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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 95.2 98.8 99.6 101.2 102.1 103.1 -
Weighted Avg. Price 95.2 99.0 100.3 101.3 102.4 104.5 -
Avg. Price Bottom 5 Trades 75.9 96.9 96.9 100.3 101.1 102.7 -
2nd Quartile Price 93.4 98.9 99.4 101.2 101.9 102.9 -
3rd Quartile Price 96.9 99.0 100.2 101.3 102.3 103.1 -
4th Quartile Price 98.3 99.5 100.3 101.4 102.3 103.5 -
Avg. Price Top 5 Trades 99.3 99.8 100.9 101.9 103.0 103.8 -
Standard Deviation 4.9 1.2 1.3 0.5 0.6 0.7 -
     VOLUME OF TRADES (000'S) 189,140.6 102,344.2 357,065.2 230,593.5 23,965.0 2,319.9 -
     NUMBER OF TRADES 235 49 75 71 80 30 -
FNMA
AVERAGE PRICE 97.4 * 100.6 102.2 * * -
Weighted Avg. Price 98.4 * 100.6 102.1 * * -
Avg. Price Bottom 5 Trades 94.8 * 99.9 101.4 * * -
2nd Quartile Price 96.8 * 100.1 101.9 * * -
3rd Quartile Price 98.2 * 100.4 102.1 * * -
4th Quartile Price 98.6 * 101.5 102.8 * * -
Avg. Price Top 5 Trades 98.9 * 101.3 103.1 * * -
Standard Deviation 1.6 * 0.8 0.7 * * -
     VOLUME OF TRADES (000'S) 60,965.1 * 239,119.0 276,985.6 * * -
     NUMBER OF TRADES 24 * 12 19 * * -
FHLMC
AVERAGE PRICE 96.3 98.2 97.1 * * - -
Weighted Avg. Price 89.1 98.8 99.1 * * - -
Avg. Price Bottom 5 Trades 84.9 94.1 93.8 * * - -
2nd Quartile Price 96.8 97.4 95.5 * * - -
3rd Quartile Price 97.3 99.6 96.5 * * - -
4th Quartile Price 98.3 99.7 99.5 * * - -
Avg. Price Top 5 Trades 99.0 99.9 100.7 * * - -
Standard Deviation 3.7 2.5 2.5 * * - -
     VOLUME OF TRADES (000'S) 54,933.8 451,619.8 132,862.2 * * - -
     NUMBER OF TRADES 71 23 29 * * - -
GNMA
AVERAGE PRICE 95.8 98.9 99.7 101.0 * * *
Weighted Avg. Price 93.8 99.3 100.4 101.1 * * *
Avg. Price Bottom 5 Trades 95.5 98.9 99.7 100.8 * * *
2nd Quartile Price 94.5 * * 100.9 * * *
3rd Quartile Price 98.0 * * 101.0 * * *
4th Quartile Price 98.5 * * 101.2 * * *
Avg. Price Top 5 Trades 96.4 98.9 99.7 101.2 * * *
Standard Deviation 2.9 0.7 0.9 0.2 * * *
     VOLUME OF TRADES (000'S) 4,697.1 1,981.4 8,400.8 133,205.0 * * *
     NUMBER OF TRADES 8 5 6 11 * * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.3 94.3 98.1 100.1 101.5 102.2 103.1
Weighted Avg. Price 90.1 96.2 98.6 100.3 102.0 103.1 104.5
Avg. Price Bottom 5 Trades 77.4 84.3 93.7 97.1 89.4 83.9 86.5
2nd Quartile Price 82.2 95.3 98.0 99.9 101.2 102.5 103.8
3rd Quartile Price 87.6 95.6 98.3 100.0 101.5 102.8 104.7
4th Quartile Price 91.9 96.2 99.1 100.6 102.0 103.5 105.3
Avg. Price Top 5 Trades 97.1 99.3 100.7 102.4 103.7 105.4 108.0
Standard Deviation 4.6 4.3 2.0 0.9 1.8 4.9 8.3
     VOLUME OF TRADES (000'S) 1,900,459.0 928,460.1 243,853.2 1,706,356.6 4,279,797.4 1,775,517.5 2,062,738.4
     NUMBER OF TRADES 1,166 281 145 305 449 208 117
FNMA
AVERAGE PRICE 87.4 94.1 * - * 102.8 -
Weighted Avg. Price 84.9 95.2 * - * 107.8 -
