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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO
Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 101.4 103.1 103.9 104.9 104.8 103.6 106.7
Weighted Avg. Price 101.3 103.7 105.5 105.5 106.6 104.8 111.2
Avg. Price Bottom 5 Trades 99.5 102.3 101.8 102.9 101.8 102.4 100.7
2nd Quartile Price 101.0 103.0 104.0 104.8 104.4 103.0 103.1
3rd Quartile Price 101.3 103.1 104.1 105.0 105.5 103.7 107.5
4th Quartile Price 101.8 103.3 104.3 105.3 105.7 105.6 112.9
Avg. Price Top 5 Trades 102.2 103.9 105.7 106.2 106.6 105.2 113.2
Standard Deviation 0.5 0.4 1.0 0.8 1.4 1.7 5.1
     VOLUME OF TRADES (000'S) 1,183,118.8 1,331,445.8 103,900.0 36,176.0 2,480.3 36.2 2,845.7
     NUMBER OF TRADES 228 97 86 81 66 14 31
FNMA
AVERAGE PRICE * 101.0 102.8 * * * 0.0
Weighted Avg. Price * 101.0 102.2 * * * 0.0
Avg. Price Bottom 5 Trades * 100.0 102.8 * * * 0.0
2nd Quartile Price * 100.6 * * * * 0.0
3rd Quartile Price * 101.1 * * * * 0.0
4th Quartile Price * 101.8 * * * * 0.0
Avg. Price Top 5 Trades * 101.9 102.8 * * * 0.0
Standard Deviation * 1.1 1.4 * * * 0.0
     VOLUME OF TRADES (000'S) * 124,971.7 9,589.4 * * * 0.0
     NUMBER OF TRADES * 14 5 * * * 0
FHLMC
AVERAGE PRICE 101.6 * 103.4 104.5 105.0 103.0 101.5
Weighted Avg. Price 101.3 * 103.0 105.2 105.5 105.9 105.5
Avg. Price Bottom 5 Trades 101.5 * 102.5 104.2 103.9 103.0 97.0
2nd Quartile Price 101.6 * 102.9 104.4 104.3 * 100.5
3rd Quartile Price 101.6 * 104.0 104.6 105.7 * 104.0
4th Quartile Price 101.8 * 104.3 105.3 105.8 * 106.0
Avg. Price Top 5 Trades 101.7 * 104.3 104.7 105.8 103.0 104.9
Standard Deviation 0.4 * 1.2 0.5 1.2 1.6 6.0
     VOLUME OF TRADES (000'S) 63,098.4 * 4,551.9 592.1 46.4 61.0 147.7
     NUMBER OF TRADES 8 * 12 11 13 6 11
GNMA
AVERAGE PRICE * * * 103.7 * * 113.9
Weighted Avg. Price * * * 103.7 * * 114.6
Avg. Price Bottom 5 Trades * * * 103.7 * * 113.9
2nd Quartile Price * * * * * * *
3rd Quartile Price * * * * * * *
4th Quartile Price * * * * * * *
Avg. Price Top 5 Trades * * * 103.7 * * 113.9
Standard Deviation * * * 0.1 * * 5.8
     VOLUME OF TRADES (000'S) * * * 4,034.0 * * 2,418.2
     NUMBER OF TRADES * * * 6 * * 11
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 99.3 101.2 103.7 105.5 105.4 106.1 110.0
Weighted Avg. Price 99.7 100.6 103.6 106.0 108.1 108.3 111.8
Avg. Price Bottom 5 Trades 97.2 99.0 101.5 100.7 102.6 102.9 99.5
2nd Quartile Price 99.6 100.4 103.2 104.5 104.6 104.8 107.6
3rd Quartile Price 99.8 100.7 103.6 105.3 105.4 106.3 110.6
4th Quartile Price 100.0 102.2 104.3 106.8 105.7 107.1 113.3
Avg. Price Top 5 Trades 100.3 103.1 106.0 108.1 109.5 109.6 117.9
Standard Deviation 1.1 1.0 0.8 1.7 1.5 1.6 3.6
     VOLUME OF TRADES (000'S) 875,638.6 7,387,221.8 4,997,681.0 1,712,284.5 418,399.7 32,993.9 11,679.0
     NUMBER OF TRADES 61 284 272 355 179 121 382
FNMA
AVERAGE PRICE 97.4 100.3 103.6 104.2 107.0 106.8 112.2
Weighted Avg. Price 97.5 100.3 103.5 103.8 106.6 105.3 109.9
