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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 103.3 106.8 99.1
Weighted Avg. Price 119.4 104.1 101.1
Avg. Price Bottom 5 Trades 85.3 102.7 73.5
2nd Quartile Price 101.6 105.3 96.3
3rd Quartile Price 106.0 108.4 100.0
4th Quartile Price 108.0 112.6 102.8
Avg. Price Top 5 Trades 117.8 110.8 113.0
Standard Deviation 13.0 5.4 7.5
VOLUME OF TRADES (000'S) 6,418.5 434.6 348,433.5
Customer Buy 2,523.5 428.6 295,002.1
Customer Sell 74.3 * 18,057.6
Dealer to Dealer 3,820.7 0.0 35,373.7
<= $1MM 1,123.5 434.6 9,780.6
<= $10MM * 0.0 92,834.1
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 *
NUMBER OF TRADES 62 10 169
Customer Buy 16 9 89
Customer Sell 22 * 41
Dealer to Dealer 24 0 39
<= $1MM 59 10 139
<= $10MM * 0 28
<= $100MM 0 0 *
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 105.7 106.9 95.0
Weighted Avg. Price 106.1 130.7 106.0
Avg. Price Bottom 5 Trades 100.7 100.0 25.2
2nd Quartile Price 104.0 105.0 97.3
3rd Quartile Price 107.1 108.0 100.0
4th Quartile Price 109.0 109.3 107.7
Avg. Price Top 5 Trades 109.4 113.7 116.5
Standard Deviation 3.4 9.3 29.9
VOLUME OF TRADES (000'S) 312.6 5,400.4 582,438.6
Customer Buy 208.2 5,383.5 36,785.0
Customer Sell 49.1 * 336,437.4
Dealer to Dealer 55.3 * 209,216.2
<= $1MM 312.6 51.6 8,195.9
<= $10MM 0.0 * 64,625.2
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 *
NUMBER OF TRADES 30 12 215
Customer Buy 11 6 120
Customer Sell 10 * 54
Dealer to Dealer 9 * 41
<= $1MM 30 11 193
<= $10MM 0 * 19
<= $100MM 0 0 *
> $100MM 0 0 *
GNMA
AVERAGE PRICE 108.9 105.8 100.3
Weighted Avg. Price 117.4 107.5 101.5
Avg. Price Bottom 5 Trades 99.4 101.2 76.0
2nd Quartile Price 106.8 104.4 99.3
3rd Quartile Price 110.2 106.0 100.5
4th Quartile Price 112.1 108.1 104.1
Avg. Price Top 5 Trades 117.2 110.8 115.1
Standard Deviation 6.1 3.8 10.3
VOLUME OF TRADES (000'S) 1,513.1 320.8 182,347.4
Customer Buy 783.1 92.1 31,207.0
Customer Sell 83.6 151.4 135,166.1
Dealer to Dealer 646.3 77.3 15,974.3
<= $1MM 1,513.1 320.8 9,213.2
<= $10MM 0.0 0.0 36,346.4
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 34 24 145
Customer Buy 11 8 71
Customer Sell 11 7 36
Dealer to Dealer 12 9 38
<= $1MM 34 24 129
<= $10MM 0 0 12
<= $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 0.0 * 16.1
Weighted Avg. Price 0.0 * 19.9
Avg. Price Bottom 5 Trades 0.0 * 11.3
2nd Quartile Price 0.0 * 11.4
3rd Quartile Price 0.0 * 15.6
4th Quartile Price 0.0 * 20.0
Avg. Price Top 5 Trades 0.0 * 22.4
Standard Deviation 0.0 * 4.7
VOLUME OF TRADES (000'S) 0.0 * 436,025.4
Customer Buy 0.0 * 139,342.1
Customer Sell 0.0 * 281,234.6
Dealer to Dealer 0.0 0.0 15,448.7
<= $1MM 0.0 * 4,732.7
<= $10MM 0.0 * *
<= $100MM 0.0 0.0 424,046.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 28
Customer Buy 0 * 16
Customer Sell 0 * 7
Dealer to Dealer 0 0 5
<= $1MM 0 * 17
<= $10MM 0 * *
<= $100MM 0 0 8
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 17.0 15.9
Weighted Avg. Price 0.0 18.7 16.7
Avg. Price Bottom 5 Trades 0.0 15.7 15.9
2nd Quartile Price 0.0 14.8 *
3rd Quartile Price 0.0 19.0 *
4th Quartile Price 0.0 19.2 *
Avg. Price Top 5 Trades 0.0 18.2 15.9
Standard Deviation 0.0 2.7 5.7
VOLUME OF TRADES (000'S) 0.0 2,636.1 54,964.5
Customer Buy 0.0 * *
Customer Sell 0.0 * *
Dealer to Dealer 0.0 * 0.0
<= $1MM 0.0 2,636.1 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 8 5
Customer Buy 0 * *
Customer Sell 0 * *
Dealer to Dealer 0 * 0
<= $1MM 0 8 *
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 13.8
Weighted Avg. Price 0.0 0.0 19.3
Avg. Price Bottom 5 Trades 0.0 0.0 10.7
2nd Quartile Price 0.0 0.0 10.0
3rd Quartile Price 0.0 0.0 10.0
4th Quartile Price 0.0 0.0 20.1
Avg. Price Top 5 Trades 0.0 0.0 24.8
Standard Deviation 0.0 0.0 6.3
VOLUME OF TRADES (000'S) 0.0 0.0 146,788.3
Customer Buy 0.0 0.0 79,078.7
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 67,438.2
<= $1MM 0.0 0.0 2,136.2
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 133,206.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 26
Customer Buy 0 0 20
Customer Sell 0 0 *
Dealer to Dealer 0 0 5
<= $1MM 0 0 18
<= $10MM 0 0 *
<= $100MM 0 0 6
> $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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