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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 93.7 98.3 100.2 101.4 102.2 103.1 104.0
Weighted Avg. Price 95.3 98.9 100.3 101.3 102.3 103.3 104.0
Avg. Price Bottom 5 Trades 55.2 96.1 99.4 101.2 101.7 102.7 104.0
2nd Quartile Price 93.7 98.7 100.2 101.3 102.2 103.2 *
3rd Quartile Price 94.7 98.8 100.3 101.4 102.3 103.3 *
4th Quartile Price 97.3 99.2 100.5 101.6 102.4 103.4 *
Avg. Price Top 5 Trades 99.1 99.7 100.8 101.7 102.7 103.6 104.0
Standard Deviation 10.2 1.7 0.8 0.2 0.6 0.8 0.1
     VOLUME OF TRADES (000'S) 375,000.8 99,988.2 196,464.7 320,727.7 82,677.0 31,832.8 5,383.3
     NUMBER OF TRADES 200 32 50 62 40 22 6
FNMA
AVERAGE PRICE 92.8 96.4 101.0 102.2 * - -
Weighted Avg. Price 85.8 96.8 101.1 102.5 * - -
Avg. Price Bottom 5 Trades 88.3 94.7 100.2 101.7 * - -
2nd Quartile Price 91.1 95.9 100.9 101.9 * - -
3rd Quartile Price 95.6 96.5 101.0 102.4 * - -
4th Quartile Price 99.4 98.7 101.6 102.7 * - -
Avg. Price Top 5 Trades 97.2 98.5 101.7 102.7 * - -
Standard Deviation 5.7 2.5 0.6 0.5 * - -
     VOLUME OF TRADES (000'S) 35,410.9 25,103.4 417,923.5 223,720.0 * - -
     NUMBER OF TRADES 10 12 20 12 * - -
FHLMC
AVERAGE PRICE 93.0 98.3 100.2 * - - -
Weighted Avg. Price 96.3 99.6 100.2 * - - -
Avg. Price Bottom 5 Trades 81.8 95.3 99.6 * - - -
2nd Quartile Price 93.0 96.7 100.0 * - - -
3rd Quartile Price 97.3 99.8 100.3 * - - -
4th Quartile Price 98.2 100.0 100.9 * - - -
Avg. Price Top 5 Trades 98.0 99.9 100.7 * - - -
Standard Deviation 7.9 2.2 0.8 * - - -
     VOLUME OF TRADES (000'S) 16,543.6 108,474.8 56,788.5 * - - -
     NUMBER OF TRADES 26 18 9 * - - -
GNMA
AVERAGE PRICE * * 100.3 101.5 102.0 * *
Weighted Avg. Price * * 100.3 102.3 102.2 * *
Avg. Price Bottom 5 Trades * * 100.3 101.2 101.9 * *
2nd Quartile Price * * 100.3 101.3 102.1 * *
3rd Quartile Price * * 100.3 101.3 102.1 * *
4th Quartile Price * * 100.5 102.5 102.2 * *
Avg. Price Top 5 Trades * * 100.3 101.8 102.1 * *
Standard Deviation * * 0.1 0.5 0.3 * *
     VOLUME OF TRADES (000'S) * * 23,672.9 346,519.6 25,882.3 * *
     NUMBER OF TRADES * * 6 13 9 * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.2 94.3 96.5 99.5 101.0 102.2 104.2
Weighted Avg. Price 87.4 96.5 97.9 99.8 101.5 103.3 104.4
Avg. Price Bottom 5 Trades 73.2 82.8 80.5 90.0 86.7 70.9 101.6
2nd Quartile Price 84.4 94.0 96.4 99.4 101.1 102.5 103.9
3rd Quartile Price 87.9 94.0 97.4 99.7 101.3 102.9 104.3
4th Quartile Price 91.3 95.0 97.8 99.9 101.7 103.4 104.9
Avg. Price Top 5 Trades 97.6 98.9 99.7 101.7 102.7 104.4 105.9
Standard Deviation 4.7 2.3 3.3 1.9 2.9 5.7 1.3
