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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 93.2 97.1 98.5 100.2 101.5 102.6 *
Weighted Avg. Price 93.8 97.5 98.7 100.2 101.5 103.0 *
Avg. Price Bottom 5 Trades 79.0 95.2 98.2 98.4 100.1 100.9 *
2nd Quartile Price 92.8 96.9 98.4 100.3 101.6 102.7 *
3rd Quartile Price 93.5 98.2 98.4 100.3 101.6 102.7 *
4th Quartile Price 95.7 98.9 98.8 100.3 101.6 102.7 *
Avg. Price Top 5 Trades 97.8 98.4 99.1 100.5 101.6 102.7 *
Standard Deviation 3.2 2.3 0.6 0.3 0.3 0.3 *
     VOLUME OF TRADES (000'S) 11,745.6 7,096.5 40,380.4 57,183.9 27,282.9 8,602.4 *
     NUMBER OF TRADES 412 15 16 220 225 557 *
FNMA
AVERAGE PRICE 95.5 * 98.4 * * - -
Weighted Avg. Price 88.9 * 97.6 * * - -
Avg. Price Bottom 5 Trades 91.2 * 98.1 * * - -
2nd Quartile Price 95.5 * 97.6 * * - -
3rd Quartile Price 97.0 * 99.3 * * - -
4th Quartile Price 99.5 * 99.4 * * - -
Avg. Price Top 5 Trades 98.3 * 98.9 * * - -
Standard Deviation 4.2 * 1.0 * * - -
     VOLUME OF TRADES (000'S) 13,178.1 * 66,701.0 * * - -
     NUMBER OF TRADES 15 * 7 * * - -
FHLMC
AVERAGE PRICE 93.3 * 98.7 * * - -
Weighted Avg. Price 96.8 * 98.2 * * - -
Avg. Price Bottom 5 Trades 92.4 * 98.2 * * - -
2nd Quartile Price 92.8 * 98.2 * * - -
3rd Quartile Price 92.8 * 98.8 * * - -
4th Quartile Price 92.8 * 99.3 * * - -
Avg. Price Top 5 Trades 96.9 * 99.4 * * - -
Standard Deviation 2.0 * 0.6 * * - -
     VOLUME OF TRADES (000'S) 1,361.4 * 92,683.0 * * - -
     NUMBER OF TRADES 44 * 15 * * - -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.3 90.7 94.1 96.5 98.8 101.3 103.2
Weighted Avg. Price 80.1 93.2 95.3 97.2 99.3 101.5 103.7
Avg. Price Bottom 5 Trades 75.0 84.4 88.6 88.0 93.0 85.6 95.6
2nd Quartile Price 82.0 90.4 94.2 96.5 99.0 101.5 103.0
3rd Quartile Price 85.3 91.3 94.4 97.0 99.2 101.8 103.6
4th Quartile Price 88.5 91.8 94.6 97.2 99.5 101.8 104.9
Avg. Price Top 5 Trades 95.2 97.0 98.6 99.6 100.3 103.0 105.6
Standard Deviation 4.0 2.6 2.2 2.7 2.3 6.0 3.2
     VOLUME OF TRADES (000'S) 366,011.3 96,724.0 155,410.2 226,362.4 842,233.1 1,158,054.2 203,963.0
     NUMBER OF TRADES 880 250 147 188 171 305 80
FNMA
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 * - * - - * -
FHLMC
AVERAGE PRICE 88.0 88.7 90.7 * 91.1 * *
Weighted Avg. Price 89.9 91.9 92.4 * 92.4 * *
Avg. Price Bottom 5 Trades 86.1 85.3 90.7 * 91.1 * *
2nd Quartile Price 87.5 90.0 * * * * *
3rd Quartile Price 88.2 91.5 * * * * *
4th Quartile Price 88.2 92.2 * * * * *
Avg. Price Top 5 Trades 90.4 91.9 90.7 * 91.1 * *
Standard Deviation 1.6 5.2 6.0 * 7.0 * *
     VOLUME OF TRADES (000'S) 1,056.9 27.1 2.4 * 0.4 * *
     NUMBER OF TRADES 37 12 5 * 5 * *
GNMA
AVERAGE PRICE 84.7 94.6 96.0 100.3 99.2 100.3 101.0
Weighted Avg. Price 84.5 93.4 95.8 97.4 99.4 101.2 103.6
Avg. Price Bottom 5 Trades 77.6 88.3 81.5 81.1 87.9 63.9 75.7
2nd Quartile Price 82.0 94.8 95.0 100.5 98.5 101.0 101.0
3rd Quartile Price 84.2 94.8 95.0 100.5 99.4 101.4 102.1
4th Quartile Price 87.6 94.8 98.1 100.5 99.7 102.3 103.9
Avg. Price Top 5 Trades 91.5 94.8 98.2 100.5 103.7 103.6 107.6
Standard Deviation 3.6 0.9 1.7 1.5 2.3 10.4 6.1
     VOLUME OF TRADES (000'S) 532,246.1 150,741.8 129,218.9 455,177.7 1,362,422.6 1,208,000.4 900,939.4
     NUMBER OF TRADES 122 742 2,504 1,356 238 202 560
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 * - - 99.6 *
Weighted Avg. Price * - - 98.5 *
Avg. Price Bottom 5 Trades * - - 99.6 *
2nd Quartile Price * - - * *
3rd Quartile Price * - - * *
4th Quartile Price * - - * *
Avg. Price Top 5 Trades * - - 99.6 *
Standard Deviation * - - 1.1 *
     VOLUME OF TRADES (000'S) * - - 55,303.4 *
     NUMBER OF TRADES * - - 6 *
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 * * 99.6 - -
Weighted Avg. Price * * 99.3 - -
Avg. Price Bottom 5 Trades * * 99.1 - -
2nd Quartile Price * * 99.8 - -
3rd Quartile Price * * 100.0 - -
4th Quartile Price * * 101.6 - -
Avg. Price Top 5 Trades * * 100.3 - -
Standard Deviation * * 1.4 - -
     VOLUME OF TRADES (000'S) * * 39,755.1 - -
     NUMBER OF TRADES * * 7 - -
* 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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