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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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.1 94.8 98.0 99.5 100.2 100.9 101.6
Weighted Avg. Price 92.9 96.4 98.1 99.6 100.6 101.2 102.2
Avg. Price Bottom 5 Trades 84.3 86.6 97.9 99.1 99.6 99.7 99.8
2nd Quartile Price 89.4 95.4 98.0 99.4 100.3 101.0 101.9
3rd Quartile Price 91.4 95.4 98.0 99.5 100.4 101.2 102.2
4th Quartile Price 93.0 95.4 98.3 99.7 100.6 101.4 102.6
Avg. Price Top 5 Trades 97.5 96.9 98.1 99.9 101.0 101.9 102.6
Standard Deviation 3.2 2.3 0.3 0.5 1.1 1.1 1.5
     VOLUME OF TRADES (000'S) 673,094.4 5,629.6 8,292.2 15,407.4 76,616.5 201,889.1 26,992.6
     NUMBER OF TRADES 163 159 14 18 41 52 34
FNMA
AVERAGE PRICE 93.7 * * - 103.0 * -
Weighted Avg. Price 93.5 * * - 102.3 * -
Avg. Price Bottom 5 Trades 93.7 * * - 103.0 * -
2nd Quartile Price * * * - * * -
3rd Quartile Price * * * - * * -
4th Quartile Price * * * - * * -
Avg. Price Top 5 Trades 93.7 * * - 103.0 * -
Standard Deviation 0.4 * * - 0.6 * -
     VOLUME OF TRADES (000'S) 16,694.2 * * - 110,624.0 * -
     NUMBER OF TRADES 5 * * - 6 * -
FHLMC
AVERAGE PRICE 95.5 95.2 * * * - -
Weighted Avg. Price 97.1 95.2 * * * - -
Avg. Price Bottom 5 Trades 93.9 95.2 * * * - -
2nd Quartile Price 94.8 * * * * - -
3rd Quartile Price 95.4 * * * * - -
4th Quartile Price 97.6 * * * * - -
Avg. Price Top 5 Trades 97.6 95.2 * * * - -
Standard Deviation 1.7 - * * * - -
     VOLUME OF TRADES (000'S) 7,158.1 2.0 * * * - -
     NUMBER OF TRADES 17 11 * * * - -
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 * * * * * * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 86.1 90.9 94.1 96.7 98.6 100.4 102.4
Weighted Avg. Price 87.4 93.1 94.8 96.9 99.1 100.5 102.2
Avg. Price Bottom 5 Trades 72.6 77.8 87.4 92.8 90.5 88.8 92.2
2nd Quartile Price 84.9 90.6 94.4 96.5 98.7 100.3 101.7
3rd Quartile Price 85.5 91.4 94.5 96.9 98.7 100.5 102.7
4th Quartile Price 88.1 92.3 94.6 96.9 98.8 101.3 103.2
Avg. Price Top 5 Trades 93.8 94.7 96.6 99.5 100.9 102.5 104.6
Standard Deviation 2.7 3.1 1.6 0.9 1.6 2.7 2.7
     VOLUME OF TRADES (000'S) 3,193,446.7 380,633.6 116,548.4 2,988,661.9 170,236.0 2,319,256.4 5,467,576.6
     NUMBER OF TRADES 865 312 356 413 362 279 329
FNMA
AVERAGE PRICE - 89.9 * - - * *
Weighted Avg. Price - 90.0 * - - * *
Avg. Price Bottom 5 Trades - 89.9 * - - * *
2nd Quartile Price - * * - - * *
3rd Quartile Price - * * - - * *
4th Quartile Price - * * - - * *
Avg. Price Top 5 Trades - 89.9 * - - * *
Standard Deviation - 0.3 * - - * *
     VOLUME OF TRADES (000'S) - 148.2 * - - * *
     NUMBER OF TRADES - 7 * - - * *
FHLMC
AVERAGE PRICE 88.7 90.1 93.9 97.1 * 95.2 99.1
Weighted Avg. Price 90.4 92.7 94.2 96.9 * 101.3 102.6
Avg. Price Bottom 5 Trades 87.6 87.0 91.0 97.1 * 95.2 99.1
2nd Quartile Price 88.7 89.6 94.4 * * * *
3rd Quartile Price 88.7 91.6 94.4 * * * *
4th Quartile Price 90.2 91.8 94.4 * * * *
Avg. Price Top 5 Trades 92.3 92.4 94.4 97.1 * 95.2 99.1
Standard Deviation 3.1 2.9 1.4 0.4 * 9.4 6.4
     VOLUME OF TRADES (000'S) 11,194.2 574.5 109.6 44.6 * 18.3 34.3
     NUMBER OF TRADES 23 27 39 9 * 6 7
GNMA
AVERAGE PRICE 86.6 91.8 94.6 97.3 98.7 100.0 100.1
Weighted Avg. Price 87.1 92.6 95.1 97.5 99.3 100.6 102.2
Avg. Price Bottom 5 Trades 82.4 90.3 94.1 95.3 89.3 96.5 21.8
2nd Quartile Price 85.1 90.3 94.8 96.7 99.2 99.8 101.3
3rd Quartile Price 86.7 92.5 94.9 97.3 99.5 100.5 102.3
4th Quartile Price 89.5 92.9 95.0 97.6 100.0 101.1 103.3
Avg. Price Top 5 Trades 90.4 93.2 95.3 100.1 100.6 101.2 105.1
Standard Deviation 2.7 1.5 1.4 2.4 3.6 1.4 10.8
     VOLUME OF TRADES (000'S) 162,019.4 17,074.6 6,352.6 36,924.6 425,368.4 613,236.6 1,690,847.3
     NUMBER OF TRADES 81 34 14 24 86 85 446
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 100.7 - * - *
Weighted Avg. Price 100.6 - * - *
Avg. Price Bottom 5 Trades 100.2 - * - *
2nd Quartile Price 100.0 - * - *
3rd Quartile Price 100.4 - * - *
4th Quartile Price 101.9 - * - *
Avg. Price Top 5 Trades 101.5 - * - *
Standard Deviation 0.9 - * - *
     VOLUME OF TRADES (000'S) 647.6 - * - *
     NUMBER OF TRADES 20 - * - *
FHLMC
AVERAGE PRICE 100.2 - - - *
Weighted Avg. Price 99.8 - - - *
Avg. Price Bottom 5 Trades 100.2 - - - *
2nd Quartile Price * - - - *
3rd Quartile Price * - - - *
4th Quartile Price * - - - *
Avg. Price Top 5 Trades 100.2 - - - *
Standard Deviation 1.1 - - - *
     VOLUME OF TRADES (000'S) 9,302.8 - - - *
     NUMBER OF TRADES 14 - - - *
GNMA
AVERAGE PRICE 99.1 - - - -
Weighted Avg. Price 99.7 - - - -
Avg. Price Bottom 5 Trades 99.1 - - - -
2nd Quartile Price * - - - -
3rd Quartile Price * - - - -
4th Quartile Price * - - - -
Avg. Price Top 5 Trades 99.1 - - - -
Standard Deviation 1.4 - - - -
     VOLUME OF TRADES (000'S) 249.7 - - - -
     NUMBER OF TRADES 9 - - - -
* 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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