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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 93.6 97.7 99.6 100.8 101.8 102.0 *
Weighted Avg. Price 92.9 98.6 100.0 101.1 102.3 103.3 *
Avg. Price Bottom 5 Trades 76.4 95.2 96.9 99.4 98.9 98.5 *
2nd Quartile Price 91.9 97.2 99.9 100.6 101.6 102.1 *
3rd Quartile Price 94.0 98.4 99.9 101.1 102.0 102.7 *
4th Quartile Price 96.9 98.8 100.0 101.1 102.2 103.2 *
Avg. Price Top 5 Trades 99.0 99.3 100.8 102.2 103.0 103.6 *
Standard Deviation 4.8 1.8 1.7 0.8 1.1 1.7 *
     VOLUME OF TRADES (000'S) 236,273.0 66,322.9 216,700.5 169,020.3 87,256.3 27,995.3 *
     NUMBER OF TRADES 286 45 72 105 108 59 *
FNMA
AVERAGE PRICE 93.5 97.6 100.5 102.8 * * -
Weighted Avg. Price 96.0 98.6 100.9 102.2 * * -
Avg. Price Bottom 5 Trades 88.0 97.3 99.9 102.5 * * -
2nd Quartile Price 89.9 98.0 100.1 102.8 * * -
3rd Quartile Price 94.4 99.1 100.6 103.0 * * -
4th Quartile Price 97.0 99.4 100.8 103.6 * * -
Avg. Price Top 5 Trades 98.0 98.3 101.0 103.1 * * -
Standard Deviation 3.7 1.8 0.7 0.6 * * -
     VOLUME OF TRADES (000'S) 44,153.7 2,643.2 418,668.0 63,097.0 * * -
     NUMBER OF TRADES 28 6 12 7 * * -
FHLMC
AVERAGE PRICE 94.1 96.8 99.8 * - - -
Weighted Avg. Price 97.0 99.4 100.3 * - - -
Avg. Price Bottom 5 Trades 81.3 86.7 99.1 * - - -
2nd Quartile Price 94.0 99.3 99.7 * - - -
3rd Quartile Price 96.7 99.5 100.0 * - - -
4th Quartile Price 98.1 99.7 100.4 * - - -
Avg. Price Top 5 Trades 98.8 100.0 100.4 * - - -
Standard Deviation 7.3 9.6 0.8 * - - -
     VOLUME OF TRADES (000'S) 11,360.7 210,467.6 93,813.4 * - - -
     NUMBER OF TRADES 52 33 11 * - - -
GNMA
AVERAGE PRICE 92.8 - 99.7 - - - -
Weighted Avg. Price 91.9 - 100.0 - - - -
Avg. Price Bottom 5 Trades 92.0 - 99.7 - - - -
2nd Quartile Price 91.9 - * - - - -
3rd Quartile Price 93.0 - * - - - -
4th Quartile Price 96.5 - * - - - -
Avg. Price Top 5 Trades 93.0 - 99.7 - - - -
Standard Deviation 1.9 - 0.5 - - - -
     VOLUME OF TRADES (000'S) 19,356.1 - 29,883.5 - - - -
     NUMBER OF TRADES 6 - 7 - - - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.9 94.2 96.9 99.4 101.0 102.7 103.4
Weighted Avg. Price 87.4 95.1 97.9 99.7 101.2 102.7 103.6
Avg. Price Bottom 5 Trades 75.0 86.5 88.9 93.8 93.5 98.6 77.2
2nd Quartile Price 84.7 94.0 96.6 99.3 100.9 102.3 103.6
3rd Quartile Price 88.2 94.0 97.4 99.4 101.1 102.7 104.4
4th Quartile Price 91.2 95.1 98.0 100.0 101.6 103.2 104.7
Avg. Price Top 5 Trades 98.1 99.1 100.3 101.7 102.7 104.4 106.1
Standard Deviation 4.4 2.2 2.3 1.9 1.8 1.1 5.8
     VOLUME OF TRADES (000'S) 1,420,869.2 372,457.8 285,375.1 948,352.6 1,652,439.5 4,002,828.5 2,281,893.8
     NUMBER OF TRADES 1,202 352 309 287 304 388 218
FNMA
AVERAGE PRICE 88.6 92.0 * * * * 101.1
Weighted Avg. Price 89.8 95.4 * * * * 104.4
Avg. Price Bottom 5 Trades 88.6 90.2 * * * * 101.1
