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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 93.4 97.8 99.3 100.0 100.9 101.7 *
Weighted Avg. Price 94.9 98.4 99.8 101.0 103.1 103.2 *
Avg. Price Bottom 5 Trades 76.4 95.5 98.3 97.9 98.6 99.3 *
2nd Quartile Price 93.7 97.6 99.1 99.7 100.0 101.0 *
3rd Quartile Price 96.7 98.3 99.7 100.3 101.1 102.4 *
4th Quartile Price 96.7 99.1 99.9 100.9 102.1 102.6 *
Avg. Price Top 5 Trades 99.1 99.4 100.1 101.4 102.8 102.8 *
Standard Deviation 6.9 1.5 1.0 1.1 1.2 1.4 *
     VOLUME OF TRADES (000'S) 190,120.7 102,091.7 257,915.3 77,169.8 33,803.3 1,056.6 *
     NUMBER OF TRADES 264 46 32 70 85 42 *
FNMA
AVERAGE PRICE 96.2 98.7 100.2 101.7 * - -
Weighted Avg. Price 97.8 98.2 100.1 101.3 * - -
Avg. Price Bottom 5 Trades 92.0 97.8 99.7 100.7 * - -
2nd Quartile Price 94.3 99.3 99.8 101.2 * - -
3rd Quartile Price 98.2 99.4 100.2 102.0 * - -
4th Quartile Price 99.0 99.4 100.7 102.4 * - -
Avg. Price Top 5 Trades 98.9 99.4 100.9 102.5 * - -
Standard Deviation 3.5 1.2 0.6 0.7 * - -
     VOLUME OF TRADES (000'S) 12,659.6 10,431.9 80,098.0 178,420.7 * - -
     NUMBER OF TRADES 15 11 17 18 * - -
FHLMC
AVERAGE PRICE 96.4 99.3 100.0 - * - -
Weighted Avg. Price 95.3 99.2 100.3 - * - -
Avg. Price Bottom 5 Trades 95.5 99.0 99.1 - * - -
2nd Quartile Price 95.0 99.2 99.1 - * - -
3rd Quartile Price 97.0 99.4 100.0 - * - -
4th Quartile Price 98.0 99.6 100.8 - * - -
Avg. Price Top 5 Trades 98.4 99.6 101.3 - * - -
Standard Deviation 2.0 0.3 0.9 - * - -
     VOLUME OF TRADES (000'S) 1,472.7 665,560.9 241,583.0 - * - -
     NUMBER OF TRADES 22 21 27 - * - -
GNMA
AVERAGE PRICE 85.2 * 99.5 100.8 * - *
Weighted Avg. Price 89.4 * 99.2 101.8 * - *
Avg. Price Bottom 5 Trades 85.2 * 99.3 100.6 * - *
2nd Quartile Price * * 99.5 100.6 * - *
3rd Quartile Price * * 99.6 100.7 * - *
4th Quartile Price * * 100.4 100.9 * - *
Avg. Price Top 5 Trades 85.2 * 99.6 100.8 * - *
Standard Deviation 4.4 * 0.6 0.6 * - *
     VOLUME OF TRADES (000'S) 16.6 * 4,112.7 30,859.7 * - *
     NUMBER OF TRADES 6 * 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 87.8 93.4 97.3 99.2 100.6 101.9 104.6
Weighted Avg. Price 85.3 95.5 98.0 99.6 101.2 103.2 104.8
Avg. Price Bottom 5 Trades 76.6 63.9 91.2 78.5 80.1 79.1 96.3
2nd Quartile Price 84.6 94.0 97.0 99.2 100.9 102.4 104.3
3rd Quartile Price 88.4 94.5 97.2 99.5 101.1 103.3 105.5
4th Quartile Price 91.7 94.9 98.5 99.9 101.3 103.5 105.5
Avg. Price Top 5 Trades 96.9 99.1 99.7 101.3 102.9 104.5 106.0
Standard Deviation 4.2 5.5 2.1 5.1 3.9 5.1 1.9
