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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 97.5 106.3 98.6
Weighted Avg. Price 103.8 101.5 100.5
Avg. Price Bottom 5 Trades 71.7 101.5 83.0
2nd Quartile Price 99.0 102.0 96.9
3rd Quartile Price 103.3 106.4 99.2
4th Quartile Price 106.3 111.8 101.0
Avg. Price Top 5 Trades 112.1 111.8 121.8
Standard Deviation 14.6 4.8 6.0
VOLUME OF TRADES (000'S) 1,000.0 4,299.6 178,096.9
Customer Buy 605.5 * 100,696.5
Customer Sell 293.1 158.3 28,534.7
Dealer to Dealer 101.4 163.5 48,865.7
<= $1MM 1,000.0 385.6 33,127.4
<= $10MM 0.0 * 128,284.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 71 19 247
Customer Buy 14 * 97
Customer Sell 28 7 66
Dealer to Dealer 29 9 84
<= $1MM 71 18 211
<= $10MM 0 * 35
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 101.7 103.5 99.0
Weighted Avg. Price 103.3 105.2 101.0
Avg. Price Bottom 5 Trades 92.9 97.4 81.5
2nd Quartile Price 100.0 98.7 97.1
3rd Quartile Price 100.0 104.9 100.0
4th Quartile Price 103.3 106.0 101.7
Avg. Price Top 5 Trades 115.5 108.9 112.8
Standard Deviation 5.6 4.9 5.5
VOLUME OF TRADES (000'S) 2,160.6 725.0 260,632.3
Customer Buy 399.4 292.7 148,701.1
Customer Sell 966.1 299.5 34,721.1
Dealer to Dealer 795.0 132.8 77,210.2
<= $1MM 2,160.6 725.0 24,656.6
<= $10MM 0.0 0.0 103,042.2
<= $100MM 0.0 0.0 132,933.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 83 20 195
Customer Buy 30 5 95
Customer Sell 23 10 49
Dealer to Dealer 30 5 51
<= $1MM 83 20 159
<= $10MM 0 0 29
<= $100MM 0 0 7
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.6 107.6 100.5
Weighted Avg. Price 109.9 109.7 103.3
Avg. Price Bottom 5 Trades 86.4 104.2 81.1
2nd Quartile Price 105.3 106.3 98.0
3rd Quartile Price 107.8 109.4 100.0
4th Quartile Price 109.1 109.8 104.5
Avg. Price Top 5 Trades 113.2 109.9 114.2
Standard Deviation 8.6 3.0 6.8
VOLUME OF TRADES (000'S) 3,590.5 211.4 242,422.2
Customer Buy 1,645.0 150.0 90,420.4
Customer Sell 1,476.4 * 39,537.1
Dealer to Dealer 469.1 40.5 112,464.6
<= $1MM 1,157.5 211.4 15,676.9
<= $10MM * 0.0 91,304.9
<= $100MM 0.0 0.0 135,440.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 97 14 230
Customer Buy 28 5 90
Customer Sell 30 * 55
Dealer to Dealer 39 6 85
<= $1MM 95 14 198
<= $10MM * 0 24
<= $100MM 0 0 8
> $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 28.0 34.9 17.0
Weighted Avg. Price 25.0 3.2 19.4
Avg. Price Bottom 5 Trades 14.5 8.8 4.6
2nd Quartile Price 16.8 14.1 13.3
3rd Quartile Price 21.1 16.0 17.1
4th Quartile Price 24.4 84.9 19.2
Avg. Price Top 5 Trades 49.5 58.6 39.4
Standard Deviation 24.6 39.6 12.3
VOLUME OF TRADES (000'S) 923.2 3,691.5 97,598.6
Customer Buy * * 39,578.8
Customer Sell 572.9 * 46,943.4
Dealer to Dealer * * 11,076.4
<= $1MM 923.2 138.8 12,065.9
<= $10MM 0.0 * 15,705.5
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 15 9 74
Customer Buy * * 17
Customer Sell 10 * 28
Dealer to Dealer * * 29
<= $1MM 15 6 66
<= $10MM 0 * 5
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 31.7 20.2
Weighted Avg. Price 0.0 25.2 14.3
Avg. Price Bottom 5 Trades 0.0 31.7 2.6
2nd Quartile Price 0.0 * 4.6
3rd Quartile Price 0.0 * 13.4
4th Quartile Price 0.0 * 18.0
Avg. Price Top 5 Trades 0.0 31.7 63.8
Standard Deviation 0.0 33.6 26.0
VOLUME OF TRADES (000'S) 0.0 136.4 49,380.2
Customer Buy 0.0 * 41,782.3
Customer Sell 0.0 * 1,802.6
Dealer to Dealer 0.0 0.0 5,795.4
<= $1MM 0.0 136.4 4,822.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 5 32
Customer Buy 0 * 8
Customer Sell 0 * 14
Dealer to Dealer 0 0 10
<= $1MM 0 5 27
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE * * 15.3
Weighted Avg. Price * * 14.7
Avg. Price Bottom 5 Trades * * 6.0
2nd Quartile Price * * 13.6
3rd Quartile Price * * 16.5
4th Quartile Price * * 20.2
Avg. Price Top 5 Trades * * 20.7
Standard Deviation * * 5.4
VOLUME OF TRADES (000'S) * * 25,909.0
Customer Buy * * 13,134.6
Customer Sell * 0.0 2,613.7
Dealer to Dealer * 0.0 10,160.7
<= $1MM * * 7,326.9
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 50
Customer Buy * * 12
Customer Sell * 0 17
Dealer to Dealer * 0 21
<= $1MM * * 47
<= $10MM 0 0 *
<= $100MM 0 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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