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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 95.1 98.1 99.5 100.0 100.9 103.5 -
Weighted Avg. Price 93.0 98.8 100.0 101.2 102.4 103.6 -
Avg. Price Bottom 5 Trades 78.1 95.9 96.2 97.5 97.4 98.3 -
2nd Quartile Price 95.5 98.3 99.8 98.8 99.8 103.9 -
3rd Quartile Price 95.5 98.5 99.9 100.6 101.8 103.9 -
4th Quartile Price 96.3 98.7 100.2 101.2 102.4 103.9 -
Avg. Price Top 5 Trades 99.0 99.6 100.4 101.3 102.7 103.9 -
Standard Deviation 2.6 1.4 1.4 1.3 1.8 1.5 -
     VOLUME OF TRADES (000'S) 302,374.7 26,845.0 212,594.5 57,580.9 46,254.0 1,632.4 -
     NUMBER OF TRADES 625 31 60 72 73 115 -
FNMA
AVERAGE PRICE 95.4 99.1 99.9 101.9 * - -
Weighted Avg. Price 98.5 99.3 99.8 101.8 * - -
Avg. Price Bottom 5 Trades 88.5 98.3 99.6 101.3 * - -
2nd Quartile Price 94.1 99.1 99.8 101.4 * - -
3rd Quartile Price 97.0 99.3 100.0 101.8 * - -
4th Quartile Price 99.0 99.5 100.3 102.8 * - -
Avg. Price Top 5 Trades 99.4 99.7 100.4 102.7 * - -
Standard Deviation 4.2 0.6 0.4 0.7 * - -
     VOLUME OF TRADES (000'S) 129,676.4 43,011.6 168,582.9 35,212.9 * - -
     NUMBER OF TRADES 29 17 20 12 * - -
FHLMC
AVERAGE PRICE 93.7 99.7 99.9 - - - -
Weighted Avg. Price 93.0 99.4 100.3 - - - -
Avg. Price Bottom 5 Trades 86.4 99.4 99.0 - - - -
2nd Quartile Price 93.3 99.6 99.5 - - - -
3rd Quartile Price 95.8 99.7 100.0 - - - -
4th Quartile Price 95.8 99.9 100.2 - - - -
Avg. Price Top 5 Trades 98.5 99.9 100.9 - - - -
Standard Deviation 4.5 0.2 0.6 - - - -
     VOLUME OF TRADES (000'S) 2,647.1 197,694.8 228,077.4 - - - -
     NUMBER OF TRADES 32 15 32 - - - -
GNMA
AVERAGE PRICE 97.8 98.6 * 101.0 101.9 - *
Weighted Avg. Price 96.5 98.7 * 101.0 101.8 - *
Avg. Price Bottom 5 Trades 97.3 98.6 * 101.0 101.9 - *
2nd Quartile Price 98.3 * * * * - *
3rd Quartile Price 98.5 * * * * - *
4th Quartile Price 98.7 * * * * - *
Avg. Price Top 5 Trades 98.5 98.6 * 101.0 101.9 - *
Standard Deviation 2.0 0.2 * 0.1 0.1 - *
     VOLUME OF TRADES (000'S) 1,264.1 14,732.4 * 5,346.4 2,400.9 - *
     NUMBER OF TRADES 10 5 * 5 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 88.9 94.2 96.9 99.6 101.2 101.8 103.0
Weighted Avg. Price 86.5 95.7 98.1 99.9 101.5 102.7 103.9
Avg. Price Bottom 5 Trades 75.9 86.8 81.4 82.4 82.6 69.0 77.2
2nd Quartile Price 85.8 94.4 96.8 99.5 101.1 102.4 103.6
3rd Quartile Price 88.8 94.6 97.6 99.8 101.3 102.8 104.4
4th Quartile Price 92.0 95.0 98.4 100.2 101.9 103.7 105.2
Avg. Price Top 5 Trades 97.3 99.5 100.2 101.7 103.3 104.9 106.6
Standard Deviation 3.8 2.2 3.3 2.2 3.0 10.1 10.3
     VOLUME OF TRADES (000'S) 1,771,356.8 629,313.0 1,066,304.8 5,725,930.6 2,481,831.8 1,873,866.5 676,978.8
     NUMBER OF TRADES 1,493 520 341 597 447 213 125
FNMA
AVERAGE PRICE 86.5 * * 100.0 102.2 * 104.9
Weighted Avg. Price 84.5 * * 99.9 101.8 * 104.8
Avg. Price Bottom 5 Trades 85.3 * * 99.5 101.6 * 104.9
2nd Quartile Price 86.6 * * 99.7 101.9 * *
3rd Quartile Price 88.0 * * 99.9 102.2 * *
4th Quartile Price 93.3 * * 100.3 102.3 * *
Avg. Price Top 5 Trades 87.7 * * 100.6 102.9 * 104.9
Standard Deviation 4.4 * * 0.4 0.7 * 0.4
     VOLUME OF TRADES (000'S) 6,447.0 * * 539,861.6 79,270.5 * 5,801.2
     NUMBER OF TRADES 7 * * 35 22 * 5
FHLMC
AVERAGE PRICE 90.6 94.5 97.3 98.5 * 101.7 104.0
Weighted Avg. Price 91.7 96.5 100.2 101.5 * 101.4 104.6
Avg. Price Bottom 5 Trades 82.7 90.4 92.8 98.5 * 100.3 103.1
2nd Quartile Price 88.1 94.4 96.6 * * 101.4 104.1
3rd Quartile Price 91.6 94.4 99.8 * * 103.2 104.5
4th Quartile Price 92.6 95.1 100.3 * * 103.8 105.4
Avg. Price Top 5 Trades 94.3 97.6 100.2 98.5 * 103.5 105.0
Standard Deviation 3.0 2.2 4.1 2.9 * 2.8 1.7
     VOLUME OF TRADES (000'S) 15,296.5 1,515.3 1,321.1 540.8 * 9,003.5 3,078.8
     NUMBER OF TRADES 105 71 26 7 * 9 9
GNMA
AVERAGE PRICE 89.4 94.6 97.5 98.8 101.4 100.9 101.9
Weighted Avg. Price 91.2 94.8 97.4 99.8 101.5 102.6 103.4
Avg. Price Bottom 5 Trades 79.9 93.2 95.9 84.2 85.1 75.7 86.4
2nd Quartile Price 86.8 94.2 97.2 99.4 101.0 101.9 103.1
3rd Quartile Price 89.7 94.3 97.3 99.8 101.6 102.5 103.4
4th Quartile Price 92.3 95.3 97.5 100.0 102.8 103.3 103.9
Avg. Price Top 5 Trades 96.2 96.2 100.0 101.9 106.7 107.6 108.3
Standard Deviation 4.0 1.0 1.0 4.5 5.1 8.8 5.7
     VOLUME OF TRADES (000'S) 350,424.1 139,048.9 1,017,273.5 3,100,260.6 667,113.6 205,344.8 425,555.2
     NUMBER OF TRADES 123 40 82 201 190 140 132
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 - - - - -
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 - - - - -
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 - - - - -
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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