     VOLUME OF TRADES (000'S) 1,190,761.8 281,587.2 495,338.7 2,537,221.4 1,650,976.5 2,376,514.1 498,652.0
     NUMBER OF TRADES 936 309 209 307 391 207 197
FNMA
AVERAGE PRICE 86.7 - - * * - *
Weighted Avg. Price 86.7 - - * * - *
Avg. Price Bottom 5 Trades 83.5 - - * * - *
2nd Quartile Price 83.0 - - * * - *
3rd Quartile Price 87.3 - - * * - *
4th Quartile Price 89.9 - - * * - *
Avg. Price Top 5 Trades 89.4 - - * * - *
Standard Deviation 4.3 - - * * - *
     VOLUME OF TRADES (000'S) 50,993.8 - - * * - *
     NUMBER OF TRADES 10 - - * * - *
FHLMC
AVERAGE PRICE 89.2 91.2 * 96.8 99.2 * *
Weighted Avg. Price 90.9 95.7 * 99.2 101.3 * *
Avg. Price Bottom 5 Trades 79.3 77.4 * 96.8 98.3 * *
2nd Quartile Price 88.2 87.0 * * 98.0 * *
3rd Quartile Price 89.3 94.2 * * 101.3 * *
4th Quartile Price 91.7 94.2 * * 101.9 * *
Avg. Price Top 5 Trades 93.6 94.4 * 96.8 101.5 * *
Standard Deviation 3.7 5.6 * 3.6 3.4 * *
     VOLUME OF TRADES (000'S) 1,666.5 120.6 * 131.3 1,825.3 * *
     NUMBER OF TRADES 77 63 * 7 8 * *
GNMA
AVERAGE PRICE 86.7 94.0 96.8 99.2 100.6 99.8 101.5
Weighted Avg. Price 86.4 94.6 97.5 99.7 101.0 102.7 102.4
Avg. Price Bottom 5 Trades 80.7 91.8 89.3 91.7 87.0 66.0 80.9
2nd Quartile Price 83.1 93.2 97.0 99.6 100.7 101.1 101.0
3rd Quartile Price 86.6 94.2 97.2 99.8 101.0 102.1 102.7
4th Quartile Price 89.5 95.3 97.5 99.8 101.8 103.3 103.6
Avg. Price Top 5 Trades 93.0 95.9 98.7 101.0 104.0 104.7 108.0
Standard Deviation 3.5 1.6 2.4 2.8 2.7 8.7 4.9
     VOLUME OF TRADES (000'S) 3,145,539.6 2,231,594.2 1,424,978.9 2,860,013.0 1,851,138.0 548,849.6 573,532.1
     NUMBER OF TRADES 95 58 78 158 236 162 241
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 83.4 - * 99.9 *
Weighted Avg. Price 88.6 - * 100.1 *
Avg. Price Bottom 5 Trades 74.0 - * 99.6 *
2nd Quartile Price 80.6 - * 99.9 *
3rd Quartile Price 82.0 - * 101.5 *
4th Quartile Price 91.0 - * 101.6 *
Avg. Price Top 5 Trades 92.5 - * 100.3 *
Standard Deviation 7.9 - * 1.6 *
     VOLUME OF TRADES (000'S) 64.9 - * 69,370.5 *
     NUMBER OF TRADES 24 - * 6 *
FHLMC
AVERAGE PRICE 97.4 - * 100.2 100.2
Weighted Avg. Price 99.4 - * 99.0 100.2
Avg. Price Bottom 5 Trades 70.5 - * 99.6 100.2
2nd Quartile Price 100.0 - * 98.8 *
3rd Quartile Price 104.0 - * 100.1 *
4th Quartile Price 104.0 - * 100.1 *
Avg. Price Top 5 Trades 103.6 - * 100.9 100.2
Standard Deviation 12.3 - * 1.6 -
     VOLUME OF TRADES (000'S) 85,349.0 - * 542,791.8 14,965.1
     NUMBER OF TRADES 56 - * 32 9
GNMA
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 * * * - -
* 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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