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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 CBO/CDO/CLO
Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 91.4 93.6 98.0 99.4 100.4 101.3 -
Weighted Avg. Price 93.8 97.1 98.8 99.9 101.2 102.2 -
Avg. Price Bottom 5 Trades 79.0 85.9 94.2 94.7 96.0 97.1 -
2nd Quartile Price 90.0 92.0 98.3 99.4 100.4 101.6 -
3rd Quartile Price 92.0 96.0 98.5 99.8 100.9 101.9 -
4th Quartile Price 92.3 96.6 99.3 99.9 101.2 102.3 -
Avg. Price Top 5 Trades 96.4 97.3 99.6 100.7 101.4 102.2 -
Standard Deviation 3.4 4.4 2.0 1.5 1.5 1.8 -
     VOLUME OF TRADES (000'S) 45,129.2 8,351.2 35,478.7 98,737.0 87,292.5 1,976.6 -
     NUMBER OF TRADES 263 31 37 87 85 44 -
FNMA
AVERAGE PRICE 96.0 96.5 97.8 99.9 102.1 - -
Weighted Avg. Price 92.4 96.0 98.2 99.9 101.8 - -
Avg. Price Bottom 5 Trades 93.0 96.2 97.6 99.0 102.1 - -
2nd Quartile Price 96.7 97.7 97.3 99.8 * - -
3rd Quartile Price 97.2 98.0 98.3 100.2 * - -
4th Quartile Price 97.5 98.0 98.8 100.5 * - -
Avg. Price Top 5 Trades 98.2 97.0 98.4 100.5 102.1 - -
Standard Deviation 2.5 2.1 0.7 0.8 0.9 - -
     VOLUME OF TRADES (000'S) 234,762.5 5,378.3 181,830.0 264,529.0 17,653.0 - -
     NUMBER OF TRADES 18 6 9 18 5 - -
FHLMC
AVERAGE PRICE 91.5 93.4 98.9 99.3 * * -
Weighted Avg. Price 94.3 97.2 98.3 99.3 * * -
Avg. Price Bottom 5 Trades 87.6 87.7 97.3 99.2 * * -
2nd Quartile Price 88.8 92.5 98.7 99.4 * * -
3rd Quartile Price 91.1 98.0 99.6 99.6 * * -
4th Quartile Price 95.0 98.2 99.6 99.7 * * -
Avg. Price Top 5 Trades 94.8 98.2 99.7 99.6 * * -
Standard Deviation 3.2 8.7 1.3 0.5 * * -
     VOLUME OF TRADES (000'S) 292.2 6,719.0 23,787.4 280,270.0 * * -
     NUMBER OF TRADES 23 11 20 7 * * -
GNMA
AVERAGE PRICE 93.3 - * * * * *
Weighted Avg. Price 91.9 - * * * * *
Avg. Price Bottom 5 Trades 91.9 - * * * * *
2nd Quartile Price 91.3 - * * * * *
3rd Quartile Price 94.7 - * * * * *
4th Quartile Price 97.2 - * * * * *
Avg. Price Top 5 Trades 94.4 - * * * * *
Standard Deviation 2.9 - * * * * *
     VOLUME OF TRADES (000'S) 3,815.7 - * * * * *
     NUMBER OF TRADES 7 - * * * * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.1 90.2 92.8 96.2 98.6 101.2 103.1
Weighted Avg. Price 81.0 91.5 95.2 96.6 98.9 101.2 103.0
Avg. Price Bottom 5 Trades 76.1 79.6 75.3 91.9 94.7 99.4 99.3
2nd Quartile Price 81.1 90.4 93.6 96.2 98.5 100.8 102.6
3rd Quartile Price 84.6 91.0 93.9 96.3 98.7 101.2 103.3
4th Quartile Price 87.8 91.3 94.3 96.5 99.0 101.6 103.8
Avg. Price Top 5 Trades 95.0 95.0 98.0 99.4 100.5 102.6 105.4
Standard Deviation 3.9 2.9 5.1 1.4 1.0 0.9 1.6
     VOLUME OF TRADES (000'S) 2,150,237.5 444,995.3 153,093.2 536,287.8 1,209,095.2 1,128,655.1 309,904.4
     NUMBER OF TRADES 1,155 353 224 233 276 213 104
FNMA
