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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 100.5 107.3 99.0
Weighted Avg. Price 112.3 106.7 100.6
Avg. Price Bottom 5 Trades 75.6 105.9 84.7
2nd Quartile Price 100.0 107.0 97.0
3rd Quartile Price 101.9 108.1 99.5
4th Quartile Price 108.1 109.1 100.8
Avg. Price Top 5 Trades 111.9 109.1 114.0
Standard Deviation 16.3 2.6 5.1
VOLUME OF TRADES (000'S) 1,558.9 149.8 303,892.5
Customer Buy 788.4 51.3 166,802.7
Customer Sell 693.5 * 44,530.6
Dealer to Dealer 76.9 58.2 92,559.2
<= $1MM 1,558.9 149.8 12,004.0
<= $10MM 0.0 0.0 54,243.3
<= $100MM 0.0 0.0 237,645.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 52 14 156
Customer Buy 16 5 94
Customer Sell 18 * 24
Dealer to Dealer 18 6 38
<= $1MM 52 14 129
<= $10MM 0 0 15
<= $100MM 0 0 12
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 102.8 104.5 100.1
Weighted Avg. Price 111.9 102.1 102.2
Avg. Price Bottom 5 Trades 95.7 102.0 83.6
2nd Quartile Price 99.0 103.5 99.0
3rd Quartile Price 101.0 104.9 100.2
4th Quartile Price 107.0 106.0 103.0
Avg. Price Top 5 Trades 113.8 107.0 110.1
Standard Deviation 6.0 2.7 5.3
VOLUME OF TRADES (000'S) 2,409.6 513.5 205,266.9
Customer Buy 1,965.3 * 144,568.9
Customer Sell 202.1 47.9 37,441.4
Dealer to Dealer 242.2 120.7 23,256.6
<= $1MM 2,409.6 513.5 20,006.3
<= $10MM 0.0 0.0 106,568.9
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 48 17 193
Customer Buy 16 * 115
Customer Sell 17 5 38
Dealer to Dealer 15 10 40
<= $1MM 48 17 158
<= $10MM 0 0 31
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 103.2 108.7 99.3
Weighted Avg. Price 106.1 108.3 98.7
Avg. Price Bottom 5 Trades 97.4 108.7 86.2
2nd Quartile Price 99.0 * 96.8
3rd Quartile Price 104.5 * 99.5
4th Quartile Price 108.0 * 101.0
Avg. Price Top 5 Trades 111.0 108.7 111.7
Standard Deviation 5.4 1.9 5.3
VOLUME OF TRADES (000'S) 255.4 110.3 97,280.9
Customer Buy 135.5 * 54,489.3
Customer Sell 72.4 * 3,976.9
Dealer to Dealer 47.5 * 38,814.7
<= $1MM 255.4 110.3 15,702.6
<= $10MM 0.0 0.0 56,243.3
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 36 7 193
Customer Buy 12 * 90
Customer Sell 15 * 32
Dealer to Dealer 9 * 71
<= $1MM 36 7 168
<= $10MM 0 0 24
<= $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 * * 17.0
Weighted Avg. Price * * 19.5
Avg. Price Bottom 5 Trades * * 13.3
2nd Quartile Price * * 15.0
3rd Quartile Price * * 17.1
4th Quartile Price * * 21.4
Avg. Price Top 5 Trades * * 21.3
Standard Deviation * * 5.0
VOLUME OF TRADES (000'S) * * 77,258.6
Customer Buy 0.0 0.0 75,545.5
Customer Sell 0.0 0.0 0.0
Dealer to Dealer * * 1,713.1
<= $1MM * * 1,872.5
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 12
Customer Buy 0 0 7
Customer Sell 0 0 0
Dealer to Dealer * * 5
<= $1MM * * 7
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * 0.0 11.9
Weighted Avg. Price * 0.0 12.4
Avg. Price Bottom 5 Trades * 0.0 8.5
2nd Quartile Price * 0.0 10.8
3rd Quartile Price * 0.0 12.4
4th Quartile Price * 0.0 16.8
Avg. Price Top 5 Trades * 0.0 15.1
Standard Deviation * 0.0 6.4
VOLUME OF TRADES (000'S) * 0.0 161,217.4
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 *
Dealer to Dealer * 0.0 *
<= $1MM * 0.0 2,260.2
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 8
Customer Buy 0 0 *
Customer Sell 0 0 *
Dealer to Dealer * 0 *
<= $1MM * 0 5
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 15.9 0.0 15.2
Weighted Avg. Price 15.8 0.0 21.1
Avg. Price Bottom 5 Trades 14.2 0.0 12.9
2nd Quartile Price 14.9 0.0 12.9
3rd Quartile Price 16.8 0.0 14.2
4th Quartile Price 18.8 0.0 15.8
Avg. Price Top 5 Trades 17.7 0.0 18.3
Standard Deviation 2.1 0.0 3.4
VOLUME OF TRADES (000'S) 6,830.5 0.0 102,383.6
Customer Buy * 0.0 89,451.6
Customer Sell 4,456.0 0.0 12,601.4
Dealer to Dealer 0.0 0.0 *
<= $1MM 6,830.5 0.0 2,228.3
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 10 0 12
Customer Buy * 0 5
Customer Sell 7 0 6
Dealer to Dealer 0 0 *
<= $1MM 10 0 6
<= $10MM 0 0 *
<= $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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