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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 103.9 105.9 98.8
Weighted Avg. Price 111.3 110.4 100.2
Avg. Price Bottom 5 Trades 65.8 98.4 78.4
2nd Quartile Price 102.2 101.9 97.5
3rd Quartile Price 106.2 106.8 99.3
4th Quartile Price 109.1 110.3 101.5
Avg. Price Top 5 Trades 115.6 111.5 111.6
Standard Deviation 9.8 5.1 5.3
VOLUME OF TRADES (000'S) 1,784.1 9,217.8 340,183.4
Customer Buy 146.4 417.3 155,780.0
Customer Sell 427.6 1,150.9 102,355.1
Dealer to Dealer 1,210.1 7,649.6 82,048.3
<= $1MM 1,784.1 1,982.2 17,879.9
<= $10MM 0.0 * 108,185.4
<= $100MM 0.0 0.0 214,118.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 125 24 268
Customer Buy 17 5 162
Customer Sell 61 7 46
Dealer to Dealer 47 12 60
<= $1MM 125 22 211
<= $10MM 0 * 41
<= $100MM 0 0 16
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 103.4 103.3 98.4
Weighted Avg. Price 112.3 100.0 102.1
Avg. Price Bottom 5 Trades 80.5 99.8 88.2
2nd Quartile Price 102.2 100.8 95.4
3rd Quartile Price 104.3 102.1 99.6
4th Quartile Price 108.0 108.0 101.8
Avg. Price Top 5 Trades 115.5 107.8 111.2
Standard Deviation 8.3 3.7 6.3
VOLUME OF TRADES (000'S) 7,186.6 2,691.7 226,071.9
Customer Buy 432.9 * 111,951.5
Customer Sell 3,360.8 1,665.9 52,259.0
Dealer to Dealer 3,392.9 * 61,861.4
<= $1MM 676.4 2,691.7 10,997.9
<= $10MM * 0.0 103,491.5
<= $100MM 0.0 0.0 111,582.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 104 17 179
Customer Buy 19 * 73
Customer Sell 53 11 68
Dealer to Dealer 32 * 38
<= $1MM 100 17 146
<= $10MM * 0 28
<= $100MM 0 0 5
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.6 106.8 102.5
Weighted Avg. Price 107.9 105.7 102.6
Avg. Price Bottom 5 Trades 84.3 99.9 84.2
2nd Quartile Price 103.2 102.8 99.1
3rd Quartile Price 108.0 108.2 101.4
4th Quartile Price 110.0 110.3 108.1
Avg. Price Top 5 Trades 116.0 113.8 113.2
Standard Deviation 7.7 4.8 6.4
VOLUME OF TRADES (000'S) 690.6 4,354.9 65,774.9
Customer Buy 326.0 1,334.1 34,479.0
Customer Sell 237.2 2,938.6 14,743.3
Dealer to Dealer 127.4 82.2 16,552.5
<= $1MM 690.6 270.9 8,995.8
<= $10MM 0.0 * 16,465.6
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 94 37 194
Customer Buy 30 12 98
Customer Sell 42 15 37
Dealer to Dealer 22 10 59
<= $1MM 94 35 183
<= $10MM 0 * 8
<= $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 18.5 0.0 22.4
Weighted Avg. Price 18.6 0.0 20.6
Avg. Price Bottom 5 Trades 18.3 0.0 11.4
2nd Quartile Price 19.4 0.0 12.7
3rd Quartile Price 19.5 0.0 19.0
4th Quartile Price 19.5 0.0 24.8
Avg. Price Top 5 Trades 18.9 0.0 42.6
Standard Deviation 1.5 0.0 14.8
VOLUME OF TRADES (000'S) 47,446.9 0.0 304,072.8
Customer Buy 0.0 0.0 166,806.7
Customer Sell * 0.0 127,667.1
Dealer to Dealer * 0.0 9,599.0
<= $1MM 0.0 0.0 5,416.2
<= $10MM 47,446.9 0.0 62,435.8
<= $100MM 0.0 0.0 236,220.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 6 0 36
Customer Buy 0 0 22
Customer Sell * 0 9
Dealer to Dealer * 0 5
<= $1MM 0 0 15
<= $10MM 6 0 13
<= $100MM 0 0 8
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 15.9
Weighted Avg. Price 0.0 * 19.0
Avg. Price Bottom 5 Trades 0.0 * 11.3
2nd Quartile Price 0.0 * 12.6
3rd Quartile Price 0.0 * 15.3
4th Quartile Price 0.0 * 19.7
Avg. Price Top 5 Trades 0.0 * 21.4
Standard Deviation 0.0 * 4.0
VOLUME OF TRADES (000'S) 0.0 * 364,968.2
Customer Buy 0.0 * 229,640.5
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 * 72,401.4
<= $1MM 0.0 * 4,588.9
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 350,412.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 24
Customer Buy 0 * 14
Customer Sell 0 0 *
Dealer to Dealer 0 * 7
<= $1MM 0 * 9
<= $10MM 0 0 *
<= $100MM 0 0 11
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 12.1
Weighted Avg. Price 0.0 0.0 18.0
Avg. Price Bottom 5 Trades 0.0 0.0 8.4
2nd Quartile Price 0.0 0.0 3.0
3rd Quartile Price 0.0 0.0 16.4
4th Quartile Price 0.0 0.0 17.6
Avg. Price Top 5 Trades 0.0 0.0 19.6
Standard Deviation 0.0 0.0 8.0
VOLUME OF TRADES (000'S) 0.0 0.0 231,328.1
Customer Buy 0.0 0.0 171,473.0
Customer Sell 0.0 0.0 59,855.2
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 0.0 49.5
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 224,418.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 13
Customer Buy 0 0 6
Customer Sell 0 0 7
Dealer to Dealer 0 0 0
<= $1MM 0 0 5
<= $10MM 0 0 *
<= $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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