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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 106.8 104.1 99.1
Weighted Avg. Price 109.6 101.4 100.2
Avg. Price Bottom 5 Trades 97.8 98.5 81.9
2nd Quartile Price 100.7 98.8 96.4
3rd Quartile Price 106.5 99.4 100.0
4th Quartile Price 109.0 112.8 102.1
Avg. Price Top 5 Trades 119.7 113.8 114.2
Standard Deviation 8.5 7.3 6.4
VOLUME OF TRADES (000'S) 508.7 2,055.0 192,471.9
Customer Buy 202.7 823.9 77,342.6
Customer Sell 260.9 478.7 82,932.2
Dealer to Dealer 45.1 752.4 32,197.1
<= $1MM 508.7 2,055.0 15,164.3
<= $10MM 0.0 0.0 60,760.3
<= $100MM 0.0 0.0 116,547.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 36 19 124
Customer Buy 11 8 59
Customer Sell 17 6 39
Dealer to Dealer 8 5 26
<= $1MM 36 19 99
<= $10MM 0 0 20
<= $100MM 0 0 5
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 103.2 107.0 100.2
Weighted Avg. Price 104.1 102.9 101.3
Avg. Price Bottom 5 Trades 90.4 99.7 87.3
2nd Quartile Price 99.2 103.8 97.0
3rd Quartile Price 104.0 109.7 100.0
4th Quartile Price 107.1 110.6 103.5
Avg. Price Top 5 Trades 116.6 112.4 108.7
Standard Deviation 7.9 5.5 4.7
VOLUME OF TRADES (000'S) 349.0 851.6 147,413.4
Customer Buy 137.3 203.8 86,060.8
Customer Sell 127.8 * 11,390.9
Dealer to Dealer 83.9 343.3 49,961.8
<= $1MM 349.0 851.6 15,584.2
<= $10MM 0.0 0.0 70,529.1
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 53 18 145
Customer Buy 12 7 66
Customer Sell 22 * 35
Dealer to Dealer 19 7 44
<= $1MM 53 18 114
<= $10MM 0 0 27
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.8 107.9 100.1
Weighted Avg. Price 107.8 112.5 100.4
Avg. Price Bottom 5 Trades 97.7 101.0 87.9
2nd Quartile Price 102.3 102.6 98.2
3rd Quartile Price 108.0 109.3 100.0
4th Quartile Price 110.4 113.0 102.9
Avg. Price Top 5 Trades 113.0 116.8 109.8
Standard Deviation 5.6 7.6 5.0
VOLUME OF TRADES (000'S) 657.6 889.7 110,998.0
Customer Buy 61.7 308.7 100,673.8
Customer Sell 175.4 344.8 4,765.6
Dealer to Dealer 420.4 236.2 5,558.6
<= $1MM 657.6 889.7 9,739.2
<= $10MM 0.0 0.0 25,979.6
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 38 22 109
Customer Buy 10 5 43
Customer Sell 13 9 32
Dealer to Dealer 15 8 34
<= $1MM 38 22 102
<= $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 10.1
Weighted Avg. Price * 0.0 14.6
Avg. Price Bottom 5 Trades * 0.0 3.5
2nd Quartile Price * 0.0 4.8
3rd Quartile Price * 0.0 8.9
4th Quartile Price * 0.0 16.8
Avg. Price Top 5 Trades * 0.0 20.2
Standard Deviation * 0.0 6.2
VOLUME OF TRADES (000'S) * 0.0 427,515.0
Customer Buy * 0.0 291,234.3
Customer Sell 0.0 0.0 126,844.3
Dealer to Dealer 0.0 0.0 9,436.4
<= $1MM * 0.0 1,377.3
<= $10MM * 0.0 28,993.2
<= $100MM 0.0 0.0 273,554.2
> $100MM 0.0 0.0 *
NUMBER OF TRADES * 0 30
Customer Buy * 0 17
Customer Sell 0 0 6
Dealer to Dealer 0 0 7
<= $1MM * 0 6
<= $10MM * 0 13
<= $100MM 0 0 10
> $100MM 0 0 *
FHLMC
AVERAGE PRICE * 0.0 8.3
Weighted Avg. Price * 0.0 12.7
Avg. Price Bottom 5 Trades * 0.0 3.0
2nd Quartile Price * 0.0 4.5
3rd Quartile Price * 0.0 5.2
4th Quartile Price * 0.0 15.0
Avg. Price Top 5 Trades * 0.0 19.6
Standard Deviation * 0.0 7.1
VOLUME OF TRADES (000'S) * 0.0 53,233.6
Customer Buy * 0.0 28,211.7
Customer Sell * 0.0 *
Dealer to Dealer 0.0 0.0 13,902.1
<= $1MM * 0.0 1,886.5
<= $10MM 0.0 0.0 38,472.9
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 21
Customer Buy * 0 11
Customer Sell * 0 *
Dealer to Dealer 0 0 7
<= $1MM * 0 6
<= $10MM 0 0 14
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE * * 12.0
Weighted Avg. Price * * 17.4
Avg. Price Bottom 5 Trades * * 5.8
2nd Quartile Price * * 6.8
3rd Quartile Price * * 14.1
4th Quartile Price * * 16.1
Avg. Price Top 5 Trades * * 17.7
Standard Deviation * * 4.9
VOLUME OF TRADES (000'S) * * 47,319.8
Customer Buy * * 42,476.8
Customer Sell * * 3,498.1
Dealer to Dealer * 0.0 1,344.8
<= $1MM * * 8,330.9
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 33
Customer Buy * * 17
Customer Sell * * 11
Dealer to Dealer * 0 5
<= $1MM * * 30
<= $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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