2nd Quartile Price * 88.0 * * * * *
3rd Quartile Price * 92.0 * * * * *
4th Quartile Price * 97.3 * * * * *
Avg. Price Top 5 Trades 88.6 93.6 * * * * 101.1
Standard Deviation 1.5 4.2 * * * * 2.3
     VOLUME OF TRADES (000'S) 14,662.6 737.0 * * * * 422.4
     NUMBER OF TRADES 6 8 * * * * 5
FHLMC
AVERAGE PRICE 90.5 92.9 96.7 98.8 * 101.6 93.8
Weighted Avg. Price 95.0 94.0 98.6 101.3 * 101.4 102.1
Avg. Price Bottom 5 Trades 80.0 86.0 94.7 96.3 * 101.3 87.0
2nd Quartile Price 88.0 93.0 96.6 97.0 * 101.1 102.0
3rd Quartile Price 90.9 94.0 97.5 100.8 * 101.4 102.3
4th Quartile Price 93.0 94.0 98.7 101.4 * 102.2 103.5
Avg. Price Top 5 Trades 97.0 98.2 99.1 101.5 * 101.8 103.2
Standard Deviation 4.0 3.8 2.6 3.7 * 1.2 29.6
     VOLUME OF TRADES (000'S) 177,383.3 8,277.0 1,338.3 701.9 * 620.9 10,129.6
     NUMBER OF TRADES 126 66 31 20 * 8 12
GNMA
AVERAGE PRICE 88.5 94.3 97.1 98.6 100.6 102.1 102.5
Weighted Avg. Price 90.8 94.3 97.2 99.6 101.1 102.3 103.0
Avg. Price Bottom 5 Trades 82.5 93.3 86.9 87.8 90.7 88.6 86.7
2nd Quartile Price 86.1 93.3 96.5 96.0 100.5 101.6 102.4
3rd Quartile Price 89.5 94.3 97.2 99.7 101.3 102.6 103.2
4th Quartile Price 92.0 95.1 99.5 99.9 101.8 104.0 104.3
Avg. Price Top 5 Trades 93.9 96.2 101.4 104.2 103.7 105.1 107.2
Standard Deviation 3.7 1.4 4.7 4.4 3.5 3.5 3.6
     VOLUME OF TRADES (000'S) 427,728.4 891,361.0 698,558.9 878,582.8 1,542,701.6 2,132,990.4 2,091,097.5
     NUMBER OF TRADES 129 45 76 106 145 217 503
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 102.8 - 101.0 101.8 *
Weighted Avg. Price 102.9 - 101.2 101.6 *
Avg. Price Bottom 5 Trades 102.7 - 101.0 101.2 *
2nd Quartile Price 102.6 - * 101.1 *
3rd Quartile Price 103.1 - * 102.6 *
4th Quartile Price 103.1 - * 102.9 *
Avg. Price Top 5 Trades 103.5 - 101.0 102.7 *
Standard Deviation 0.8 - 0.4 1.2 *
     VOLUME OF TRADES (000'S) 2,874.0 - 158,619.6 146,131.2 *
     NUMBER OF TRADES 33 - 5 8 *
FHLMC
AVERAGE PRICE 102.9 - 101.0 102.1 *
Weighted Avg. Price 102.9 - 101.2 100.8 *
Avg. Price Bottom 5 Trades 102.9 - 101.0 100.8 *
2nd Quartile Price * - * 100.8 *
3rd Quartile Price * - * 102.1 *
4th Quartile Price * - * 103.7 *
Avg. Price Top 5 Trades 102.9 - 101.0 103.1 *
Standard Deviation 0.3 - 0.5 1.5 *
     VOLUME OF TRADES (000'S) 1,573.6 - 147,316.3 324,941.5 *
     NUMBER OF TRADES 18 - 5 20 *
GNMA
AVERAGE PRICE 102.6 - * - -
Weighted Avg. Price 102.7 - * - -
Avg. Price Bottom 5 Trades 102.6 - * - -
2nd Quartile Price * - * - -
3rd Quartile Price * - * - -
4th Quartile Price * - * - -
Avg. Price Top 5 Trades 102.6 - * - -
Standard Deviation 0.7 - * - -
     VOLUME OF TRADES (000'S) 745.7 - * - -
     NUMBER OF TRADES 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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