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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 104.1 106.3 97.7
Weighted Avg. Price 106.2 107.2 99.7
Avg. Price Bottom 5 Trades 96.6 102.7 80.0
2nd Quartile Price 100.2 101.3 94.1
3rd Quartile Price 105.0 109.2 99.0
4th Quartile Price 107.6 110.3 101.1
Avg. Price Top 5 Trades 113.1 109.8 110.3
Standard Deviation 4.7 4.6 6.7
VOLUME OF TRADES (000'S) 344.2 164.4 153,516.0
Customer Buy 120.1 * 91,057.0
Customer Sell 65.2 * 10,862.8
Dealer to Dealer 158.9 * 51,596.2
<= $1MM 344.2 164.4 16,334.4
<= $10MM 0.0 0.0 86,026.1
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 67 11 276
Customer Buy 19 * 160
Customer Sell 24 * 45
Dealer to Dealer 24 * 71
<= $1MM 67 11 247
<= $10MM 0 0 26
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 100.4 103.9 100.1
Weighted Avg. Price 108.6 106.5 101.1
Avg. Price Bottom 5 Trades 66.1 95.3 80.0
2nd Quartile Price 99.2 100.0 98.9
3rd Quartile Price 103.3 105.1 100.8
4th Quartile Price 107.5 109.3 103.8
Avg. Price Top 5 Trades 110.8 113.3 110.9
Standard Deviation 16.3 7.0 5.9
VOLUME OF TRADES (000'S) 3,624.8 5,658.9 150,802.4
Customer Buy 1,734.1 2,809.6 81,700.2
Customer Sell 1,180.4 2,676.3 12,784.0
Dealer to Dealer 710.3 173.0 56,318.2
<= $1MM 2,204.3 1,341.1 17,316.5
<= $10MM * * 93,625.2
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 97 31 215
Customer Buy 26 10 98
Customer Sell 38 10 48
Dealer to Dealer 33 11 69
<= $1MM 96 28 185
<= $10MM * * 27
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.7 106.8 98.3
Weighted Avg. Price 109.9 101.3 97.6
Avg. Price Bottom 5 Trades 96.1 99.9 58.5
2nd Quartile Price 102.2 104.3 94.3
3rd Quartile Price 106.7 107.7 100.0
4th Quartile Price 109.3 109.5 105.5
Avg. Price Top 5 Trades 117.4 112.5 112.6
Standard Deviation 5.8 4.1 10.1
VOLUME OF TRADES (000'S) 881.6 2,588.2 104,674.0
Customer Buy 323.8 1,160.6 36,480.1
Customer Sell 220.4 1,242.2 43,492.3
Dealer to Dealer 337.4 185.4 24,701.6
<= $1MM 881.6 419.6 11,518.9
<= $10MM 0.0 * 34,943.9
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 91 32 207
Customer Buy 28 8 75
Customer Sell 29 11 63
Dealer to Dealer 34 13 69
<= $1MM 91 30 188
<= $10MM 0 * 17
<= $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 11.5 * 20.4
Weighted Avg. Price 7.2 * 20.9
Avg. Price Bottom 5 Trades 8.2 * 11.2
2nd Quartile Price 4.3 * 16.3
3rd Quartile Price 13.5 * 19.7
4th Quartile Price 24.8 * 22.3
Avg. Price Top 5 Trades 13.9 * 33.9
Standard Deviation 8.9 * 13.1
VOLUME OF TRADES (000'S) 20,485.0 * 512,261.3
Customer Buy * * 239,052.3
Customer Sell * * 226,619.2
Dealer to Dealer * 0.0 46,589.7
<= $1MM 855.3 * 5,190.0
<= $10MM * 0.0 27,121.2
<= $100MM 0.0 0.0 479,950.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 10 * 30
Customer Buy * * 9
Customer Sell * * 14
Dealer to Dealer * 0 7
<= $1MM 6 * 12
<= $10MM * 0 6
<= $100MM 0 0 12
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * * 23.4
Weighted Avg. Price * * 22.5
Avg. Price Bottom 5 Trades * * 13.7
2nd Quartile Price * * 17.5
3rd Quartile Price * * 22.3
4th Quartile Price * * 24.5
Avg. Price Top 5 Trades * * 36.6
Standard Deviation * * 11.3
VOLUME OF TRADES (000'S) * * 142,381.7
Customer Buy 0.0 0.0 71,032.8
Customer Sell * * *
Dealer to Dealer 0.0 0.0 24,162.3
<= $1MM * * 3,085.2
<= $10MM 0.0 0.0 46,093.2
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 27
Customer Buy 0 0 13
Customer Sell * * *
Dealer to Dealer 0 0 11
<= $1MM * * 9
<= $10MM 0 0 14
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 26.7
Weighted Avg. Price 0.0 0.0 14.9
Avg. Price Bottom 5 Trades 0.0 0.0 9.5
2nd Quartile Price 0.0 0.0 13.7
3rd Quartile Price 0.0 0.0 14.4
4th Quartile Price 0.0 0.0 21.5
Avg. Price Top 5 Trades 0.0 0.0 65.2
Standard Deviation 0.0 0.0 29.3
VOLUME OF TRADES (000'S) 0.0 0.0 149,554.2
Customer Buy 0.0 0.0 52,523.2
Customer Sell 0.0 0.0 13,047.4
Dealer to Dealer 0.0 0.0 83,983.7
<= $1MM 0.0 0.0 8,013.3
<= $10MM 0.0 0.0 29,917.4
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 31
Customer Buy 0 0 16
Customer Sell 0 0 5
Dealer to Dealer 0 0 10
<= $1MM 0 0 23
<= $10MM 0 0 5
<= $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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