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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/CDO 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 91.0 92.0 96.6 99.4 100.3 101.4 103.1
Weighted Avg. Price 92.9 97.9 98.8 99.8 100.9 101.9 105.0
Avg. Price Bottom 5 Trades 71.3 70.2 91.3 98.1 98.8 99.8 103.1
2nd Quartile Price 89.7 95.2 94.0 99.8 100.0 101.3 *
3rd Quartile Price 92.3 96.6 98.4 99.8 100.7 101.7 *
4th Quartile Price 94.6 97.8 98.9 99.9 101.0 102.1 *
Avg. Price Top 5 Trades 96.9 98.1 99.1 100.0 101.0 102.1 103.1
Standard Deviation 10.3 17.7 3.4 1.3 0.9 0.9 2.5
     VOLUME OF TRADES (000'S) 417,949.7 17,094.4 18,060.6 111,350.0 31,855.6 29,020.4 17,521.7
     NUMBER OF TRADES 88 32 20 20 35 41 6
FNMA
AVERAGE PRICE 88.9 * 97.6 99.6 101.1 102.8 *
Weighted Avg. Price 88.7 * 97.8 100.4 100.9 101.4 *
Avg. Price Bottom 5 Trades 82.9 * 97.6 99.3 100.6 102.4 *
2nd Quartile Price 83.3 * * 99.3 100.7 100.8 *
3rd Quartile Price 89.1 * * 99.5 100.9 102.7 *
4th Quartile Price 95.8 * * 99.9 102.0 105.4 *
Avg. Price Top 5 Trades 97.1 * 97.6 99.8 102.1 104.0 *
Standard Deviation 6.0 * 1.0 0.5 0.7 2.0 *
     VOLUME OF TRADES (000'S) 84,829.9 * 12,957.0 64,107.7 170,686.0 127,393.1 *
     NUMBER OF TRADES 22 * 5 8 16 8 *
FHLMC
AVERAGE PRICE 91.0 95.0 98.8 99.1 0.0 101.3 0.0
Weighted Avg. Price 98.0 97.0 98.8 98.8 0.0 101.1 0.0
Avg. Price Bottom 5 Trades 88.9 95.0 98.7 98.1 0.0 101.0 0.0
2nd Quartile Price 84.0 * 98.7 98.6 0.0 101.0 0.0
3rd Quartile Price 96.5 * 98.9 99.2 0.0 101.1 0.0
4th Quartile Price 98.2 * 99.1 99.8 0.0 102.5 0.0
Avg. Price Top 5 Trades 93.3 95.0 98.9 100.2 0.0 101.4 0.0
Standard Deviation 7.2 3.2 0.2 1.1 0.0 0.6 0.0
     VOLUME OF TRADES (000'S) 3,497.6 165.2 91,228.7 187,782.0 0.0 87,640.0 0.0
     NUMBER OF TRADES 9 15 7 16 0 7 0
GNMA
AVERAGE PRICE 88.2 0.0 0.0 99.8 101.1 * 108.2
Weighted Avg. Price 90.5 0.0 0.0 99.9 101.0 * 113.1
Avg. Price Bottom 5 Trades 87.7 0.0 0.0 99.8 101.1 * 108.2
2nd Quartile Price 89.9 0.0 0.0 * * * *
3rd Quartile Price 90.9 0.0 0.0 * * * *
4th Quartile Price 91.1 0.0 0.0 * * * *
Avg. Price Top 5 Trades 89.3 0.0 0.0 99.8 101.1 * 108.2
Standard Deviation 3.7 0.0 0.0 0.1 0.6 * 5.0
     VOLUME OF TRADES (000'S) 1,604.1 0.0 0.0 18,371.6 14,437.9 * 1,738.6
     NUMBER OF TRADES 6 0 0 5 5 * 10
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 85.9 91.0 94.7 97.0 98.9 100.5 102.0
Weighted Avg. Price 87.3 92.8 95.8 97.5 99.4 101.1 102.4
Avg. Price Bottom 5 Trades 77.5 82.4 78.3 93.3 89.1 86.6 66.4
2nd Quartile Price 84.9 90.7 94.5 97.0 99.1 100.5 101.8
3rd Quartile Price 85.1 91.8 95.5 97.0 99.1 100.7 101.9
4th Quartile Price 88.3 91.9 96.2 97.3 99.3 101.3 102.9
Avg. Price Top 5 Trades 92.8 95.4 98.9 99.2 101.5 103.0 106.5
