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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS
Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 93.9 96.0 97.4 98.6 100.5 101.1 102.2
Weighted Avg. Price 94.9 97.0 98.6 100.3 101.3 102.0 102.5
Avg. Price Bottom 5 Trades 91.6 92.5 92.1 93.4 95.6 98.5 101.8
2nd Quartile Price 93.5 96.0 96.4 97.5 100.8 101.2 102.5
3rd Quartile Price 94.0 96.2 98.3 99.5 101.1 102.0 102.6
4th Quartile Price 94.3 96.6 98.5 99.6 102.3 102.0 103.7
Avg. Price Top 5 Trades 96.0 98.4 99.4 101.0 102.7 102.1 102.9
Standard Deviation 1.2 1.9 1.8 2.1 2.4 1.8 1.2
     VOLUME OF TRADES (000'S) 72,419.1 47,837.7 63,292.7 17,011.0 83,820.9 15,567.9 9,182.0
     NUMBER OF TRADES 68 77 144 82 50 23 7
FNMA
AVERAGE PRICE * 97.0 97.6 99.0 * * -
Weighted Avg. Price * 97.9 98.5 99.5 * * -
Avg. Price Bottom 5 Trades * 96.2 97.0 97.9 * * -
2nd Quartile Price * 97.2 98.5 98.3 * * -
3rd Quartile Price * 98.1 98.6 100.0 * * -
4th Quartile Price * 98.1 98.9 100.2 * * -
Avg. Price Top 5 Trades * 98.3 98.7 100.1 * * -
Standard Deviation * 2.7 2.2 1.2 * * -
     VOLUME OF TRADES (000'S) * 109,705.7 7,595.3 45,994.3 * * -
     NUMBER OF TRADES * 8 7 11 * * -
FHLMC
AVERAGE PRICE * 97.2 98.5 98.6 * 101.1 100.2
Weighted Avg. Price * 98.1 98.8 99.9 * 102.2 100.4
Avg. Price Bottom 5 Trades * 97.1 96.5 96.1 * 100.3 99.9
2nd Quartile Price * 97.3 98.4 99.5 * 101.0 100.0
3rd Quartile Price * 97.3 98.8 99.5 * 101.8 100.3
4th Quartile Price * 97.3 98.9 99.9 * 102.0 100.6
Avg. Price Top 5 Trades * 97.3 98.9 99.8 * 101.9 100.4
Standard Deviation * 0.8 0.8 2.0 * 1.5 0.5
     VOLUME OF TRADES (000'S) * 4,087.7 2,006.8 258.2 * 874.9 221.3
     NUMBER OF TRADES * 25 55 23 * 18 9
GNMA
AVERAGE PRICE * * * - 100.2 100.0 104.7
Weighted Avg. Price * * * - 101.1 100.4 107.7
Avg. Price Bottom 5 Trades * * * - 99.8 99.7 103.8
2nd Quartile Price * * * - 100.0 100.0 100.4
3rd Quartile Price * * * - 100.8 100.3 107.8
4th Quartile Price * * * - 101.2 100.5 107.8
Avg. Price Top 5 Trades * * * - 101.0 100.3 105.7
Standard Deviation * * * - 1.0 0.6 4.1
     VOLUME OF TRADES (000'S) * * * - 10,101.5 1,139.7 6,918.9
     NUMBER OF TRADES * * * - 10 13 12
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 88.5 91.8 95.1 97.2 99.4 100.8 100.4
Weighted Avg. Price 88.2 92.3 95.7 98.2 100.1 101.6 102.9
Avg. Price Bottom 5 Trades 84.8 88.3 90.8 88.6 93.8 95.7 72.9
2nd Quartile Price 88.5 91.6 94.9 97.3 99.3 100.3 101.0
3rd Quartile Price 88.8 92.0 94.9 97.5 99.6 100.7 102.7
4th Quartile Price 89.4 92.2 96.3 97.9 100.5 101.5 104.0
Avg. Price Top 5 Trades 91.1 93.7 98.3 99.9 101.4 103.4 107.8
Standard Deviation 1.4 0.8 1.4 1.7 1.6 1.4 7.2
     VOLUME OF TRADES (000'S) 659,931.1 420,050.4 446,543.4 689,301.2 871,589.7 1,153,730.1 1,271,536.9
     NUMBER OF TRADES 220 372 391 359 389 291 234
FNMA
