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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 91.7 94.5 98.1 99.5 101.3 102.3 *
Weighted Avg. Price 92.9 97.1 99.0 100.5 101.8 102.6 *
Avg. Price Bottom 5 Trades 78.2 86.1 94.0 96.4 99.4 101.4 *
2nd Quartile Price 90.0 95.5 98.7 99.6 101.2 102.0 *
3rd Quartile Price 92.5 97.0 98.8 100.3 101.5 102.3 *
4th Quartile Price 95.4 97.1 99.3 100.3 101.6 102.7 *
Avg. Price Top 5 Trades 98.2 97.7 99.7 100.6 101.8 102.7 *
Standard Deviation 5.5 4.9 2.8 1.5 0.8 0.5 *
     VOLUME OF TRADES (000'S) 105,932.9 9,489.3 66,852.1 111,149.6 103,530.0 7,248.8 *
     NUMBER OF TRADES 85 25 26 49 66 32 *
FNMA
AVERAGE PRICE 89.6 * 99.0 99.8 - * -
Weighted Avg. Price 89.7 * 99.2 99.7 - * -
Avg. Price Bottom 5 Trades 84.6 * 98.7 97.8 - * -
2nd Quartile Price 85.4 * 98.7 99.9 - * -
3rd Quartile Price 87.4 * 99.2 100.6 - * -
4th Quartile Price 94.8 * 99.6 101.0 - * -
Avg. Price Top 5 Trades 98.6 * 99.5 100.7 - * -
Standard Deviation 5.5 * 0.5 2.0 - * -
     VOLUME OF TRADES (000'S) 276,348.5 * 107,817.0 199,038.0 - * -
     NUMBER OF TRADES 30 * 11 16 - * -
FHLMC
AVERAGE PRICE 94.7 97.3 99.0 * - - -
Weighted Avg. Price 94.6 98.4 99.2 * - - -
Avg. Price Bottom 5 Trades 92.4 96.6 97.2 * - - -
2nd Quartile Price 93.9 97.0 98.7 * - - -
3rd Quartile Price 95.4 98.3 99.6 * - - -
4th Quartile Price 96.7 98.5 99.6 * - - -
Avg. Price Top 5 Trades 97.0 98.0 99.8 * - - -
Standard Deviation 2.0 1.6 1.2 * - - -
     VOLUME OF TRADES (000'S) 96.0 187,007.3 143,878.8 * - - -
     NUMBER OF TRADES 18 11 21 * - - -
GNMA
AVERAGE PRICE * - - 100.3 * * *
Weighted Avg. Price * - - 100.3 * * *
Avg. Price Bottom 5 Trades * - - 100.3 * * *
2nd Quartile Price * - - 100.3 * * *
3rd Quartile Price * - - 100.3 * * *
4th Quartile Price * - - 100.4 * * *
Avg. Price Top 5 Trades * - - 100.3 * * *
Standard Deviation * - - - * * *
     VOLUME OF TRADES (000'S) * - - 3,563.7 * * *
     NUMBER OF TRADES * - - 6 * * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.5 92.0 94.9 97.3 99.2 101.6 103.4
Weighted Avg. Price 84.7 92.3 94.7 97.6 99.5 101.4 103.0
Avg. Price Bottom 5 Trades 71.1 87.6 91.6 94.8 95.3 98.7 100.6
2nd Quartile Price 85.6 92.1 94.2 96.8 99.0 101.3 103.0
3rd Quartile Price 85.6 92.1 94.6 97.2 99.3 101.6 103.2
4th Quartile Price 89.3 92.1 95.3 97.8 99.7 102.3 104.0
Avg. Price Top 5 Trades 96.8 97.0 98.8 99.9 101.5 103.2 105.8
Standard Deviation 3.0 0.6 1.5 1.2 1.2 1.0 1.4
     VOLUME OF TRADES (000'S) 1,909,313.6 934,155.3 531,937.1 380,523.2 994,444.2 2,366,228.0 9,539,540.8
     NUMBER OF TRADES 7,617 1,483 318 204 218 181 77
FNMA
AVERAGE PRICE 88.3 * * - * 101.7 102.8
Weighted Avg. Price 82.9 * * - * 101.7 104.0
