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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 102.6 * 94.3
Weighted Avg. Price 110.2 * 99.5
Avg. Price Bottom 5 Trades 90.7 * 73.4
2nd Quartile Price 101.0 * 86.9
3rd Quartile Price 104.1 * 98.5
4th Quartile Price 106.5 * 100.0
Avg. Price Top 5 Trades 108.6 * 106.7
Standard Deviation 6.0 * 9.5
VOLUME OF TRADES (000'S) 1,481.4 * 93,952.4
Customer Buy 953.9 * 35,550.3
Customer Sell 270.4 0.0 30,311.4
Dealer to Dealer 257.2 0.0 28,090.7
<= $1MM 1,481.4 * 4,316.7
<= $10MM 0.0 0.0 54,304.2
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 61 * 174
Customer Buy 20 * 101
Customer Sell 21 0 35
Dealer to Dealer 20 0 38
<= $1MM 61 * 159
<= $10MM 0 0 12
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 100.0 104.7 97.9
Weighted Avg. Price 104.5 106.3 101.0
Avg. Price Bottom 5 Trades 89.5 104.7 80.0
2nd Quartile Price 98.7 * 98.3
3rd Quartile Price 100.6 * 99.8
4th Quartile Price 105.0 * 100.8
Avg. Price Top 5 Trades 106.2 104.7 105.1
Standard Deviation 5.5 3.5 6.6
VOLUME OF TRADES (000'S) 2,394.7 54.9 25,766.4
Customer Buy 893.6 0.0 18,900.0
Customer Sell 777.8 * 945.4
Dealer to Dealer 723.3 * 5,921.0
<= $1MM 2,394.7 54.9 3,233.6
<= $10MM 0.0 0.0 22,532.8
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 51 7 81
Customer Buy 16 0 42
Customer Sell 22 * 18
Dealer to Dealer 13 * 21
<= $1MM 51 7 75
<= $10MM 0 0 6
<= $100MM 0 0 0
> $100MM 0 0 0
GNMA
AVERAGE PRICE 105.8 105.4 96.2
Weighted Avg. Price 108.2 107.4 100.8
Avg. Price Bottom 5 Trades 98.1 102.2 65.0
2nd Quartile Price 104.3 104.0 94.3
3rd Quartile Price 107.5 105.6 99.3
4th Quartile Price 107.8 108.8 100.9
Avg. Price Top 5 Trades 110.5 107.7 115.3
Standard Deviation 4.1 3.2 10.7
VOLUME OF TRADES (000'S) 4,047.0 489.1 106,024.2
Customer Buy 800.4 * 10,990.6
Customer Sell 1,516.0 226.8 1,464.6
Dealer to Dealer 1,730.7 251.7 93,569.0
<= $1MM 4,047.0 489.1 12,400.5
<= $10MM 0.0 0.0 14,532.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 63 17 170
Customer Buy 21 * 83
Customer Sell 17 5 28
Dealer to Dealer 25 10 59
<= $1MM 63 17 160
<= $10MM 0 0 8
<= $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 7.3 13.4
Weighted Avg. Price 0.0 6.6 77.2
Avg. Price Bottom 5 Trades 0.0 7.3 7.5
2nd Quartile Price 0.0 * 8.0
3rd Quartile Price 0.0 * 8.2
4th Quartile Price 0.0 * 9.3
Avg. Price Top 5 Trades 0.0 7.3 16.4
Standard Deviation 0.0 1.6 20.2
VOLUME OF TRADES (000'S) 0.0 26.7 2,414.4
Customer Buy 0.0 0.0 *
Customer Sell 0.0 13.4 53.8
Dealer to Dealer 0.0 13.4 53.8
<= $1MM 0.0 26.7 107.5
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 10 13
Customer Buy 0 0 *
Customer Sell 0 5 6
Dealer to Dealer 0 5 6
<= $1MM 0 10 12
<= $10MM 0 0 *
<= $100MM 0 0 0
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 11.2
Weighted Avg. Price 0.0 * 16.6
Avg. Price Bottom 5 Trades 0.0 * 7.9
2nd Quartile Price 0.0 * 8.0
3rd Quartile Price 0.0 * 8.3
4th Quartile Price 0.0 * 14.4
Avg. Price Top 5 Trades 0.0 * 17.7
Standard Deviation 0.0 * 5.1
VOLUME OF TRADES (000'S) 0.0 * 50,422.6
Customer Buy 0.0 0.0 *
Customer Sell 0.0 * 3,669.3
Dealer to Dealer 0.0 * 1,940.6
<= $1MM 0.0 * 445.4
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 16
Customer Buy 0 0 *
Customer Sell 0 * 7
Dealer to Dealer 0 * 6
<= $1MM 0 * 11
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 10.2
Weighted Avg. Price 0.0 0.0 16.4
Avg. Price Bottom 5 Trades 0.0 0.0 8.5
2nd Quartile Price 0.0 0.0 9.2
3rd Quartile Price 0.0 0.0 10.4
4th Quartile Price 0.0 0.0 11.2
Avg. Price Top 5 Trades 0.0 0.0 12.3
Standard Deviation 0.0 0.0 1.7
VOLUME OF TRADES (000'S) 0.0 0.0 33,266.7
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 509.8
Dealer to Dealer 0.0 0.0 634.2
<= $1MM 0.0 0.0 1,268.3
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 39
Customer Buy 0 0 *
Customer Sell 0 0 18
Dealer to Dealer 0 0 19
<= $1MM 0 0 38
<= $10MM 0 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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