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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 90.8 89.5 95.7 97.6 98.7 99.1 100.8
Weighted Avg. Price 91.5 95.1 96.3 98.2 99.8 101.0 102.0
Avg. Price Bottom 5 Trades 79.7 69.6 94.9 96.7 95.1 96.2 100.4
2nd Quartile Price 89.0 90.8 96.1 98.0 98.0 97.6 100.1
3rd Quartile Price 91.7 90.8 96.4 98.1 99.6 99.3 101.4
4th Quartile Price 94.1 90.8 96.5 98.2 99.7 101.0 102.1
Avg. Price Top 5 Trades 96.7 96.7 96.8 98.4 100.0 101.7 101.8
Standard Deviation 4.2 5.4 1.7 1.3 1.7 2.0 1.5
     VOLUME OF TRADES (000'S) 182,472.8 11,801.6 62,876.3 13,434.2 284,326.8 110,175.5 10,485.3
     NUMBER OF TRADES 186 162 24 20 89 82 13
FNMA
AVERAGE PRICE 88.2 94.2 95.9 97.0 99.2 101.0 -
Weighted Avg. Price 81.4 94.1 95.8 96.6 99.2 102.1 -
Avg. Price Bottom 5 Trades 84.9 94.2 93.1 95.3 98.5 101.0 -
2nd Quartile Price 89.4 * 96.0 96.3 98.6 * -
3rd Quartile Price 89.4 * 96.5 97.1 99.3 * -
4th Quartile Price 89.6 * 97.2 97.9 100.0 * -
Avg. Price Top 5 Trades 90.4 94.2 97.7 98.4 100.3 101.0 -
Standard Deviation 5.0 1.3 2.1 1.1 0.8 1.1 -
     VOLUME OF TRADES (000'S) 19,504.6 50,879.3 119,200.4 217,579.0 264,267.4 38,500.0 -
     NUMBER OF TRADES 15 7 17 33 19 5 -
FHLMC
AVERAGE PRICE 91.2 91.4 95.9 96.5 99.4 * *
Weighted Avg. Price 93.6 96.0 95.9 97.3 98.9 * *
Avg. Price Bottom 5 Trades 88.1 91.4 95.9 93.7 97.5 * *
2nd Quartile Price 92.7 * * 96.2 98.4 * *
3rd Quartile Price 93.2 * * 97.0 100.0 * *
4th Quartile Price 94.9 * * 97.6 100.4 * *
Avg. Price Top 5 Trades 95.6 91.4 95.9 98.3 100.8 * *
Standard Deviation 5.6 5.4 0.3 2.7 1.3 * *
     VOLUME OF TRADES (000'S) 17,303.1 283.5 117,957.0 493,898.6 177,259.6 * *
     NUMBER OF TRADES 20 13 5 36 22 * *
GNMA
AVERAGE PRICE 93.2 * * 98.3 99.8 * -
Weighted Avg. Price 94.2 * * 98.3 99.8 * -
Avg. Price Bottom 5 Trades 92.4 * * 98.3 99.7 * -
2nd Quartile Price 94.3 * * * 99.7 * -
3rd Quartile Price 95.2 * * * 99.9 * -
4th Quartile Price 97.6 * * * 99.9 * -
Avg. Price Top 5 Trades 95.1 * * 98.3 99.8 * -
Standard Deviation 4.7 * * 0.2 0.1 * -
     VOLUME OF TRADES (000'S) 1,515.9 * * 9,862.1 11,801.2 * -
     NUMBER OF TRADES 6 * * 5 8 * -
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 83.1 87.4 88.7 93.6 96.9 98.3 100.3
Weighted Avg. Price 82.8 90.6 93.2 95.2 97.2 99.2 101.5
Avg. Price Bottom 5 Trades 74.1 77.3 77.5 67.7 87.9 77.0 81.7
2nd Quartile Price 82.0 85.8 86.1 94.5 96.8 98.9 100.7
3rd Quartile Price 82.3 88.9 90.9 94.5 96.9 99.1 101.1
4th Quartile Price 85.5 88.9 91.7 94.7 97.4 99.6 102.2
Avg. Price Top 5 Trades 92.7 94.9 95.2 96.5 98.8 100.8 105.7
