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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 100.8 104.0 89.2
Weighted Avg. Price 101.4 100.9 98.2
Avg. Price Bottom 5 Trades 94.9 100.1 70.8
2nd Quartile Price 100.0 101.2 78.5
3rd Quartile Price 100.3 105.5 94.5
4th Quartile Price 103.0 106.6 99.3
Avg. Price Top 5 Trades 105.9 107.5 105.6
Standard Deviation 3.1 3.1 12.0
VOLUME OF TRADES (000'S) 1,069.4 6,753.3 262,538.6
Customer Buy 521.8 2,557.1 161,521.1
Customer Sell 295.4 1,495.1 79,459.4
Dealer to Dealer 252.2 2,701.1 21,558.1
<= $1MM 1,069.4 1,305.8 12,992.8
<= $10MM 0.0 * 83,164.3
<= $100MM 0.0 0.0 166,381.5
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 63 23 166
Customer Buy 17 7 60
Customer Sell 31 6 65
Dealer to Dealer 15 10 41
<= $1MM 63 19 142
<= $10MM 0 * 18
<= $100MM 0 0 6
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 101.5 104.8 95.0
Weighted Avg. Price 103.2 105.1 101.2
Avg. Price Bottom 5 Trades 93.9 99.7 76.3
2nd Quartile Price 99.9 100.0 88.4
3rd Quartile Price 100.2 108.0 99.3
4th Quartile Price 104.6 108.0 102.2
Avg. Price Top 5 Trades 107.9 107.0 105.3
Standard Deviation 4.4 4.1 9.0
VOLUME OF TRADES (000'S) 1,645.2 238.4 263,590.5
Customer Buy 593.4 60.7 96,470.4
Customer Sell 560.1 86.3 8,541.6
Dealer to Dealer 491.7 91.4 158,578.4
<= $1MM 1,645.2 238.4 9,944.3
<= $10MM 0.0 0.0 100,535.9
<= $100MM 0.0 0.0 153,110.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 76 30 98
Customer Buy 20 11 43
Customer Sell 37 14 21
Dealer to Dealer 19 5 34
<= $1MM 76 30 73
<= $10MM 0 0 18
<= $100MM 0 0 7
> $100MM 0 0 0
GNMA
AVERAGE PRICE 102.3 103.8 97.2
Weighted Avg. Price 105.0 104.4 99.4
Avg. Price Bottom 5 Trades 92.7 99.6 75.2
2nd Quartile Price 101.2 100.6 92.0
3rd Quartile Price 103.7 104.5 98.6
4th Quartile Price 106.6 107.3 101.5
Avg. Price Top 5 Trades 107.7 108.6 111.3
Standard Deviation 8.6 4.1 8.2
VOLUME OF TRADES (000'S) 541.8 145.6 219,267.3
Customer Buy 63.9 * 66,864.7
Customer Sell 180.8 39.7 74,220.1
Dealer to Dealer 297.2 74.3 78,182.5
<= $1MM 541.8 145.6 9,632.3
<= $10MM 0.0 0.0 62,665.9
<= $100MM 0.0 0.0 146,969.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 54 18 244
Customer Buy 10 * 98
Customer Sell 18 5 55
Dealer to Dealer 26 9 91
<= $1MM 54 18 224
<= $10MM 0 0 14
<= $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 0.0 0.0 10.5
Weighted Avg. Price 0.0 0.0 9.6
Avg. Price Bottom 5 Trades 0.0 0.0 4.6
2nd Quartile Price 0.0 0.0 5.2
3rd Quartile Price 0.0 0.0 10.3
4th Quartile Price 0.0 0.0 15.3
Avg. Price Top 5 Trades 0.0 0.0 19.3
Standard Deviation 0.0 0.0 6.5
VOLUME OF TRADES (000'S) 0.0 0.0 158,727.1
Customer Buy 0.0 0.0 62,152.3
Customer Sell 0.0 0.0 78,980.6
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 52,702.4
<= $100MM 0.0 0.0 105,982.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 18
Customer Buy 0 0 6
Customer Sell 0 0 8
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 12
<= $100MM 0 0 5
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 19.2
Weighted Avg. Price 0.0 0.0 17.3
Avg. Price Bottom 5 Trades 0.0 0.0 9.9
2nd Quartile Price 0.0 0.0 12.5
3rd Quartile Price 0.0 0.0 15.8
4th Quartile Price 0.0 0.0 20.6
Avg. Price Top 5 Trades 0.0 0.0 32.1
Standard Deviation 0.0 0.0 17.9
VOLUME OF TRADES (000'S) 0.0 0.0 155,046.7
Customer Buy 0.0 0.0 71,292.3
Customer Sell 0.0 0.0 70,776.2
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 3,559.5
<= $10MM 0.0 0.0 32,813.5
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 15
Customer Buy 0 0 8
Customer Sell 0 0 5
Dealer to Dealer 0 0 *
<= $1MM 0 0 5
<= $10MM 0 0 6
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 15.1
Weighted Avg. Price 0.0 0.0 15.3
Avg. Price Bottom 5 Trades 0.0 0.0 10.3
2nd Quartile Price 0.0 0.0 14.1
3rd Quartile Price 0.0 0.0 15.1
4th Quartile Price 0.0 0.0 18.3
Avg. Price Top 5 Trades 0.0 0.0 19.0
Standard Deviation 0.0 0.0 4.0
VOLUME OF TRADES (000'S) 0.0 0.0 357,395.4
Customer Buy 0.0 0.0 164,339.5
Customer Sell 0.0 0.0 124,567.0
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM 0.0 0.0 39,273.6
<= $100MM 0.0 0.0 317,333.5
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 19
Customer Buy 0 0 7
Customer Sell 0 0 9
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 7
<= $100MM 0 0 10
> $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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