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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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.0 94.7 98.2 99.1 99.6 99.6 99.9
Weighted Avg. Price 89.2 95.2 98.3 99.5 100.8 101.8 102.4
Avg. Price Bottom 5 Trades 86.8 88.4 98.1 97.7 94.2 94.3 96.5
2nd Quartile Price 89.0 93.7 98.2 99.0 99.4 99.0 97.2
3rd Quartile Price 92.1 96.7 98.2 99.5 100.8 100.3 101.1
4th Quartile Price 94.5 96.7 98.3 99.7 100.9 101.8 102.8
Avg. Price Top 5 Trades 97.4 96.5 98.4 100.0 101.3 102.1 102.6
Standard Deviation 3.1 4.4 0.4 0.9 2.6 2.7 2.9
     VOLUME OF TRADES (000'S) 293,324.6 35.3 1,588.7 45,599.5 87,735.2 18,551.6 121.2
     NUMBER OF TRADES 140 52 8 29 49 64 23
FNMA
AVERAGE PRICE 94.7 95.2 * 100.4 101.1 * -
Weighted Avg. Price 97.1 97.9 * 100.3 101.4 * -
Avg. Price Bottom 5 Trades 88.5 92.9 * 100.4 101.1 * -
2nd Quartile Price 92.8 96.3 * * * * -
3rd Quartile Price 97.0 97.8 * * * * -
4th Quartile Price 97.2 98.2 * * * * -
Avg. Price Top 5 Trades 98.0 97.7 * 100.4 101.1 * -
Standard Deviation 4.7 3.8 * 0.5 0.4 * -
     VOLUME OF TRADES (000'S) 98,482.1 62,437.2 * 468,027.0 52,472.0 * -
     NUMBER OF TRADES 22 9 * 8 5 * -
FHLMC
AVERAGE PRICE 95.9 97.2 99.5 99.8 100.8 - -
Weighted Avg. Price 96.8 98.0 99.4 100.9 100.2 - -
Avg. Price Bottom 5 Trades 95.3 97.2 99.3 99.3 100.8 - -
2nd Quartile Price 96.0 * 99.4 99.3 * - -
3rd Quartile Price 96.0 * 99.4 99.7 * - -
4th Quartile Price 96.8 * 99.8 100.7 * - -
Avg. Price Top 5 Trades 97.2 97.2 99.6 100.3 100.8 - -
Standard Deviation 1.4 0.7 0.3 0.7 0.9 - -
     VOLUME OF TRADES (000'S) 39,705.3 76.4 37,261.6 59,432.0 82,750.0 - -
     NUMBER OF TRADES 18 6 11 12 5 - -
GNMA
AVERAGE PRICE 94.3 * * - * * *
Weighted Avg. Price 90.3 * * - * * *
Avg. Price Bottom 5 Trades 90.8 * * - * * *
2nd Quartile Price 93.6 * * - * * *
3rd Quartile Price 95.6 * * - * * *
4th Quartile Price 96.7 * * - * * *
Avg. Price Top 5 Trades 96.6 * * - * * *
Standard Deviation 2.6 * * - * * *
     VOLUME OF TRADES (000'S) 27,148.2 * * - * * *
     NUMBER OF TRADES 17 * * - * * *
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 84.6 90.7 93.3 96.1 98.6 100.4 102.5
Weighted Avg. Price 83.4 91.9 95.5 98.0 99.3 101.0 102.9
Avg. Price Bottom 5 Trades 76.7 80.9 85.8 90.2 92.4 91.4 88.9
2nd Quartile Price 83.1 90.9 93.0 95.5 98.2 100.2 101.9
3rd Quartile Price 84.3 90.9 93.8 96.3 98.7 100.5 102.7
4th Quartile Price 87.3 91.3 94.2 97.3 99.3 101.2 103.4
Avg. Price Top 5 Trades 95.0 97.1 96.8 98.9 101.1 102.7 107.0
Standard Deviation 3.1 2.5 2.7 1.8 1.7 2.1 2.4
