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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 101.1 103.4 97.3
Weighted Avg. Price 102.6 108.0 99.2
Avg. Price Bottom 5 Trades 86.0 97.0 76.0
2nd Quartile Price 99.5 100.1 96.5
3rd Quartile Price 102.0 105.0 100.0
4th Quartile Price 105.3 106.0 100.6
Avg. Price Top 5 Trades 108.2 108.3 105.2
Standard Deviation 6.5 5.9 5.7
VOLUME OF TRADES (000'S) 810.2 1,767.0 302,136.4
Customer Buy 396.9 1,392.4 200,857.2
Customer Sell 146.7 118.9 29,680.4
Dealer to Dealer 266.6 255.7 71,598.8
<= $1MM 810.2 718.3 18,529.6
<= $10MM 0.0 * 141,124.0
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 60 23 272
Customer Buy 17 7 175
Customer Sell 22 6 28
Dealer to Dealer 21 10 69
<= $1MM 60 22 236
<= $10MM 0 * 32
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 96.8 104.4 94.7
Weighted Avg. Price 103.9 100.2 99.7
Avg. Price Bottom 5 Trades 54.9 100.4 78.0
2nd Quartile Price 96.0 100.3 89.0
3rd Quartile Price 100.0 105.0 95.4
4th Quartile Price 105.5 110.2 100.1
Avg. Price Top 5 Trades 108.5 109.2 110.3
Standard Deviation 15.3 5.0 7.5
VOLUME OF TRADES (000'S) 827.6 5,699.0 197,284.2
Customer Buy 577.5 5,588.9 111,050.8
Customer Sell 95.6 * 2,720.2
Dealer to Dealer 154.5 * 83,513.3
<= $1MM 827.6 258.7 9,522.3
<= $10MM 0.0 * 89,163.1
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 70 11 131
Customer Buy 15 5 51
Customer Sell 28 * 31
Dealer to Dealer 27 * 49
<= $1MM 70 10 105
<= $10MM 0 * 23
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 102.6 106.7 97.6
Weighted Avg. Price 104.0 105.0 99.4
Avg. Price Bottom 5 Trades 87.5 102.6 78.8
2nd Quartile Price 100.0 106.0 95.0
3rd Quartile Price 103.6 107.6 99.5
4th Quartile Price 106.5 110.0 101.6
Avg. Price Top 5 Trades 110.5 110.2 109.9
Standard Deviation 6.5 3.6 7.0
VOLUME OF TRADES (000'S) 1,500.7 466.1 150,822.7
Customer Buy 929.0 170.0 56,766.2
Customer Sell 452.0 283.3 17,314.1
Dealer to Dealer 119.7 * 76,742.5
<= $1MM 1,500.7 466.1 7,533.9
<= $10MM 0.0 0.0 87,691.1
<= $100MM 0.0 0.0 55,597.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 66 15 130
Customer Buy 18 7 50
Customer Sell 29 5 28
Dealer to Dealer 19 * 52
<= $1MM 66 15 103
<= $10MM 0 0 22
<= $100MM 0 0 5
> $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 * 21.1
Weighted Avg. Price 0.0 * 21.9
Avg. Price Bottom 5 Trades 0.0 * 11.5
2nd Quartile Price 0.0 * 15.4
3rd Quartile Price 0.0 * 19.7
4th Quartile Price 0.0 * 21.2
Avg. Price Top 5 Trades 0.0 * 32.1
Standard Deviation 0.0 * 16.9
VOLUME OF TRADES (000'S) 0.0 * 178,903.8
Customer Buy 0.0 * 86,806.6
Customer Sell 0.0 * 76,685.9
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 * *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 176,523.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 13
Customer Buy 0 * 6
Customer Sell 0 * 6
Dealer to Dealer 0 0 *
<= $1MM 0 * *
<= $10MM 0 0 *
<= $100MM 0 0 10
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * * 13.3
Weighted Avg. Price * * 10.7
Avg. Price Bottom 5 Trades * * 6.7
2nd Quartile Price * * 7.8
3rd Quartile Price * * 8.8
4th Quartile Price * * 15.9
Avg. Price Top 5 Trades * * 24.4
Standard Deviation * * 15.6
VOLUME OF TRADES (000'S) * * 174,426.4
Customer Buy * 0.0 80,050.9
Customer Sell * * 94,375.5
Dealer to Dealer 0.0 * 0.0
<= $1MM * * *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 151,838.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 14
Customer Buy * 0 6
Customer Sell * * 8
Dealer to Dealer 0 * 0
<= $1MM * * *
<= $10MM 0 0 *
<= $100MM 0 0 7
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 16.4
Weighted Avg. Price 0.0 0.0 13.9
Avg. Price Bottom 5 Trades 0.0 0.0 9.8
2nd Quartile Price 0.0 0.0 14.9
3rd Quartile Price 0.0 0.0 18.7
4th Quartile Price 0.0 0.0 18.9
Avg. Price Top 5 Trades 0.0 0.0 19.2
Standard Deviation 0.0 0.0 4.4
VOLUME OF TRADES (000'S) 0.0 0.0 508,547.0
Customer Buy 0.0 0.0 357,688.3
Customer Sell 0.0 0.0 123,341.5
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 43,407.4
<= $100MM 0.0 0.0 290,027.8
> $100MM 0.0 0.0 *
NUMBER OF TRADES 0 0 24
Customer Buy 0 0 13
Customer Sell 0 0 8
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 7
<= $100MM 0 0 13
> $100MM 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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