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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 94.9 91.8 87.6 89.0
Weighted Avg. Price 94.4 95.4 94.0 94.7
Avg. Price Bottom 5 Trades 73.0 74.8 78.0 63.4
2nd Quartile Price 95.0 86.0 90.9 86.2
3rd Quartile Price 97.9 96.4 93.0 95.6
4th Quartile Price 99.6 99.2 93.9 99.6
Avg. Price Top 5 Trades 101.8 100.4 94.6 100.0
Standard Deviation 9.8 9.2 12.3 13.7
VOLUME OF TRADES (000'S) 934.2 28,979.6 4,516.7 53,796.1
Customer Buy 212.8 3,331.5 1,918.4 30,934.5
Customer Sell 642.1 23,371.4 * 4,835.3
Dealer to Dealer 79.3 2,276.7 2,318.7 18,026.3
<= $1MM 934.2 6,651.1 2,305.9 7,432.8
<= $10MM 0.0 22,328.5 * 46,363.3
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 41 41 18 38
Customer Buy 8 9 5 17
Customer Sell 22 19 * 8
Dealer to Dealer 11 13 9 13
<= $1MM 41 34 16 20
<= $10MM 0 7 * 18
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE 96.4 96.6 77.9 85.8
Weighted Avg. Price 98.5 96.9 85.8 91.2
Avg. Price Bottom 5 Trades 82.9 87.1 66.8 64.0
2nd Quartile Price 95.4 95.5 79.3 85.1
3rd Quartile Price 97.3 98.1 94.5 87.9
4th Quartile Price 99.9 99.4 97.4 94.8
Avg. Price Top 5 Trades 101.4 99.6 92.7 99.3
Standard Deviation 7.8 3.9 31.5 12.1
VOLUME OF TRADES (000'S) 703.0 28,337.3 5,204.2 146,257.4
Customer Buy 70.5 1,065.4 * 71,289.5
Customer Sell 354.6 22,320.0 * 11,747.3
Dealer to Dealer 277.9 4,951.9 * 63,220.6
<= $1MM 703.0 10,689.2 3,938.9 4,594.4
<= $10MM 0.0 17,648.1 * 41,683.1
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 44 51 8 37
Customer Buy 8 8 * 13
Customer Sell 25 30 * 13
Dealer to Dealer 11 13 * 11
<= $1MM 44 41 7 19
<= $10MM 0 10 * 16
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE 98.1 93.9 86.5 69.9
Weighted Avg. Price 99.2 90.5 96.7 87.2
Avg. Price Bottom 5 Trades 87.1 82.1 82.7 53.0
2nd Quartile Price 97.5 91.5 71.7 60.7
3rd Quartile Price 99.7 95.6 97.1 65.3
4th Quartile Price 100.8 98.4 97.7 89.5
Avg. Price Top 5 Trades 103.9 100.9 92.0 93.2
Standard Deviation 6.6 6.8 13.4 18.1
VOLUME OF TRADES (000'S) 587.7 658.2 7,388.4 20,467.9
Customer Buy 107.4 244.7 * 18,627.1
Customer Sell 285.1 * 0.0 *
Dealer to Dealer 195.2 307.0 * 1,491.1
<= $1MM 587.7 658.2 * 2,349.8
<= $10MM 0.0 0.0 * *
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 43 32 8 18
Customer Buy 10 14 * 7
Customer Sell 17 * 0 *
Dealer to Dealer 16 15 * 7
<= $1MM 43 32 * 15
<= $10MM 0 0 * *
<= $100MM 0 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 14.3 13.8 * 14.1
Weighted Avg. Price 4.7 4.8 * 14.7
Avg. Price Bottom 5 Trades 10.7 3.7 * 8.6
2nd Quartile Price 15.6 5.3 * 10.8
3rd Quartile Price 17.8 7.3 * 16.6
4th Quartile Price 18.3 11.1 * 18.8
Avg. Price Top 5 Trades 17.9 23.9 * 18.2
Standard Deviation 5.7 25.7 * 4.8
VOLUME OF TRADES (000'S) 9,475.2 3,815.8 * 229,272.6
Customer Buy * * * 87,965.9
Customer Sell * * * 141,306.6
Dealer to Dealer * * 0.0 0.0
<= $1MM 2,604.3 2,694.4 0.0 0.0
<= $10MM * * * *
<= $100MM 0.0 0.0 0.0 222,474.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 10 10 * 14
Customer Buy * * * 6
Customer Sell * * * 8
Dealer to Dealer * * 0 0
<= $1MM 9 9 0 0
<= $10MM * * * *
<= $100MM 0 0 0 11
> $100MM 0 0 0 0
FHLMC
AVERAGE PRICE * 4.1 * 16.6
Weighted Avg. Price * 3.8 * 18.0
Avg. Price Bottom 5 Trades * 4.1 * 16.6
2nd Quartile Price * * * *
3rd Quartile Price * * * *
4th Quartile Price * * * *
Avg. Price Top 5 Trades * 4.1 * 16.6
Standard Deviation * 1.6 * 4.4
VOLUME OF TRADES (000'S) * 1,777.7 * 48,963.8
Customer Buy * * 0.0 *
Customer Sell * * 0.0 *
Dealer to Dealer 0.0 * * 0.0
<= $1MM * 1,777.7 * *
<= $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 * 6 * 5
Customer Buy * * 0 *
Customer Sell * * 0 *
Dealer to Dealer 0 * * 0
<= $1MM * 6 * *
<= $10MM 0 0 0 *
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
GNMA
AVERAGE PRICE * * * 13.1
Weighted Avg. Price * * * 12.7
Avg. Price Bottom 5 Trades * * * 10.0
2nd Quartile Price * * * 11.6
3rd Quartile Price * * * 13.6
4th Quartile Price * * * 14.3
Avg. Price Top 5 Trades * * * 15.6
Standard Deviation * * * 2.9
VOLUME OF TRADES (000'S) * * * 178,596.7
Customer Buy 0.0 * * 118,266.3
Customer Sell * * 0.0 55,704.9
Dealer to Dealer 0.0 0.0 0.0 *
<= $1MM * 0.0 * *
<= $10MM 0.0 * 0.0 24,532.9
<= $100MM 0.0 0.0 0.0 153,131.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * * * 16
Customer Buy 0 * * 6
Customer Sell * * 0 7
Dealer to Dealer 0 0 0 *
<= $1MM * 0 * *
<= $10MM 0 * 0 7
<= $100MM 0 0 0 7
> $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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