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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 105.9 106.3 100.4
Weighted Avg. Price 108.1 110.2 101.6
Avg. Price Bottom 5 Trades 97.2 103.2 84.3
2nd Quartile Price 102.3 100.8 98.5
3rd Quartile Price 108.1 109.8 100.0
4th Quartile Price 110.2 111.3 102.3
Avg. Price Top 5 Trades 111.3 110.5 111.5
Standard Deviation 5.6 5.1 5.2
VOLUME OF TRADES (000'S) 4,837.3 107.5 281,675.3
Customer Buy 157.0 * 49,238.2
Customer Sell 4,632.9 * 209,680.5
Dealer to Dealer 47.3 * 22,756.6
<= $1MM 364.2 107.5 17,463.6
<= $10MM * 0.0 56,338.9
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 44 10 165
Customer Buy 21 * 72
Customer Sell 16 * 51
Dealer to Dealer 7 * 42
<= $1MM 42 10 142
<= $10MM * 0 19
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 103.6 107.7 96.4
Weighted Avg. Price 104.4 109.3 92.6
Avg. Price Bottom 5 Trades 89.9 105.8 52.8
2nd Quartile Price 102.0 105.0 93.3
3rd Quartile Price 105.7 109.6 93.3
4th Quartile Price 109.5 111.3 101.0
Avg. Price Top 5 Trades 112.4 110.3 113.1
Standard Deviation 9.2 3.8 10.0
VOLUME OF TRADES (000'S) 1,310.1 78.8 319,785.3
Customer Buy 555.7 * 156,509.0
Customer Sell 309.6 * 101,343.5
Dealer to Dealer 444.8 * 61,932.8
<= $1MM 1,310.1 78.8 18,856.8
<= $10MM 0.0 0.0 108,644.8
<= $100MM 0.0 0.0 192,283.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 52 8 237
Customer Buy 19 * 66
Customer Sell 18 * 140
Dealer to Dealer 15 * 31
<= $1MM 52 8 196
<= $10MM 0 0 32
<= $100MM 0 0 9
> $100MM 0 0 0
GNMA
AVERAGE PRICE 107.5 108.8 101.3
Weighted Avg. Price 110.3 111.0 100.5
Avg. Price Bottom 5 Trades 100.1 102.4 85.9
2nd Quartile Price 106.0 107.5 99.3
3rd Quartile Price 108.6 109.9 101.3
4th Quartile Price 110.5 111.5 105.5
Avg. Price Top 5 Trades 113.4 113.6 116.6
Standard Deviation 4.1 4.0 7.7
VOLUME OF TRADES (000'S) 1,138.2 727.8 189,304.0
Customer Buy 465.3 299.7 5,941.3
Customer Sell 412.5 178.8 125,296.3
Dealer to Dealer 260.4 249.3 58,066.5
<= $1MM 1,138.2 727.8 10,535.9
<= $10MM 0.0 0.0 41,559.3
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 66 25 148
Customer Buy 20 8 44
Customer Sell 28 9 55
Dealer to Dealer 18 8 49
<= $1MM 66 25 126
<= $10MM 0 0 18
<= $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 5.2 0.0 28.1
Weighted Avg. Price 5.4 0.0 18.5
Avg. Price Bottom 5 Trades 5.2 0.0 7.7
2nd Quartile Price * 0.0 6.5
3rd Quartile Price * 0.0 16.1
4th Quartile Price * 0.0 76.0
Avg. Price Top 5 Trades 5.2 0.0 80.6
Standard Deviation 0.2 0.0 30.6
VOLUME OF TRADES (000'S) 2,999.1 0.0 100,333.2
Customer Buy * 0.0 88,926.7
Customer Sell 749.8 0.0 1,636.8
Dealer to Dealer * 0.0 *
<= $1MM 2,999.1 0.0 2,580.4
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 12 0 21
Customer Buy * 0 7
Customer Sell 9 0 10
Dealer to Dealer * 0 *
<= $1MM 12 0 16
<= $10MM 0 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
FHLMC
AVERAGE PRICE * 0.0 20.4
Weighted Avg. Price * 0.0 15.9
Avg. Price Bottom 5 Trades * 0.0 5.7
2nd Quartile Price * 0.0 10.8
3rd Quartile Price * 0.0 17.2
4th Quartile Price * 0.0 18.3
Avg. Price Top 5 Trades * 0.0 40.8
Standard Deviation * 0.0 23.9
VOLUME OF TRADES (000'S) * 0.0 142,941.0
Customer Buy * 0.0 105,440.0
Customer Sell 0.0 0.0 33,233.4
Dealer to Dealer 0.0 0.0 *
<= $1MM * 0.0 2,114.6
<= $10MM * 0.0 10,271.0
<= $100MM 0.0 0.0 130,555.5
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 18
Customer Buy * 0 10
Customer Sell 0 0 5
Dealer to Dealer 0 0 *
<= $1MM * 0 6
<= $10MM * 0 6
<= $100MM 0 0 6
> $100MM 0 0 0
GNMA
AVERAGE PRICE * 0.0 *
Weighted Avg. Price * 0.0 *
Avg. Price Bottom 5 Trades * 0.0 *
2nd Quartile Price * 0.0 *
3rd Quartile Price * 0.0 *
4th Quartile Price * 0.0 *
Avg. Price Top 5 Trades * 0.0 *
Standard Deviation * 0.0 *
VOLUME OF TRADES (000'S) * 0.0 *
Customer Buy 0.0 0.0 *
Customer Sell * 0.0 0.0
Dealer to Dealer 0.0 0.0 *
<= $1MM * 0.0 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 *
Customer Buy 0 0 *
Customer Sell * 0 0
Dealer to Dealer 0 0 *
<= $1MM * 0 *
<= $10MM 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.

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