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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 104.6 105.3 99.3
Weighted Avg. Price 112.5 109.7 102.6
Avg. Price Bottom 5 Trades 94.1 98.0 76.9
2nd Quartile Price 101.1 102.8 97.0
3rd Quartile Price 104.3 106.6 99.9
4th Quartile Price 108.5 109.3 102.6
Avg. Price Top 5 Trades 117.3 113.0 116.1
Standard Deviation 5.7 5.9 6.0
VOLUME OF TRADES (000'S) 7,615.5 1,478.8 500,230.7
Customer Buy 1,891.7 418.9 259,197.2
Customer Sell 5,456.0 955.2 4,128.9
Dealer to Dealer 267.9 104.6 236,904.6
<= $1MM 7,615.5 1,478.8 18,728.7
<= $10MM 0.0 0.0 139,232.7
<= $100MM 0.0 0.0 342,269.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 140 26 265
Customer Buy 35 6 129
Customer Sell 71 14 52
Dealer to Dealer 34 6 84
<= $1MM 140 26 219
<= $10MM 0 0 35
<= $100MM 0 0 11
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 103.9 107.5 100.6
Weighted Avg. Price 113.3 111.9 105.6
Avg. Price Bottom 5 Trades 77.8 97.8 79.5
2nd Quartile Price 102.0 105.8 98.0
3rd Quartile Price 105.2 108.8 101.8
4th Quartile Price 108.5 112.0 103.4
Avg. Price Top 5 Trades 118.5 111.6 113.7
Standard Deviation 13.5 4.9 6.2
VOLUME OF TRADES (000'S) 51,185.5 208,940.3 925,163.8
Customer Buy 5,583.7 443.1 199,467.3
Customer Sell 45,273.2 208,421.2 410,309.0
Dealer to Dealer 328.6 76.0 315,387.5
<= $1MM 4,385.2 1,869.8 15,972.9
<= $10MM * 36,453.4 208,259.0
<= $100MM * 170,617.1 580,435.8
> $100MM 0.0 0.0 *
NUMBER OF TRADES 125 37 208
Customer Buy 31 7 66
Customer Sell 63 24 80
Dealer to Dealer 31 6 62
<= $1MM 119 26 143
<= $10MM * 5 44
<= $100MM * 6 20
> $100MM 0 0 *
GNMA
AVERAGE PRICE 105.7 105.6 101.4
Weighted Avg. Price 104.7 106.6 100.6
Avg. Price Bottom 5 Trades 99.8 101.4 85.1
2nd Quartile Price 102.6 103.4 98.1
3rd Quartile Price 106.1 106.1 100.0
4th Quartile Price 109.3 107.7 104.8
Avg. Price Top 5 Trades 111.8 109.7 114.6
Standard Deviation 4.1 3.6 5.8
VOLUME OF TRADES (000'S) 6,065.2 261.6 149,155.0
Customer Buy 1,066.1 63.4 45,118.3
Customer Sell 3,397.3 108.0 17,759.4
Dealer to Dealer 1,601.8 90.2 86,277.3
<= $1MM 3,349.6 261.6 21,826.6
<= $10MM * 0.0 50,333.8
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 70 20 274
Customer Buy 23 7 125
Customer Sell 30 6 65
Dealer to Dealer 17 7 84
<= $1MM 68 20 250
<= $10MM * 0 20
<= $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 7.7 0.0 11.9
Weighted Avg. Price 8.4 0.0 13.9
Avg. Price Bottom 5 Trades 7.5 0.0 11.6
2nd Quartile Price 8.8 0.0 11.5
3rd Quartile Price 9.1 0.0 11.5
4th Quartile Price 9.3 0.0 12.8
Avg. Price Top 5 Trades 9.1 0.0 12.5
Standard Deviation 2.3 0.0 2.6
VOLUME OF TRADES (000'S) 3,731.5 0.0 203,716.3
Customer Buy * 0.0 103,443.1
Customer Sell * 0.0 *
Dealer to Dealer * 0.0 0.0
<= $1MM 3,731.5 0.0 3,169.8
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 7 0 19
Customer Buy * 0 16
Customer Sell * 0 *
Dealer to Dealer * 0 0
<= $1MM 7 0 13
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 20.4 23.9 14.7
Weighted Avg. Price 20.3 27.8 13.8
Avg. Price Bottom 5 Trades 20.4 12.5 9.6
2nd Quartile Price * 15.8 14.8
3rd Quartile Price * 16.7 15.6
4th Quartile Price * 87.7 16.6
Avg. Price Top 5 Trades 20.4 30.7 18.4
Standard Deviation 0.4 28.5 3.9
VOLUME OF TRADES (000'S) 2,467.7 12,006.3 217,803.8
Customer Buy * * 172,307.6
Customer Sell * * 30,899.3
Dealer to Dealer * * 14,596.9
<= $1MM 2,467.7 * 0.0
<= $10MM 0.0 * 37,767.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 7 19
Customer Buy * * 7
Customer Sell * * 6
Dealer to Dealer * * 6
<= $1MM 5 * 0
<= $10MM 0 * 15
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE * 0.0 31.2
Weighted Avg. Price * 0.0 29.7
Avg. Price Bottom 5 Trades * 0.0 12.9
2nd Quartile Price * 0.0 16.5
3rd Quartile Price * 0.0 18.5
4th Quartile Price * 0.0 88.9
Avg. Price Top 5 Trades * 0.0 47.0
Standard Deviation * 0.0 33.4
VOLUME OF TRADES (000'S) * 0.0 21,885.4
Customer Buy 0.0 0.0 *
Customer Sell * 0.0 *
Dealer to Dealer * 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM * 0.0 21,234.6
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 9
Customer Buy 0 0 *
Customer Sell * 0 *
Dealer to Dealer * 0 *
<= $1MM 0 0 *
<= $10MM * 0 6
<= $100MM 0 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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