     VOLUME OF TRADES (000'S) 972,427.9 225,331.9 453,232.0 340,354.9 2,124,892.7 2,873,416.1 6,456,213.4
     NUMBER OF TRADES 710 299 210 219 312 290 492
FNMA
AVERAGE PRICE 77.1 * - * - * 102.7
Weighted Avg. Price 76.2 * - * - * 102.5
Avg. Price Bottom 5 Trades 77.1 * - * - * 102.1
2nd Quartile Price * * - * - * 101.7
3rd Quartile Price * * - * - * 103.6
4th Quartile Price * * - * - * 106.0
Avg. Price Top 5 Trades 77.1 * - * - * 103.2
Standard Deviation 6.7 * - * - * 2.2
     VOLUME OF TRADES (000'S) 25,021.0 * - * - * 4,688.0
     NUMBER OF TRADES 6 * - * - * 7
FHLMC
AVERAGE PRICE 88.0 91.6 92.9 96.1 94.8 * 87.5
Weighted Avg. Price 75.5 94.4 96.1 98.7 98.8 * 96.7
Avg. Price Bottom 5 Trades 79.6 89.9 90.8 94.5 94.8 * 87.5
2nd Quartile Price 87.3 90.9 91.9 94.8 * * *
3rd Quartile Price 87.3 91.3 93.8 96.6 * * *
4th Quartile Price 94.0 93.0 93.8 97.7 * * *
Avg. Price Top 5 Trades 95.3 95.5 93.6 98.1 94.8 * 87.5
Standard Deviation 5.5 2.8 1.6 2.1 3.6 * 28.8
     VOLUME OF TRADES (000'S) 79,094.2 877.8 195.2 1,098.1 2,077.0 * 1.4
     NUMBER OF TRADES 43 35 35 21 7 * 12
GNMA
AVERAGE PRICE 86.3 92.0 94.6 96.7 97.6 99.9 101.6
Weighted Avg. Price 86.4 92.7 94.8 96.9 99.0 100.8 102.8
Avg. Price Bottom 5 Trades 82.0 87.8 93.5 95.7 89.5 89.5 58.6
2nd Quartile Price 85.8 92.5 93.3 96.4 97.6 100.5 102.0
3rd Quartile Price 86.4 92.6 94.8 96.8 99.0 100.7 102.0
4th Quartile Price 88.9 92.8 95.5 97.0 99.3 100.9 103.2
Avg. Price Top 5 Trades 89.7 93.9 95.6 98.4 100.7 102.8 108.0
Standard Deviation 2.3 2.3 1.1 1.1 3.5 3.2 6.2
     VOLUME OF TRADES (000'S) 529,556.1 84,174.5 31,553.2 188,652.0 480,008.1 1,504,479.3 1,663,212.1
     NUMBER OF TRADES 57 30 34 32 77 142 621
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 * - 102.7 102.2 *
Weighted Avg. Price * - 102.7 101.5 *
Avg. Price Bottom 5 Trades * - 102.7 98.8 *
2nd Quartile Price * - * 102.6 *
3rd Quartile Price * - * 102.6 *
4th Quartile Price * - * 102.7 *
Avg. Price Top 5 Trades * - 102.7 102.5 *
Standard Deviation * - - 1.6 *
     VOLUME OF TRADES (000'S) * - 8,508.5 87,296.3 *
     NUMBER OF TRADES * - 10 43 *
FHLMC
AVERAGE PRICE - - 102.7 101.9 102.7
Weighted Avg. Price - - 102.7 100.9 102.7
Avg. Price Bottom 5 Trades - - 102.7 101.9 102.7
2nd Quartile Price - - * * *
3rd Quartile Price - - * * *
4th Quartile Price - - * * *
Avg. Price Top 5 Trades - - 102.7 101.9 102.7
Standard Deviation - - - 1.7 -
     VOLUME OF TRADES (000'S) - - 11,633.0 11,644.6 7,973.8
     NUMBER OF TRADES - - 10 10 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 tracedataservices@finra.org.

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