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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 102.4 105.0 100.0
Weighted Avg. Price 105.8 100.6 103.3
Avg. Price Bottom 5 Trades 72.7 100.4 85.0
2nd Quartile Price 101.1 102.3 98.2
3rd Quartile Price 106.0 104.5 100.0
4th Quartile Price 108.8 107.3 101.9
Avg. Price Top 5 Trades 119.9 111.4 108.9
Standard Deviation 14.9 4.3 4.2
VOLUME OF TRADES (000'S) 12,276.3 53,932.9 554,917.0
Customer Buy 6,387.5 26,227.8 262,343.1
Customer Sell 3,845.8 27,662.4 126,226.2
Dealer to Dealer 2,043.0 42.7 166,347.7
<= $1MM 7,428.3 410.5 15,291.5
<= $10MM * * 162,831.5
<= $100MM 0.0 * 376,793.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 137 21 239
Customer Buy 45 7 108
Customer Sell 45 8 52
Dealer to Dealer 47 6 79
<= $1MM 135 18 170
<= $10MM * * 54
<= $100MM 0 * 15
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 101.3 103.6 101.1
Weighted Avg. Price 107.2 103.9 105.8
Avg. Price Bottom 5 Trades 76.1 99.1 92.8
2nd Quartile Price 100.0 100.4 99.0
3rd Quartile Price 104.5 102.0 100.0
4th Quartile Price 107.0 106.1 102.0
Avg. Price Top 5 Trades 115.4 112.0 112.6
Standard Deviation 14.1 4.4 3.8
VOLUME OF TRADES (000'S) 17,405.0 2,206.2 219,448.2
Customer Buy 1,363.6 917.1 125,018.7
Customer Sell 10,704.1 1,071.1 52,635.4
Dealer to Dealer 5,337.4 218.0 41,794.1
<= $1MM 3,353.7 2,206.2 16,720.3
<= $10MM * 0.0 82,649.8
<= $100MM 0.0 0.0 120,078.1
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 122 40 252
Customer Buy 30 7 129
Customer Sell 50 17 59
Dealer to Dealer 42 16 64
<= $1MM 118 40 225
<= $10MM * 0 22
<= $100MM 0 0 5
> $100MM 0 0 0
GNMA
AVERAGE PRICE 104.1 107.4 101.9
Weighted Avg. Price 103.4 106.8 100.8
Avg. Price Bottom 5 Trades 66.7 100.8 88.4
2nd Quartile Price 102.6 104.5 99.5
3rd Quartile Price 108.2 108.3 100.5
4th Quartile Price 111.9 110.0 103.5
Avg. Price Top 5 Trades 116.1 114.1 118.0
Standard Deviation 16.2 3.6 4.8
VOLUME OF TRADES (000'S) 8,561.4 1,485.9 366,112.6
Customer Buy 2,753.8 227.6 58,645.8
Customer Sell 612.5 538.1 139,165.2
Dealer to Dealer 5,195.0 720.1 168,301.6
<= $1MM 2,383.0 1,485.9 20,735.0
<= $10MM * 0.0 89,099.7
<= $100MM 0.0 0.0 138,723.7
> $100MM 0.0 0.0 *
NUMBER OF TRADES 116 68 482
Customer Buy 25 5 270
Customer Sell 41 33 93
Dealer to Dealer 50 30 119
<= $1MM 113 68 439
<= $10MM * 0 35
<= $100MM 0 0 7
> $100MM 0 0 *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE * * 13.9
Weighted Avg. Price * * 16.1
Avg. Price Bottom 5 Trades * * 7.5
2nd Quartile Price * * 10.7
3rd Quartile Price * * 11.7
4th Quartile Price * * 11.7
Avg. Price Top 5 Trades * * 24.7
Standard Deviation * * 6.4
VOLUME OF TRADES (000'S) * * 334,239.5
Customer Buy * * 269,161.0
Customer Sell * 0.0 56,523.2
Dealer to Dealer 0.0 0.0 *
<= $1MM * 0.0 5,919.2
<= $10MM * 0.0 12,501.1
<= $100MM 0.0 * 315,819.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 56
Customer Buy * * 38
Customer Sell * 0 14
Dealer to Dealer 0 0 *
<= $1MM * 0 44
<= $10MM * 0 5
<= $100MM 0 * 7
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * * 12.7
Weighted Avg. Price * * 17.8
Avg. Price Bottom 5 Trades * * 3.2
2nd Quartile Price * * 4.2
3rd Quartile Price * * 14.0
4th Quartile Price * * 20.4
Avg. Price Top 5 Trades * * 20.8
Standard Deviation * * 7.5
VOLUME OF TRADES (000'S) * * 478,638.5
Customer Buy * * 238,069.7
Customer Sell * * *
Dealer to Dealer * 0.0 *
<= $1MM * * *
<= $10MM * 0.0 *
<= $100MM 0.0 0.0 475,131.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 16
Customer Buy * * 9
Customer Sell * * *
Dealer to Dealer * 0 *
<= $1MM * * *
<= $10MM * 0 *
<= $100MM 0 0 11
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 * 10.2
Weighted Avg. Price 0.0 * 12.7
Avg. Price Bottom 5 Trades 0.0 * 2.7
2nd Quartile Price 0.0 * 2.8
3rd Quartile Price 0.0 * 13.2
4th Quartile Price 0.0 * 15.4
Avg. Price Top 5 Trades 0.0 * 24.0
Standard Deviation 0.0 * 8.1
VOLUME OF TRADES (000'S) 0.0 * 294,667.4
Customer Buy 0.0 0.0 133,843.6
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 * 72,837.6
<= $1MM 0.0 0.0 7,965.4
<= $10MM 0.0 * 33,795.8
<= $100MM 0.0 0.0 252,906.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 38
Customer Buy 0 0 11
Customer Sell 0 0 *
Dealer to Dealer 0 * 24
<= $1MM 0 0 19
<= $10MM 0 * 12
<= $100MM 0 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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