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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 103.3 111.0 98.5
Weighted Avg. Price 102.1 100.2 100.0
Avg. Price Bottom 5 Trades 96.4 99.2 84.2
2nd Quartile Price 100.8 99.9 96.5
3rd Quartile Price 103.3 102.0 99.3
4th Quartile Price 106.7 105.8 101.1
Avg. Price Top 5 Trades 111.4 128.7 110.6
Standard Deviation 4.2 28.8 4.8
VOLUME OF TRADES (000'S) 1,398.6 3,615.3 624,856.8
Customer Buy 176.6 72.9 262,111.1
Customer Sell 647.6 1,741.2 253,546.9
Dealer to Dealer 574.3 1,801.2 109,198.8
<= $1MM 1,398.6 972.7 25,956.6
<= $10MM 0.0 * 68,562.1
<= $100MM 0.0 0.0 357,184.0
> $100MM 0.0 0.0 *
NUMBER OF TRADES 98 21 177
Customer Buy 15 6 70
Customer Sell 40 6 48
Dealer to Dealer 43 9 59
<= $1MM 98 19 139
<= $10MM 0 * 21
<= $100MM 0 0 16
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 102.6 103.5 97.6
Weighted Avg. Price 103.3 99.5 100.3
Avg. Price Bottom 5 Trades 91.7 103.5 83.2
2nd Quartile Price 101.0 * 92.5
3rd Quartile Price 103.3 * 99.6
4th Quartile Price 106.1 * 101.6
Avg. Price Top 5 Trades 108.7 103.5 109.6
Standard Deviation 4.7 3.9 6.3
VOLUME OF TRADES (000'S) 499.1 3,618.3 503,393.3
Customer Buy 143.2 * 225,068.4
Customer Sell 94.0 * 93,614.5
Dealer to Dealer 261.9 * 184,710.4
<= $1MM 499.1 1,366.7 17,299.0
<= $10MM 0.0 * 127,468.8
<= $100MM 0.0 0.0 358,625.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 93 7 205
Customer Buy 17 * 88
Customer Sell 34 * 45
Dealer to Dealer 42 * 72
<= $1MM 93 6 160
<= $10MM 0 * 35
<= $100MM 0 0 10
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.2 106.8 101.9
Weighted Avg. Price 103.2 107.7 99.4
Avg. Price Bottom 5 Trades 99.4 101.0 84.9
2nd Quartile Price 100.6 104.0 98.5
3rd Quartile Price 105.3 107.9 101.8
4th Quartile Price 109.0 109.9 106.2
Avg. Price Top 5 Trades 113.8 110.8 111.2
Standard Deviation 5.1 3.6 6.1
VOLUME OF TRADES (000'S) 880.9 468.2 118,426.4
Customer Buy 121.6 * 68,760.5
Customer Sell 653.1 184.5 37,062.4
Dealer to Dealer 106.2 183.0 12,603.5
<= $1MM 880.9 468.2 7,295.7
<= $10MM 0.0 0.0 35,233.8
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 61 28 135
Customer Buy 15 * 57
Customer Sell 25 16 34
Dealer to Dealer 21 8 44
<= $1MM 61 28 126
<= $10MM 0 0 5
<= $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 0.0 19.1
Weighted Avg. Price 0.0 0.0 19.6
Avg. Price Bottom 5 Trades 0.0 0.0 16.2
2nd Quartile Price 0.0 0.0 17.3
3rd Quartile Price 0.0 0.0 20.4
4th Quartile Price 0.0 0.0 20.8
Avg. Price Top 5 Trades 0.0 0.0 21.2
Standard Deviation 0.0 0.0 2.9
VOLUME OF TRADES (000'S) 0.0 0.0 182,724.6
Customer Buy 0.0 0.0 49,448.5
Customer Sell 0.0 0.0 115,080.9
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 1,408.5
<= $10MM 0.0 0.0 28,274.9
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 16
Customer Buy 0 0 8
Customer Sell 0 0 6
Dealer to Dealer 0 0 *
<= $1MM 0 0 5
<= $10MM 0 0 7
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * * 9.3
Weighted Avg. Price * * 11.6
Avg. Price Bottom 5 Trades * * 3.3
2nd Quartile Price * * 3.5
3rd Quartile Price * * 10.2
4th Quartile Price * * 12.1
Avg. Price Top 5 Trades * * 15.8
Standard Deviation * * 7.4
VOLUME OF TRADES (000'S) * * 225,644.7
Customer Buy * 0.0 113,105.1
Customer Sell * * *
Dealer to Dealer * 0.0 *
<= $1MM * 0.0 *
<= $10MM 0.0 * 49,664.0
<= $100MM 0.0 0.0 175,740.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 16
Customer Buy * 0 10
Customer Sell * * *
Dealer to Dealer * 0 *
<= $1MM * 0 *
<= $10MM 0 * 9
<= $100MM 0 0 6
> $100MM 0 0 0
GNMA
AVERAGE PRICE 1,298.5 0.0 13.0
Weighted Avg. Price 1,298.1 0.0 18.0
Avg. Price Bottom 5 Trades 1,298.5 0.0 4.1
2nd Quartile Price * 0.0 9.2
3rd Quartile Price * 0.0 13.5
4th Quartile Price * 0.0 19.1
Avg. Price Top 5 Trades 1,298.5 0.0 21.6
Standard Deviation 3.3 0.0 6.4
VOLUME OF TRADES (000'S) 2.7 0.0 165,847.1
Customer Buy * 0.0 129,138.9
Customer Sell * 0.0 6,230.3
Dealer to Dealer * 0.0 30,477.9
<= $1MM 2.7 0.0 3,091.5
<= $10MM 0.0 0.0 59,915.9
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 0 27
Customer Buy * 0 11
Customer Sell * 0 7
Dealer to Dealer * 0 9
<= $1MM 5 0 10
<= $10MM 0 0 13
<= $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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