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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 102.2 120.0 100.8
Weighted Avg. Price 109.2 102.1 102.0
Avg. Price Bottom 5 Trades 92.7 101.0 84.1
2nd Quartile Price 99.0 100.0 98.1
3rd Quartile Price 103.6 106.0 100.0
4th Quartile Price 106.8 160.0 102.1
Avg. Price Top 5 Trades 114.4 146.7 119.2
Standard Deviation 5.9 26.9 7.4
VOLUME OF TRADES (000'S) 1,457.3 6,074.0 486,159.8
Customer Buy 336.9 * 370,028.7
Customer Sell 1,030.7 143.2 39,086.5
Dealer to Dealer 89.7 * 77,044.6
<= $1MM 1,457.3 313.7 19,437.7
<= $10MM 0.0 * 80,870.5
<= $100MM 0.0 0.0 385,851.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 110 12 301
Customer Buy 21 * 195
Customer Sell 55 6 55
Dealer to Dealer 34 * 51
<= $1MM 110 10 265
<= $10MM 0 * 22
<= $100MM 0 0 14
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 99.2 111.9 98.7
Weighted Avg. Price 105.5 126.9 101.8
Avg. Price Bottom 5 Trades 66.5 98.5 81.3
2nd Quartile Price 97.9 104.0 95.8
3rd Quartile Price 101.1 111.8 98.0
4th Quartile Price 107.2 113.6 100.8
Avg. Price Top 5 Trades 114.0 138.1 121.4
Standard Deviation 12.1 18.2 5.1
VOLUME OF TRADES (000'S) 2,651.8 710.3 571,539.2
Customer Buy 646.0 351.3 448,898.9
Customer Sell 1,359.2 297.6 28,257.1
Dealer to Dealer 646.6 61.5 94,383.3
<= $1MM 2,651.8 710.3 25,986.7
<= $10MM 0.0 0.0 106,631.1
<= $100MM 0.0 0.0 438,921.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 131 27 287
Customer Buy 24 11 185
Customer Sell 70 10 52
Dealer to Dealer 37 6 50
<= $1MM 131 27 243
<= $10MM 0 0 29
<= $100MM 0 0 15
> $100MM 0 0 0
GNMA
AVERAGE PRICE 106.2 108.2 100.0
Weighted Avg. Price 109.1 110.1 100.2
Avg. Price Bottom 5 Trades 96.0 99.8 84.6
2nd Quartile Price 103.5 106.6 97.2
3rd Quartile Price 107.4 109.0 100.0
4th Quartile Price 109.4 111.2 104.4
Avg. Price Top 5 Trades 112.8 112.2 113.5
Standard Deviation 4.8 3.7 6.7
VOLUME OF TRADES (000'S) 680.3 1,676.8 185,186.2
Customer Buy 201.0 686.2 84,736.9
Customer Sell 358.3 579.7 21,611.9
Dealer to Dealer 121.0 410.9 78,837.4
<= $1MM 680.3 1,676.8 18,171.8
<= $10MM 0.0 0.0 65,093.3
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 83 49 297
Customer Buy 16 8 136
Customer Sell 45 23 75
Dealer to Dealer 22 18 86
<= $1MM 83 49 276
<= $10MM 0 0 18
<= $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 23.2 * 27.8
Weighted Avg. Price 10.1 * 20.8
Avg. Price Bottom 5 Trades 23.2 * 1.6
2nd Quartile Price * * 10.0
3rd Quartile Price * * 18.4
4th Quartile Price * * 75.0
Avg. Price Top 5 Trades 23.2 * 63.5
Standard Deviation 36.8 * 29.4
VOLUME OF TRADES (000'S) 567.1 * 118,367.5
Customer Buy * 0.0 70,087.5
Customer Sell * * 45,384.3
Dealer to Dealer 0.0 0.0 *
<= $1MM 567.1 0.0 3,455.0
<= $10MM 0.0 * 35,315.8
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 * 39
Customer Buy * 0 17
Customer Sell * * 18
Dealer to Dealer 0 0 *
<= $1MM 5 0 24
<= $10MM 0 * 12
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * * 12.9
Weighted Avg. Price * * 15.5
Avg. Price Bottom 5 Trades * * 11.3
2nd Quartile Price * * 11.0
3rd Quartile Price * * 15.0
4th Quartile Price * * 15.9
Avg. Price Top 5 Trades * * 15.6
Standard Deviation * * 3.5
VOLUME OF TRADES (000'S) * * 87,335.5
Customer Buy * * *
Customer Sell * * *
Dealer to Dealer * * *
<= $1MM * * *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 9
Customer Buy * * *
Customer Sell * * *
Dealer to Dealer * * *
<= $1MM * * *
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE * 0.0 9.8
Weighted Avg. Price * 0.0 12.8
Avg. Price Bottom 5 Trades * 0.0 1.5
2nd Quartile Price * 0.0 3.6
3rd Quartile Price * 0.0 5.9
4th Quartile Price * 0.0 16.2
Avg. Price Top 5 Trades * 0.0 23.5
Standard Deviation * 0.0 7.6
VOLUME OF TRADES (000'S) * 0.0 81,157.5
Customer Buy 0.0 0.0 20,130.8
Customer Sell * 0.0 52,702.4
Dealer to Dealer * 0.0 8,324.3
<= $1MM * 0.0 5,010.0
<= $10MM 0.0 0.0 54,101.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 40
Customer Buy 0 0 14
Customer Sell * 0 21
Dealer to Dealer * 0 5
<= $1MM * 0 20
<= $10MM 0 0 18
<= $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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