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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 94.2 96.3 99.8 100.7 102.1 103.3 -
Weighted Avg. Price 94.5 98.6 99.9 101.1 102.2 103.4 -
Avg. Price Bottom 5 Trades 80.8 87.1 98.6 97.3 101.5 102.9 -
2nd Quartile Price 92.2 96.0 99.7 100.8 102.1 103.2 -
3rd Quartile Price 94.5 98.4 99.8 101.0 102.1 103.3 -
4th Quartile Price 96.9 98.6 100.0 101.1 102.3 103.4 -
Avg. Price Top 5 Trades 98.9 99.6 100.5 101.5 102.5 103.4 -
Standard Deviation 3.5 4.4 0.5 2.3 0.3 0.3 -
     VOLUME OF TRADES (000'S) 248,430.9 30,722.7 136,860.5 88,098.3 12,491.9 4,804.6 -
     NUMBER OF TRADES 186 38 50 48 47 20 -
FNMA
AVERAGE PRICE 95.6 99.1 99.9 101.2 - - -
Weighted Avg. Price 96.6 99.4 100.9 101.6 - - -
Avg. Price Bottom 5 Trades 87.4 98.3 98.3 99.9 - - -
2nd Quartile Price 95.4 99.3 98.8 101.2 - - -
3rd Quartile Price 97.8 99.5 100.9 101.3 - - -
4th Quartile Price 98.5 99.7 101.2 101.8 - - -
Avg. Price Top 5 Trades 99.0 99.7 101.3 102.3 - - -
Standard Deviation 4.2 0.9 1.6 1.0 - - -
     VOLUME OF TRADES (000'S) 63,691.7 10,258.9 403,250.5 84,284.3 - - -
     NUMBER OF TRADES 30 15 14 21 - - -
FHLMC
AVERAGE PRICE 95.3 96.7 99.6 * * - -
Weighted Avg. Price 96.7 99.6 99.9 * * - -
Avg. Price Bottom 5 Trades 84.5 92.5 99.6 * * - -
2nd Quartile Price 95.0 94.5 * * * - -
3rd Quartile Price 96.9 99.6 * * * - -
4th Quartile Price 98.3 99.6 * * * - -
Avg. Price Top 5 Trades 98.8 99.7 99.6 * * - -
Standard Deviation 4.6 5.4 0.4 * * - -
     VOLUME OF TRADES (000'S) 32,041.6 158,447.5 121,657.6 * * - -
     NUMBER OF TRADES 40 12 5 * * - -
GNMA
AVERAGE PRICE 97.1 98.8 99.7 100.9 101.8 * -
Weighted Avg. Price 98.1 98.8 99.9 101.0 101.7 * -
Avg. Price Bottom 5 Trades 96.5 98.8 99.7 100.8 101.8 * -
2nd Quartile Price 95.4 * 99.9 100.9 101.7 * -
3rd Quartile Price 97.7 * 99.9 100.9 101.9 * -
4th Quartile Price 98.8 * 99.9 101.0 101.9 * -
Avg. Price Top 5 Trades 98.3 98.8 99.9 101.0 101.8 * -
Standard Deviation 1.8 0.3 0.3 0.1 0.1 * -
     VOLUME OF TRADES (000'S) 3,177.7 11,099.0 49,814.7 82,445.6 5,884.7 * -
     NUMBER OF TRADES 8 5 7 15 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 87.9 95.1 98.1 99.6 101.4 102.6 104.2
Weighted Avg. Price 85.3 96.8 98.1 100.1 101.8 103.7 105.1
Avg. Price Bottom 5 Trades 78.9 91.7 94.4 91.2 97.4 90.2 84.6
2nd Quartile Price 84.7 94.3 97.6 99.5 101.1 102.5 104.1
3rd Quartile Price 88.4 94.9 98.0 99.7 101.4 103.3 105.0
4th Quartile Price 91.9 95.8 99.0 100.3 101.8 104.0 105.8
Avg. Price Top 5 Trades 96.4 99.2 100.4 101.8 103.1 105.4 107.4
Standard Deviation 4.2 1.6 1.2 1.7 0.9 3.6 9.3
     VOLUME OF TRADES (000'S) 1,902,909.4 172,079.3 1,354,450.5 4,250,878.5 5,108,239.5 3,092,012.7 1,359,353.7
     NUMBER OF TRADES 1,034 304 253 372 366 195 130
FNMA
AVERAGE PRICE 83.1 * * - * - 85.5
