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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 103.0 106.6 98.9
Weighted Avg. Price 113.8 104.0 100.7
Avg. Price Bottom 5 Trades 89.5 104.6 70.9
2nd Quartile Price 100.6 105.0 98.8
3rd Quartile Price 101.2 110.8 100.0
4th Quartile Price 109.3 116.3 101.4
Avg. Price Top 5 Trades 115.5 108.3 110.6
Standard Deviation 9.3 7.0 11.7
VOLUME OF TRADES (000'S) 2,097.9 57.2 550,101.3
Customer Buy 367.3 * 169,478.1
Customer Sell 1,412.4 * 290,872.0
Dealer to Dealer 318.1 0.0 89,751.2
<= $1MM 1,044.3 57.2 18,857.6
<= $10MM * 0.0 83,950.3
<= $100MM 0.0 0.0 287,584.1
> $100MM 0.0 0.0 *
NUMBER OF TRADES 40 6 175
Customer Buy 6 * 74
Customer Sell 22 * 45
Dealer to Dealer 12 0 56
<= $1MM 39 6 146
<= $10MM * 0 20
<= $100MM 0 0 8
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 104.5 110.2 101.4
Weighted Avg. Price 114.1 113.2 103.0
Avg. Price Bottom 5 Trades 93.3 98.6 76.2
2nd Quartile Price 100.7 103.6 99.4
3rd Quartile Price 103.2 112.4 101.0
4th Quartile Price 110.4 118.3 103.8
Avg. Price Top 5 Trades 112.9 123.7 115.4
Standard Deviation 6.7 9.5 9.8
VOLUME OF TRADES (000'S) 1,793.1 417.1 280,721.7
Customer Buy 195.9 142.1 44,233.6
Customer Sell 1,455.5 211.8 41,891.0
Dealer to Dealer 141.7 63.3 194,597.0
<= $1MM 412.1 417.1 16,504.6
<= $10MM * 0.0 89,384.8
<= $100MM 0.0 0.0 174,832.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 60 22 137
Customer Buy 13 7 55
Customer Sell 27 10 45
Dealer to Dealer 20 5 37
<= $1MM 59 22 104
<= $10MM * 0 26
<= $100MM 0 0 7
> $100MM 0 0 0
GNMA
AVERAGE PRICE 108.5 110.9 100.8
Weighted Avg. Price 111.5 115.7 101.4
Avg. Price Bottom 5 Trades 99.5 105.1 61.0
2nd Quartile Price 103.8 109.4 100.0
3rd Quartile Price 107.3 114.5 100.8
4th Quartile Price 111.5 116.0 106.0
Avg. Price Top 5 Trades 124.4 116.2 128.8
Standard Deviation 8.3 5.8 21.2
VOLUME OF TRADES (000'S) 410.2 6,150.2 301,877.3
Customer Buy 172.5 * 50,936.6
Customer Sell 171.9 3,405.9 242,133.2
Dealer to Dealer 65.7 * 8,807.6
<= $1MM 410.2 836.7 3,319.9
<= $10MM 0.0 * 33,261.5
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 *
NUMBER OF TRADES 39 13 84
Customer Buy 11 * 48
Customer Sell 18 6 21
Dealer to Dealer 10 * 15
<= $1MM 39 11 67
<= $10MM 0 * 12
<= $100MM 0 0 *
> $100MM 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 29.9
Weighted Avg. Price 0.0 0.0 15.2
Avg. Price Bottom 5 Trades 0.0 0.0 13.3
2nd Quartile Price 0.0 0.0 14.0
3rd Quartile Price 0.0 0.0 17.5
4th Quartile Price 0.0 0.0 22.0
Avg. Price Top 5 Trades 0.0 0.0 60.9
Standard Deviation 0.0 0.0 28.2
VOLUME OF TRADES (000'S) 0.0 0.0 101,774.3
Customer Buy 0.0 0.0 82,435.9
Customer Sell 0.0 0.0 10,401.0
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 6,721.0
<= $10MM 0.0 0.0 30,503.1
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 25
Customer Buy 0 0 13
Customer Sell 0 0 11
Dealer to Dealer 0 0 *
<= $1MM 0 0 18
<= $10MM 0 0 5
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 21.6 10.1
Weighted Avg. Price 0.0 27.1 11.2
Avg. Price Bottom 5 Trades 0.0 21.6 8.3
2nd Quartile Price 0.0 * 3.5
3rd Quartile Price 0.0 * 13.1
4th Quartile Price 0.0 * 13.7
Avg. Price Top 5 Trades 0.0 21.6 13.5
Standard Deviation 0.0 38.5 5.3
VOLUME OF TRADES (000'S) 0.0 661.9 2,727.4
Customer Buy 0.0 * 852.5
Customer Sell 0.0 * *
Dealer to Dealer 0.0 * *
<= $1MM 0.0 661.9 2,727.4
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 5 12
Customer Buy 0 * 6
Customer Sell 0 * *
Dealer to Dealer 0 * *
<= $1MM 0 5 12
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 11.1
Weighted Avg. Price 0.0 0.0 11.5
Avg. Price Bottom 5 Trades 0.0 0.0 4.9
2nd Quartile Price 0.0 0.0 8.4
3rd Quartile Price 0.0 0.0 14.0
4th Quartile Price 0.0 0.0 15.0
Avg. Price Top 5 Trades 0.0 0.0 15.5
Standard Deviation 0.0 0.0 4.8
VOLUME OF TRADES (000'S) 0.0 0.0 87,094.4
Customer Buy 0.0 0.0 19,545.7
Customer Sell 0.0 0.0 46,136.5
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 7,588.8
<= $10MM 0.0 0.0 40,955.0
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 30
Customer Buy 0 0 7
Customer Sell 0 0 19
Dealer to Dealer 0 0 *
<= $1MM 0 0 20
<= $10MM 0 0 7
<= $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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