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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 101.8 100.0 97.1
Weighted Avg. Price 105.2 100.3 101.2
Avg. Price Bottom 5 Trades 91.3 96.6 82.7
2nd Quartile Price 99.8 99.9 94.5
3rd Quartile Price 100.7 100.0 99.3
4th Quartile Price 106.5 100.5 101.0
Avg. Price Top 5 Trades 112.6 104.4 108.2
Standard Deviation 5.9 5.0 5.7
VOLUME OF TRADES (000'S) 9,330.1 29,360.7 381,105.7
Customer Buy 707.9 * 143,176.1
Customer Sell 7,977.3 26,733.2 69,670.4
Dealer to Dealer 645.0 2,411.7 168,259.1
<= $1MM 3,758.0 3,642.8 21,724.5
<= $10MM * 25,717.9 103,992.6
<= $100MM 0.0 0.0 255,388.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 81 24 264
Customer Buy 15 * 84
Customer Sell 41 17 82
Dealer to Dealer 25 5 98
<= $1MM 79 14 218
<= $10MM * 10 40
<= $100MM 0 0 6
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 102.8 101.3 98.7
Weighted Avg. Price 100.9 100.2 101.5
Avg. Price Bottom 5 Trades 94.3 99.6 86.5
2nd Quartile Price 100.0 100.0 96.5
3rd Quartile Price 101.7 100.1 99.9
4th Quartile Price 107.0 101.9 100.4
Avg. Price Top 5 Trades 113.7 105.4 110.5
Standard Deviation 5.3 2.6 4.6
VOLUME OF TRADES (000'S) 7,956.2 29,144.9 216,469.3
Customer Buy 1,442.5 7,578.7 137,375.6
Customer Sell 4,528.5 19,965.6 34,029.9
Dealer to Dealer 1,985.2 1,600.6 45,063.8
<= $1MM 7,956.2 4,604.4 23,250.9
<= $10MM 0.0 24,540.5 69,713.7
<= $100MM 0.0 0.0 123,504.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 86 30 216
Customer Buy 18 7 70
Customer Sell 43 17 81
Dealer to Dealer 25 6 65
<= $1MM 86 19 189
<= $10MM 0 11 22
<= $100MM 0 0 5
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.5 108.1 100.7
Weighted Avg. Price 107.2 109.2 101.1
Avg. Price Bottom 5 Trades 96.3 104.8 84.0
2nd Quartile Price 100.2 106.3 97.8
3rd Quartile Price 107.6 108.9 100.4
4th Quartile Price 110.3 109.9 103.4
Avg. Price Top 5 Trades 112.8 111.4 114.8
Standard Deviation 5.4 2.5 5.9
VOLUME OF TRADES (000'S) 869.1 433.8 165,668.8
Customer Buy 349.5 155.8 71,674.0
Customer Sell 154.2 64.5 13,746.3
Dealer to Dealer 365.5 213.4 80,248.5
<= $1MM 869.1 433.8 26,170.4
<= $10MM 0.0 0.0 102,390.1
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 65 25 308
Customer Buy 17 10 110
Customer Sell 22 6 85
Dealer to Dealer 26 9 113
<= $1MM 65 25 276
<= $10MM 0 0 30
<= $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 0.0 14.1
Weighted Avg. Price 0.0 0.0 14.9
Avg. Price Bottom 5 Trades 0.0 0.0 12.9
2nd Quartile Price 0.0 0.0 13.6
3rd Quartile Price 0.0 0.0 14.3
4th Quartile Price 0.0 0.0 15.5
Avg. Price Top 5 Trades 0.0 0.0 15.3
Standard Deviation 0.0 0.0 2.5
VOLUME OF TRADES (000'S) 0.0 0.0 223,436.5
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 223,436.5
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 8
Customer Buy 0 0 *
Customer Sell 0 0 *
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 0 0
<= $100MM 0 0 8
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 29.7
Weighted Avg. Price 0.0 0.0 28.0
Avg. Price Bottom 5 Trades 0.0 0.0 8.7
2nd Quartile Price 0.0 0.0 8.7
3rd Quartile Price 0.0 0.0 14.3
4th Quartile Price 0.0 0.0 82.7
Avg. Price Top 5 Trades 0.0 0.0 70.2
Standard Deviation 0.0 0.0 32.0
VOLUME OF TRADES (000'S) 0.0 0.0 225,811.6
Customer Buy 0.0 0.0 83,391.1
Customer Sell 0.0 0.0 113,397.1
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 0.0 43,088.5
<= $100MM 0.0 0.0 182,723.1
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 16
Customer Buy 0 0 6
Customer Sell 0 0 6
Dealer to Dealer 0 0 *
<= $1MM 0 0 0
<= $10MM 0 0 8
<= $100MM 0 0 8
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 18.2
Weighted Avg. Price 0.0 0.0 18.6
Avg. Price Bottom 5 Trades 0.0 0.0 17.5
2nd Quartile Price 0.0 0.0 17.3
3rd Quartile Price 0.0 0.0 20.3
4th Quartile Price 0.0 0.0 21.7
Avg. Price Top 5 Trades 0.0 0.0 18.7
Standard Deviation 0.0 0.0 2.3
VOLUME OF TRADES (000'S) 0.0 0.0 120,316.6
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 119,209.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 6
Customer Buy 0 0 *
Customer Sell 0 0 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 0
<= $10MM 0 0 *
<= $100MM 0 0 5
> $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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