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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 93.2 97.5 99.4 101.2 102.1 102.1 *
Weighted Avg. Price 95.6 99.1 100.4 101.4 102.6 103.2 *
Avg. Price Bottom 5 Trades 83.3 93.0 95.6 98.7 100.0 99.2 *
2nd Quartile Price 92.6 98.0 100.1 101.3 101.9 102.4 *
3rd Quartile Price 92.6 99.1 100.4 101.3 102.3 102.6 *
4th Quartile Price 92.8 100.1 100.5 101.5 102.3 103.2 *
Avg. Price Top 5 Trades 99.1 100.3 100.6 102.1 103.1 103.5 *
Standard Deviation 2.1 4.9 2.3 0.9 0.8 1.9 *
     VOLUME OF TRADES (000'S) 229,102.5 15,628.9 105,597.9 1,094,758.9 217,217.6 9,592.1 *
     NUMBER OF TRADES 802 14 37 114 108 38 *
FNMA
AVERAGE PRICE 96.4 97.1 100.8 101.6 102.3 - -
Weighted Avg. Price 96.4 98.2 101.1 102.1 103.7 - -
Avg. Price Bottom 5 Trades 92.4 95.2 100.6 101.4 102.3 - -
2nd Quartile Price 94.5 96.9 100.9 101.5 * - -
3rd Quartile Price 97.6 98.1 101.0 102.2 * - -
4th Quartile Price 98.3 99.0 101.4 102.8 * - -
Avg. Price Top 5 Trades 99.1 98.6 100.9 101.8 102.3 - -
Standard Deviation 2.4 2.3 0.6 1.1 1.5 - -
     VOLUME OF TRADES (000'S) 122,756.1 319,533.0 40,096.0 10,605.7 3,100.0 - -
     NUMBER OF TRADES 35 19 6 7 5 - -
FHLMC
AVERAGE PRICE 96.2 * 100.3 * - - -
Weighted Avg. Price 97.2 * 99.9 * - - -
Avg. Price Bottom 5 Trades 94.2 * 99.7 * - - -
2nd Quartile Price 94.5 * 99.9 * - - -
3rd Quartile Price 97.0 * 100.3 * - - -
4th Quartile Price 97.7 * 101.1 * - - -
Avg. Price Top 5 Trades 98.0 * 101.0 * - - -
Standard Deviation 1.6 * 0.7 * - - -
     VOLUME OF TRADES (000'S) 25,648.4 * 77,036.5 * - - -
     NUMBER OF TRADES 27 * 15 * - - -
GNMA
AVERAGE PRICE 97.1 - * 101.3 102.2 102.8 102.2
Weighted Avg. Price 96.6 - * 101.4 102.2 102.8 101.3
Avg. Price Bottom 5 Trades 96.8 - * 101.2 102.0 102.8 102.2
2nd Quartile Price 96.4 - * 101.3 102.1 * *
3rd Quartile Price 98.0 - * 101.4 102.2 * *
4th Quartile Price 98.8 - * 101.4 102.8 * *
Avg. Price Top 5 Trades 97.9 - * 101.3 102.4 102.8 102.2
Standard Deviation 1.6 - * 0.1 0.4 0.1 1.3
     VOLUME OF TRADES (000'S) 555.3 - * 8,610.5 3,200.1 2,444.7 97.0
     NUMBER OF TRADES 7 - * 8 7 6 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 88.1 94.1 97.3 99.7 100.9 100.1 103.4
Weighted Avg. Price 89.1 95.3 98.1 100.2 101.5 103.4 104.5
Avg. Price Bottom 5 Trades 65.6 58.2 69.7 90.2 84.0 73.8 78.1
2nd Quartile Price 85.1 94.7 97.9 99.7 101.3 102.5 103.6
3rd Quartile Price 88.7 95.2 98.0 100.0 101.4 102.7 103.6
4th Quartile Price 92.0 95.3 98.5 100.1 101.6 103.5 103.6
Avg. Price Top 5 Trades 96.9 99.7 100.2 102.0 103.3 104.9 106.5
Standard Deviation 4.4 4.8 5.6 2.0 3.2 7.9 3.1
