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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
FNMA
AVERAGE PRICE 103.5 103.7 97.3
Weighted Avg. Price 109.3 106.4 102.1
Avg. Price Bottom 5 Trades 87.7 96.7 83.4
2nd Quartile Price 100.1 100.5 94.0
3rd Quartile Price 104.3 105.3 98.3
4th Quartile Price 108.5 108.7 100.5
Avg. Price Top 5 Trades 115.0 111.9 110.1
Standard Deviation 7.9 5.4 5.9
VOLUME OF TRADES (000'S) 3,617.7 4,762.6 153,093.3
Customer Buy 1,034.5 2,012.8 66,145.5
Customer Sell 897.9 1,003.5 57,581.9
Dealer to Dealer 1,685.4 * 29,365.9
<= $1MM 3,617.7 2,053.4 18,995.6
<= $10MM 0.0 * 70,688.9
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 62 26 209
Customer Buy 19 11 94
Customer Sell 24 11 58
Dealer to Dealer 19 * 57
<= $1MM 62 24 180
<= $10MM 0 * 25
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 103.8 105.6 99.9
Weighted Avg. Price 104.4 96.0 99.7
Avg. Price Bottom 5 Trades 92.5 102.2 80.9
2nd Quartile Price 100.0 105.0 97.6
3rd Quartile Price 103.2 106.0 100.0
4th Quartile Price 108.3 110.0 103.6
Avg. Price Top 5 Trades 112.5 110.6 112.7
Standard Deviation 6.0 4.5 6.6
VOLUME OF TRADES (000'S) 10,381.4 5,237.3 343,545.1
Customer Buy 433.8 5,055.2 172,332.5
Customer Sell 9,478.2 * 108,392.0
Dealer to Dealer 469.4 115.7 62,820.6
<= $1MM 1,304.0 279.0 17,326.7
<= $10MM * * 119,905.1
<= $100MM 0.0 0.0 206,313.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 85 17 178
Customer Buy 26 6 77
Customer Sell 30 * 45
Dealer to Dealer 29 7 56
<= $1MM 82 16 137
<= $10MM * * 35
<= $100MM 0 0 6
> $100MM 0 0 0
GNMA
AVERAGE PRICE 107.8 104.8 102.2
Weighted Avg. Price 104.5 106.6 102.0
Avg. Price Bottom 5 Trades 94.7 100.4 87.8
2nd Quartile Price 101.0 101.5 99.5
3rd Quartile Price 107.2 106.9 102.2
4th Quartile Price 110.0 109.3 105.5
Avg. Price Top 5 Trades 128.5 109.7 113.2
Standard Deviation 9.8 4.2 5.1
VOLUME OF TRADES (000'S) 9,786.5 152.6 344,702.3
Customer Buy 1,585.3 34.2 126,905.4
Customer Sell 6,700.0 61.4 81,453.7
Dealer to Dealer 1,501.3 57.0 136,343.1
<= $1MM 4,682.0 152.6 27,952.8
<= $10MM * 0.0 57,247.0
<= $100MM 0.0 0.0 259,502.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 72 19 214
Customer Buy 25 5 102
Customer Sell 29 8 42
Dealer to Dealer 18 6 70
<= $1MM 71 19 184
<= $10MM * 0 23
<= $100MM 0 0 7
> $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 18.5 0.0 19.6
Weighted Avg. Price 18.6 0.0 23.4
Avg. Price Bottom 5 Trades 17.6 0.0 10.9
2nd Quartile Price 18.2 0.0 15.2
3rd Quartile Price 22.8 0.0 17.7
4th Quartile Price 23.1 0.0 20.6
Avg. Price Top 5 Trades 20.9 0.0 32.9
Standard Deviation 6.1 0.0 13.6
VOLUME OF TRADES (000'S) 5,244.0 0.0 613,219.7
Customer Buy * 0.0 272,612.9
Customer Sell * 0.0 201,896.0
Dealer to Dealer 0.0 0.0 138,710.9
<= $1MM * 0.0 *
<= $10MM * 0.0 *
<= $100MM 0.0 0.0 386,381.1
> $100MM 0.0 0.0 *
NUMBER OF TRADES 6 0 20
Customer Buy * 0 8
Customer Sell * 0 7
Dealer to Dealer 0 0 5
<= $1MM * 0 *
<= $10MM * 0 *
<= $100MM 0 0 12
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 26.3 0.0 15.6
Weighted Avg. Price 27.3 0.0 17.3
Avg. Price Bottom 5 Trades 26.3 0.0 10.6
2nd Quartile Price * 0.0 13.3
3rd Quartile Price * 0.0 17.5
4th Quartile Price * 0.0 22.8
Avg. Price Top 5 Trades 26.3 0.0 20.6
Standard Deviation 2.5 0.0 5.9
VOLUME OF TRADES (000'S) 644.4 0.0 214,048.3
Customer Buy * 0.0 102,723.1
Customer Sell 0.0 0.0 111,325.2
Dealer to Dealer * 0.0 0.0
<= $1MM 644.4 0.0 0.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 189,561.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 0 11
Customer Buy * 0 5
Customer Sell 0 0 6
Dealer to Dealer * 0 0
<= $1MM 5 0 0
<= $10MM 0 0 *
<= $100MM 0 0 7
> $100MM 0 0 0
GNMA
AVERAGE PRICE * 0.0 14.3
Weighted Avg. Price * 0.0 17.5
Avg. Price Bottom 5 Trades * 0.0 11.0
2nd Quartile Price * 0.0 14.5
3rd Quartile Price * 0.0 15.4
4th Quartile Price * 0.0 18.1
Avg. Price Top 5 Trades * 0.0 20.3
Standard Deviation * 0.0 6.1
VOLUME OF TRADES (000'S) * 0.0 285,210.1
Customer Buy * 0.0 140,725.9
Customer Sell 0.0 0.0 124,865.4
Dealer to Dealer 0.0 0.0 19,618.7
<= $1MM 0.0 0.0 283.1
<= $10MM * 0.0 36,061.6
<= $100MM 0.0 0.0 248,865.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 18
Customer Buy * 0 6
Customer Sell 0 0 6
Dealer to Dealer 0 0 6
<= $1MM 0 0 6
<= $10MM * 0 6
<= $100MM 0 0 6
> $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.

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