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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 104.6 107.2 98.7
Weighted Avg. Price 107.1 104.9 102.0
Avg. Price Bottom 5 Trades 97.2 107.2 80.5
2nd Quartile Price 100.3 * 97.0
3rd Quartile Price 105.0 * 100.0
4th Quartile Price 107.6 * 102.2
Avg. Price Top 5 Trades 114.1 107.2 107.4
Standard Deviation 4.9 4.3 5.4
VOLUME OF TRADES (000'S) 1,212.4 143.4 484,739.8
Customer Buy 431.8 * 173,262.7
Customer Sell 528.9 * 118,611.9
Dealer to Dealer 251.7 * 192,865.2
<= $1MM 1,212.4 143.4 16,475.3
<= $10MM 0.0 0.0 92,237.2
<= $100MM 0.0 0.0 376,027.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 75 6 190
Customer Buy 21 * 77
Customer Sell 34 * 56
Dealer to Dealer 20 * 57
<= $1MM 75 6 140
<= $10MM 0 0 33
<= $100MM 0 0 17
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 104.3 105.9 100.1
Weighted Avg. Price 109.7 100.6 101.7
Avg. Price Bottom 5 Trades 94.5 100.7 80.9
2nd Quartile Price 102.6 103.3 98.5
3rd Quartile Price 106.4 107.1 101.1
4th Quartile Price 107.5 109.5 103.7
Avg. Price Top 5 Trades 112.9 110.2 109.3
Standard Deviation 6.1 3.7 6.3
VOLUME OF TRADES (000'S) 2,682.6 15,274.6 442,913.6
Customer Buy 1,998.2 1,255.8 203,599.6
Customer Sell 521.2 277.0 88,381.1
Dealer to Dealer 163.2 13,741.8 150,932.8
<= $1MM 1,348.2 523.7 6,166.5
<= $10MM * * 133,381.2
<= $100MM 0.0 0.0 303,365.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 67 21 163
Customer Buy 15 7 80
Customer Sell 35 7 40
Dealer to Dealer 17 7 43
<= $1MM 66 18 95
<= $10MM * * 53
<= $100MM 0 0 15
> $100MM 0 0 0
GNMA
AVERAGE PRICE 106.6 109.0 100.7
Weighted Avg. Price 113.9 108.7 103.2
Avg. Price Bottom 5 Trades 95.8 105.4 86.9
2nd Quartile Price 102.6 107.1 98.5
3rd Quartile Price 107.2 109.4 100.0
4th Quartile Price 109.0 112.5 103.3
Avg. Price Top 5 Trades 122.8 113.5 113.1
Standard Deviation 10.2 3.9 5.5
VOLUME OF TRADES (000'S) 368.8 195.7 157,199.0
Customer Buy 187.0 74.0 109,541.0
Customer Sell 93.1 * 37,159.7
Dealer to Dealer 88.6 94.9 10,498.3
<= $1MM 368.8 195.7 9,964.1
<= $10MM 0.0 0.0 26,166.4
<= $100MM 0.0 0.0 121,068.5
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 53 19 180
Customer Buy 18 9 90
Customer Sell 24 * 41
Dealer to Dealer 11 6 49
<= $1MM 53 19 163
<= $10MM 0 0 12
<= $100MM 0 0 5
> $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 16.4
Weighted Avg. Price 0.0 0.0 18.3
Avg. Price Bottom 5 Trades 0.0 0.0 15.9
2nd Quartile Price 0.0 0.0 16.0
3rd Quartile Price 0.0 0.0 16.0
4th Quartile Price 0.0 0.0 16.0
Avg. Price Top 5 Trades 0.0 0.0 20.1
Standard Deviation 0.0 0.0 1.4
VOLUME OF TRADES (000'S) 0.0 0.0 211,376.5
Customer Buy 0.0 0.0 165,228.0
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 3,431.2
<= $10MM 0.0 0.0 14,971.9
<= $100MM 0.0 0.0 192,973.5
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 61
Customer Buy 0 0 56
Customer Sell 0 0 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 49
<= $10MM 0 0 5
<= $100MM 0 0 7
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 14.2
Weighted Avg. Price 0.0 0.0 17.2
Avg. Price Bottom 5 Trades 0.0 0.0 9.2
2nd Quartile Price 0.0 0.0 12.2
3rd Quartile Price 0.0 0.0 15.8
4th Quartile Price 0.0 0.0 19.1
Avg. Price Top 5 Trades 0.0 0.0 19.1
Standard Deviation 0.0 0.0 4.9
VOLUME OF TRADES (000'S) 0.0 0.0 118,656.5
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 54,861.9
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 107,637.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 13
Customer Buy 0 0 *
Customer Sell 0 0 7
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 *
<= $100MM 0 0 6
> $100MM 0 0 0
GNMA
AVERAGE PRICE 21.8 * 15.8
Weighted Avg. Price 21.4 * 15.4
Avg. Price Bottom 5 Trades 21.8 * 15.1
2nd Quartile Price * * 14.8
3rd Quartile Price * * 16.8
4th Quartile Price * * 16.9
Avg. Price Top 5 Trades 21.8 * 16.8
Standard Deviation 1.3 * 1.5
VOLUME OF TRADES (000'S) 5,797.3 * 157,123.6
Customer Buy * * 98,901.1
Customer Sell * 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM * * *
<= $10MM * 0.0 *
<= $100MM 0.0 0.0 146,040.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 6 * 8
Customer Buy * * 5
Customer Sell * 0 *
Dealer to Dealer 0 0 *
<= $1MM * * *
<= $10MM * 0 *
<= $100MM 0 0 5
> $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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