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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 105.7 107.9 99.7
Weighted Avg. Price 102.8 109.3 103.7
Avg. Price Bottom 5 Trades 95.0 107.4 89.5
2nd Quartile Price 103.0 108.1 98.0
3rd Quartile Price 107.4 110.1 100.0
4th Quartile Price 108.5 110.5 102.0
Avg. Price Top 5 Trades 111.1 109.3 112.3
Standard Deviation 5.1 3.5 4.9
VOLUME OF TRADES (000'S) 2,437.8 100.9 128,404.7
Customer Buy 193.8 * 58,314.0
Customer Sell 2,202.2 * 39,396.6
Dealer to Dealer 41.9 * 30,694.1
<= $1MM 1,329.2 100.9 11,974.3
<= $10MM * 0.0 56,592.6
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 44 6 101
Customer Buy 17 * 54
Customer Sell 18 * 15
Dealer to Dealer 9 * 32
<= $1MM 43 6 83
<= $10MM * 0 14
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 104.5 104.3 99.0
Weighted Avg. Price 106.4 102.4 105.0
Avg. Price Bottom 5 Trades 92.3 103.3 87.5
2nd Quartile Price 102.6 101.0 96.5
3rd Quartile Price 106.0 108.1 99.8
4th Quartile Price 108.7 109.3 102.3
Avg. Price Top 5 Trades 111.2 105.3 109.0
Standard Deviation 5.5 4.6 5.4
VOLUME OF TRADES (000'S) 17,210.6 107.2 208,063.8
Customer Buy 5,399.6 * 67,664.1
Customer Sell 11,753.1 * 87,995.8
Dealer to Dealer 57.9 * 52,403.8
<= $1MM 3,316.8 107.2 10,131.9
<= $10MM * 0.0 73,852.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 72 6 109
Customer Buy 22 * 47
Customer Sell 31 * 23
Dealer to Dealer 19 * 39
<= $1MM 68 6 85
<= $10MM * 0 20
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.2 107.2 100.0
Weighted Avg. Price 106.0 108.6 106.1
Avg. Price Bottom 5 Trades 89.7 103.8 88.0
2nd Quartile Price 101.5 105.5 97.0
3rd Quartile Price 107.5 109.9 99.8
4th Quartile Price 110.7 111.6 102.7
Avg. Price Top 5 Trades 112.6 111.4 112.2
Standard Deviation 7.2 4.9 5.5
VOLUME OF TRADES (000'S) 740.2 135.6 43,120.6
Customer Buy 437.8 * 4,056.2
Customer Sell 174.1 41.7 15,916.9
Dealer to Dealer 128.3 * 23,147.5
<= $1MM 740.2 135.6 4,337.8
<= $10MM 0.0 0.0 24,325.8
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 53 11 104
Customer Buy 14 * 46
Customer Sell 21 5 29
Dealer to Dealer 18 * 29
<= $1MM 53 11 98
<= $10MM 0 0 5
<= $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 0.0 0.0 40.1
Weighted Avg. Price 0.0 0.0 24.1
Avg. Price Bottom 5 Trades 0.0 0.0 34.4
2nd Quartile Price 0.0 0.0 14.6
3rd Quartile Price 0.0 0.0 74.2
4th Quartile Price 0.0 0.0 74.8
Avg. Price Top 5 Trades 0.0 0.0 44.5
Standard Deviation 0.0 0.0 32.1
VOLUME OF TRADES (000'S) 0.0 0.0 1,319.8
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 1,319.8
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 7
Customer Buy 0 0 *
Customer Sell 0 0 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 7
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 *
Weighted Avg. Price 0.0 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 *
2nd Quartile Price 0.0 0.0 *
3rd Quartile Price 0.0 0.0 *
4th Quartile Price 0.0 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 *
Standard Deviation 0.0 0.0 *
VOLUME OF TRADES (000'S) 0.0 0.0 *
Customer Buy 0.0 0.0 0.0
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 *
Customer Buy 0 0 0
Customer Sell 0 0 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 0
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 24.6
Weighted Avg. Price 0.0 0.0 22.6
Avg. Price Bottom 5 Trades 0.0 0.0 17.1
2nd Quartile Price 0.0 0.0 17.8
3rd Quartile Price 0.0 0.0 21.3
4th Quartile Price 0.0 0.0 48.0
Avg. Price Top 5 Trades 0.0 0.0 30.2
Standard Deviation 0.0 0.0 13.2
VOLUME OF TRADES (000'S) 0.0 0.0 92,048.1
Customer Buy 0.0 0.0 85,166.3
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 10
Customer Buy 0 0 6
Customer Sell 0 0 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 *
<= $100MM 0 0 *
> $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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