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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 102.5 100.8 99.4
Weighted Avg. Price 112.3 102.4 100.9
Avg. Price Bottom 5 Trades 78.1 94.4 85.0
2nd Quartile Price 99.8 100.0 97.5
3rd Quartile Price 105.0 101.0 99.8
4th Quartile Price 107.0 108.0 102.5
Avg. Price Top 5 Trades 115.2 106.3 114.3
Standard Deviation 12.9 7.2 5.8
VOLUME OF TRADES (000'S) 1,384.7 209.6 306,598.8
Customer Buy 82.8 * 135,313.3
Customer Sell 1,020.0 181.5 35,367.8
Dealer to Dealer 282.0 24.0 135,917.7
<= $1MM 1,384.7 209.6 27,771.9
<= $10MM 0.0 0.0 90,520.1
<= $100MM 0.0 0.0 188,306.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 80 15 231
Customer Buy 17 * 109
Customer Sell 41 7 50
Dealer to Dealer 22 5 72
<= $1MM 80 15 197
<= $10MM 0 0 24
<= $100MM 0 0 10
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 103.1 103.8 95.0
Weighted Avg. Price 108.7 110.4 101.9
Avg. Price Bottom 5 Trades 85.7 96.1 74.2
2nd Quartile Price 100.0 102.4 92.3
3rd Quartile Price 105.0 107.1 99.1
4th Quartile Price 107.0 107.7 101.6
Avg. Price Top 5 Trades 111.0 109.1 110.0
Standard Deviation 6.8 6.5 10.5
VOLUME OF TRADES (000'S) 2,939.8 426.5 163,854.0
Customer Buy 1,363.7 87.9 80,744.1
Customer Sell 776.3 312.7 25,318.9
Dealer to Dealer 799.8 25.8 57,791.1
<= $1MM 2,939.8 426.5 16,975.4
<= $10MM 0.0 0.0 42,566.2
<= $100MM 0.0 0.0 104,312.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 128 20 173
Customer Buy 30 5 70
Customer Sell 54 8 63
Dealer to Dealer 44 7 40
<= $1MM 128 20 153
<= $10MM 0 0 12
<= $100MM 0 0 8
> $100MM 0 0 0
GNMA
AVERAGE PRICE 106.4 107.2 100.5
Weighted Avg. Price 108.5 108.5 101.0
Avg. Price Bottom 5 Trades 100.3 102.1 83.6
2nd Quartile Price 104.7 106.5 98.0
3rd Quartile Price 107.2 107.8 100.0
4th Quartile Price 108.3 108.7 102.9
Avg. Price Top 5 Trades 112.4 111.8 114.1
Standard Deviation 3.2 3.2 5.8
VOLUME OF TRADES (000'S) 2,862.9 950.4 133,632.9
Customer Buy 290.2 189.6 32,271.5
Customer Sell 979.8 221.0 2,660.8
Dealer to Dealer 1,592.9 539.7 98,700.7
<= $1MM 2,862.9 950.4 12,067.0
<= $10MM 0.0 0.0 37,949.3
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 83 40 184
Customer Buy 17 5 90
Customer Sell 36 15 41
Dealer to Dealer 30 20 53
<= $1MM 83 40 168
<= $10MM 0 0 14
<= $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 17.5
Weighted Avg. Price * 0.0 20.0
Avg. Price Bottom 5 Trades * 0.0 10.6
2nd Quartile Price * 0.0 10.9
3rd Quartile Price * 0.0 11.2
4th Quartile Price * 0.0 18.4
Avg. Price Top 5 Trades * 0.0 35.0
Standard Deviation * 0.0 16.5
VOLUME OF TRADES (000'S) * 0.0 116,586.6
Customer Buy * 0.0 65,601.2
Customer Sell 0.0 0.0 30,398.1
Dealer to Dealer 0.0 0.0 *
<= $1MM * 0.0 2,591.2
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 99,735.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 21
Customer Buy * 0 10
Customer Sell 0 0 8
Dealer to Dealer 0 0 *
<= $1MM * 0 11
<= $10MM 0 0 *
<= $100MM 0 0 6
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 12.3
Weighted Avg. Price 0.0 0.0 15.1
Avg. Price Bottom 5 Trades 0.0 0.0 7.7
2nd Quartile Price 0.0 0.0 7.1
3rd Quartile Price 0.0 0.0 15.0
4th Quartile Price 0.0 0.0 16.3
Avg. Price Top 5 Trades 0.0 0.0 17.1
Standard Deviation 0.0 0.0 4.5
VOLUME OF TRADES (000'S) 0.0 0.0 102,332.3
Customer Buy 0.0 0.0 50,331.8
Customer Sell 0.0 0.0 44,179.5
Dealer to Dealer 0.0 0.0 7,821.0
<= $1MM 0.0 0.0 2,349.5
<= $10MM 0.0 0.0 19,476.0
<= $100MM 0.0 0.0 80,506.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 18
Customer Buy 0 0 7
Customer Sell 0 0 6
Dealer to Dealer 0 0 5
<= $1MM 0 0 6
<= $10MM 0 0 7
<= $100MM 0 0 5
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 31.3
Weighted Avg. Price 0.0 0.0 14.3
Avg. Price Bottom 5 Trades 0.0 0.0 2.6
2nd Quartile Price 0.0 0.0 5.6
3rd Quartile Price 0.0 0.0 14.8
4th Quartile Price 0.0 0.0 74.1
Avg. Price Top 5 Trades 0.0 0.0 69.5
Standard Deviation 0.0 0.0 32.2
VOLUME OF TRADES (000'S) 0.0 0.0 354,446.8
Customer Buy 0.0 0.0 238,882.8
Customer Sell 0.0 0.0 109,275.6
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 1,057.8
<= $10MM 0.0 0.0 26,256.7
<= $100MM 0.0 0.0 327,132.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 24
Customer Buy 0 0 11
Customer Sell 0 0 9
Dealer to Dealer 0 0 *
<= $1MM 0 0 10
<= $10MM 0 0 8
<= $100MM 0 0 6
> $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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