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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 102.7 104.4 97.1
Weighted Avg. Price 111.7 109.9 99.9
Avg. Price Bottom 5 Trades 78.0 102.0 82.0
2nd Quartile Price 101.0 105.0 93.0
3rd Quartile Price 104.8 107.7 99.2
4th Quartile Price 107.7 110.0 100.3
Avg. Price Top 5 Trades 118.2 107.8 110.0
Standard Deviation 12.6 5.9 6.0
VOLUME OF TRADES (000'S) 617.4 1,134.3 403,791.7
Customer Buy 269.0 * 177,370.3
Customer Sell 244.0 1,077.3 141,373.3
Dealer to Dealer 104.4 * 85,048.1
<= $1MM 617.4 1,134.3 21,285.9
<= $10MM 0.0 0.0 69,875.6
<= $100MM 0.0 0.0 197,630.2
> $100MM 0.0 0.0 *
NUMBER OF TRADES 62 10 279
Customer Buy 15 * 115
Customer Sell 24 5 71
Dealer to Dealer 23 * 93
<= $1MM 62 10 252
<= $10MM 0 0 19
<= $100MM 0 0 7
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 101.4 99.4 98.4
Weighted Avg. Price 107.7 107.5 101.0
Avg. Price Bottom 5 Trades 79.2 93.1 82.3
2nd Quartile Price 100.0 99.0 97.0
3rd Quartile Price 103.1 101.6 100.0
4th Quartile Price 106.8 103.1 101.0
Avg. Price Top 5 Trades 114.4 104.2 111.4
Standard Deviation 14.5 9.2 6.0
VOLUME OF TRADES (000'S) 979.9 5,060.0 631,845.3
Customer Buy 589.1 122.9 124,610.7
Customer Sell 339.7 * 304,743.2
Dealer to Dealer 51.1 45.7 202,491.5
<= $1MM 979.9 474.2 18,287.6
<= $10MM 0.0 * 98,876.2
<= $100MM 0.0 0.0 329,060.7
> $100MM 0.0 0.0 *
NUMBER OF TRADES 61 15 210
Customer Buy 16 5 108
Customer Sell 30 * 45
Dealer to Dealer 15 6 57
<= $1MM 61 14 179
<= $10MM 0 * 22
<= $100MM 0 0 8
> $100MM 0 0 *
GNMA
AVERAGE PRICE 106.0 108.5 101.0
Weighted Avg. Price 109.0 108.9 105.7
Avg. Price Bottom 5 Trades 98.4 106.7 86.7
2nd Quartile Price 103.7 107.6 98.8
3rd Quartile Price 107.0 108.2 100.0
4th Quartile Price 109.4 110.0 103.1
Avg. Price Top 5 Trades 111.4 111.0 116.7
Standard Deviation 4.4 2.3 5.6
VOLUME OF TRADES (000'S) 994.1 293.0 370,436.6
Customer Buy 296.8 166.3 90,602.5
Customer Sell 535.5 * 275,640.0
Dealer to Dealer 161.9 88.0 4,194.1
<= $1MM 994.1 293.0 6,329.1
<= $10MM 0.0 0.0 29,220.1
<= $100MM 0.0 0.0 334,887.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 44 16 234
Customer Buy 11 8 119
Customer Sell 19 * 47
Dealer to Dealer 14 5 68
<= $1MM 44 16 215
<= $10MM 0 0 5
<= $100MM 0 0 14
> $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 11.9 15.5
Weighted Avg. Price 0.0 11.8 18.1
Avg. Price Bottom 5 Trades 0.0 11.9 4.8
2nd Quartile Price 0.0 * 10.7
3rd Quartile Price 0.0 * 19.5
4th Quartile Price 0.0 * 20.5
Avg. Price Top 5 Trades 0.0 11.9 21.4
Standard Deviation 0.0 0.2 6.9
VOLUME OF TRADES (000'S) 0.0 287.1 422,971.9
Customer Buy 0.0 * 167,942.0
Customer Sell 0.0 * 138,637.6
Dealer to Dealer 0.0 0.0 116,392.3
<= $1MM 0.0 287.1 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 413,505.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 5 25
Customer Buy 0 * 8
Customer Sell 0 * 12
Dealer to Dealer 0 0 5
<= $1MM 0 5 *
<= $10MM 0 0 *
<= $100MM 0 0 19
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 10.9
Weighted Avg. Price 0.0 0.0 15.6
Avg. Price Bottom 5 Trades 0.0 0.0 4.8
2nd Quartile Price 0.0 0.0 8.0
3rd Quartile Price 0.0 0.0 8.3
4th Quartile Price 0.0 0.0 18.8
Avg. Price Top 5 Trades 0.0 0.0 20.9
Standard Deviation 0.0 0.0 6.5
VOLUME OF TRADES (000'S) 0.0 0.0 338,856.8
Customer Buy 0.0 0.0 144,019.1
Customer Sell 0.0 0.0 165,506.9
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 81,276.3
<= $100MM 0.0 0.0 257,574.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 20
Customer Buy 0 0 7
Customer Sell 0 0 11
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 12
<= $100MM 0 0 7
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 13.3
Weighted Avg. Price 0.0 0.0 14.5
Avg. Price Bottom 5 Trades 0.0 0.0 2.7
2nd Quartile Price 0.0 0.0 10.4
3rd Quartile Price 0.0 0.0 15.3
4th Quartile Price 0.0 0.0 17.0
Avg. Price Top 5 Trades 0.0 0.0 18.4
Standard Deviation 0.0 0.0 6.5
VOLUME OF TRADES (000'S) 0.0 0.0 134,443.2
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 85,331.2
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 2,099.1
<= $10MM 0.0 0.0 50,546.4
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 23
Customer Buy 0 0 *
Customer Sell 0 0 19
Dealer to Dealer 0 0 *
<= $1MM 0 0 12
<= $10MM 0 0 8
<= $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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