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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 102.2 102.8 96.7
Weighted Avg. Price 106.1 109.1 98.9
Avg. Price Bottom 5 Trades 95.0 96.1 78.1
2nd Quartile Price 100.0 99.6 96.0
3rd Quartile Price 103.3 103.0 99.3
4th Quartile Price 104.9 108.9 100.0
Avg. Price Top 5 Trades 107.5 109.5 107.8
Standard Deviation 3.7 6.0 6.4
VOLUME OF TRADES (000'S) 334.3 370.6 215,755.6
Customer Buy 137.4 * 122,785.2
Customer Sell 22.4 * 41,444.3
Dealer to Dealer 174.4 195.5 51,526.0
<= $1MM 334.3 370.6 13,024.7
<= $10MM 0.0 0.0 94,365.0
<= $100MM 0.0 0.0 108,365.9
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 59 16 170
Customer Buy 16 * 102
Customer Sell 19 * 20
Dealer to Dealer 24 9 48
<= $1MM 59 16 128
<= $10MM 0 0 37
<= $100MM 0 0 5
> $100MM 0 0 0
FHLMC
AVERAGE PRICE 100.6 101.9 97.2
Weighted Avg. Price 106.1 100.6 99.5
Avg. Price Bottom 5 Trades 87.3 99.2 75.7
2nd Quartile Price 100.0 100.2 94.8
3rd Quartile Price 100.2 101.5 100.0
4th Quartile Price 104.2 107.3 102.0
Avg. Price Top 5 Trades 107.8 105.1 106.5
Standard Deviation 8.0 4.0 7.4
VOLUME OF TRADES (000'S) 164.9 550.2 266,172.7
Customer Buy 114.8 539.8 174,663.5
Customer Sell 32.3 * 52,701.4
Dealer to Dealer 17.8 * 38,807.8
<= $1MM 164.9 550.2 17,767.0
<= $10MM 0.0 0.0 121,368.2
<= $100MM 0.0 0.0 127,037.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 49 11 145
Customer Buy 15 6 90
Customer Sell 20 * 16
Dealer to Dealer 14 * 39
<= $1MM 49 11 108
<= $10MM 0 0 29
<= $100MM 0 0 8
> $100MM 0 0 0
GNMA
AVERAGE PRICE 104.4 108.3 97.2
Weighted Avg. Price 106.7 108.2 98.2
Avg. Price Bottom 5 Trades 99.0 103.1 66.8
2nd Quartile Price 103.3 107.1 96.5
3rd Quartile Price 105.2 109.0 99.0
4th Quartile Price 107.0 110.3 100.0
Avg. Price Top 5 Trades 108.9 109.8 109.4
Standard Deviation 3.2 2.7 7.3
VOLUME OF TRADES (000'S) 715.5 387.9 134,456.9
Customer Buy 117.5 122.4 95,980.1
Customer Sell 421.8 * 17,039.2
Dealer to Dealer 176.3 216.5 21,437.6
<= $1MM 715.5 387.9 6,094.1
<= $10MM 0.0 0.0 51,598.6
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 64 43 238
Customer Buy 17 15 148
Customer Sell 22 * 24
Dealer to Dealer 25 25 66
<= $1MM 64 43 224
<= $10MM 0 0 12
<= $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 0.0 0.0 15.9
Weighted Avg. Price 0.0 0.0 13.9
Avg. Price Bottom 5 Trades 0.0 0.0 11.2
2nd Quartile Price 0.0 0.0 12.9
3rd Quartile Price 0.0 0.0 18.9
4th Quartile Price 0.0 0.0 21.1
Avg. Price Top 5 Trades 0.0 0.0 20.8
Standard Deviation 0.0 0.0 5.5
VOLUME OF TRADES (000'S) 0.0 0.0 276,625.9
Customer Buy 0.0 0.0 89,623.6
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 0.0 108,078.2
> $100MM 0.0 0.0 *
NUMBER OF TRADES 0 0 11
Customer Buy 0 0 7
Customer Sell 0 0 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 *
<= $100MM 0 0 5
> $100MM 0 0 *
FHLMC
AVERAGE PRICE 85.1 * 10.7
Weighted Avg. Price 86.6 * 14.8
Avg. Price Bottom 5 Trades 85.1 * 5.3
2nd Quartile Price * * 7.0
3rd Quartile Price * * 12.9
4th Quartile Price * * 16.3
Avg. Price Top 5 Trades 85.1 * 16.1
Standard Deviation 13.8 * 4.9
VOLUME OF TRADES (000'S) 5,847.9 * 200,752.8
Customer Buy 2,972.6 * 82,373.8
Customer Sell 2,875.3 * *
Dealer to Dealer 0.0 0.0 57,975.3
<= $1MM 3,808.2 * 876.5
<= $10MM * 0.0 *
<= $100MM 0.0 0.0 181,481.1
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 27 * 15
Customer Buy 14 * 7
Customer Sell 13 * *
Dealer to Dealer 0 0 5
<= $1MM 25 * 5
<= $10MM * 0 *
<= $100MM 0 0 6
> $100MM 0 0 0
GNMA
AVERAGE PRICE * 0.0 15.1
Weighted Avg. Price * 0.0 13.2
Avg. Price Bottom 5 Trades * 0.0 12.8
2nd Quartile Price * 0.0 15.8
3rd Quartile Price * 0.0 20.5
4th Quartile Price * 0.0 20.8
Avg. Price Top 5 Trades * 0.0 16.7
Standard Deviation * 0.0 7.0
VOLUME OF TRADES (000'S) * 0.0 37,499.2
Customer Buy * 0.0 *
Customer Sell * 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 7
Customer Buy * 0 *
Customer Sell * 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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