Standard Deviation 2.8 3.3 4.6 4.0 1.7 3.8 4.5
     VOLUME OF TRADES (000'S) 851,985.8 234,288.0 271,954.9 1,130,479.5 4,301,172.5 6,029,393.9 2,131,952.6
     NUMBER OF TRADES 784 494 343 338 523 436 295
FNMA
AVERAGE PRICE * * - * - - 100.8
Weighted Avg. Price * * - * - - 101.2
Avg. Price Bottom 5 Trades * * - * - - 100.8
2nd Quartile Price * * - * - - *
3rd Quartile Price * * - * - - *
4th Quartile Price * * - * - - *
Avg. Price Top 5 Trades * * - * - - 100.8
Standard Deviation * * - * - - 0.9
     VOLUME OF TRADES (000'S) * * - * - - 209,498.6
     NUMBER OF TRADES * * - * - - 12
FHLMC
AVERAGE PRICE 84.1 86.3 86.2 88.9 94.2 93.1 89.8
Weighted Avg. Price 83.4 91.7 89.3 87.9 94.3 99.0 100.1
Avg. Price Bottom 5 Trades 78.3 80.6 68.0 84.7 94.2 91.9 89.8
2nd Quartile Price 83.8 82.0 82.2 87.8 * 97.3 *
3rd Quartile Price 85.5 88.9 90.2 92.0 * 97.8 *
4th Quartile Price 85.5 88.9 91.7 96.0 * 97.9 *
Avg. Price Top 5 Trades 85.7 89.3 91.5 92.4 94.2 97.8 89.8
Standard Deviation 3.1 3.9 7.6 5.7 3.3 8.1 9.1
     VOLUME OF TRADES (000'S) 1,789.3 8,304.8 36.9 43,333.0 27,643.1 943.2 82.0
     NUMBER OF TRADES 44 70 63 11 10 11 6
GNMA
AVERAGE PRICE 85.8 91.0 92.7 95.3 97.1 99.0 100.5
Weighted Avg. Price 84.7 90.6 92.8 95.0 97.4 99.6 101.0
Avg. Price Bottom 5 Trades 79.7 89.5 92.3 94.4 82.5 91.9 79.3
2nd Quartile Price 83.4 90.6 92.5 95.0 97.2 99.1 100.8
3rd Quartile Price 87.2 91.0 92.7 95.1 97.6 99.6 101.3
4th Quartile Price 87.4 91.7 92.9 95.6 99.2 99.7 102.6
Avg. Price Top 5 Trades 92.1 92.4 93.3 96.7 100.0 104.9 110.3
Standard Deviation 3.9 1.2 0.6 0.9 4.1 3.4 6.7
     VOLUME OF TRADES (000'S) 216,993.2 363,595.3 120,683.8 315,689.5 724,441.4 958,955.7 2,350,997.1
     NUMBER OF TRADES 59 39 19 33 84 125 271
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 - - - 100.0 *
Weighted Avg. Price - - - 100.1 *
Avg. Price Bottom 5 Trades - - - 99.4 *
2nd Quartile Price - - - 99.4 *
3rd Quartile Price - - - 100.0 *
4th Quartile Price - - - 100.9 *
Avg. Price Top 5 Trades - - - 100.7 *
Standard Deviation - - - 0.7 *
     VOLUME OF TRADES (000'S) - - - 39,021.5 *
     NUMBER OF TRADES - - - 14 *
FHLMC
AVERAGE PRICE - - - 99.8 -
Weighted Avg. Price - - - 99.7 -
Avg. Price Bottom 5 Trades - - - 99.8 -
2nd Quartile Price - - - * -
3rd Quartile Price - - - * -
4th Quartile Price - - - * -
Avg. Price Top 5 Trades - - - 99.8 -
Standard Deviation - - - 0.9 -
     VOLUME OF TRADES (000'S) - - - 19,559.9 -
     NUMBER OF TRADES - - - 6 -
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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