AVERAGE PRICE 84.9 92.2 94.6 * * - *
Weighted Avg. Price 84.5 91.7 94.4 * * - *
Avg. Price Bottom 5 Trades 80.7 92.2 94.6 * * - *
2nd Quartile Price 81.5 * * * * - *
3rd Quartile Price 86.5 * * * * - *
4th Quartile Price 90.4 * * * * - *
Avg. Price Top 5 Trades 88.2 92.2 94.6 * * - *
Standard Deviation 4.8 1.0 0.4 * * - *
     VOLUME OF TRADES (000'S) 6,859.0 1,054.4 374.4 * * - *
     NUMBER OF TRADES 12 8 7 * * - *
FHLMC
AVERAGE PRICE 86.3 90.8 88.6 * * * *
Weighted Avg. Price 84.9 81.7 95.4 * * * *
Avg. Price Bottom 5 Trades 77.9 89.6 82.2 * * * *
2nd Quartile Price 84.6 91.0 92.0 * * * *
3rd Quartile Price 87.1 91.0 94.1 * * * *
4th Quartile Price 89.0 92.9 94.8 * * * *
Avg. Price Top 5 Trades 91.7 91.9 95.3 * * * *
Standard Deviation 4.2 2.9 10.7 * * * *
     VOLUME OF TRADES (000'S) 18,224.2 4,090.2 53.8 * * * *
     NUMBER OF TRADES 40 15 14 * * * *
GNMA
AVERAGE PRICE 85.4 91.5 93.9 97.5 99.1 100.9 101.7
Weighted Avg. Price 88.6 91.5 94.1 97.0 99.1 101.1 102.5
Avg. Price Bottom 5 Trades 77.0 90.9 90.3 90.2 87.3 88.2 82.5
2nd Quartile Price 83.3 91.0 93.4 97.0 99.1 100.8 101.8
3rd Quartile Price 86.1 91.0 93.8 98.1 99.3 101.2 103.5
4th Quartile Price 88.6 92.3 94.2 98.8 99.4 102.1 103.8
Avg. Price Top 5 Trades 90.7 93.1 97.6 100.7 101.2 106.2 108.0
Standard Deviation 3.7 0.9 2.2 2.5 2.1 3.1 5.4
     VOLUME OF TRADES (000'S) 102,184.4 26,787.8 649,477.2 112,209.2 1,645,465.3 818,397.4 1,280,242.1
     NUMBER OF TRADES 145 36 45 126 261 267 347
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 102.9 - - 101.9 -
Weighted Avg. Price 102.8 - - 100.8 -
Avg. Price Bottom 5 Trades 102.9 - - 99.8 -
2nd Quartile Price * - - 100.5 -
3rd Quartile Price * - - 102.8 -
4th Quartile Price * - - 102.8 -
Avg. Price Top 5 Trades 102.9 - - 102.5 -
Standard Deviation 0.8 - - 1.7 -
     VOLUME OF TRADES (000'S) 2,263.1 - - 61,598.5 -
     NUMBER OF TRADES 28 - - 14 -
FHLMC
AVERAGE PRICE 103.4 - 103.4 101.2 *
Weighted Avg. Price 103.5 - 103.4 100.1 *
Avg. Price Bottom 5 Trades 103.4 - 103.4 101.2 *
2nd Quartile Price * - * * *
3rd Quartile Price * - * * *
4th Quartile Price * - * * *
Avg. Price Top 5 Trades 103.4 - 103.4 101.2 *
Standard Deviation 0.9 - - 2.2 *
     VOLUME OF TRADES (000'S) 1,018.6 - 6,330.3 47,572.8 *
     NUMBER OF TRADES 14 - 11 7 *
GNMA
AVERAGE PRICE - - 98.8 - -
Weighted Avg. Price - - 98.5 - -
Avg. Price Bottom 5 Trades - - 97.8 - -
2nd Quartile Price - - 98.4 - -
3rd Quartile Price - - 99.8 - -
4th Quartile Price - - 99.9 - -
Avg. Price Top 5 Trades - - 99.5 - -
Standard Deviation - - 1.2 - -
     VOLUME OF TRADES (000'S) - - 34,026.3 - -
     NUMBER OF TRADES - - 10 - -
* 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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