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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 104.2 102.1 100.5
Weighted Avg. Price 103.5 102.2 102.3
Avg. Price Bottom 5 Trades 90.7 102.1 57.8
2nd Quartile Price 100.0 * 99.6
3rd Quartile Price 107.0 * 101.5
4th Quartile Price 109.0 * 105.7
Avg. Price Top 5 Trades 112.7 102.1 114.8
Standard Deviation 6.5 2.0 15.0
VOLUME OF TRADES (000'S) 928.2 55.7 99,588.0
Customer Buy 680.7 * 53,275.7
Customer Sell 114.0 53.3 9,354.0
Dealer to Dealer 133.4 * 36,958.3
<= $1MM 928.2 55.7 7,643.0
<= $10MM 0.0 0.0 40,532.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 99 8 155
Customer Buy 24 * 99
Customer Sell 43 6 30
Dealer to Dealer 32 * 26
<= $1MM 99 8 136
<= $10MM 0 0 17
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 104.3 103.7 99.4
Weighted Avg. Price 112.8 100.3 100.2
Avg. Price Bottom 5 Trades 91.3 99.7 71.8
2nd Quartile Price 100.4 103.5 97.5
3rd Quartile Price 106.4 106.8 100.0
4th Quartile Price 108.6 108.0 102.3
Avg. Price Top 5 Trades 115.8 108.0 111.5
Standard Deviation 6.6 5.7 9.2
VOLUME OF TRADES (000'S) 4,861.8 818.9 163,661.5
Customer Buy 1,643.4 * 113,195.1
Customer Sell 1,616.6 57.2 10,282.1
Dealer to Dealer 1,601.8 * 40,184.3
<= $1MM 367.0 818.9 9,529.9
<= $10MM * 0.0 83,192.9
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 83 14 167
Customer Buy 18 * 66
Customer Sell 36 7 42
Dealer to Dealer 29 * 59
<= $1MM 80 14 138
<= $10MM * 0 26
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.6 107.1 100.1
Weighted Avg. Price 110.1 110.4 100.1
Avg. Price Bottom 5 Trades 91.6 101.9 52.5
2nd Quartile Price 101.4 105.4 98.4
3rd Quartile Price 107.4 109.9 100.5
4th Quartile Price 110.6 110.5 102.5
Avg. Price Top 5 Trades 114.0 111.9 119.5
Standard Deviation 6.7 5.3 14.1
VOLUME OF TRADES (000'S) 456.1 175.4 29,730.6
Customer Buy 165.1 54.6 10,506.4
Customer Sell 143.0 48.0 6,822.2
Dealer to Dealer 148.0 * 12,402.0
<= $1MM 456.1 175.4 9,897.8
<= $10MM 0.0 0.0 19,832.8
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 52 17 185
Customer Buy 16 7 101
Customer Sell 23 6 38
Dealer to Dealer 13 * 46
<= $1MM 52 17 177
<= $10MM 0 0 8
<= $100MM 0 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 59.0 16.2
Weighted Avg. Price 0.0 41.3 16.4
Avg. Price Bottom 5 Trades 0.0 59.0 11.9
2nd Quartile Price 0.0 * 14.5
3rd Quartile Price 0.0 * 17.3
4th Quartile Price 0.0 * 19.6
Avg. Price Top 5 Trades 0.0 59.0 19.9
Standard Deviation 0.0 36.0 3.5
VOLUME OF TRADES (000'S) 0.0 768.0 179,927.0
Customer Buy 0.0 * 120,022.9
Customer Sell 0.0 * *
Dealer to Dealer 0.0 * 0.0
<= $1MM 0.0 768.0 693.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 162,248.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 5 16
Customer Buy 0 * 13
Customer Sell 0 * *
Dealer to Dealer 0 * 0
<= $1MM 0 5 5
<= $10MM 0 0 *
<= $100MM 0 0 7
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * 0.0 10.7
Weighted Avg. Price * 0.0 14.0
Avg. Price Bottom 5 Trades * 0.0 6.2
2nd Quartile Price * 0.0 6.5
3rd Quartile Price * 0.0 11.6
4th Quartile Price * 0.0 15.7
Avg. Price Top 5 Trades * 0.0 18.7
Standard Deviation * 0.0 5.1
VOLUME OF TRADES (000'S) * 0.0 124,860.3
Customer Buy * 0.0 26,408.3
Customer Sell * 0.0 *
Dealer to Dealer * 0.0 24,681.5
<= $1MM * 0.0 4,502.3
<= $10MM 0.0 0.0 49,898.9
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 30
Customer Buy * 0 22
Customer Sell * 0 *
Dealer to Dealer * 0 5
<= $1MM * 0 18
<= $10MM 0 0 10
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 13.2
Weighted Avg. Price 0.0 0.0 18.1
Avg. Price Bottom 5 Trades 0.0 0.0 6.1
2nd Quartile Price 0.0 0.0 14.0
3rd Quartile Price 0.0 0.0 14.0
4th Quartile Price 0.0 0.0 14.3
Avg. Price Top 5 Trades 0.0 0.0 17.1
Standard Deviation 0.0 0.0 3.8
VOLUME OF TRADES (000'S) 0.0 0.0 96,405.5
Customer Buy 0.0 0.0 89,305.6
Customer Sell 0.0 0.0 3,374.1
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 3,231.3
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 30
Customer Buy 0 0 6
Customer Sell 0 0 20
Dealer to Dealer 0 0 *
<= $1MM 0 0 25
<= $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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