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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 90.9 92.4 96.9 99.1 100.3 101.5 *
Weighted Avg. Price 90.3 96.3 98.5 99.7 101.0 102.2 *
Avg. Price Bottom 5 Trades 82.9 86.3 93.3 96.5 98.4 99.9 *
2nd Quartile Price 89.7 92.1 96.3 99.2 99.8 101.4 *
3rd Quartile Price 90.8 94.6 98.0 99.4 100.7 101.6 *
4th Quartile Price 92.3 96.3 98.3 99.7 100.9 101.9 *
Avg. Price Top 5 Trades 97.6 96.4 99.1 99.9 101.4 102.2 *
Standard Deviation 3.4 5.2 2.1 1.0 0.9 0.8 *
     VOLUME OF TRADES (000'S) 466,871.0 1,704.8 39,062.1 118,224.8 89,437.7 5,637.4 *
     NUMBER OF TRADES 140 21 38 96 102 51 *
FNMA
AVERAGE PRICE 96.5 - 98.1 99.5 101.3 * *
Weighted Avg. Price 96.2 - 97.8 99.7 100.8 * *
Avg. Price Bottom 5 Trades 94.3 - 96.3 99.0 101.0 * *
2nd Quartile Price 96.0 - 96.8 99.4 100.4 * *
3rd Quartile Price 97.4 - 98.7 99.5 102.4 * *
4th Quartile Price 98.0 - 99.2 99.7 102.5 * *
Avg. Price Top 5 Trades 97.9 - 99.6 100.1 101.5 * *
Standard Deviation 2.2 - 1.4 0.4 1.1 * *
     VOLUME OF TRADES (000'S) 87,278.7 - 227,151.0 411,106.4 55,190.3 * *
     NUMBER OF TRADES 15 - 24 29 6 * *
FHLMC
AVERAGE PRICE 92.5 * 97.9 * - - -
Weighted Avg. Price 97.0 * 97.7 * - - -
Avg. Price Bottom 5 Trades 87.9 * 96.3 * - - -
2nd Quartile Price 90.3 * 98.3 * - - -
3rd Quartile Price 93.3 * 98.9 * - - -
4th Quartile Price 95.3 * 99.7 * - - -
Avg. Price Top 5 Trades 96.4 * 99.3 * - - -
Standard Deviation 3.2 * 2.8 * - - -
     VOLUME OF TRADES (000'S) 1,902.9 * 125,444.3 * - - -
     NUMBER OF TRADES 28 * 11 * - - -
GNMA
AVERAGE PRICE * - * 99.3 101.2 * *
Weighted Avg. Price * - * 99.8 101.2 * *
Avg. Price Bottom 5 Trades * - * 98.3 101.2 * *
2nd Quartile Price * - * 99.8 * * *
3rd Quartile Price * - * 99.8 * * *
4th Quartile Price * - * 99.9 * * *
Avg. Price Top 5 Trades * - * 99.8 101.2 * *
Standard Deviation * - * 1.5 - * *
     VOLUME OF TRADES (000'S) * - * 104,994.0 2,388.1 * *
     NUMBER OF TRADES * - * 17 5 * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.5 90.3 92.8 96.3 98.3 100.0 99.7
Weighted Avg. Price 84.5 92.5 94.1 96.5 98.7 100.8 103.0
Avg. Price Bottom 5 Trades 71.9 81.9 68.4 91.8 93.2 70.9 64.9
2nd Quartile Price 81.3 89.8 92.2 95.5 98.1 100.5 102.4
3rd Quartile Price 84.6 90.4 93.3 96.0 98.4 100.8 103.1
4th Quartile Price 87.3 91.1 94.0 96.6 98.9 101.2 103.2
Avg. Price Top 5 Trades 94.4 95.4 97.4 102.0 100.5 102.6 104.7
Standard Deviation 3.9 2.4 4.5 2.2 1.1 8.4 11.2
     VOLUME OF TRADES (000'S) 1,219,021.9 215,400.4 195,436.1 399,867.8 1,461,816.3 4,169,107.6 780,260.1
     NUMBER OF TRADES 1,049 275 213 219 310 298 192
FNMA
AVERAGE PRICE 83.6 91.9 94.3 * * - *
