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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 103.4 108.7 97.1
Weighted Avg. Price 105.6 107.1 99.9
Avg. Price Bottom 5 Trades 81.8 94.5 79.3
2nd Quartile Price 100.5 102.0 93.5
3rd Quartile Price 103.2 110.5 98.0
4th Quartile Price 108.2 114.3 100.3
Avg. Price Top 5 Trades 117.0 127.8 116.8
Standard Deviation 9.3 12.3 6.3
VOLUME OF TRADES (000'S) 4,009.1 12,691.1 541,788.8
Customer Buy 1,752.3 5,924.2 308,646.1
Customer Sell 2,121.0 4,669.5 32,254.9
Dealer to Dealer 135.9 * 200,887.7
<= $1MM 1,689.1 5,146.9 16,799.2
<= $10MM * * 83,082.1
<= $100MM 0.0 0.0 441,907.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 88 30 247
Customer Buy 25 14 110
Customer Sell 38 12 73
Dealer to Dealer 25 * 64
<= $1MM 86 27 208
<= $10MM * * 23
<= $100MM 0 0 16
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 101.8 108.3 98.2
Weighted Avg. Price 106.6 103.8 103.0
Avg. Price Bottom 5 Trades 67.8 99.5 76.4
2nd Quartile Price 99.0 100.5 95.9
3rd Quartile Price 102.6 106.3 99.5
4th Quartile Price 107.3 110.7 101.3
Avg. Price Top 5 Trades 120.7 126.5 120.4
Standard Deviation 13.1 12.3 8.1
VOLUME OF TRADES (000'S) 11,156.4 6,558.8 333,689.0
Customer Buy 8,408.9 4,243.4 72,180.7
Customer Sell 1,619.6 1,162.5 142,875.2
Dealer to Dealer 1,127.8 1,152.9 118,633.1
<= $1MM 6,146.8 2,054.3 13,215.3
<= $10MM * * 61,204.2
<= $100MM 0.0 0.0 151,283.5
> $100MM 0.0 0.0 *
NUMBER OF TRADES 100 26 223
Customer Buy 27 10 98
Customer Sell 45 8 71
Dealer to Dealer 28 8 54
<= $1MM 97 23 196
<= $10MM * * 18
<= $100MM 0 0 8
> $100MM 0 0 *
GNMA
AVERAGE PRICE 105.1 108.8 99.1
Weighted Avg. Price 102.6 110.6 105.0
Avg. Price Bottom 5 Trades 87.1 100.4 79.7
2nd Quartile Price 101.5 106.7 95.7
3rd Quartile Price 106.4 108.7 99.3
4th Quartile Price 108.3 110.4 103.8
Avg. Price Top 5 Trades 125.6 118.0 115.3
Standard Deviation 9.2 10.8 7.7
VOLUME OF TRADES (000'S) 5,289.2 573.1 248,257.1
Customer Buy 2,769.5 254.9 102,642.7
Customer Sell 1,861.0 118.7 129,574.8
Dealer to Dealer 658.7 199.4 16,039.7
<= $1MM 2,156.4 573.1 12,767.6
<= $10MM * 0.0 30,081.6
<= $100MM 0.0 0.0 205,408.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 64 21 215
Customer Buy 24 6 86
Customer Sell 20 7 54
Dealer to Dealer 20 8 75
<= $1MM 62 21 198
<= $10MM * 0 10
<= $100MM 0 0 7
> $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 21.0 * 16.2
Weighted Avg. Price 19.6 * 18.2
Avg. Price Bottom 5 Trades 12.2 * 8.8
2nd Quartile Price 14.0 * 12.3
3rd Quartile Price 15.3 * 16.6
4th Quartile Price 18.1 * 19.4
Avg. Price Top 5 Trades 24.4 * 29.7
Standard Deviation 27.2 * 6.7
VOLUME OF TRADES (000'S) 901.1 * 756,386.4
Customer Buy * 0.0 282,241.5
Customer Sell * * 467,523.3
Dealer to Dealer 363.4 * *
<= $1MM 901.1 * 6,873.9
<= $10MM 0.0 0.0 67,360.9
<= $100MM 0.0 0.0 462,820.3
> $100MM 0.0 0.0 *
NUMBER OF TRADES 13 * 66
Customer Buy * 0 20
Customer Sell * * 43
Dealer to Dealer 7 * *
<= $1MM 13 * 37
<= $10MM 0 0 14
<= $100MM 0 0 14
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 0.0 * 14.4
Weighted Avg. Price 0.0 * 15.4
Avg. Price Bottom 5 Trades 0.0 * 6.9
2nd Quartile Price 0.0 * 10.4
3rd Quartile Price 0.0 * 13.9
4th Quartile Price 0.0 * 19.9
Avg. Price Top 5 Trades 0.0 * 23.3
Standard Deviation 0.0 * 5.3
VOLUME OF TRADES (000'S) 0.0 * 122,231.1
Customer Buy 0.0 * 95,992.5
Customer Sell 0.0 0.0 26,238.6
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 * 7,526.5
<= $10MM 0.0 0.0 36,759.6
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 43
Customer Buy 0 * 10
Customer Sell 0 0 33
Dealer to Dealer 0 0 0
<= $1MM 0 * 34
<= $10MM 0 0 6
<= $100MM 0 * *
> $100MM 0 0 0
GNMA
AVERAGE PRICE * 0.0 16.4
Weighted Avg. Price * 0.0 15.2
Avg. Price Bottom 5 Trades * 0.0 3.2
2nd Quartile Price * 0.0 10.1
3rd Quartile Price * 0.0 13.7
4th Quartile Price * 0.0 17.3
Avg. Price Top 5 Trades * 0.0 44.2
Standard Deviation * 0.0 16.3
VOLUME OF TRADES (000'S) * 0.0 366,138.8
Customer Buy * 0.0 150,795.6
Customer Sell 0.0 0.0 189,076.7
Dealer to Dealer * 0.0 26,266.5
<= $1MM * 0.0 4,547.6
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 355,329.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 35
Customer Buy * 0 16
Customer Sell 0 0 14
Dealer to Dealer * 0 5
<= $1MM * 0 16
<= $10MM 0 0 *
<= $100MM 0 0 16
> $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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