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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 102.9 101.6 95.8
Weighted Avg. Price 105.7 101.5 97.8
Avg. Price Bottom 5 Trades 93.7 97.4 77.3
2nd Quartile Price 100.0 100.4 93.6
3rd Quartile Price 104.0 101.3 98.5
4th Quartile Price 106.2 105.0 99.9
Avg. Price Top 5 Trades 111.8 106.0 107.0
Standard Deviation 4.8 3.4 6.2
VOLUME OF TRADES (000'S) 8,657.4 7,355.4 213,564.2
Customer Buy 3,726.1 2,922.2 183,063.7
Customer Sell 3,541.2 4,281.6 8,858.0
Dealer to Dealer 1,390.1 151.6 21,642.5
<= $1MM 5,303.0 3,889.7 10,569.6
<= $10MM * * 66,154.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 99 28 155
Customer Buy 26 10 75
Customer Sell 38 9 23
Dealer to Dealer 35 9 57
<= $1MM 96 26 129
<= $10MM * * 23
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 100.7 107.3 96.6
Weighted Avg. Price 101.5 108.3 97.5
Avg. Price Bottom 5 Trades 92.2 102.2 65.9
2nd Quartile Price 99.3 104.3 93.5
3rd Quartile Price 100.0 108.1 99.0
4th Quartile Price 104.1 111.9 100.5
Avg. Price Top 5 Trades 108.7 112.4 108.4
Standard Deviation 4.8 4.3 8.9
VOLUME OF TRADES (000'S) 7,448.0 289.8 971,412.0
Customer Buy 3,008.2 139.4 270,514.8
Customer Sell 2,211.4 61.8 550,345.0
Dealer to Dealer 2,228.4 88.7 150,552.3
<= $1MM 1,082.2 289.8 10,718.0
<= $10MM * 0.0 165,337.0
<= $100MM 0.0 0.0 184,337.1
> $100MM 0.0 0.0 *
NUMBER OF TRADES 100 29 208
Customer Buy 25 11 89
Customer Sell 37 8 48
Dealer to Dealer 38 10 71
<= $1MM 97 29 157
<= $10MM * 0 39
<= $100MM 0 0 10
> $100MM 0 0 *
GNMA
AVERAGE PRICE 103.8 103.4 95.2
Weighted Avg. Price 109.0 104.5 98.7
Avg. Price Bottom 5 Trades 94.5 100.6 73.1
2nd Quartile Price 101.1 102.6 89.5
3rd Quartile Price 105.5 104.8 97.3
4th Quartile Price 108.4 106.1 100.0
Avg. Price Top 5 Trades 110.6 106.1 110.7
Standard Deviation 6.3 3.4 8.3
VOLUME OF TRADES (000'S) 3,510.7 274.1 184,486.1
Customer Buy 1,619.9 0.0 36,536.1
Customer Sell 1,614.7 77.1 44,188.0
Dealer to Dealer 276.2 197.0 103,762.0
<= $1MM 3,510.7 274.1 13,900.4
<= $10MM 0.0 0.0 51,007.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 59 19 273
Customer Buy 13 0 98
Customer Sell 20 7 77
Dealer to Dealer 26 12 98
<= $1MM 59 19 255
<= $10MM 0 0 15
<= $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 12.2 0.0 13.6
Weighted Avg. Price 12.0 0.0 13.7
Avg. Price Bottom 5 Trades 12.2 0.0 10.6
2nd Quartile Price * 0.0 12.3
3rd Quartile Price * 0.0 13.1
4th Quartile Price * 0.0 15.0
Avg. Price Top 5 Trades 12.2 0.0 16.8
Standard Deviation 0.2 0.0 2.9
VOLUME OF TRADES (000'S) 14,738.8 0.0 313,890.6
Customer Buy 7,369.4 0.0 164,806.8
Customer Sell 0.0 0.0 93,517.8
Dealer to Dealer * 0.0 55,566.0
<= $1MM * 0.0 2,113.4
<= $10MM 12,953.1 0.0 *
<= $100MM 0.0 0.0 281,932.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 8 0 20
Customer Buy 7 0 9
Customer Sell 0 0 5
Dealer to Dealer * 0 6
<= $1MM * 0 5
<= $10MM 5 0 *
<= $100MM 0 0 11
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 *
Weighted Avg. Price 0.0 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 *
2nd Quartile Price 0.0 0.0 *
3rd Quartile Price 0.0 0.0 *
4th Quartile Price 0.0 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 *
Standard Deviation 0.0 0.0 *
VOLUME OF TRADES (000'S) 0.0 0.0 *
Customer Buy 0.0 0.0 *
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 *
NUMBER OF TRADES 0 0 *
Customer Buy 0 0 *
Customer Sell 0 0 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 *
<= $100MM 0 0 0
> $100MM 0 0 *
GNMA
AVERAGE PRICE 0.0 0.0 15.4
Weighted Avg. Price 0.0 0.0 15.8
Avg. Price Bottom 5 Trades 0.0 0.0 10.4
2nd Quartile Price 0.0 0.0 13.3
3rd Quartile Price 0.0 0.0 16.8
4th Quartile Price 0.0 0.0 20.6
Avg. Price Top 5 Trades 0.0 0.0 19.9
Standard Deviation 0.0 0.0 4.6
VOLUME OF TRADES (000'S) 0.0 0.0 101,896.6
Customer Buy 0.0 0.0 44,493.5
Customer Sell 0.0 0.0 42,522.9
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 42,455.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 14
Customer Buy 0 0 6
Customer Sell 0 0 5
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 6
<= $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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