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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 90.5 96.2 100.2 100.8 101.6 103.0 *
Weighted Avg. Price 94.9 98.5 100.1 101.1 102.2 103.3 *
Avg. Price Bottom 5 Trades 77.8 92.0 100.0 99.9 99.4 102.6 *
2nd Quartile Price 86.4 95.0 100.0 101.0 101.8 103.0 *
3rd Quartile Price 91.8 98.6 100.1 101.1 102.0 103.2 *
4th Quartile Price 94.2 98.7 100.4 101.2 102.2 103.2 *
Avg. Price Top 5 Trades 98.5 98.7 100.6 101.6 102.4 103.3 *
Standard Deviation 4.9 3.6 0.3 0.9 1.3 0.4 *
     VOLUME OF TRADES (000'S) 75,863.9 24,509.1 247,240.2 456,040.3 134,217.8 44,072.8 *
     NUMBER OF TRADES 134 27 27 57 53 30 *
FNMA
AVERAGE PRICE 89.2 * 100.1 101.4 104.6 - -
Weighted Avg. Price 88.8 * 100.4 102.2 104.7 - -
Avg. Price Bottom 5 Trades 86.4 * 99.8 100.4 104.0 - -
2nd Quartile Price 87.9 * 99.7 100.8 104.2 - -
3rd Quartile Price 88.7 * 100.6 101.1 104.9 - -
4th Quartile Price 92.2 * 100.8 102.8 105.1 - -
Avg. Price Top 5 Trades 93.1 * 100.7 102.9 105.1 - -
Standard Deviation 3.6 * 0.6 1.1 0.6 - -
     VOLUME OF TRADES (000'S) 255,228.4 * 20,021.0 70,759.0 39,922.0 - -
     NUMBER OF TRADES 16 * 10 17 10 - -
FHLMC
AVERAGE PRICE 92.9 * 100.6 * - - -
Weighted Avg. Price 97.7 * 100.0 * - - -
Avg. Price Bottom 5 Trades 88.1 * 99.8 * - - -
2nd Quartile Price 91.0 * 99.8 * - - -
3rd Quartile Price 93.7 * 101.1 * - - -
4th Quartile Price 98.0 * 102.1 * - - -
Avg. Price Top 5 Trades 98.2 * 101.5 * - - -
Standard Deviation 5.2 * 1.1 * - - -
     VOLUME OF TRADES (000'S) 4,820.4 * 20,827.0 * - - -
     NUMBER OF TRADES 19 * 10 * - - -
GNMA
AVERAGE PRICE 91.9 * 100.0 101.1 101.0 * *
Weighted Avg. Price 96.5 * 100.0 100.8 100.6 * *
Avg. Price Bottom 5 Trades 91.9 * 100.0 100.7 101.0 * *
2nd Quartile Price * * * 100.8 * * *
3rd Quartile Price * * * 100.8 * * *
4th Quartile Price * * * 100.9 * * *
Avg. Price Top 5 Trades 91.9 * 100.0 101.3 101.0 * *
Standard Deviation 2.9 * - 1.0 1.0 * *
     VOLUME OF TRADES (000'S) 397.9 * 5,499.5 11,924.6 11,646.1 * *
     NUMBER OF TRADES 5 * 5 9 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 87.7 93.0 96.3 98.7 101.3 102.9 102.1
Weighted Avg. Price 86.5 95.6 98.0 99.8 101.5 102.6 103.7
Avg. Price Bottom 5 Trades 77.6 84.9 88.4 75.1 98.8 101.3 87.0
2nd Quartile Price 84.9 91.9 95.5 99.4 101.0 102.4 103.7
3rd Quartile Price 88.2 93.9 97.5 99.8 101.2 103.0 104.3
4th Quartile Price 91.3 94.5 97.9 100.1 101.7 103.7 104.8
Avg. Price Top 5 Trades 97.0 97.3 99.6 101.0 102.7 104.5 105.6
Standard Deviation 3.5 2.4 2.8 9.6 0.7 0.9 14.3
     VOLUME OF TRADES (000'S) 479,997.8 101,107.5 260,957.9 642,185.2 1,367,294.8 1,406,089.5 490,812.3
     NUMBER OF TRADES 987 348 171 216 241 117 53
FNMA
AVERAGE PRICE 94.5 * - - - * -
Weighted Avg. Price 95.6 * - - - * -
Avg. Price Bottom 5 Trades 92.9 * - - - * -
2nd Quartile Price 93.2 * - - - * -
3rd Quartile Price 96.3 * - - - * -
4th Quartile Price 96.6 * - - - * -
Avg. Price Top 5 Trades 96.3 * - - - * -
Standard Deviation 2.2 * - - - * -
     VOLUME OF TRADES (000'S) 26,082.7 * - - - * -
     NUMBER OF TRADES 9 * - - - * -
FHLMC
AVERAGE PRICE 88.2 92.5 * * 83.3 - 61.8
Weighted Avg. Price 87.2 94.0 * * 100.5 - 103.0
Avg. Price Bottom 5 Trades 78.0 84.5 * * 80.4 - 61.8
2nd Quartile Price 86.4 94.1 * * 80.9 - *
3rd Quartile Price 89.0 94.1 * * 98.7 - *
4th Quartile Price 91.4 94.1 * * 100.5 - *
Avg. Price Top 5 Trades 96.6 94.1 * * 92.2 - 61.8
Standard Deviation 5.2 3.3 * * 17.2 - 56.4
     VOLUME OF TRADES (000'S) 78,109.7 50.0 * * 756.1 - 11,640.5
     NUMBER OF TRADES 95 66 * * 7 - 5
GNMA
AVERAGE PRICE 89.0 93.7 97.0 99.4 100.6 102.6 101.3
Weighted Avg. Price 88.8 94.6 97.1 99.7 101.0 102.3 103.2
Avg. Price Bottom 5 Trades 82.9 90.3 93.3 95.2 82.6 93.2 78.2
2nd Quartile Price 86.8 94.4 96.0 99.6 100.8 102.1 102.0
3rd Quartile Price 90.1 94.5 97.4 99.7 101.0 103.0 103.1
4th Quartile Price 91.4 95.8 97.8 99.8 101.7 103.4 103.6
Avg. Price Top 5 Trades 93.1 96.3 99.1 100.8 106.2 104.9 107.9
Standard Deviation 3.3 4.1 1.6 1.2 3.9 1.9 6.1
     VOLUME OF TRADES (000'S) 1,199,529.4 19,755.5 237,450.8 1,372,301.8 2,481,694.2 2,088,528.7 705,079.6
     NUMBER OF TRADES 78 19 64 128 212 215 244
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 104.4 - * * -
Weighted Avg. Price 104.4 - * * -
Avg. Price Bottom 5 Trades 104.4 - * * -
2nd Quartile Price * - * * -
3rd Quartile Price * - * * -
4th Quartile Price * - * * -
Avg. Price Top 5 Trades 104.4 - * * -
Standard Deviation 0.1 - * * -
     VOLUME OF TRADES (000'S) 5,864.5 - * * -
     NUMBER OF TRADES 40 - * * -
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 - - 100.0 - -
Weighted Avg. Price - - 100.2 - -
Avg. Price Bottom 5 Trades - - 98.8 - -
2nd Quartile Price - - 99.1 - -
3rd Quartile Price - - 100.1 - -
4th Quartile Price - - 101.0 - -
Avg. Price Top 5 Trades - - 101.2 - -
Standard Deviation - - 1.1 - -
     VOLUME OF TRADES (000'S) - - 218,232.4 - -
     NUMBER OF TRADES - - 14 - -
* 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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