     VOLUME OF TRADES (000'S) 1,311,665.4 1,416,170.8 855,063.7 2,450,776.5 1,052,629.1 2,053,572.6 834,801.4
     NUMBER OF TRADES 979 337 293 313 222 205 85
FNMA
AVERAGE PRICE 82.5 * 97.9 99.1 101.4 102.7 102.9
Weighted Avg. Price 83.1 * 97.6 99.8 101.4 102.7 104.8
Avg. Price Bottom 5 Trades 80.6 * 97.7 98.1 101.1 102.5 102.5
2nd Quartile Price 82.6 * 97.1 99.7 101.2 102.5 104.4
3rd Quartile Price 83.4 * 99.0 99.9 101.3 102.7 105.0
4th Quartile Price 84.1 * 99.5 100.1 101.5 102.8 105.1
Avg. Price Top 5 Trades 84.6 * 98.2 100.0 101.9 102.9 103.7
Standard Deviation 2.7 * 1.2 1.3 0.3 0.2 2.8
     VOLUME OF TRADES (000'S) 37,603.6 * 1,019.2 12,431.1 69,428.9 37,144.2 6,662.5
     NUMBER OF TRADES 13 * 7 11 29 16 6
FHLMC
AVERAGE PRICE 91.6 92.6 96.6 * * - 96.5
Weighted Avg. Price 93.7 95.4 99.3 * * - 102.3
Avg. Price Bottom 5 Trades 87.8 79.7 96.6 * * - 94.9
2nd Quartile Price 90.7 93.9 * * * - 99.4
3rd Quartile Price 91.3 94.0 * * * - 102.0
4th Quartile Price 93.3 94.0 * * * - 106.2
Avg. Price Top 5 Trades 97.2 95.6 96.6 * * - 99.4
Standard Deviation 2.8 4.8 0.9 * * - 11.6
     VOLUME OF TRADES (000'S) 5,385.7 966.2 471.9 * * - 11,219.8
     NUMBER OF TRADES 77 52 23 * * - 7
GNMA
AVERAGE PRICE 88.0 95.1 96.6 98.3 100.3 103.3 101.8
Weighted Avg. Price 87.3 95.3 97.8 100.1 101.3 103.2 103.4
Avg. Price Bottom 5 Trades 78.3 92.8 80.4 75.8 84.7 46.7 73.6
2nd Quartile Price 86.6 94.7 96.7 98.9 101.1 103.0 102.8
3rd Quartile Price 86.6 95.5 97.8 99.8 101.2 104.9 102.9
4th Quartile Price 90.2 95.7 98.0 100.1 101.7 104.9 103.4
Avg. Price Top 5 Trades 94.5 97.2 100.0 103.1 102.5 104.9 108.5
Standard Deviation 3.6 1.8 4.1 5.5 4.4 6.2 6.2
     VOLUME OF TRADES (000'S) 3,030,378.4 60,160.9 1,040,649.9 936,145.6 1,269,996.7 2,351,807.5 662,321.3
     NUMBER OF TRADES 150 36 115 119 106 666 332
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 * - * 101.6 -
Weighted Avg. Price * - * 101.8 -
Avg. Price Bottom 5 Trades * - * 101.6 -
2nd Quartile Price * - * * -
3rd Quartile Price * - * * -
4th Quartile Price * - * * -
Avg. Price Top 5 Trades * - * 101.6 -
Standard Deviation * - * 0.6 -
     VOLUME OF TRADES (000'S) * - * 70,260.7 -
     NUMBER OF TRADES * - * 5 -
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 - - 99.4 - -
Weighted Avg. Price - - 99.5 - -
Avg. Price Bottom 5 Trades - - 99.4 - -
2nd Quartile Price - - * - -
3rd Quartile Price - - * - -
4th Quartile Price - - * - -
Avg. Price Top 5 Trades - - 99.4 - -
Standard Deviation - - 1.0 - -
     VOLUME OF TRADES (000'S) - - 5,856.0 - -
     NUMBER OF TRADES - - 5 - -
* 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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