Avg. Price Bottom 5 Trades 96.9 99.9 103.0 103.7 106.2 105.2 106.9
2nd Quartile Price 97.0 100.0 103.0 103.2 106.5 105.0 113.3
3rd Quartile Price 97.3 100.1 103.3 103.2 106.8 105.0 113.3
4th Quartile Price 99.5 100.5 103.8 106.1 110.6 108.5 113.3
Avg. Price Top 5 Trades 97.5 101.7 105.0 106.1 107.3 111.3 113.0
Standard Deviation 1.1 0.5 0.8 1.3 1.9 3.0 2.4
     VOLUME OF TRADES (000'S) 32,623.0 1,206,193.2 843,029.6 31,856.8 6,611.9 76,957.6 1,796.9
     NUMBER OF TRADES 6 68 40 19 6 42 41
FHLMC
AVERAGE PRICE 97.7 100.8 103.1 104.4 104.8 105.8 107.9
Weighted Avg. Price 97.7 100.5 102.9 105.4 106.7 105.7 109.1
Avg. Price Bottom 5 Trades 97.7 99.6 102.5 103.2 103.2 104.5 100.9
2nd Quartile Price * 100.1 102.6 104.1 104.3 105.6 106.8
3rd Quartile Price * 100.5 103.1 104.3 105.4 106.0 108.3
4th Quartile Price * 101.0 103.9 104.6 105.4 106.3 110.6
Avg. Price Top 5 Trades 97.7 102.6 103.9 106.0 106.6 108.7 111.2
Standard Deviation 0.9 1.0 0.6 0.9 1.4 1.0 4.4
     VOLUME OF TRADES (000'S) 325,754.0 1,789,727.4 705,104.5 8,836.5 3,077.9 160,711.7 29,315.9
     NUMBER OF TRADES 11 40 15 32 41 96 53
GNMA
AVERAGE PRICE * 101.2 103.8 106.8 105.7 108.5 107.1
Weighted Avg. Price * 101.0 103.5 106.2 106.3 108.3 110.9
Avg. Price Bottom 5 Trades * 100.1 102.7 102.9 103.2 106.3 90.0
2nd Quartile Price * 100.8 103.3 107.0 105.6 107.5 101.1
3rd Quartile Price * 101.4 103.5 107.4 106.3 108.8 109.1
4th Quartile Price * 101.5 104.8 107.4 106.7 109.8 113.9
Avg. Price Top 5 Trades * 101.7 104.8 107.4 107.9 109.7 120.0
Standard Deviation * 0.7 0.8 1.2 2.2 1.4 7.9
     VOLUME OF TRADES (000'S) * 309,715.2 479,973.0 1,396,531.6 187,836.3 20,452.8 40,023.4
     NUMBER OF TRADES * 28 50 247 26 28 295
Pricing Table: Agency Pass-Thru (Specified) - Adjustable/Hybrid
METRIC INITIAL FIXED RATE PERIOD
ARM/SEASONED 3/1 5/1 7/1 10/1
FNMA
AVERAGE PRICE 0.0 0.0 * 102.6 *
Weighted Avg. Price 0.0 0.0 * 102.7 *
Avg. Price Bottom 5 Trades 0.0 0.0 * 102.3 *
2nd Quartile Price 0.0 0.0 * 102.5 *
3rd Quartile Price 0.0 0.0 * 102.8 *
4th Quartile Price 0.0 0.0 * 102.8 *
Avg. Price Top 5 Trades 0.0 0.0 * 103.0 *
Standard Deviation 0.0 0.0 * 0.5 *
     VOLUME OF TRADES (000'S) 0.0 0.0 * 101,795.5 *
     NUMBER OF TRADES 0 0 * 12 *
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 103.7 103.8
Weighted Avg. Price 0.0 0.0 0.0 103.2 103.8
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 103.7 103.8
2nd Quartile Price 0.0 0.0 0.0 * *
3rd Quartile Price 0.0 0.0 0.0 * *
4th Quartile Price 0.0 0.0 0.0 * *
Avg. Price Top 5 Trades 0.0 0.0 0.0 103.7 103.8
Standard Deviation 0.0 0.0 0.0 0.4 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 135,718.4 27,770.8
     NUMBER OF TRADES 0 0 0 47 10
GNMA
AVERAGE PRICE 0.0 0.0 * 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

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.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.

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