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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 103.2 107.3 99.4
Weighted Avg. Price 106.3 112.5 101.7
Avg. Price Bottom 5 Trades 78.1 106.1 88.4
2nd Quartile Price 99.0 108.1 96.0
3rd Quartile Price 103.2 112.0 99.8
4th Quartile Price 109.5 113.3 102.3
Avg. Price Top 5 Trades 116.5 108.7 113.8
Standard Deviation 12.0 5.3 5.7
VOLUME OF TRADES (000'S) 6,535.1 207.7 986,879.9
Customer Buy 1,321.4 32.3 384,275.8
Customer Sell 5,020.6 * 574,766.2
Dealer to Dealer 193.1 0.0 27,837.9
<= $1MM 2,335.9 207.7 11,457.2
<= $10MM * 0.0 75,984.8
<= $100MM 0.0 0.0 380,350.4
> $100MM 0.0 0.0 *
NUMBER OF TRADES 101 6 164
Customer Buy 50 5 88
Customer Sell 24 * 38
Dealer to Dealer 27 0 38
<= $1MM 100 6 127
<= $10MM * 0 26
<= $100MM 0 0 8
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 103.1 106.0 100.0
Weighted Avg. Price 105.6 108.1 101.2
Avg. Price Bottom 5 Trades 95.5 102.5 82.4
2nd Quartile Price 99.0 102.8 98.8
3rd Quartile Price 101.5 107.5 100.4
4th Quartile Price 108.4 109.0 102.0
Avg. Price Top 5 Trades 114.0 108.8 112.7
Standard Deviation 5.5 3.5 5.4
VOLUME OF TRADES (000'S) 4,018.4 239.5 812,203.7
Customer Buy 3,191.1 126.9 268,829.4
Customer Sell 717.0 * 539,613.6
Dealer to Dealer 110.3 * 3,760.6
<= $1MM 2,282.4 239.5 7,759.8
<= $10MM * 0.0 40,464.7
<= $100MM 0.0 0.0 478,423.3
> $100MM 0.0 0.0 *
NUMBER OF TRADES 135 14 185
Customer Buy 62 7 99
Customer Sell 32 * 42
Dealer to Dealer 41 * 44
<= $1MM 134 14 157
<= $10MM * 0 15
<= $100MM 0 0 11
> $100MM 0 0 *
GNMA
AVERAGE PRICE 106.0 107.0 104.0
Weighted Avg. Price 112.7 109.4 102.7
Avg. Price Bottom 5 Trades 91.3 99.7 85.4
2nd Quartile Price 102.0 105.5 99.6
3rd Quartile Price 108.6 109.3 103.5
4th Quartile Price 110.4 109.6 110.2
Avg. Price Top 5 Trades 113.8 111.7 116.8
Standard Deviation 7.0 5.1 7.2
VOLUME OF TRADES (000'S) 6,452.1 318.3 359,239.8
Customer Buy 217.6 88.9 99,242.6
Customer Sell 4,728.0 74.2 241,829.9
Dealer to Dealer 1,506.5 155.3 18,167.2
<= $1MM 774.6 318.3 16,820.0
<= $10MM * 0.0 27,932.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 *
NUMBER OF TRADES 81 30 208
Customer Buy 26 9 84
Customer Sell 32 7 48
Dealer to Dealer 23 14 76
<= $1MM 78 30 194
<= $10MM * 0 11
<= $100MM 0 0 *
> $100MM 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 17.0
Weighted Avg. Price * 0.0 19.2
Avg. Price Bottom 5 Trades * 0.0 14.8
2nd Quartile Price * 0.0 18.5
3rd Quartile Price * 0.0 20.3
4th Quartile Price * 0.0 20.5
Avg. Price Top 5 Trades * 0.0 20.6
Standard Deviation * 0.0 6.0
VOLUME OF TRADES (000'S) * 0.0 92,862.8
Customer Buy 0.0 0.0 *
Customer Sell * 0.0 *
Dealer to Dealer * 0.0 *
<= $1MM * 0.0 0.0
<= $10MM 0.0 0.0 17,611.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 8
Customer Buy 0 0 *
Customer Sell * 0 *
Dealer to Dealer * 0 *
<= $1MM * 0 0
<= $10MM 0 0 5
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 20.5
Weighted Avg. Price 0.0 * 20.1
Avg. Price Bottom 5 Trades 0.0 * 18.2
2nd Quartile Price 0.0 * 19.3
3rd Quartile Price 0.0 * 21.3
4th Quartile Price 0.0 * 24.3
Avg. Price Top 5 Trades 0.0 * 22.7
Standard Deviation 0.0 * 3.1
VOLUME OF TRADES (000'S) 0.0 * 83,551.0
Customer Buy 0.0 * *
Customer Sell 0.0 * 54,777.1
Dealer to Dealer 0.0 * *
<= $1MM 0.0 * 0.0
<= $10MM 0.0 * 24,838.2
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 10
Customer Buy 0 * *
Customer Sell 0 * 6
Dealer to Dealer 0 * *
<= $1MM 0 * 0
<= $10MM 0 * 7
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 14.7
Weighted Avg. Price 0.0 0.0 18.5
Avg. Price Bottom 5 Trades 0.0 0.0 14.7
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 14.7
Standard Deviation 0.0 0.0 2.8
VOLUME OF TRADES (000'S) 0.0 0.0 61,831.7
Customer Buy 0.0 0.0 *
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 7
Customer Buy 0 0 *
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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