Standard Deviation 2.3 2.4 3.7 0.9 2.1 2.6 5.8
     VOLUME OF TRADES (000'S) 1,198,623.2 90,965.1 466,561.4 1,715,836.9 5,159,397.7 1,757,875.8 5,873,121.5
     NUMBER OF TRADES 1,120 378 556 431 657 201 321
FNMA
AVERAGE PRICE * * * 99.1 0.0 * 101.6
Weighted Avg. Price * * * 99.8 0.0 * 101.5
Avg. Price Bottom 5 Trades * * * 99.1 0.0 * 101.6
2nd Quartile Price * * * * 0.0 * *
3rd Quartile Price * * * * 0.0 * *
4th Quartile Price * * * * 0.0 * *
Avg. Price Top 5 Trades * * * 99.1 0.0 * 101.6
Standard Deviation * * * 1.6 0.0 * 0.9
     VOLUME OF TRADES (000'S) * * * 106,420.0 0.0 * 3,897.3
     NUMBER OF TRADES * * * 6 0 * 5
FHLMC
AVERAGE PRICE 85.1 89.0 95.2 95.4 99.3 100.8 95.1
Weighted Avg. Price 81.3 93.7 96.4 96.3 100.4 100.8 102.1
Avg. Price Bottom 5 Trades 81.0 87.2 94.3 94.8 98.1 100.6 78.6
2nd Quartile Price 80.6 86.0 94.6 93.9 100.2 100.7 83.8
3rd Quartile Price 86.9 90.4 94.6 95.0 100.7 100.9 101.3
4th Quartile Price 89.0 93.1 96.5 99.6 100.8 101.8 103.1
Avg. Price Top 5 Trades 88.8 92.4 95.4 96.0 100.8 100.9 104.2
Standard Deviation 4.2 3.3 1.6 2.9 3.1 0.5 10.9
     VOLUME OF TRADES (000'S) 113,861.1 10,232.0 64,645.1 20,970.3 5,878.3 1,901.1 10,099.7
     NUMBER OF TRADES 12 14 180 7 14 6 37
GNMA
AVERAGE PRICE 87.3 92.3 95.3 98.1 99.0 99.4 100.6
Weighted Avg. Price 87.8 92.9 95.7 98.0 100.0 101.0 102.0
Avg. Price Bottom 5 Trades 83.0 90.0 93.7 97.2 90.4 84.5 72.1
2nd Quartile Price 85.0 92.7 95.1 98.0 99.7 100.5 101.5
3rd Quartile Price 87.2 93.0 95.6 98.3 99.9 100.9 102.6
4th Quartile Price 90.0 93.2 95.8 98.3 100.1 101.3 103.7
Avg. Price Top 5 Trades 91.0 94.0 98.0 98.9 101.6 103.3 112.2
Standard Deviation 2.8 2.6 1.8 0.4 3.3 4.7 7.1
     VOLUME OF TRADES (000'S) 289,099.3 107,602.7 33,980.5 2,175,921.8 4,566,806.0 1,330,865.6 2,378,072.3
     NUMBER OF TRADES 88 32 34 105 130 159 454
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 0.0 0.0 0.0 101.0 *
Weighted Avg. Price 0.0 0.0 0.0 100.9 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 100.6 *
2nd Quartile Price 0.0 0.0 0.0 100.7 *
3rd Quartile Price 0.0 0.0 0.0 101.4 *
4th Quartile Price 0.0 0.0 0.0 101.8 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 101.5 *
Standard Deviation 0.0 0.0 0.0 0.6 *
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 35,906.2 *
     NUMBER OF TRADES 0 0 0 10 *
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 * 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 0.0
     NUMBER OF TRADES 0 0 0 * 0
GNMA
AVERAGE PRICE 0.0 0.0 * 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0
* 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 Listor 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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