Avg. Price Bottom 5 Trades 88.3 * * - * 101.2 100.9
2nd Quartile Price * * * - * 101.3 103.5
3rd Quartile Price * * * - * 101.7 103.7
4th Quartile Price * * * - * 102.1 105.0
Avg. Price Top 5 Trades 88.3 * * - * 102.4 104.9
Standard Deviation 2.5 * * - * 0.5 2.4
     VOLUME OF TRADES (000'S) 11,071.1 * * - * 111,011.3 30,097.4
     NUMBER OF TRADES 18 * * - * 26 13
FHLMC
AVERAGE PRICE 88.2 92.1 97.4 * * * -
Weighted Avg. Price 82.8 92.3 98.2 * * * -
Avg. Price Bottom 5 Trades 82.2 91.5 91.6 * * * -
2nd Quartile Price 85.3 91.6 97.6 * * * -
3rd Quartile Price 89.4 92.0 98.0 * * * -
4th Quartile Price 90.4 93.0 98.6 * * * -
Avg. Price Top 5 Trades 90.5 93.2 98.4 * * * -
Standard Deviation 3.0 0.8 2.9 * * * -
     VOLUME OF TRADES (000'S) 7,847.1 62.1 3,849.0 * * * -
     NUMBER OF TRADES 112 27 172 * * * -
GNMA
AVERAGE PRICE 86.1 91.6 93.9 94.6 99.3 100.1 102.9
Weighted Avg. Price 85.3 92.5 95.6 97.5 99.6 101.4 103.0
Avg. Price Bottom 5 Trades 80.1 89.8 87.3 87.1 90.4 80.3 93.7
2nd Quartile Price 83.7 91.7 94.5 95.0 99.5 100.6 102.0
3rd Quartile Price 87.1 92.3 94.7 97.3 99.7 101.3 103.4
4th Quartile Price 89.7 92.5 95.3 97.5 99.8 102.2 104.5
Avg. Price Top 5 Trades 92.2 92.6 97.1 98.5 105.0 104.7 106.9
Standard Deviation 3.5 1.4 3.4 5.5 3.3 5.1 3.8
     VOLUME OF TRADES (000'S) 1,543,375.0 195,854.5 639,758.0 406,724.1 2,133,349.5 1,613,218.0 1,814,425.2
     NUMBER OF TRADES 127 25 58 75 154 252 273
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 - - 100.1 100.2 *
Weighted Avg. Price - - 100.3 100.1 *
Avg. Price Bottom 5 Trades - - 100.1 100.2 *
2nd Quartile Price - - * * *
3rd Quartile Price - - * * *
4th Quartile Price - - * * *
Avg. Price Top 5 Trades - - 100.1 100.2 *
Standard Deviation - - 0.3 0.3 *
     VOLUME OF TRADES (000'S) - - 72,436.6 164,642.3 *
     NUMBER OF TRADES - - 12 29 *
FHLMC
AVERAGE PRICE 99.8 - - 100.3 98.4
Weighted Avg. Price 99.8 - - 100.3 96.4
Avg. Price Bottom 5 Trades 99.8 - - 100.3 98.4
2nd Quartile Price * - - * *
3rd Quartile Price * - - * *
4th Quartile Price * - - * *
Avg. Price Top 5 Trades 99.8 - - 100.3 98.4
Standard Deviation 0.1 - - 0.1 2.6
     VOLUME OF TRADES (000'S) 60,006.5 - - 33,725.4 5,359.0
     NUMBER OF TRADES 5 - - 5 17
GNMA
AVERAGE PRICE * - 98.4 - -
Weighted Avg. Price * - 98.7 - -
Avg. Price Bottom 5 Trades * - 97.2 - -
2nd Quartile Price * - 97.1 - -
3rd Quartile Price * - 98.7 - -
4th Quartile Price * - 100.0 - -
Avg. Price Top 5 Trades * - 99.5 - -
Standard Deviation * - 1.3 - -
     VOLUME OF TRADES (000'S) * - 54,658.5 - -
     NUMBER OF TRADES * - 11 - -
* 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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