AVERAGE PRICE - - * * 98.5 101.3 93.5
Weighted Avg. Price - - * * 99.6 101.3 103.0
Avg. Price Bottom 5 Trades - - * * 98.3 101.2 74.8
2nd Quartile Price - - * * 99.0 101.1 88.0
3rd Quartile Price - - * * 99.6 101.3 100.0
4th Quartile Price - - * * 99.8 101.6 102.9
Avg. Price Top 5 Trades - - * * 99.4 101.5 103.5
Standard Deviation - - * * 2.5 0.4 11.0
     VOLUME OF TRADES (000'S) - - * * 83,549.4 13,722.2 104,096.8
     NUMBER OF TRADES - - * * 7 9 27
FHLMC
AVERAGE PRICE - * 95.2 97.6 99.5 100.8 101.3
Weighted Avg. Price - * 96.9 98.7 100.9 102.2 104.5
Avg. Price Bottom 5 Trades - * 94.3 92.2 92.5 97.9 88.8
2nd Quartile Price - * 94.9 97.8 99.4 100.3 100.3
3rd Quartile Price - * 94.9 97.8 99.4 101.2 101.5
4th Quartile Price - * 94.9 98.9 100.9 102.1 103.9
Avg. Price Top 5 Trades - * 96.9 98.9 101.3 102.7 106.5
Standard Deviation - * 0.9 1.7 2.2 1.6 5.5
     VOLUME OF TRADES (000'S) - * 13,958.0 11,001.0 18,485.2 2,231.2 3,000.0
     NUMBER OF TRADES - * 52 123 118 38 124
GNMA
AVERAGE PRICE 90.6 93.3 96.0 98.6 100.3 98.0 101.6
Weighted Avg. Price 91.1 93.4 96.1 99.1 100.5 101.3 102.8
Avg. Price Bottom 5 Trades 90.4 92.1 95.0 97.6 94.7 89.2 66.6
2nd Quartile Price 90.9 93.3 96.0 98.1 100.5 95.1 100.5
3rd Quartile Price 91.3 93.5 96.0 98.8 100.8 101.2 104.4
4th Quartile Price 91.7 94.0 96.4 99.3 101.4 102.1 104.8
Avg. Price Top 5 Trades 91.2 94.2 96.6 99.6 102.2 102.8 112.4
Standard Deviation 1.4 0.8 0.6 0.7 2.5 5.5 6.7
     VOLUME OF TRADES (000'S) 13,797.9 111,792.6 139,021.9 292,516.4 126,265.0 86,754.8 99,118.3
     NUMBER OF TRADES 6 40 62 45 82 42 657
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 101.8 - 101.6 99.4 *
Weighted Avg. Price 101.5 - 99.2 99.5 *
Avg. Price Bottom 5 Trades 101.8 - 101.6 99.4 *
2nd Quartile Price * - * * *
3rd Quartile Price * - * * *
4th Quartile Price * - * * *
Avg. Price Top 5 Trades 101.8 - 101.6 99.4 *
Standard Deviation 0.4 - 1.2 2.6 *
     VOLUME OF TRADES (000'S) 2,848.8 - 20,781.4 21,126.7 *
     NUMBER OF TRADES 12 - 14 7 *
FHLMC
AVERAGE PRICE * - - * *
Weighted Avg. Price * - - * *
Avg. Price Bottom 5 Trades * - - * *
2nd Quartile Price * - - * *
3rd Quartile Price * - - * *
4th Quartile Price * - - * *
Avg. Price Top 5 Trades * - - * *
Standard Deviation * - - * *
     VOLUME OF TRADES (000'S) * - - * *
     NUMBER OF TRADES * - - * *
GNMA
AVERAGE PRICE * * - - -
Weighted Avg. Price * * - - -
Avg. Price Bottom 5 Trades * * - - -
2nd Quartile Price * * - - -
3rd Quartile Price * * - - -
4th Quartile Price * * - - -
Avg. Price Top 5 Trades * * - - -
Standard Deviation * * - - -
     VOLUME OF TRADES (000'S) * * - - -
     NUMBER OF TRADES * * - - -
* 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 List or 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 [email protected].

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