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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 93.9 96.9 98.0 99.9 100.2 101.8 -
Weighted Avg. Price 95.2 99.0 98.9 100.4 101.6 102.5 -
Avg. Price Bottom 5 Trades 87.8 93.7 90.8 96.5 95.8 101.1 -
2nd Quartile Price 91.8 97.0 98.8 100.3 100.5 102.0 -
3rd Quartile Price 95.0 98.5 98.8 100.3 101.0 102.1 -
4th Quartile Price 96.4 99.0 99.0 100.5 101.6 102.1 -
Avg. Price Top 5 Trades 98.2 99.1 99.7 100.9 102.0 102.2 -
Standard Deviation 2.8 2.7 3.7 1.3 2.2 0.8 -
     VOLUME OF TRADES (000'S) 1,679,676.9 63,453.6 76,986.2 73,000.4 26,795.9 373.1 -
     NUMBER OF TRADES 186 19 48 56 47 14 -
FNMA
AVERAGE PRICE 85.9 94.0 99.2 100.0 * - -
Weighted Avg. Price 82.9 93.8 99.7 99.6 * - -
Avg. Price Bottom 5 Trades 79.5 94.0 98.6 99.9 * - -
2nd Quartile Price 83.5 * 98.8 100.0 * - -
3rd Quartile Price 86.3 * 99.5 100.1 * - -
4th Quartile Price 91.4 * 99.7 100.4 * - -
Avg. Price Top 5 Trades 93.2 94.0 99.8 100.2 * - -
Standard Deviation 5.9 1.4 0.5 0.3 * - -
     VOLUME OF TRADES (000'S) 32,468.4 1,585.6 201,685.0 38,779.0 * - -
     NUMBER OF TRADES 19 5 18 8 * - -
FHLMC
AVERAGE PRICE 94.1 97.6 96.4 98.8 - - *
Weighted Avg. Price 94.3 97.7 98.9 98.6 - - *
Avg. Price Bottom 5 Trades 84.3 97.1 88.9 97.5 - - *
2nd Quartile Price 94.0 97.2 98.4 98.2 - - *
3rd Quartile Price 97.0 97.6 99.4 98.5 - - *
4th Quartile Price 97.3 98.2 99.5 100.0 - - *
Avg. Price Top 5 Trades 97.3 98.1 99.7 100.1 - - *
Standard Deviation 5.6 0.5 12.3 1.5 - - *
     VOLUME OF TRADES (000'S) 25,164.8 281,279.8 659,592.3 116,159.2 - - *
     NUMBER OF TRADES 53 24 26 17 - - *
GNMA
AVERAGE PRICE * * * 100.4 * * *
Weighted Avg. Price * * * 100.4 * * *
Avg. Price Bottom 5 Trades * * * 100.4 * * *
2nd Quartile Price * * * * * * *
3rd Quartile Price * * * * * * *
4th Quartile Price * * * * * * *
Avg. Price Top 5 Trades * * * 100.4 * * *
Standard Deviation * * * - * * *
     VOLUME OF TRADES (000'S) * * * 3,676.0 * * *
     NUMBER OF TRADES * * * 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 85.1 91.0 94.6 97.4 99.6 101.7 103.8
Weighted Avg. Price 84.0 92.1 95.4 97.7 99.6 101.7 103.5
Avg. Price Bottom 5 Trades 52.6 78.6 78.8 92.0 93.0 89.0 90.7
2nd Quartile Price 82.1 91.5 94.5 97.2 99.4 101.3 103.1
3rd Quartile Price 85.5 91.8 94.8 97.3 99.5 101.8 103.9
4th Quartile Price 88.9 92.1 95.1 97.7 100.0 102.3 105.2
Avg. Price Top 5 Trades 93.9 96.6 99.4 100.0 101.3 103.5 107.7
Standard Deviation 4.6 3.5 2.9 1.1 1.0 1.6 3.8
     VOLUME OF TRADES (000'S) 1,855,878.1 912,674.6 592,615.7 1,363,725.1 3,326,764.9 4,839,895.0 3,048,420.4
     NUMBER OF TRADES 1,384 413 367 400 501 494 411
FNMA
AVERAGE PRICE 86.4 91.9 95.0 * 98.4 - *
Weighted Avg. Price 79.1 91.2 94.5 * 98.9 - *
