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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 100.1 104.3 96.0
Weighted Avg. Price 106.8 107.9 99.5
Avg. Price Bottom 5 Trades 74.4 100.6 73.5
2nd Quartile Price 99.5 100.2 96.0
3rd Quartile Price 101.4 105.0 98.8
4th Quartile Price 105.3 108.6 100.1
Avg. Price Top 5 Trades 111.9 109.4 111.5
Standard Deviation 13.4 4.7 8.2
VOLUME OF TRADES (000'S) 1,463.0 898.5 587,060.6
Customer Buy 440.2 741.6 242,190.2
Customer Sell 829.4 124.9 230,820.0
Dealer to Dealer 193.5 * 114,050.4
<= $1MM 1,463.0 898.5 17,756.2
<= $10MM 0.0 0.0 66,761.8
<= $100MM 0.0 0.0 502,542.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 91 15 155
Customer Buy 20 7 67
Customer Sell 46 6 44
Dealer to Dealer 25 * 44
<= $1MM 91 15 118
<= $10MM 0 0 22
<= $100MM 0 0 15
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 98.1 107.2 95.6
Weighted Avg. Price 106.5 109.7 99.4
Avg. Price Bottom 5 Trades 76.1 106.3 69.4
2nd Quartile Price 99.0 107.3 93.6
3rd Quartile Price 102.2 107.3 99.6
4th Quartile Price 105.1 108.5 101.3
Avg. Price Top 5 Trades 109.2 109.4 109.3
Standard Deviation 18.9 2.4 10.1
VOLUME OF TRADES (000'S) 2,074.7 1,544.8 95,551.0
Customer Buy 643.4 1,467.9 38,488.6
Customer Sell 873.1 * 12,827.6
Dealer to Dealer 558.2 * 44,234.8
<= $1MM 2,074.7 539.5 28,070.4
<= $10MM 0.0 * 67,480.6
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 63 21 178
Customer Buy 20 16 72
Customer Sell 26 * 56
Dealer to Dealer 17 * 50
<= $1MM 63 20 157
<= $10MM 0 * 21
<= $100MM 0 0 0
> $100MM 0 0 0
GNMA
AVERAGE PRICE 104.1 104.8 96.6
Weighted Avg. Price 104.6 102.2 96.3
Avg. Price Bottom 5 Trades 95.4 100.2 73.0
2nd Quartile Price 101.8 102.5 93.9
3rd Quartile Price 104.6 104.7 98.1
4th Quartile Price 106.2 107.1 100.4
Avg. Price Top 5 Trades 112.0 110.4 109.7
Standard Deviation 4.6 3.3 7.0
VOLUME OF TRADES (000'S) 3,717.1 1,439.5 561,113.6
Customer Buy 1,293.9 983.3 177,474.1
Customer Sell 1,206.7 232.7 157,210.0
Dealer to Dealer 1,216.6 223.6 226,429.4
<= $1MM 3,717.1 1,439.5 38,353.2
<= $10MM 0.0 0.0 411,954.0
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 68 34 452
Customer Buy 15 6 100
Customer Sell 26 17 165
Dealer to Dealer 27 11 187
<= $1MM 68 34 264
<= $10MM 0 0 185
<= $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 * * 14.8
Weighted Avg. Price * * 11.7
Avg. Price Bottom 5 Trades * * 7.0
2nd Quartile Price * * 10.8
3rd Quartile Price * * 11.8
4th Quartile Price * * 15.5
Avg. Price Top 5 Trades * * 28.3
Standard Deviation * * 14.0
VOLUME OF TRADES (000'S) * * 348,001.8
Customer Buy * * 170,526.3
Customer Sell * 0.0 175,201.1
Dealer to Dealer * * 2,274.4
<= $1MM * * 4,251.0
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 343,750.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * 24
Customer Buy * * 9
Customer Sell * 0 10
Dealer to Dealer * * 5
<= $1MM * * 13
<= $10MM 0 0 0
<= $100MM 0 0 11
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * 0.0 10.6
Weighted Avg. Price * 0.0 10.9
Avg. Price Bottom 5 Trades * 0.0 4.6
2nd Quartile Price * 0.0 5.3
3rd Quartile Price * 0.0 15.0
4th Quartile Price * 0.0 15.7
Avg. Price Top 5 Trades * 0.0 15.7
Standard Deviation * 0.0 5.0
VOLUME OF TRADES (000'S) * 0.0 366,651.3
Customer Buy 0.0 0.0 201,347.3
Customer Sell * 0.0 165,304.0
Dealer to Dealer 0.0 0.0 0.0
<= $1MM * 0.0 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 361,822.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 14
Customer Buy 0 0 7
Customer Sell * 0 7
Dealer to Dealer 0 0 0
<= $1MM * 0 *
<= $10MM 0 0 *
<= $100MM 0 0 12
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 12.4
Weighted Avg. Price 0.0 0.0 14.1
Avg. Price Bottom 5 Trades 0.0 0.0 7.2
2nd Quartile Price 0.0 0.0 10.6
3rd Quartile Price 0.0 0.0 12.7
4th Quartile Price 0.0 0.0 18.0
Avg. Price Top 5 Trades 0.0 0.0 17.7
Standard Deviation 0.0 0.0 5.6
VOLUME OF TRADES (000'S) 0.0 0.0 143,386.2
Customer Buy 0.0 0.0 95,662.8
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 19,371.0
<= $1MM 0.0 0.0 1,908.8
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 134,623.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 13
Customer Buy 0 0 5
Customer Sell 0 0 *
Dealer to Dealer 0 0 6
<= $1MM 0 0 6
<= $10MM 0 0 *
<= $100MM 0 0 5
> $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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