Weighted Avg. Price 83.0 91.0 93.9 * * - *
Avg. Price Bottom 5 Trades 78.8 91.9 94.0 * * - *
2nd Quartile Price 79.9 * 93.5 * * - *
3rd Quartile Price 83.9 * 95.0 * * - *
4th Quartile Price 87.3 * 96.4 * * - *
Avg. Price Top 5 Trades 88.9 91.9 94.7 * * - *
Standard Deviation 4.8 1.4 1.2 * * - *
     VOLUME OF TRADES (000'S) 110,144.1 153,549.0 124,325.4 * * - *
     NUMBER OF TRADES 16 5 7 * * - *
FHLMC
AVERAGE PRICE 84.8 89.6 94.0 93.9 * 95.8 69.3
Weighted Avg. Price 86.0 94.0 95.1 90.0 * 98.7 101.2
Avg. Price Bottom 5 Trades 74.2 89.0 93.1 92.9 * 95.8 60.3
2nd Quartile Price 83.4 89.6 93.1 90.0 * * 70.0
3rd Quartile Price 86.4 89.6 94.4 99.7 * * 82.0
4th Quartile Price 86.9 89.6 95.5 99.8 * * 101.2
Avg. Price Top 5 Trades 92.0 93.5 94.5 94.9 * 95.8 83.0
Standard Deviation 4.3 2.4 1.4 5.5 * 2.6 32.3
     VOLUME OF TRADES (000'S) 15,464.7 1,468.8 42.5 50,024.2 * 5.5 1,024.3
     NUMBER OF TRADES 81 33 8 7 * 9 7
GNMA
AVERAGE PRICE 85.1 91.3 91.9 95.1 98.1 99.6 97.3
Weighted Avg. Price 86.0 91.3 94.0 96.5 99.0 101.0 102.6
Avg. Price Bottom 5 Trades 78.3 89.5 82.7 76.9 82.1 76.4 68.0
2nd Quartile Price 82.7 90.8 92.0 95.1 98.6 100.0 95.0
3rd Quartile Price 86.1 91.0 93.5 96.4 99.0 100.9 102.0
4th Quartile Price 88.2 91.5 93.9 97.7 99.7 101.8 103.6
Avg. Price Top 5 Trades 90.1 94.2 96.4 99.3 101.0 103.3 106.6
Standard Deviation 3.5 1.7 4.1 5.4 4.0 5.2 10.3
     VOLUME OF TRADES (000'S) 526,495.7 211,019.6 761,601.2 249,788.1 1,368,015.0 449,297.9 316,460.9
     NUMBER OF TRADES 206 37 55 105 176 241 204
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 - - * 99.9 -
Avg. Price Bottom 5 Trades - - * 99.6 -
2nd Quartile Price - - * 99.7 -
3rd Quartile Price - - * 100.0 -
4th Quartile Price - - * 100.2 -
Avg. Price Top 5 Trades - - * 100.4 -
Standard Deviation - - * 0.5 -
     VOLUME OF TRADES (000'S) - - * 103,861.3 -
     NUMBER OF TRADES - - * 12 -
FHLMC
AVERAGE PRICE * - - 95.6 *
Weighted Avg. Price * - - 97.2 *
Avg. Price Bottom 5 Trades * - - 95.6 *
2nd Quartile Price * - - * *
3rd Quartile Price * - - * *
4th Quartile Price * - - * *
Avg. Price Top 5 Trades * - - 95.6 *
Standard Deviation * - - 3.8 *
     VOLUME OF TRADES (000'S) * - - 35,836.4 *
     NUMBER OF TRADES * - - 5 *
GNMA
AVERAGE PRICE - - 99.1 - -
Weighted Avg. Price - - 98.9 - -
Avg. Price Bottom 5 Trades - - 98.1 - -
2nd Quartile Price - - 98.4 - -
3rd Quartile Price - - 99.6 - -
4th Quartile Price - - 100.6 - -
Avg. Price Top 5 Trades - - 100.1 - -
Standard Deviation - - 1.2 - -
     VOLUME OF TRADES (000'S) - - 31,955.0 - -
     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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