Weighted Avg. Price 81.0 * * - * - 102.7
Avg. Price Bottom 5 Trades 79.2 * * - * - 85.5
2nd Quartile Price 78.9 * * - * - *
3rd Quartile Price 79.3 * * - * - *
4th Quartile Price 91.6 * * - * - *
Avg. Price Top 5 Trades 94.2 * * - * - 85.5
Standard Deviation 6.7 * * - * - 41.9
     VOLUME OF TRADES (000'S) 68,568.3 * * - * - 32,833.9
     NUMBER OF TRADES 27 * * - * - 6
FHLMC
AVERAGE PRICE 91.5 95.9 99.5 100.5 101.6 103.4 96.9
Weighted Avg. Price 85.2 97.5 98.7 100.5 101.8 103.4 106.0
Avg. Price Bottom 5 Trades 86.4 95.2 98.2 99.0 99.7 101.4 83.4
2nd Quartile Price 88.6 94.0 99.4 100.6 100.8 101.8 105.0
3rd Quartile Price 92.3 96.7 99.8 100.8 101.9 104.2 107.1
4th Quartile Price 95.1 97.2 100.3 101.1 102.8 104.9 108.4
Avg. Price Top 5 Trades 97.0 98.0 100.0 101.2 103.0 104.9 108.3
Standard Deviation 4.5 1.6 1.1 1.0 1.4 1.7 32.2
     VOLUME OF TRADES (000'S) 23,685.3 1,696.9 2,290.0 4,967.8 9,146.4 5,856.3 4,325.3
     NUMBER OF TRADES 74 32 20 23 24 14 11
GNMA
AVERAGE PRICE 88.9 94.3 96.6 98.8 101.2 101.1 96.5
Weighted Avg. Price 89.6 94.7 97.6 99.8 101.5 102.7 104.4
Avg. Price Bottom 5 Trades 82.4 92.0 92.7 88.7 89.2 73.4 66.3
2nd Quartile Price 86.7 93.3 97.1 99.7 101.1 101.5 98.0
3rd Quartile Price 89.5 94.7 97.6 99.9 101.7 102.7 103.1
4th Quartile Price 91.3 95.5 98.3 100.0 102.2 103.5 103.8
Avg. Price Top 5 Trades 93.3 96.0 100.1 104.1 104.3 106.0 107.8
Standard Deviation 2.9 1.6 4.8 4.2 2.7 7.7 16.9
     VOLUME OF TRADES (000'S) 795,558.1 44,952.0 271,226.8 2,184,520.9 1,426,732.1 1,577,641.4 208,548.1
     NUMBER OF TRADES 101 28 41 146 190 267 189
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 * - 100.8 100.6 -
Weighted Avg. Price * - 100.5 100.7 -
Avg. Price Bottom 5 Trades * - 100.8 100.6 -
2nd Quartile Price * - * * -
3rd Quartile Price * - * * -
4th Quartile Price * - * * -
Avg. Price Top 5 Trades * - 100.8 100.6 -
Standard Deviation * - 0.4 0.5 -
     VOLUME OF TRADES (000'S) * - 24,700.3 26,407.8 -
     NUMBER OF TRADES * - 5 5 -
FHLMC
AVERAGE PRICE * - - 97.6 -
Weighted Avg. Price * - - 98.4 -
Avg. Price Bottom 5 Trades * - - 97.6 -
2nd Quartile Price * - - * -
3rd Quartile Price * - - * -
4th Quartile Price * - - * -
Avg. Price Top 5 Trades * - - 97.6 -
Standard Deviation * - - 3.0 -
     VOLUME OF TRADES (000'S) * - - 29,381.8 -
     NUMBER OF TRADES * - - 6 -
GNMA
AVERAGE PRICE 86.1 - 98.6 - -
Weighted Avg. Price 102.0 - 99.4 - -
Avg. Price Bottom 5 Trades 49.2 - 97.7 - -
2nd Quartile Price 87.8 - 97.2 - -
3rd Quartile Price 95.0 - 99.9 - -
4th Quartile Price 102.1 - 100.9 - -
Avg. Price Top 5 Trades 99.6 - 99.6 - -
Standard Deviation 22.8 - 1.8 - -
     VOLUME OF TRADES (000'S) 1,775.2 - 72,176.7 - -
     NUMBER OF TRADES 26 - 10 - -
* 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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