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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 105.4 104.3 99.6
Weighted Avg. Price 103.7 102.4 101.8
Avg. Price Bottom 5 Trades 96.5 99.9 82.2
2nd Quartile Price 100.0 100.5 98.8
3rd Quartile Price 106.5 103.3 99.5
4th Quartile Price 109.6 108.1 103.1
Avg. Price Top 5 Trades 115.7 110.6 112.5
Standard Deviation 5.7 4.0 5.9
VOLUME OF TRADES (000'S) 15,035.6 14,359.8 444,241.9
Customer Buy 6,261.4 1,189.1 196,823.8
Customer Sell 7,152.2 11,479.1 40,259.0
Dealer to Dealer 1,621.9 1,691.6 207,159.1
<= $1MM 5,477.5 3,580.5 32,497.6
<= $10MM * * 174,463.2
<= $100MM 0.0 0.0 237,281.1
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 113 37 285
Customer Buy 27 13 143
Customer Sell 49 11 61
Dealer to Dealer 37 13 81
<= $1MM 111 35 225
<= $10MM * * 50
<= $100MM 0 0 10
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 105.5 106.0 100.4
Weighted Avg. Price 105.9 100.8 101.8
Avg. Price Bottom 5 Trades 92.1 100.4 86.3
2nd Quartile Price 102.6 103.6 99.2
3rd Quartile Price 106.5 107.0 100.4
4th Quartile Price 109.3 109.3 103.4
Avg. Price Top 5 Trades 114.5 110.6 109.0
Standard Deviation 5.0 3.8 5.0
VOLUME OF TRADES (000'S) 16,728.7 9,892.2 507,939.2
Customer Buy 5,503.6 3,126.9 284,400.5
Customer Sell 5,263.5 6,521.8 49,782.2
Dealer to Dealer 5,961.7 243.5 173,756.5
<= $1MM 8,066.4 520.7 20,643.9
<= $10MM * * 222,668.1
<= $100MM 0.0 0.0 264,627.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 183 24 228
Customer Buy 49 7 99
Customer Sell 76 9 53
Dealer to Dealer 58 8 76
<= $1MM 179 20 155
<= $10MM * * 64
<= $100MM 0 0 9
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.6 109.3 101.4
Weighted Avg. Price 109.1 110.6 105.0
Avg. Price Bottom 5 Trades 96.4 102.0 68.2
2nd Quartile Price 101.9 107.3 99.4
3rd Quartile Price 104.9 109.8 101.5
4th Quartile Price 110.3 112.9 105.2
Avg. Price Top 5 Trades 112.8 114.1 114.7
Standard Deviation 5.0 3.9 8.4
VOLUME OF TRADES (000'S) 2,701.4 1,293.8 200,140.4
Customer Buy 323.5 318.5 90,553.6
Customer Sell 1,064.2 274.9 8,424.8
Dealer to Dealer 1,313.7 700.4 101,162.0
<= $1MM 2,701.4 1,293.8 20,046.3
<= $10MM 0.0 0.0 48,934.1
<= $100MM 0.0 0.0 131,160.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 84 59 275
Customer Buy 20 15 102
Customer Sell 34 18 79
Dealer to Dealer 30 26 94
<= $1MM 84 59 249
<= $10MM 0 0 20
<= $100MM 0 0 6
> $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 0.0 13.0 13.8
Weighted Avg. Price 0.0 12.2 16.5
Avg. Price Bottom 5 Trades 0.0 13.0 6.4
2nd Quartile Price 0.0 * 10.8
3rd Quartile Price 0.0 * 12.8
4th Quartile Price 0.0 * 18.0
Avg. Price Top 5 Trades 0.0 13.0 22.7
Standard Deviation 0.0 7.1 5.4
VOLUME OF TRADES (000'S) 0.0 1,344.6 250,058.2
Customer Buy 0.0 * 81,311.2
Customer Sell 0.0 * 136,087.5
Dealer to Dealer 0.0 * 32,659.4
<= $1MM 0.0 1,344.6 3,798.6
<= $10MM 0.0 0.0 36,698.8
<= $100MM 0.0 0.0 209,560.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 5 32
Customer Buy 0 * 10
Customer Sell 0 * 10
Dealer to Dealer 0 * 12
<= $1MM 0 5 13
<= $10MM 0 0 10
<= $100MM 0 0 9
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * 46.7 17.3
Weighted Avg. Price * 10.3 21.2
Avg. Price Bottom 5 Trades * 46.7 13.4
2nd Quartile Price * * 15.0
3rd Quartile Price * * 22.2
4th Quartile Price * * 24.0
Avg. Price Top 5 Trades * 46.7 21.1
Standard Deviation * 41.4 5.9
VOLUME OF TRADES (000'S) * 7,790.5 150,667.5
Customer Buy 0.0 * *
Customer Sell * * 71,060.6
Dealer to Dealer * * *
<= $1MM * * *
<= $10MM 0.0 * *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 6 10
Customer Buy 0 * *
Customer Sell * * 5
Dealer to Dealer * * *
<= $1MM * * *
<= $10MM 0 * *
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 11.2
Weighted Avg. Price 0.0 0.0 14.4
Avg. Price Bottom 5 Trades 0.0 0.0 3.1
2nd Quartile Price 0.0 0.0 10.6
3rd Quartile Price 0.0 0.0 11.3
4th Quartile Price 0.0 0.0 14.5
Avg. Price Top 5 Trades 0.0 0.0 16.6
Standard Deviation 0.0 0.0 4.6
VOLUME OF TRADES (000'S) 0.0 0.0 338,647.0
Customer Buy 0.0 0.0 166,414.2
Customer Sell 0.0 0.0 150,111.1
Dealer to Dealer 0.0 0.0 22,121.7
<= $1MM 0.0 0.0 5,276.8
<= $10MM 0.0 0.0 7,628.0
<= $100MM 0.0 0.0 325,742.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 32
Customer Buy 0 0 6
Customer Sell 0 0 11
Dealer to Dealer 0 0 15
<= $1MM 0 0 18
<= $10MM 0 0 6
<= $100MM 0 0 8
> $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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