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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 94.1 97.1 97.3 100.4 100.8 101.9 -
Weighted Avg. Price 94.0 99.0 100.3 101.3 102.3 103.6 -
Avg. Price Bottom 5 Trades 83.8 90.1 88.9 97.4 96.9 98.1 -
2nd Quartile Price 93.6 97.0 96.2 100.0 99.4 101.8 -
3rd Quartile Price 93.8 98.6 99.3 100.5 101.4 102.4 -
4th Quartile Price 96.9 98.9 100.2 101.2 101.8 103.1 -
Avg. Price Top 5 Trades 99.0 99.8 100.6 101.5 102.6 103.4 -
Standard Deviation 3.1 3.5 4.1 1.1 1.7 2.0 -
     VOLUME OF TRADES (000'S) 167,060.8 34,486.2 95,545.5 145,555.2 12,635.2 8,584.2 -
     NUMBER OF TRADES 352 52 53 77 118 37 -
FNMA
AVERAGE PRICE * 97.4 * 102.5 - - -
Weighted Avg. Price * 99.6 * 102.8 - - -
Avg. Price Bottom 5 Trades * 97.4 * 101.9 - - -
2nd Quartile Price * * * 102.2 - - -
3rd Quartile Price * * * 102.6 - - -
4th Quartile Price * * * 103.9 - - -
Avg. Price Top 5 Trades * 97.4 * 103.0 - - -
Standard Deviation * 1.3 * 1.1 - - -
     VOLUME OF TRADES (000'S) * 61,812.0 * 37,991.0 - - -
     NUMBER OF TRADES * 5 * 7 - - -
FHLMC
AVERAGE PRICE 94.9 99.7 99.7 * - - -
Weighted Avg. Price 97.0 99.8 100.4 * - - -
Avg. Price Bottom 5 Trades 88.7 99.6 97.7 * - - -
2nd Quartile Price 93.9 99.7 100.0 * - - -
3rd Quartile Price 97.1 99.8 100.2 * - - -
4th Quartile Price 97.6 99.9 100.4 * - - -
Avg. Price Top 5 Trades 98.3 99.7 100.6 * - - -
Standard Deviation 3.8 0.2 2.1 * - - -
     VOLUME OF TRADES (000'S) 1,449.0 40,178.4 84,292.0 * - - -
     NUMBER OF TRADES 44 7 24 * - - -
GNMA
AVERAGE PRICE 96.1 * * 100.6 101.6 * -
Weighted Avg. Price 95.3 * * 100.6 101.6 * -
Avg. Price Bottom 5 Trades 94.2 * * 100.6 101.5 * -
2nd Quartile Price 96.0 * * * 101.6 * -
3rd Quartile Price 96.7 * * * 101.6 * -
4th Quartile Price 97.1 * * * 101.7 * -
Avg. Price Top 5 Trades 97.5 * * 100.6 101.7 * -
Standard Deviation 1.6 * * 0.1 0.2 * -
     VOLUME OF TRADES (000'S) 6,808.2 * * 3,584.6 1,945.7 * -
     NUMBER OF TRADES 17 * * 7 8 * -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.6 94.1 97.2 99.5 100.8 102.8 102.6
Weighted Avg. Price 89.6 95.8 98.2 100.1 101.4 103.3 103.5
Avg. Price Bottom 5 Trades 76.9 81.8 90.5 96.9 91.3 96.8 91.8
2nd Quartile Price 85.3 94.5 96.6 99.4 100.8 102.4 103.4
3rd Quartile Price 88.7 94.6 97.6 99.6 101.2 103.2 103.9
4th Quartile Price 91.9 95.0 97.9 99.9 101.6 103.7 105.0
Avg. Price Top 5 Trades 98.4 99.6 100.4 101.0 103.5 104.5 105.6
Standard Deviation 3.9 2.7 1.8 0.8 2.9 1.3 7.4
     VOLUME OF TRADES (000'S) 2,199,377.0 871,900.4 159,328.6 820,628.5 2,082,140.5 1,336,159.2 670,481.0
     NUMBER OF TRADES 1,558 540 264 242 293 181 69
FNMA
AVERAGE PRICE 93.5 95.1 * - - - -
Weighted Avg. Price 93.8 95.6 * - - - -
