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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 107.0 108.7 100.9
Weighted Avg. Price 102.1 110.9 101.1
Avg. Price Bottom 5 Trades 95.6 107.1 90.4
2nd Quartile Price 100.0 107.2 99.6
3rd Quartile Price 107.2 110.1 100.1
4th Quartile Price 110.0 111.4 101.6
Avg. Price Top 5 Trades 125.8 110.6 113.0
Standard Deviation 9.1 2.9 3.8
VOLUME OF TRADES (000'S) 7,736.1 327.3 315,454.0
Customer Buy 7,595.4 * 214,697.5
Customer Sell 88.9 176.2 38,087.2
Dealer to Dealer 51.8 * 62,669.3
<= $1MM 1,425.6 327.3 23,998.3
<= $10MM * 0.0 58,638.5
<= $100MM 0.0 0.0 232,817.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 60 9 200
Customer Buy 14 * 114
Customer Sell 30 6 36
Dealer to Dealer 16 * 50
<= $1MM 59 9 172
<= $10MM * 0 19
<= $100MM 0 0 9
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 104.9 107.6 102.3
Weighted Avg. Price 113.3 113.5 103.8
Avg. Price Bottom 5 Trades 87.2 100.6 92.6
2nd Quartile Price 101.2 107.0 99.5
3rd Quartile Price 107.0 109.5 101.4
4th Quartile Price 109.8 111.1 105.0
Avg. Price Top 5 Trades 116.4 115.7 113.9
Standard Deviation 8.1 8.6 4.8
VOLUME OF TRADES (000'S) 2,433.2 2,263.1 106,620.5
Customer Buy 1,029.4 1,289.3 44,701.4
Customer Sell 1,208.9 355.4 34,248.7
Dealer to Dealer 194.9 * 27,670.4
<= $1MM 2,433.2 2,263.1 26,430.9
<= $10MM 0.0 0.0 32,704.3
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 81 17 115
Customer Buy 14 7 42
Customer Sell 42 6 33
Dealer to Dealer 25 * 40
<= $1MM 81 17 97
<= $10MM 0 0 15
<= $100MM 0 0 *
> $100MM 0 0 0
GNMA
AVERAGE PRICE 109.7 106.1 102.6
Weighted Avg. Price 112.7 107.9 103.6
Avg. Price Bottom 5 Trades 100.8 104.2 91.5
2nd Quartile Price 105.0 100.7 99.5
3rd Quartile Price 110.9 109.0 101.1
4th Quartile Price 113.3 110.1 107.2
Avg. Price Top 5 Trades 116.6 109.9 113.8
Standard Deviation 4.8 4.7 5.8
VOLUME OF TRADES (000'S) 2,577.5 228.3 158,124.5
Customer Buy 904.6 133.5 70,850.7
Customer Sell 934.9 41.4 36,353.9
Dealer to Dealer 738.1 * 50,920.0
<= $1MM 2,577.5 228.3 13,973.5
<= $10MM 0.0 0.0 31,304.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 71 14 160
Customer Buy 22 5 83
Customer Sell 27 6 32
Dealer to Dealer 22 * 45
<= $1MM 71 14 141
<= $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 4.3 18.9 14.0
Weighted Avg. Price 4.3 19.6 21.2
Avg. Price Bottom 5 Trades 4.3 18.9 9.0
2nd Quartile Price 4.3 * 9.3
3rd Quartile Price 4.4 * 10.5
4th Quartile Price 4.6 * 19.5
Avg. Price Top 5 Trades 4.3 18.9 23.8
Standard Deviation 0.1 0.4 6.3
VOLUME OF TRADES (000'S) 321,894.2 3,088.2 219,641.9
Customer Buy * 0.0 138,527.7
Customer Sell 0.0 1,029.4 58,837.1
Dealer to Dealer * * *
<= $1MM 0.0 1,029.4 3,441.9
<= $10MM 0.0 * 32,019.6
<= $100MM 321,894.2 0.0 184,180.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 6 21 20
Customer Buy * 0 8
Customer Sell 0 19 9
Dealer to Dealer * * *
<= $1MM 0 19 6
<= $10MM 0 * 8
<= $100MM 6 0 6
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 13.2
Weighted Avg. Price 0.0 * 17.1
Avg. Price Bottom 5 Trades 0.0 * 9.2
2nd Quartile Price 0.0 * 10.1
3rd Quartile Price 0.0 * 15.5
4th Quartile Price 0.0 * 18.8
Avg. Price Top 5 Trades 0.0 * 17.9
Standard Deviation 0.0 * 4.9
VOLUME OF TRADES (000'S) 0.0 * 256,710.8
Customer Buy 0.0 * *
Customer Sell 0.0 * 193,426.0
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 * *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 238,656.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 11
Customer Buy 0 * *
Customer Sell 0 * 6
Dealer to Dealer 0 0 *
<= $1MM 0 * *
<= $10MM 0 0 *
<= $100MM 0 0 5
> $100MM 0 0 0
GNMA
AVERAGE PRICE * 0.0 13.5
Weighted Avg. Price * 0.0 11.2
Avg. Price Bottom 5 Trades * 0.0 6.0
2nd Quartile Price * 0.0 9.3
3rd Quartile Price * 0.0 16.1
4th Quartile Price * 0.0 17.9
Avg. Price Top 5 Trades * 0.0 19.1
Standard Deviation * 0.0 5.8
VOLUME OF TRADES (000'S) * 0.0 242,491.1
Customer Buy * 0.0 78,544.7
Customer Sell 0.0 0.0 *
Dealer to Dealer 0.0 0.0 *
<= $1MM 0.0 0.0 *
<= $10MM * 0.0 27,242.8
<= $100MM 0.0 0.0 215,190.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 16
Customer Buy * 0 8
Customer Sell 0 0 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM * 0 6
<= $100MM 0 0 8
> $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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