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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 104.6 100.3 99.3 100.4
Weighted Avg. Price 110.8 101.6 100.3 101.1
Avg. Price Bottom 5 Trades 95.2 93.6 95.3 97.0
2nd Quartile Price 100.0 98.6 98.5 99.5
3rd Quartile Price 106.4 100.0 100.0 100.0
4th Quartile Price 108.1 101.8 101.5 101.9
Avg. Price Top 5 Trades 114.4 112.0 102.5 104.1
Standard Deviation 5.9 4.1 2.4 2.1
VOLUME OF TRADES (000'S) 2,623.4 46,553.7 26,899.5 59,684.7
Customer Buy 2,155.6 32,290.8 3,837.6 22,003.3
Customer Sell 241.0 10,369.3 20,981.9 *
Dealer to Dealer 226.8 3,893.5 2,080.0 35,804.5
<= $1MM 623.4 8,633.7 4,593.1 5,824.1
<= $10MM * 37,920.0 * 26,087.9
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 64 106 37 50
Customer Buy 10 38 14 29
Customer Sell 28 29 9 *
Dealer to Dealer 26 39 14 18
<= $1MM 63 93 32 40
<= $10MM * 13 * 9
<= $100MM 0 0 * *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 103.8 101.0 101.4 101.3
Weighted Avg. Price 109.7 100.6 100.4 100.7
Avg. Price Bottom 5 Trades 93.4 95.9 95.8 97.4
2nd Quartile Price 100.0 99.3 99.9 100.0
3rd Quartile Price 106.9 100.3 101.5 101.5
4th Quartile Price 108.1 102.5 102.1 102.6
Avg. Price Top 5 Trades 112.7 109.7 108.5 103.6
Standard Deviation 6.0 3.2 4.6 2.0
VOLUME OF TRADES (000'S) 9,619.7 21,623.3 71,272.2 121,963.3
Customer Buy 966.6 5,300.4 21,500.0 28,587.8
Customer Sell 3,446.6 11,976.3 14,788.1 71,198.4
Dealer to Dealer 5,206.5 4,346.6 34,984.1 22,177.2
<= $1MM 2,156.5 9,904.0 8,681.3 11,944.8
<= $10MM * 11,719.3 20,195.8 37,085.6
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 104 103 33 47
Customer Buy 12 37 8 23
Customer Sell 47 29 16 8
Dealer to Dealer 45 37 9 16
<= $1MM 101 96 22 31
<= $10MM * 7 8 14
<= $100MM 0 0 * *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 104.6 101.4 100.2 100.0
Weighted Avg. Price 107.8 102.0 102.3 101.1
Avg. Price Bottom 5 Trades 94.9 90.3 97.4 96.6
2nd Quartile Price 99.6 99.6 98.5 99.3
3rd Quartile Price 106.5 100.3 99.5 100.0
4th Quartile Price 109.1 104.5 100.6 101.1
Avg. Price Top 5 Trades 112.8 112.8 104.0 104.4
Standard Deviation 5.8 5.5 3.5 2.0
VOLUME OF TRADES (000'S) 1,011.5 43,011.8 5,273.7 72,150.0
Customer Buy 258.5 21,119.6 4,080.1 48,194.7
Customer Sell 218.9 16,386.5 1,143.3 14,403.3
Dealer to Dealer 534.1 5,505.7 50.2 9,552.0
<= $1MM 1,011.5 4,897.3 1,215.1 6,535.4
<= $10MM 0.0 38,114.5 * 50,242.9
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 66 109 24 64
Customer Buy 12 30 7 36
Customer Sell 20 38 8 12
Dealer to Dealer 34 41 9 16
<= $1MM 66 100 22 51
<= $10MM 0 9 * 12
<= $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 * 15.7 8.3 *
Weighted Avg. Price * 16.0 18.7 *
Avg. Price Bottom 5 Trades * 14.5 6.7 *
2nd Quartile Price * 14.8 4.1 *
3rd Quartile Price * 18.0 8.6 *
4th Quartile Price * 23.0 8.8 *
Avg. Price Top 5 Trades * 17.2 9.7 *
Standard Deviation * 5.0 5.1 *
VOLUME OF TRADES (000'S) * 80,311.2 14,542.4 *
Customer Buy * * * *
Customer Sell 0.0 * * *
Dealer to Dealer 0.0 0.0 * 0.0
<= $1MM 0.0 0.0 1,038.1 0.0
<= $10MM * * 0.0 0.0
<= $100MM 0.0 * * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 7 8 *
Customer Buy * * * *
Customer Sell 0 * * *
Dealer to Dealer 0 0 * 0
<= $1MM 0 0 7 0
<= $10MM * * 0 0
<= $100MM 0 * * *
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 82.3 * 47.2 7.5
Weighted Avg. Price 22.7 * 8.7 11.2
Avg. Price Bottom 5 Trades 82.3 * 35.1 7.5
2nd Quartile Price * * 15.7 *
3rd Quartile Price * * 83.5 *
4th Quartile Price * * 83.6 *
Avg. Price Top 5 Trades 82.3 * 53.2 7.5
Standard Deviation 26.8 * 39.0 6.6
VOLUME OF TRADES (000'S) 3,276.3 * 101,103.6 54,793.4
Customer Buy * * 60,625.9 *
Customer Sell * 0.0 * *
Dealer to Dealer * 0.0 0.0 0.0
<= $1MM 36.2 0.0 * *
<= $10MM * * * *
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 7 * 8 5
Customer Buy * * 5 *
Customer Sell * 0 * *
Dealer to Dealer * 0 0 0
<= $1MM 6 0 * *
<= $10MM * * * *
<= $100MM 0 0 * *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE * 38.2 0.0 29.8
Weighted Avg. Price * 59.4 0.0 16.9
Avg. Price Bottom 5 Trades * 38.2 0.0 15.9
2nd Quartile Price * * 0.0 16.2
3rd Quartile Price * * 0.0 17.7
4th Quartile Price * * 0.0 72.0
Avg. Price Top 5 Trades * 38.2 0.0 46.0
Standard Deviation * 42.8 0.0 24.2
VOLUME OF TRADES (000'S) * 25,501.7 0.0 436,381.0
Customer Buy 0.0 24,986.5 0.0 220,370.3
Customer Sell * * 0.0 *
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM * * 0.0 *
<= $10MM 0.0 * 0.0 0.0
<= $100MM 0.0 0.0 0.0 325,827.9
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES * 8 0 13
Customer Buy 0 7 0 7
Customer Sell * * 0 *
Dealer to Dealer 0 0 0 *
<= $1MM * * 0 *
<= $10MM 0 * 0 0
<= $100MM 0 0 0 9
> $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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