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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 102.8 107.0 100.6
Weighted Avg. Price 108.7 104.2 101.5
Avg. Price Bottom 5 Trades 78.0 100.6 87.5
2nd Quartile Price 100.6 101.3 98.0
3rd Quartile Price 105.3 106.0 100.1
4th Quartile Price 107.1 113.0 102.4
Avg. Price Top 5 Trades 115.7 116.8 128.0
Standard Deviation 11.9 7.5 6.7
VOLUME OF TRADES (000'S) 966.5 20,042.6 371,452.8
Customer Buy 499.4 16,320.5 135,884.9
Customer Sell 369.1 1,900.3 164,357.2
Dealer to Dealer 98.0 * 71,210.7
<= $1MM 966.5 1,072.9 18,846.4
<= $10MM 0.0 * 147,523.6
<= $100MM 0.0 * 205,082.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 67 17 210
Customer Buy 12 7 104
Customer Sell 29 6 48
Dealer to Dealer 26 * 58
<= $1MM 67 13 145
<= $10MM 0 * 56
<= $100MM 0 * 9
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 104.7 106.9 101.5
Weighted Avg. Price 118.5 112.3 100.1
Avg. Price Bottom 5 Trades 71.9 101.3 92.3
2nd Quartile Price 104.0 100.6 99.3
3rd Quartile Price 107.5 106.4 101.0
4th Quartile Price 111.0 111.1 102.7
Avg. Price Top 5 Trades 122.3 114.6 118.9
Standard Deviation 13.8 9.2 5.4
VOLUME OF TRADES (000'S) 3,109.3 247.4 187,119.7
Customer Buy 1,682.3 * 85,034.1
Customer Sell 1,286.3 233.6 62,702.8
Dealer to Dealer 140.7 * 39,382.7
<= $1MM 3,109.3 247.4 20,084.0
<= $10MM 0.0 0.0 96,832.8
<= $100MM 0.0 0.0 70,202.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 65 12 112
Customer Buy 18 * 41
Customer Sell 28 8 42
Dealer to Dealer 19 * 29
<= $1MM 65 12 77
<= $10MM 0 0 30
<= $100MM 0 0 5
> $100MM 0 0 0
GNMA
AVERAGE PRICE 106.2 109.5 101.2
Weighted Avg. Price 111.1 110.7 101.4
Avg. Price Bottom 5 Trades 96.8 107.6 93.4
2nd Quartile Price 101.0 108.2 99.0
3rd Quartile Price 107.0 109.3 101.0
4th Quartile Price 110.1 111.5 102.6
Avg. Price Top 5 Trades 117.6 111.2 114.3
Standard Deviation 6.2 2.6 4.3
VOLUME OF TRADES (000'S) 4,593.1 177.2 107,235.5
Customer Buy 1,263.2 102.6 47,452.6
Customer Sell 2,015.7 * 43,161.2
Dealer to Dealer 1,314.2 * 16,621.8
<= $1MM 4,593.1 177.2 9,431.0
<= $10MM 0.0 0.0 44,540.4
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 58 13 131
Customer Buy 13 5 60
Customer Sell 26 * 36
Dealer to Dealer 19 * 35
<= $1MM 58 13 110
<= $10MM 0 0 18
<= $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 * * 14.3
Weighted Avg. Price * * 17.4
Avg. Price Bottom 5 Trades * * 5.0
2nd Quartile Price * * 12.8
3rd Quartile Price * * 14.8
4th Quartile Price * * 21.6
Avg. Price Top 5 Trades * * 22.4
Standard Deviation * * 7.2
VOLUME OF TRADES (000'S) * * 139,630.4
Customer Buy * 0.0 66,783.5
Customer Sell * * 43,772.8
Dealer to Dealer 0.0 0.0 29,074.1
<= $1MM * * 2,196.6
<= $10MM 0.0 0.0 12,056.6
<= $100MM 0.0 0.0 125,377.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 19
Customer Buy * 0 6
Customer Sell * * 7
Dealer to Dealer 0 0 6
<= $1MM * * 8
<= $10MM 0 0 5
<= $100MM 0 0 6
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 17.3
Weighted Avg. Price 0.0 * 18.2
Avg. Price Bottom 5 Trades 0.0 * 13.3
2nd Quartile Price 0.0 * 15.5
3rd Quartile Price 0.0 * 17.5
4th Quartile Price 0.0 * 20.3
Avg. Price Top 5 Trades 0.0 * 21.6
Standard Deviation 0.0 * 3.8
VOLUME OF TRADES (000'S) 0.0 * 286,976.0
Customer Buy 0.0 0.0 102,392.9
Customer Sell 0.0 * 115,392.2
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 * 284,610.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 18
Customer Buy 0 0 7
Customer Sell 0 * 7
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 0
<= $100MM 0 * 15
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 12.2
Weighted Avg. Price 0.0 0.0 16.6
Avg. Price Bottom 5 Trades 0.0 0.0 10.4
2nd Quartile Price 0.0 0.0 11.9
3rd Quartile Price 0.0 0.0 12.5
4th Quartile Price 0.0 0.0 17.0
Avg. Price Top 5 Trades 0.0 0.0 14.5
Standard Deviation 0.0 0.0 3.3
VOLUME OF TRADES (000'S) 0.0 0.0 179,575.7
Customer Buy 0.0 0.0 96,784.8
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 9
Customer Buy 0 0 5
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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