Avg. Price Bottom 5 Trades 80.5 90.7 94.6 * 98.3 - *
2nd Quartile Price 85.5 90.8 94.3 * 98.5 - *
3rd Quartile Price 88.1 91.6 94.8 * 99.0 - *
4th Quartile Price 90.1 94.4 97.5 * 99.0 - *
Avg. Price Top 5 Trades 89.5 92.6 95.5 * 98.7 - *
Standard Deviation 4.6 1.9 1.4 * 0.9 - *
     VOLUME OF TRADES (000'S) 81,843.0 4,561.1 3,414.2 * 369.2 - *
     NUMBER OF TRADES 17 13 7 * 9 - *
FHLMC
AVERAGE PRICE 87.9 91.4 82.9 99.2 100.7 102.5 103.8
Weighted Avg. Price 75.0 95.8 96.2 99.3 100.5 102.9 104.3
Avg. Price Bottom 5 Trades 76.5 85.9 70.3 99.2 100.6 100.9 92.8
2nd Quartile Price 86.3 91.8 77.0 * 100.5 102.7 104.9
3rd Quartile Price 88.9 91.8 95.3 * 100.8 102.9 105.8
4th Quartile Price 90.4 94.1 96.8 * 100.9 103.1 107.3
Avg. Price Top 5 Trades 93.3 95.0 97.2 99.2 100.7 103.9 108.3
Standard Deviation 3.9 4.8 17.0 0.8 0.3 1.5 7.2
     VOLUME OF TRADES (000'S) 107,263.9 1,257.6 415.7 328.2 2,362.4 6,535.2 20,238.5
     NUMBER OF TRADES 90 38 19 6 7 26 37
GNMA
AVERAGE PRICE 87.3 92.8 95.4 98.2 100.2 101.0 98.2
Weighted Avg. Price 87.8 92.7 95.2 97.7 99.8 101.6 103.0
Avg. Price Bottom 5 Trades 80.7 91.7 94.5 95.5 96.1 85.0 39.7
2nd Quartile Price 84.5 92.4 94.7 97.5 99.5 100.6 100.5
3rd Quartile Price 87.6 92.5 94.8 97.8 99.8 101.4 102.5
4th Quartile Price 90.1 93.3 95.7 99.1 100.4 102.1 103.7
Avg. Price Top 5 Trades 92.1 94.4 99.1 101.0 105.7 107.4 108.2
Standard Deviation 3.0 1.0 2.0 1.5 2.5 4.4 15.6
     VOLUME OF TRADES (000'S) 2,387,869.1 501,694.9 257,660.0 544,864.9 1,301,800.7 1,159,572.9 487,921.2
     NUMBER OF TRADES 99 34 61 92 145 244 187
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 101.2 - * 100.5 *
Weighted Avg. Price 101.5 - * 100.3 *
Avg. Price Bottom 5 Trades 101.2 - * 100.5 *
2nd Quartile Price * - * * *
3rd Quartile Price * - * * *
4th Quartile Price * - * * *
Avg. Price Top 5 Trades 101.2 - * 100.5 *
Standard Deviation 1.0 - * 0.5 *
     VOLUME OF TRADES (000'S) 180.6 - * 92,853.1 *
     NUMBER OF TRADES 9 - * 6 *
FHLMC
AVERAGE PRICE * - * 99.3 -
Weighted Avg. Price * - * 100.1 -
Avg. Price Bottom 5 Trades * - * 97.9 -
2nd Quartile Price * - * 99.9 -
3rd Quartile Price * - * 100.3 -
4th Quartile Price * - * 100.3 -
Avg. Price Top 5 Trades * - * 100.9 -
Standard Deviation * - * 3.2 -
     VOLUME OF TRADES (000'S) * - * 26,640.3 -
     NUMBER OF TRADES * - * 10 -
GNMA
AVERAGE PRICE - - 98.7 - -
Weighted Avg. Price - - 99.1 - -
Avg. Price Bottom 5 Trades - - 97.7 - -
2nd Quartile Price - - 97.8 - -
3rd Quartile Price - - 99.0 - -
4th Quartile Price - - 100.2 - -
Avg. Price Top 5 Trades - - 99.7 - -
Standard Deviation - - 1.1 - -
     VOLUME OF TRADES (000'S) - - 104,231.1 - -
     NUMBER OF TRADES - - 11 - -
* 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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