Avg. Price Bottom 5 Trades 93.5 94.3 * - - - -
2nd Quartile Price * 95.3 * - - - -
3rd Quartile Price * 96.1 * - - - -
4th Quartile Price * 96.6 * - - - -
Avg. Price Top 5 Trades 93.5 96.4 * - - - -
Standard Deviation 4.9 1.7 * - - - -
     VOLUME OF TRADES (000'S) 1,491.4 545.7 * - - - -
     NUMBER OF TRADES 7 9 * - - - -
FHLMC
AVERAGE PRICE 90.9 93.4 97.5 93.3 101.7 80.8 99.7
Weighted Avg. Price 86.6 96.8 100.6 99.3 101.1 102.8 99.9
Avg. Price Bottom 5 Trades 77.2 84.0 93.1 93.3 100.7 54.1 99.7
2nd Quartile Price 88.5 94.5 97.4 * 101.1 89.7 *
3rd Quartile Price 91.8 94.5 98.1 * 102.0 101.6 *
4th Quartile Price 93.3 95.6 100.5 * 104.5 103.8 *
Avg. Price Top 5 Trades 98.4 96.6 100.5 93.3 102.6 103.4 99.7
Standard Deviation 5.0 3.8 3.2 10.0 2.1 35.6 0.5
     VOLUME OF TRADES (000'S) 21,790.9 5,506.3 2,131.4 884.3 200,664.0 1,440.5 -
     NUMBER OF TRADES 97 60 19 6 7 11 10
GNMA
AVERAGE PRICE 88.0 94.5 97.0 99.7 100.9 102.5 102.7
Weighted Avg. Price 89.6 94.9 97.9 99.8 100.9 103.1 104.2
Avg. Price Bottom 5 Trades 80.2 92.1 86.3 93.2 93.0 79.5 68.2
2nd Quartile Price 84.4 94.3 97.4 99.7 100.9 102.1 102.9
3rd Quartile Price 88.5 94.6 97.7 99.8 101.1 102.9 103.4
4th Quartile Price 90.5 95.6 98.0 99.9 101.7 103.7 105.5
Avg. Price Top 5 Trades 93.2 96.0 100.0 104.8 104.6 107.9 108.9
Standard Deviation 3.6 1.3 2.9 2.3 1.9 3.7 10.6
     VOLUME OF TRADES (000'S) 706,733.1 99,571.1 1,009,370.2 2,367,936.9 6,160,066.0 1,159,827.3 1,486,127.5
     NUMBER OF TRADES 115 36 127 173 274 339 334
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 * - * 101.2 *
Avg. Price Bottom 5 Trades * - * 101.3 *
2nd Quartile Price * - * 101.0 *
3rd Quartile Price * - * 102.0 *
4th Quartile Price * - * 103.3 *
Avg. Price Top 5 Trades * - * 101.8 *
Standard Deviation * - * 1.1 *
     VOLUME OF TRADES (000'S) * - * 36,272.2 *
     NUMBER OF TRADES * - * 7 *
FHLMC
AVERAGE PRICE * - - 98.8 *
Weighted Avg. Price * - - 98.9 *
Avg. Price Bottom 5 Trades * - - 98.2 *
2nd Quartile Price * - - 98.8 *
3rd Quartile Price * - - 99.3 *
4th Quartile Price * - - 100.1 *
Avg. Price Top 5 Trades * - - 99.6 *
Standard Deviation * - - 1.6 *
     VOLUME OF TRADES (000'S) * - - 169,507.9 *
     NUMBER OF TRADES * - - 8 *
GNMA
AVERAGE PRICE * * 98.7 - -
Weighted Avg. Price * * 98.4 - -
Avg. Price Bottom 5 Trades * * 97.0 - -
2nd Quartile Price * * 97.3 - -
3rd Quartile Price * * 98.8 - -
4th Quartile Price * * 100.3 - -
Avg. Price Top 5 Trades * * 100.6 - -
Standard Deviation * * 1.6 - -
     VOLUME OF TRADES (000'S) * * 139,660.8 - -
     NUMBER OF TRADES * * 24 - -
* 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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