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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 100.3 93.7 96.3 100.1
Weighted Avg. Price 101.5 100.1 99.4 100.9
Avg. Price Bottom 5 Trades 78.4 80.1 91.7 98.9
2nd Quartile Price 100.0 90.0 93.5 99.7
3rd Quartile Price 102.6 95.5 99.7 100.3
4th Quartile Price 105.7 99.8 99.8 100.5
Avg. Price Top 5 Trades 109.6 110.5 100.0 101.2
Standard Deviation 16.3 9.7 5.1 1.3
VOLUME OF TRADES (000'S) 3,903.9 118,543.5 14,479.4 93,929.5
Customer Buy 1,985.6 30,484.2 11,337.5 47,211.0
Customer Sell 1,055.4 87,813.0 * *
Dealer to Dealer 862.9 246.3 * 10,992.5
<= $1MM 1,808.8 1,416.0 3,257.5 4,551.3
<= $10MM * 20,729.7 * 14,953.5
<= $100MM 0.0 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 44 57 14 15
Customer Buy 20 21 10 7
Customer Sell 13 24 * *
Dealer to Dealer 11 12 * 6
<= $1MM 42 43 12 7
<= $10MM * 10 * 5
<= $100MM 0 * 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 100.7 97.3 96.7 101.7
Weighted Avg. Price 100.4 100.3 101.4 102.1
Avg. Price Bottom 5 Trades 86.4 86.7 93.4 98.8
2nd Quartile Price 100.0 92.6 98.0 101.2
3rd Quartile Price 102.0 99.1 99.3 102.6
4th Quartile Price 104.8 101.9 101.7 103.3
Avg. Price Top 5 Trades 108.9 107.2 100.7 103.5
Standard Deviation 7.1 6.9 5.6 2.1
VOLUME OF TRADES (000'S) 1,527.5 5,523.1 18,779.0 173,801.7
Customer Buy 286.3 3,660.2 10,154.3 120,240.6
Customer Sell 1,021.3 1,568.9 * *
Dealer to Dealer 219.9 293.9 8,551.1 47,217.3
<= $1MM 526.8 1,632.6 465.6 1,020.6
<= $10MM * * * 99,891.3
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 49 40 11 30
Customer Buy 13 15 5 12
Customer Sell 16 7 * *
Dealer to Dealer 20 18 5 15
<= $1MM 48 37 8 5
<= $10MM * * * 22
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 102.9 95.1 91.0 98.5
Weighted Avg. Price 107.3 100.3 102.2 100.0
Avg. Price Bottom 5 Trades 73.6 77.8 82.5 94.7
2nd Quartile Price 104.2 92.7 80.7 96.6
3rd Quartile Price 105.9 99.3 99.0 99.5
4th Quartile Price 107.8 101.0 104.1 100.0
Avg. Price Top 5 Trades 109.8 104.2 101.2 103.9
Standard Deviation 13.4 9.3 10.5 3.6
VOLUME OF TRADES (000'S) 1,982.5 4,673.4 2,359.1 42,793.3
Customer Buy 1,169.6 1,544.9 * 16,519.1
Customer Sell 194.1 1,583.4 * 7,627.9
Dealer to Dealer 618.8 1,545.1 1,017.5 18,646.4
<= $1MM 1,982.5 4,673.4 2,359.1 3,411.2
<= $10MM 0.0 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 79 53 11 40
Customer Buy 20 25 * 16
Customer Sell 18 12 * 8
Dealer to Dealer 41 16 5 16
<= $1MM 79 53 11 36
<= $10MM 0 0 0 *
<= $100MM 0 0 0 *
> $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 * 9.6 * *
Weighted Avg. Price * 6.8 * *
Avg. Price Bottom 5 Trades * 5.7 * *
2nd Quartile Price * 9.3 * *
3rd Quartile Price * 10.2 * *
4th Quartile Price * 10.8 * *
Avg. Price Top 5 Trades * 11.8 * *
Standard Deviation * 3.3 * *
VOLUME OF TRADES (000'S) * 7,558.0 * *
Customer Buy * 4,208.4 * *
Customer Sell * 3,182.2 0.0 0.0
Dealer to Dealer 0.0 * 0.0 0.0
<= $1MM * 4,498.2 * 0.0
<= $10MM 0.0 * 0.0 0.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 23 * *
Customer Buy * 7 * *
Customer Sell * 13 0 0
Dealer to Dealer 0 * 0 0
<= $1MM * 21 * 0
<= $10MM 0 * 0 0
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * 13.1 14.9 *
Weighted Avg. Price * 13.0 14.9 *
Avg. Price Bottom 5 Trades * 13.1 14.9 *
2nd Quartile Price * * * *
3rd Quartile Price * * * *
4th Quartile Price * * * *
Avg. Price Top 5 Trades * 13.1 14.9 *
Standard Deviation * 1.9 0.1 *
VOLUME OF TRADES (000'S) * 2,787.1 16,734.3 *
Customer Buy * * 5,993.8 *
Customer Sell * * * 0.0
Dealer to Dealer * 0.0 * 0.0
<= $1MM * 1,668.9 5,993.8 *
<= $10MM * * * 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 6 11 *
Customer Buy * * 9 *
Customer Sell * * * 0
Dealer to Dealer * 0 * 0
<= $1MM * 5 9 *
<= $10MM * * * 0
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 0.0 3.8 0.0 *
Weighted Avg. Price 0.0 1.7 0.0 *
Avg. Price Bottom 5 Trades 0.0 3.8 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 3.8 0.0 *
Standard Deviation 0.0 4.8 0.0 *
VOLUME OF TRADES (000'S) 0.0 7,090.6 0.0 *
Customer Buy 0.0 * 0.0 *
Customer Sell 0.0 * 0.0 0.0
Dealer to Dealer 0.0 * 0.0 *
<= $1MM 0.0 * 0.0 0.0
<= $10MM 0.0 * 0.0 *
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 6 0 *
Customer Buy 0 * 0 *
Customer Sell 0 * 0 0
Dealer to Dealer 0 * 0 *
<= $1MM 0 * 0 0
<= $10MM 0 * 0 *
<= $100MM 0 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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