     VOLUME OF TRADES (000'S) 811,103.4 4,556,436.9 747,622.3 1,376,770.5 1,109,614.0 1,966,612.1 405,926.0
     NUMBER OF TRADES 1,238 505 269 279 325 285 910
FNMA
AVERAGE PRICE 83.9 94.1 96.9 - * * *
Weighted Avg. Price 83.5 93.8 97.3 - * * *
Avg. Price Bottom 5 Trades 82.8 94.1 96.9 - * * *
2nd Quartile Price 81.2 * * - * * *
3rd Quartile Price 83.0 * * - * * *
4th Quartile Price 83.5 * * - * * *
Avg. Price Top 5 Trades 85.3 94.1 96.9 - * * *
Standard Deviation 3.9 1.5 1.5 - * * *
     VOLUME OF TRADES (000'S) 35,756.8 542.8 142.9 - * * *
     NUMBER OF TRADES 25 12 6 - * * *
FHLMC
AVERAGE PRICE 86.8 89.9 98.2 99.9 - 79.2 102.3
Weighted Avg. Price 93.3 92.8 99.1 98.4 - 99.3 102.4
Avg. Price Bottom 5 Trades 72.4 78.2 97.8 99.9 - 67.6 102.3
2nd Quartile Price 83.8 79.4 97.8 * - 77.0 *
3rd Quartile Price 89.2 95.0 97.8 * - 81.0 *
4th Quartile Price 92.0 97.6 99.2 * - 99.5 *
Avg. Price Top 5 Trades 95.5 98.0 99.8 99.9 - 91.5 102.3
Standard Deviation 7.8 8.4 1.1 1.0 - 28.2 0.2
     VOLUME OF TRADES (000'S) 86,481.6 7,696.0 13,302.1 3,002.2 - 3.9 15,437.4
     NUMBER OF TRADES 64 39 36 5 - 11 7
GNMA
AVERAGE PRICE 88.9 93.7 97.7 98.4 100.8 102.0 100.7
Weighted Avg. Price 90.1 95.2 98.0 100.2 101.4 102.4 103.3
Avg. Price Bottom 5 Trades 80.2 91.4 93.1 82.5 82.4 70.6 71.6
2nd Quartile Price 87.0 94.0 97.2 99.4 101.2 102.2 102.3
3rd Quartile Price 89.6 95.1 98.0 100.2 101.3 102.2 102.7
4th Quartile Price 91.6 95.8 98.5 100.5 102.3 102.2 104.1
Avg. Price Top 5 Trades 94.1 96.6 101.0 103.2 106.0 108.4 113.1
Standard Deviation 3.5 5.9 2.0 5.5 4.1 3.8 8.0
     VOLUME OF TRADES (000'S) 797,468.5 52,398.4 508,880.3 1,206,420.3 2,165,141.1 1,446,428.9 1,541,864.7
     NUMBER OF TRADES 151 36 66 122 207 1,117 387
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 * - - 100.4 101.8
Weighted Avg. Price * - - 100.2 101.4
Avg. Price Bottom 5 Trades * - - 100.4 101.8
2nd Quartile Price * - - * *
3rd Quartile Price * - - * *
4th Quartile Price * - - * *
Avg. Price Top 5 Trades * - - 100.4 101.8
Standard Deviation * - - 0.6 0.5
     VOLUME OF TRADES (000'S) * - - 1,898.1 2,440.1
     NUMBER OF TRADES * - - 6 6
GNMA
AVERAGE PRICE 93.8 - * - -
Weighted Avg. Price 98.3 - * - -
Avg. Price Bottom 5 Trades 93.8 - * - -
2nd Quartile Price * - * - -
3rd Quartile Price * - * - -
4th Quartile Price * - * - -
Avg. Price Top 5 Trades 93.8 - * - -
Standard Deviation 3.4 - * - -
     VOLUME OF TRADES (000'S) 216.6 - * - -
     NUMBER OF TRADES 8 - * - -
* 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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