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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 91.2 94.9 96.8 99.2 100.2 101.4 -
Weighted Avg. Price 96.4 97.6 98.2 100.0 101.5 102.1 -
Avg. Price Bottom 5 Trades 77.4 91.8 92.4 97.0 98.3 99.4 -
2nd Quartile Price 89.2 95.0 97.5 98.3 99.2 101.0 -
3rd Quartile Price 92.8 96.5 98.1 99.8 100.8 101.9 -
4th Quartile Price 94.8 97.1 98.4 100.0 101.3 102.3 -
Avg. Price Top 5 Trades 97.8 98.1 98.8 100.6 101.6 102.2 -
Standard Deviation 5.3 3.9 4.0 1.4 1.2 1.1 -
     VOLUME OF TRADES (000'S) 150,086.0 4,894.0 70,676.7 229,594.8 24,187.9 349.9 -
     NUMBER OF TRADES 213 17 27 62 52 29 -
FNMA
AVERAGE PRICE 91.9 95.1 99.1 99.7 101.8 * -
Weighted Avg. Price 92.8 94.4 98.4 100.2 101.0 * -
Avg. Price Bottom 5 Trades 86.3 94.2 98.3 99.0 101.8 * -
2nd Quartile Price 90.8 94.4 98.9 99.5 * * -
3rd Quartile Price 91.6 94.8 99.5 100.0 * * -
4th Quartile Price 96.5 96.7 99.7 100.3 * * -
Avg. Price Top 5 Trades 97.1 96.0 99.6 100.3 101.8 * -
Standard Deviation 3.9 1.1 0.7 0.7 0.9 * -
     VOLUME OF TRADES (000'S) 115,115.9 118,805.8 189,390.1 102,079.5 53,300.0 * -
     NUMBER OF TRADES 23 11 14 13 5 * -
FHLMC
AVERAGE PRICE 93.2 89.6 95.7 * - - -
Weighted Avg. Price 95.6 96.9 98.8 * - - -
Avg. Price Bottom 5 Trades 83.0 75.4 88.6 * - - -
2nd Quartile Price 90.3 86.8 96.9 * - - -
3rd Quartile Price 95.8 96.6 98.5 * - - -
4th Quartile Price 96.7 98.0 99.1 * - - -
Avg. Price Top 5 Trades 97.8 98.2 99.4 * - - -
Standard Deviation 4.7 14.0 5.6 * - - -
     VOLUME OF TRADES (000'S) 2,294.1 96,983.3 14,074.8 * - - -
     NUMBER OF TRADES 68 17 18 * - - -
GNMA
AVERAGE PRICE 96.3 * 98.2 * * * -
Weighted Avg. Price 96.0 * 98.3 * * * -
Avg. Price Bottom 5 Trades 96.3 * 98.2 * * * -
2nd Quartile Price * * * * * * -
3rd Quartile Price * * * * * * -
4th Quartile Price * * * * * * -
Avg. Price Top 5 Trades 96.3 * 98.2 * * * -
Standard Deviation 1.3 * 0.2 * * * -
     VOLUME OF TRADES (000'S) 624.3 * 13,922.9 * * * -
     NUMBER OF TRADES 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 84.2 90.9 93.3 96.5 98.9 101.0 103.0
Weighted Avg. Price 84.4 91.5 94.5 97.4 98.8 101.1 103.3
Avg. Price Bottom 5 Trades 69.6 84.0 85.2 90.5 93.1 87.8 83.1
2nd Quartile Price 80.9 90.2 93.1 96.0 98.6 100.8 102.9
3rd Quartile Price 84.2 91.0 93.4 96.5 98.8 101.3 103.4
4th Quartile Price 87.6 91.3 93.9 96.9 99.3 101.7 104.4
Avg. Price Top 5 Trades 94.3 99.0 97.6 99.6 100.5 102.6 106.4
Standard Deviation 3.7 1.9 1.7 1.8 1.0 2.5 4.6
     VOLUME OF TRADES (000'S) 772,494.5 468,458.8 181,499.3 947,023.4 3,486,002.7 2,466,614.6 1,274,312.6
     NUMBER OF TRADES 1,242 371 291 324 432 348 240
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 85.8 91.1 92.1 97.6 97.0 * *
Weighted Avg. Price 74.6 94.9 95.7 100.0 99.3 * *
Avg. Price Bottom 5 Trades 75.7 86.7 86.2 96.9 96.0 * *
2nd Quartile Price 84.2 90.1 93.4 97.1 98.9 * *
3rd Quartile Price 86.6 90.8 93.4 97.9 99.3 * *
4th Quartile Price 87.7 91.0 95.2 99.9 99.6 * *
Avg. Price Top 5 Trades 89.6 99.0 94.3 98.9 98.9 * *
Standard Deviation 3.1 2.6 4.3 2.3 5.0 * *
     VOLUME OF TRADES (000'S) 1,919.2 4,602.4 2,197.4 65.0 1,493.7 * *
     NUMBER OF TRADES 108 83 21 9 7 * *
GNMA
AVERAGE PRICE 84.9 90.0 93.6 94.2 98.5 99.9 102.4
Weighted Avg. Price 88.6 91.9 94.8 96.7 99.3 101.1 102.7
Avg. Price Bottom 5 Trades 76.3 84.3 90.4 80.3 84.1 68.2 77.1
2nd Quartile Price 82.5 88.0 93.3 95.0 99.0 100.8 102.0
3rd Quartile Price 86.0 91.2 93.8 96.6 99.1 101.1 103.0
4th Quartile Price 87.9 92.3 94.6 96.8 99.5 102.0 104.4
Avg. Price Top 5 Trades 91.6 93.9 96.3 98.6 104.7 107.1 108.9
Standard Deviation 4.0 3.2 2.0 6.1 4.5 8.9 5.9
     VOLUME OF TRADES (000'S) 1,994,439.2 74,926.6 119,197.8 329,106.3 1,510,974.1 1,121,968.1 185,099.9
     NUMBER OF TRADES 128 42 34 62 131 219 185
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 100.0 - * 99.5 -
Weighted Avg. Price 100.0 - * 99.2 -
Avg. Price Bottom 5 Trades 100.0 - * 98.9 -
2nd Quartile Price * - * 98.8 -
3rd Quartile Price * - * 99.4 -
4th Quartile Price * - * 100.8 -
Avg. Price Top 5 Trades 100.0 - * 99.8 -
Standard Deviation 1.1 - * 1.0 -
     VOLUME OF TRADES (000'S) 55.5 - * 76,718.2 -
     NUMBER OF TRADES 6 - * 8 -
FHLMC
AVERAGE PRICE 99.9 - * 99.9 -
Weighted Avg. Price 99.8 - * 99.7 -
Avg. Price Bottom 5 Trades 99.7 - * 99.6 -
2nd Quartile Price 99.6 - * 99.7 -
3rd Quartile Price 100.0 - * 99.8 -
4th Quartile Price 100.0 - * 100.3 -
Avg. Price Top 5 Trades 100.0 - * 100.1 -
Standard Deviation 0.6 - * 0.3 -
     VOLUME OF TRADES (000'S) 8,517.6 - * 171,779.8 -
     NUMBER OF TRADES 14 - * 12 -
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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