Avg. Price Bottom 5 Trades 82.5 93.7 * - * 100.5 -
2nd Quartile Price 84.3 93.9 * - * 100.8 -
3rd Quartile Price 91.1 94.2 * - * 102.5 -
4th Quartile Price 92.0 94.4 * - * 108.3 -
Avg. Price Top 5 Trades 92.5 94.4 * - * 104.6 -
Standard Deviation 6.1 0.5 * - * 3.2 -
     VOLUME OF TRADES (000'S) 19,362.2 18,449.3 * - * 2,634.4 -
     NUMBER OF TRADES 12 13 * - * 10 -
FHLMC
AVERAGE PRICE 92.0 93.9 94.7 98.7 101.6 105.0 95.6
Weighted Avg. Price 93.4 92.4 93.5 100.8 102.7 104.9 106.9
Avg. Price Bottom 5 Trades 86.8 86.2 92.9 98.2 100.5 105.0 95.6
2nd Quartile Price 90.3 95.3 93.6 100.4 101.6 * *
3rd Quartile Price 92.6 95.5 94.2 100.8 102.8 * *
4th Quartile Price 95.2 96.8 97.9 101.1 103.0 * *
Avg. Price Top 5 Trades 96.9 98.6 97.2 100.7 102.8 105.0 95.6
Standard Deviation 4.5 4.5 2.5 3.5 1.7 1.3 14.9
     VOLUME OF TRADES (000'S) 5,481.8 14,500.0 33,393.7 6,190.2 14,080.5 11,781.7 5,016.3
     NUMBER OF TRADES 45 50 13 7 9 5 14
GNMA
AVERAGE PRICE 86.3 92.8 97.5 100.3 100.6 101.0 100.5
Weighted Avg. Price 83.2 96.5 98.3 100.1 101.1 102.7 103.2
Avg. Price Bottom 5 Trades 79.9 84.9 89.4 97.8 77.6 82.6 53.7
2nd Quartile Price 82.0 88.3 97.8 99.8 101.1 101.7 102.3
3rd Quartile Price 86.8 95.7 98.3 100.1 101.4 102.3 103.5
4th Quartile Price 90.7 98.1 98.9 100.6 102.1 103.2 104.3
Avg. Price Top 5 Trades 95.9 98.4 100.4 104.0 105.7 106.5 107.2
Standard Deviation 5.3 5.6 3.6 1.4 7.1 7.7 11.6
     VOLUME OF TRADES (000'S) 926,239.7 17,198.1 1,104,672.9 1,513,821.3 3,552,147.0 549,671.3 374,260.6
     NUMBER OF TRADES 140 21 84 104 137 158 257
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 102.1 - * 100.0 *
Weighted Avg. Price 102.1 - * 99.1 *
Avg. Price Bottom 5 Trades 101.3 - * 100.0 *
2nd Quartile Price 101.9 - * * *
3rd Quartile Price 102.4 - * * *
4th Quartile Price 102.4 - * * *
Avg. Price Top 5 Trades 102.2 - * 100.0 *
Standard Deviation 0.4 - * 1.0 *
     VOLUME OF TRADES (000'S) 1,636.8 - * 110,668.8 *
     NUMBER OF TRADES 52 - * 5 *
FHLMC
AVERAGE PRICE 102.1 - * * *
Weighted Avg. Price 100.4 - * * *
Avg. Price Bottom 5 Trades 102.1 - * * *
2nd Quartile Price * - * * *
3rd Quartile Price * - * * *
4th Quartile Price * - * * *
Avg. Price Top 5 Trades 102.1 - * * *
Standard Deviation 0.5 - * * *
     VOLUME OF TRADES (000'S) 5,520.7 - * * *
     NUMBER OF TRADES 19 - * * *
GNMA
AVERAGE PRICE * 100.3 100.4 - -
Weighted Avg. Price * 100.5 100.5 - -
Avg. Price Bottom 5 Trades * 99.8 99.6 - -
2nd Quartile Price * 99.6 100.2 - -
3rd Quartile Price * 101.1 100.6 - -
4th Quartile Price * 101.6 101.1 - -
Avg. Price Top 5 Trades * 100.9 101.0 - -
Standard Deviation * 1.2 0.8 - -
     VOLUME OF TRADES (000'S) * 27,365.0 19,801.8 - -
     NUMBER OF TRADES * 7 12 - -
* 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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