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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 102.4 120.5 98.4
Weighted Avg. Price 107.9 101.6 102.2
Avg. Price Bottom 5 Trades 96.4 102.1 83.4
2nd Quartile Price 98.0 99.8 96.5
3rd Quartile Price 102.6 106.8 99.8
4th Quartile Price 107.0 110.0 101.0
Avg. Price Top 5 Trades 113.1 133.2 111.8
Standard Deviation 6.5 46.3 5.5
VOLUME OF TRADES (000'S) 5,779.1 1,081.6 67,464.9
Customer Buy 1,936.6 * 11,671.4
Customer Sell 2,531.1 * 30,366.9
Dealer to Dealer 1,311.4 * 25,426.6
<= $1MM 2,187.6 1,081.6 13,565.3
<= $10MM * 0.0 32,686.5
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 99 8 170
Customer Buy 15 * 79
Customer Sell 35 * 37
Dealer to Dealer 49 * 54
<= $1MM 97 8 158
<= $10MM * 0 10
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 102.9 104.5 97.9
Weighted Avg. Price 109.5 101.6 103.0
Avg. Price Bottom 5 Trades 98.0 100.9 72.3
2nd Quartile Price 98.0 102.5 93.7
3rd Quartile Price 103.2 105.0 99.0
4th Quartile Price 106.8 109.4 102.6
Avg. Price Top 5 Trades 111.2 109.4 112.2
Standard Deviation 4.6 4.6 8.7
VOLUME OF TRADES (000'S) 938.3 568.9 89,440.8
Customer Buy 647.6 511.7 47,340.2
Customer Sell 85.0 * 24,234.9
Dealer to Dealer 205.7 * 17,865.7
<= $1MM 938.3 568.9 27,588.7
<= $10MM 0.0 0.0 49,269.0
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 136 14 243
Customer Buy 20 9 121
Customer Sell 39 * 53
Dealer to Dealer 77 * 69
<= $1MM 136 14 224
<= $10MM 0 0 18
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.5 109.4 100.8
Weighted Avg. Price 110.3 110.5 101.2
Avg. Price Bottom 5 Trades 96.4 105.4 79.4
2nd Quartile Price 100.0 109.9 98.5
3rd Quartile Price 107.8 111.3 100.0
4th Quartile Price 110.7 111.8 102.4
Avg. Price Top 5 Trades 113.8 112.4 117.2
Standard Deviation 6.7 5.6 7.7
VOLUME OF TRADES (000'S) 1,316.3 427.1 98,482.1
Customer Buy 205.5 131.4 28,336.1
Customer Sell 403.7 163.0 23,114.1
Dealer to Dealer 707.1 * 47,031.9
<= $1MM 1,316.3 427.1 41,800.3
<= $10MM 0.0 0.0 56,681.7
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 65 16 372
Customer Buy 16 7 189
Customer Sell 18 5 82
Dealer to Dealer 31 * 101
<= $1MM 65 16 340
<= $10MM 0 0 32
<= $100MM 0 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 14.3
Weighted Avg. Price * 0.0 19.3
Avg. Price Bottom 5 Trades * 0.0 13.2
2nd Quartile Price * 0.0 12.4
3rd Quartile Price * 0.0 18.8
4th Quartile Price * 0.0 20.1
Avg. Price Top 5 Trades * 0.0 15.4
Standard Deviation * 0.0 4.2
VOLUME OF TRADES (000'S) * 0.0 78,682.4
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 0.0
Dealer to Dealer * 0.0 *
<= $1MM * 0.0 *
<= $10MM * 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 6
Customer Buy 0 0 *
Customer Sell 0 0 0
Dealer to Dealer * 0 *
<= $1MM * 0 *
<= $10MM * 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 15.9
Weighted Avg. Price 0.0 0.0 17.9
Avg. Price Bottom 5 Trades 0.0 0.0 7.6
2nd Quartile Price 0.0 0.0 9.5
3rd Quartile Price 0.0 0.0 11.6
4th Quartile Price 0.0 0.0 12.6
Avg. Price Top 5 Trades 0.0 0.0 29.3
Standard Deviation 0.0 0.0 20.9
VOLUME OF TRADES (000'S) 0.0 0.0 36,973.9
Customer Buy 0.0 0.0 22,417.3
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 14,529.7
<= $1MM 0.0 0.0 1,248.6
<= $10MM 0.0 0.0 14,876.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 14
Customer Buy 0 0 6
Customer Sell 0 0 *
Dealer to Dealer 0 0 7
<= $1MM 0 0 7
<= $10MM 0 0 6
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 * 13.0
Weighted Avg. Price 0.0 * 15.6
Avg. Price Bottom 5 Trades 0.0 * 9.4
2nd Quartile Price 0.0 * 9.0
3rd Quartile Price 0.0 * 12.0
4th Quartile Price 0.0 * 13.5
Avg. Price Top 5 Trades 0.0 * 29.9
Standard Deviation 0.0 * 8.1
VOLUME OF TRADES (000'S) 0.0 * 202,403.9
Customer Buy 0.0 * 131,594.0
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 42,603.8
<= $1MM 0.0 * 11,674.7
<= $10MM 0.0 0.0 22,448.4
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 64
Customer Buy 0 * 52
Customer Sell 0 0 *
Dealer to Dealer 0 0 10
<= $1MM 0 * 54
<= $10MM 0 0 6
<= $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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