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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-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 100.7 97.1 93.0 100.1
Weighted Avg. Price 104.0 100.3 97.8 100.4
Avg. Price Bottom 5 Trades 91.1 89.5 81.3 97.4
2nd Quartile Price 98.4 93.7 93.2 99.9
3rd Quartile Price 100.0 98.7 96.0 100.8
4th Quartile Price 104.0 101.5 99.9 101.0
Avg. Price Top 5 Trades 111.7 104.1 100.0 102.0
Standard Deviation 5.3 4.8 8.2 2.4
VOLUME OF TRADES (000'S) 21,876.0 103,531.1 6,851.5 77,671.2
Customer Buy 15,692.9 50,327.5 4,717.6 24,961.8
Customer Sell 5,523.3 33,729.5 * *
Dealer to Dealer 659.8 19,474.2 109.9 42,432.9
<= $1MM 4,089.1 7,593.1 265.8 4,440.5
<= $10MM 17,786.8 20,728.0 * 60,386.6
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 65 64 19 28
Customer Buy 24 35 10 16
Customer Sell 19 9 * *
Dealer to Dealer 22 20 6 10
<= $1MM 58 51 16 15
<= $10MM 7 9 * 12
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 100.5 96.4 92.6 101.4
Weighted Avg. Price 103.1 97.8 100.2 103.0
Avg. Price Bottom 5 Trades 94.6 85.4 85.5 97.1
2nd Quartile Price 99.1 93.0 87.0 99.9
3rd Quartile Price 99.9 97.7 96.1 101.3
4th Quartile Price 102.9 100.0 101.4 102.8
Avg. Price Top 5 Trades 109.2 106.1 101.2 107.1
Standard Deviation 4.5 5.6 6.9 3.4
VOLUME OF TRADES (000'S) 2,810.1 59,624.4 35,559.4 275,196.5
Customer Buy 2,298.2 31,131.3 23,096.1 93,595.1
Customer Sell 427.9 20,143.0 * 121,802.0
Dealer to Dealer 84.0 8,350.1 12,446.2 59,799.5
<= $1MM 2,810.1 5,890.9 957.7 4,163.5
<= $10MM 0.0 53,733.5 * 63,591.2
<= $100MM 0.0 0.0 * 207,441.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 52 60 18 34
Customer Buy 17 37 9 19
Customer Sell 21 8 * 8
Dealer to Dealer 14 15 7 7
<= $1MM 52 45 13 14
<= $10MM 0 15 * 14
<= $100MM 0 0 * 6
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 104.0 93.4 90.5 98.8
Weighted Avg. Price 102.8 100.9 102.3 100.0
Avg. Price Bottom 5 Trades 94.5 74.8 80.2 93.1
2nd Quartile Price 102.9 87.6 83.7 98.1
3rd Quartile Price 105.0 97.7 90.6 99.2
4th Quartile Price 106.8 100.3 99.7 100.1
Avg. Price Top 5 Trades 109.5 104.4 102.7 101.9
Standard Deviation 4.0 9.2 9.2 2.3
VOLUME OF TRADES (000'S) 1,521.6 37,117.3 5,243.9 434,461.1
Customer Buy 611.7 16,034.0 1,834.2 389,383.7
Customer Sell 485.2 9,416.9 2,217.6 *
Dealer to Dealer 424.8 11,666.5 1,192.1 36,280.4
<= $1MM 1,521.6 2,007.5 2,585.3 5,877.2
<= $10MM 0.0 24,194.1 * 49,735.6
<= $100MM 0.0 * 0.0 378,848.3
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 93 62 24 75
Customer Buy 33 25 8 44
Customer Sell 30 14 7 *
Dealer to Dealer 30 23 9 27
<= $1MM 93 53 22 49
<= $10MM 0 8 * 14
<= $100MM 0 * 0 12
> $100MM 0 0 0 0
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 0.0 9.9 14.6 0.0
Weighted Avg. Price 0.0 17.9 15.3 0.0
Avg. Price Bottom 5 Trades 0.0 8.0 14.6 0.0
2nd Quartile Price 0.0 3.3 * 0.0
3rd Quartile Price 0.0 19.3 * 0.0
4th Quartile Price 0.0 19.4 * 0.0
Avg. Price Top 5 Trades 0.0 11.6 14.6 0.0
Standard Deviation 0.0 8.4 4.6 0.0
VOLUME OF TRADES (000'S) 0.0 43,714.7 90,306.6 0.0
Customer Buy 0.0 * * 0.0
Customer Sell 0.0 * * 0.0
Dealer to Dealer 0.0 * * 0.0
<= $1MM 0.0 * 0.0 0.0
<= $10MM 0.0 * 0.0 0.0
<= $100MM 0.0 * 90,306.6 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 6 5 0
Customer Buy 0 * * 0
Customer Sell 0 * * 0
Dealer to Dealer 0 * * 0
<= $1MM 0 * 0 0
<= $10MM 0 * 0 0
<= $100MM 0 * 5 0
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 10.8 0.0 *
Weighted Avg. Price 0.0 15.2 0.0 *
Avg. Price Bottom 5 Trades 0.0 10.8 0.0 *
2nd Quartile Price 0.0 * 0.0 *
3rd Quartile Price 0.0 * 0.0 *
4th Quartile Price 0.0 * 0.0 *
Avg. Price Top 5 Trades 0.0 10.8 0.0 *
Standard Deviation 0.0 6.1 0.0 *
VOLUME OF TRADES (000'S) 0.0 66,580.2 0.0 *
Customer Buy 0.0 * 0.0 *
Customer Sell 0.0 * 0.0 0.0
Dealer to Dealer 0.0 * 0.0 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 0.0 * 0.0 0.0
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 5 0 *
Customer Buy 0 * 0 *
Customer Sell 0 * 0 0
Dealer to Dealer 0 * 0 0
<= $1MM 0 0 0 0
<= $10MM 0 * 0 0
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 * * 5.6
Weighted Avg. Price 0.0 * * 1.4
Avg. Price Bottom 5 Trades 0.0 * * 1.9
2nd Quartile Price 0.0 * * 0.6
3rd Quartile Price 0.0 * * 3.4
4th Quartile Price 0.0 * * 16.1
Avg. Price Top 5 Trades 0.0 * * 7.4
Standard Deviation 0.0 * * 7.0
VOLUME OF TRADES (000'S) 0.0 * * 51,352.9
Customer Buy 0.0 0.0 * 47,972.5
Customer Sell 0.0 0.0 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 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * * 8
Customer Buy 0 0 * 5
Customer Sell 0 0 0 0
Dealer to Dealer 0 * 0 *
<= $1MM 0 0 * *
<= $10MM 0 * 0 *
<= $100MM 0 0 * *
> $100MM 0 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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