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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 103.6 111.8 98.1
Weighted Avg. Price 113.2 106.0 102.9
Avg. Price Bottom 5 Trades 71.9 99.7 80.3
2nd Quartile Price 100.0 101.0 95.6
3rd Quartile Price 104.9 108.3 99.5
4th Quartile Price 108.3 111.5 100.8
Avg. Price Top 5 Trades 116.3 126.6 120.3
Standard Deviation 8.7 18.1 6.8
VOLUME OF TRADES (000'S) 3,100.6 3,130.6 164,567.2
Customer Buy 387.7 944.4 60,541.5
Customer Sell 2,539.2 2,109.7 72,060.8
Dealer to Dealer 173.7 76.6 31,964.9
<= $1MM 1,563.6 1,984.5 24,330.9
<= $10MM * * 83,129.5
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 120 17 363
Customer Buy 45 5 161
Customer Sell 50 7 90
Dealer to Dealer 25 5 112
<= $1MM 119 16 328
<= $10MM * * 31
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 102.9 108.5 100.4
Weighted Avg. Price 110.4 114.1 106.1
Avg. Price Bottom 5 Trades 86.1 100.4 87.4
2nd Quartile Price 100.0 102.9 98.8
3rd Quartile Price 103.0 110.0 100.0
4th Quartile Price 107.9 114.3 104.0
Avg. Price Top 5 Trades 114.7 113.6 111.6
Standard Deviation 7.8 5.7 5.0
VOLUME OF TRADES (000'S) 7,948.4 81,129.9 153,638.8
Customer Buy 2,499.5 1,452.8 56,825.0
Customer Sell 5,299.6 79,577.0 60,567.0
Dealer to Dealer 149.3 * 36,246.9
<= $1MM 2,637.2 1,654.2 26,150.2
<= $10MM * 31,138.7 46,537.3
<= $100MM 0.0 * 80,951.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 96 27 292
Customer Buy 34 9 144
Customer Sell 41 14 59
Dealer to Dealer 21 * 89
<= $1MM 92 19 261
<= $10MM * 5 26
<= $100MM 0 * 5
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.6 107.1 102.3
Weighted Avg. Price 117.4 109.9 102.1
Avg. Price Bottom 5 Trades 92.2 103.1 83.8
2nd Quartile Price 102.4 104.6 98.5
3rd Quartile Price 108.0 107.6 101.7
4th Quartile Price 109.5 109.6 106.6
Avg. Price Top 5 Trades 115.7 110.6 114.9
Standard Deviation 6.5 2.7 5.9
VOLUME OF TRADES (000'S) 8,858.5 13,121.0 147,803.8
Customer Buy 4,332.7 6,160.6 62,636.0
Customer Sell 4,208.2 428.2 22,625.3
Dealer to Dealer 317.6 6,532.2 62,542.4
<= $1MM 1,050.5 2,267.3 30,318.2
<= $10MM * * 38,510.2
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 77 31 345
Customer Buy 24 7 119
Customer Sell 32 13 83
Dealer to Dealer 21 11 143
<= $1MM 75 28 326
<= $10MM * * 16
<= $100MM 0 0 *
> $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 * * 17.2
Weighted Avg. Price * * 20.7
Avg. Price Bottom 5 Trades * * 11.3
2nd Quartile Price * * 16.8
3rd Quartile Price * * 17.3
4th Quartile Price * * 19.1
Avg. Price Top 5 Trades * * 22.4
Standard Deviation * * 3.4
VOLUME OF TRADES (000'S) * * 291,168.8
Customer Buy * * 176,184.4
Customer Sell * * 108,866.9
Dealer to Dealer 0.0 0.0 6,117.5
<= $1MM 0.0 * 2,133.5
<= $10MM * * 43,639.9
<= $100MM 0.0 0.0 144,124.6
> $100MM 0.0 0.0 *
NUMBER OF TRADES * * 33
Customer Buy * * 12
Customer Sell * * 13
Dealer to Dealer 0 0 8
<= $1MM 0 * 17
<= $10MM * * 10
<= $100MM 0 0 5
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 0.0 * 14.8
Weighted Avg. Price 0.0 * 18.9
Avg. Price Bottom 5 Trades 0.0 * 5.4
2nd Quartile Price 0.0 * 10.8
3rd Quartile Price 0.0 * 18.1
4th Quartile Price 0.0 * 20.6
Avg. Price Top 5 Trades 0.0 * 22.6
Standard Deviation 0.0 * 6.8
VOLUME OF TRADES (000'S) 0.0 * 208,516.7
Customer Buy 0.0 * 61,636.8
Customer Sell 0.0 0.0 71,193.3
Dealer to Dealer 0.0 * 75,686.5
<= $1MM 0.0 * *
<= $10MM 0.0 * 69,072.7
<= $100MM 0.0 0.0 139,350.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 23
Customer Buy 0 * 6
Customer Sell 0 0 7
Dealer to Dealer 0 * 10
<= $1MM 0 * *
<= $10MM 0 * 16
<= $100MM 0 0 6
> $100MM 0 0 0
GNMA
AVERAGE PRICE 76.8 0.0 17.6
Weighted Avg. Price 17.6 0.0 16.2
Avg. Price Bottom 5 Trades 73.3 0.0 8.0
2nd Quartile Price 80.0 0.0 15.4
3rd Quartile Price 99.0 0.0 16.2
4th Quartile Price 100.0 0.0 20.1
Avg. Price Top 5 Trades 85.3 0.0 31.5
Standard Deviation 37.2 0.0 10.1
VOLUME OF TRADES (000'S) 11,245.7 0.0 515,054.8
Customer Buy * 0.0 329,442.8
Customer Sell * 0.0 103,582.7
Dealer to Dealer * 0.0 82,029.4
<= $1MM 0.7 0.0 1,605.1
<= $10MM * 0.0 43,276.6
<= $100MM 0.0 0.0 312,405.8
> $100MM 0.0 0.0 *
NUMBER OF TRADES 8 0 33
Customer Buy * 0 16
Customer Sell * 0 7
Dealer to Dealer * 0 10
<= $1MM 6 0 9
<= $10MM * 0 9
<= $100MM 0 0 14
> $100MM 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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