044.5 29,112.0 117,488.6
<= $100MM - 92,244.0 551,206.6
> $100MM - - -
NUMBER OF TRADES 171 55 189
Customer Buy 45 23 91
Customer Sell 76 14 52
Dealer to Dealer 50 18 46
<= $1MM 158 36 129
<= $10MM 13 12 41
<= $100MM - 7 19
> $100MM - - -
GNMA
AVERAGE PRICE 106.6 108.1 102.1
Weighted Avg. Price 106.0 100.6 103.9
Avg. Price Bottom 5 Trades 97.9 99.8 98.1
2nd Quartile Price 102.0 105.4 100.0
3rd Quartile Price 108.0 109.2 101.0
4th Quartile Price 111.3 111.0 103.4
Avg. Price Top 5 Trades 116.0 114.5 113.4
Standard Deviation 5.6 4.3 3.3
VOLUME OF TRADES (000'S) 2,512.7 18,331.9 713,965.9
Customer Buy 525.4 5,592.0 361,428.8
Customer Sell 377.8 7,032.7 201,795.8
Dealer to Dealer 1,609.5 5,707.3 150,741.3
<= $1MM 1,444.9 2,041.8 21,594.7
<= $10MM * * 148,578.8
<= $100MM - - 543,792.4
> $100MM - - -
NUMBER OF TRADES 92 92 464
Customer Buy 30 28 255
Customer Sell 28 32 98
Dealer to Dealer 34 32 111
<= $1MM 91 88 406
<= $10MM * * 39
<= $100MM - - 19
> $100MM - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE 35.9 * 10.9
Weighted Avg. Price 14.0 * 12.2
Avg. Price Bottom 5 Trades 35.9 * 5.1
2nd Quartile Price * * 8.3
3rd Quartile Price * * 11.3
4th Quartile Price * * 13.3
Avg. Price Top 5 Trades 35.9 * 16.2
Standard Deviation 33.4 * 3.4
VOLUME OF TRADES (000'S) 78,152.0 * 568,384.5
Customer Buy * * 260,948.4
Customer Sell * * 231,865.9
Dealer to Dealer * - 75,570.2
<= $1MM * * 8,587.9
<= $10MM * - 56,305.6
<= $100MM * * 503,491.0
> $100MM - - -
NUMBER OF TRADES 6 * 53
Customer Buy * * 20
Customer Sell * * 13
Dealer to Dealer * - 20
<= $1MM * * 27
<= $10MM * - 10
<= $100MM * * 16
> $100MM - - -
FHLMC
AVERAGE PRICE * * 13.6
Weighted Avg. Price * * 15.4
Avg. Price Bottom 5 Trades * * 5.4
2nd Quartile Price * * 8.1
3rd Quartile Price * * 11.4
4th Quartile Price * * 13.7
Avg. Price Top 5 Trades * * 33.9
Standard Deviation * * 14.8
VOLUME OF TRADES (000'S) * * 308,910.4
Customer Buy * * 147,852.2
Customer Sell - * 115,888.3
Dealer to Dealer * - 45,169.9
<= $1MM * * 5,630.0
<= $10MM - - 31,271.6
<= $100MM - - 272,008.8
> $100MM - - -
NUMBER OF TRADES * * 35
Customer Buy * * 8
Customer Sell - * 11
Dealer to Dealer * - 16
<= $1MM * * 19
<= $10MM - - 7
<= $100MM - - 9
> $100MM - - -
GNMA
AVERAGE PRICE * - 12.4
Weighted Avg. Price * - 13.1
Avg. Price Bottom 5 Trades * - 6.5
2nd Quartile Price * - 11.0
3rd Quartile Price * - 13.9
4th Quartile Price * - 16.6
Avg. Price Top 5 Trades * - 16.5
Standard Deviation * - 4.7
VOLUME OF TRADES (000'S) * - 553,348.8
Customer Buy * - 201,091.0
Customer Sell * - *
Dealer to Dealer - - 191,827.0
<= $1MM * - *
<= $10MM - - *
<= $100MM - - 547,395.3
> $100MM - - -
NUMBER OF TRADES * - 16
Customer Buy * - 7
Customer Sell * - *
Dealer to Dealer - - 5
<= $1MM * - *
<= $10MM - - *
<= $100MM - - 13
> $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 [email protected].
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