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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 101.0 101.8 95.0
Weighted Avg. Price 103.0 100.7 97.8
Avg. Price Bottom 5 Trades 91.4 95.7 77.9
2nd Quartile Price 99.0 99.5 90.0
3rd Quartile Price 100.0 104.0 97.1
4th Quartile Price 105.1 109.0 100.0
Avg. Price Top 5 Trades 108.1 108.0 111.1
Standard Deviation 4.7 7.8 7.5
VOLUME OF TRADES (000'S) 804.8 6,441.6 313,664.1
Customer Buy 244.2 6,354.5 135,762.0
Customer Sell 364.0 * 135,606.5
Dealer to Dealer 196.6 * 42,295.6
<= $1MM 804.8 175.2 12,091.2
<= $10MM 0.0 * 113,804.1
<= $100MM 0.0 0.0 187,768.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 107 10 192
Customer Buy 34 5 75
Customer Sell 41 * 58
Dealer to Dealer 32 * 59
<= $1MM 107 9 148
<= $10MM 0 * 37
<= $100MM 0 0 7
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 99.2 106.3 98.2
Weighted Avg. Price 103.1 110.6 101.4
Avg. Price Bottom 5 Trades 92.1 101.0 81.1
2nd Quartile Price 98.0 103.3 95.4
3rd Quartile Price 99.9 107.1 99.7
4th Quartile Price 100.3 110.6 100.8
Avg. Price Top 5 Trades 107.8 109.6 109.1
Standard Deviation 5.4 4.0 6.2
VOLUME OF TRADES (000'S) 583.5 61,186.1 216,412.6
Customer Buy 488.4 * 64,154.8
Customer Sell 70.6 60,973.0 129,419.0
Dealer to Dealer 24.5 144.2 22,838.9
<= $1MM 583.5 325.2 17,190.1
<= $10MM 0.0 * 124,331.0
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 111 21 173
Customer Buy 46 * 69
Customer Sell 26 13 52
Dealer to Dealer 39 5 52
<= $1MM 111 15 140
<= $10MM 0 * 31
<= $100MM 0 * *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 103.9 103.8 99.4
Weighted Avg. Price 107.8 109.7 100.3
Avg. Price Bottom 5 Trades 95.8 98.4 80.9
2nd Quartile Price 100.7 105.0 96.3
3rd Quartile Price 104.1 108.3 100.0
4th Quartile Price 107.0 109.3 105.2
Avg. Price Top 5 Trades 111.4 110.4 113.4
Standard Deviation 4.3 8.1 7.6
VOLUME OF TRADES (000'S) 467.1 188.4 183,403.1
Customer Buy 135.2 * 122,374.5
Customer Sell 181.0 134.8 17,732.4
Dealer to Dealer 151.0 * 43,296.2
<= $1MM 467.1 188.4 10,685.0
<= $10MM 0.0 0.0 57,684.8
<= $100MM 0.0 0.0 115,033.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 68 13 239
Customer Buy 23 * 95
Customer Sell 23 7 58
Dealer to Dealer 22 * 86
<= $1MM 68 13 215
<= $10MM 0 0 18
<= $100MM 0 0 6
> $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 87.8 0.0 19.0
Weighted Avg. Price 85.4 0.0 16.0
Avg. Price Bottom 5 Trades 87.8 0.0 12.3
2nd Quartile Price * 0.0 14.8
3rd Quartile Price * 0.0 18.1
4th Quartile Price * 0.0 19.0
Avg. Price Top 5 Trades 87.8 0.0 35.7
Standard Deviation 7.5 0.0 11.4
VOLUME OF TRADES (000'S) 54.8 0.0 523,871.9
Customer Buy * 0.0 251,395.8
Customer Sell * 0.0 236,273.3
Dealer to Dealer * 0.0 36,202.8
<= $1MM 54.8 0.0 2,066.6
<= $10MM 0.0 0.0 77,504.1
<= $100MM 0.0 0.0 444,301.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 6 0 38
Customer Buy * 0 18
Customer Sell * 0 15
Dealer to Dealer * 0 5
<= $1MM 6 0 9
<= $10MM 0 0 14
<= $100MM 0 0 15
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 66.8 * 16.8
Weighted Avg. Price 22.3 * 17.3
Avg. Price Bottom 5 Trades 66.8 * 15.6
2nd Quartile Price * * 15.4
3rd Quartile Price * * 16.6
4th Quartile Price * * 18.0
Avg. Price Top 5 Trades 66.8 * 17.8
Standard Deviation 42.9 * 1.9
VOLUME OF TRADES (000'S) 275.2 * 46,590.4
Customer Buy * 0.0 27,192.2
Customer Sell * * *
Dealer to Dealer * * *
<= $1MM 275.2 0.0 0.0
<= $10MM 0.0 * 35,287.6
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 * 8
Customer Buy * 0 5
Customer Sell * * *
Dealer to Dealer * * *
<= $1MM 5 0 0
<= $10MM 0 * 7
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 12.3
Weighted Avg. Price 0.0 0.0 13.7
Avg. Price Bottom 5 Trades 0.0 0.0 3.0
2nd Quartile Price 0.0 0.0 13.0
3rd Quartile Price 0.0 0.0 14.6
4th Quartile Price 0.0 0.0 15.5
Avg. Price Top 5 Trades 0.0 0.0 17.0
Standard Deviation 0.0 0.0 5.4
VOLUME OF TRADES (000'S) 0.0 0.0 299,372.7
Customer Buy 0.0 0.0 91,767.6
Customer Sell 0.0 0.0 207,569.8
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 90,636.1
<= $100MM 0.0 0.0 208,582.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 32
Customer Buy 0 0 9
Customer Sell 0 0 22
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 15
<= $100MM 0 0 13
> $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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