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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 93.1 89.6 95.6 99.7 100.6 101.1 *
Weighted Avg. Price 93.8 97.6 99.2 100.2 101.7 102.6 *
Avg. Price Bottom 5 Trades 85.0 79.3 81.6 97.1 96.1 97.5 *
2nd Quartile Price 91.5 93.9 98.5 99.8 100.6 100.0 *
3rd Quartile Price 93.5 95.0 98.7 100.1 101.2 101.6 *
4th Quartile Price 95.4 97.2 99.0 100.5 101.5 102.6 *
Avg. Price Top 5 Trades 98.2 97.8 99.8 100.5 101.9 102.7 *
Standard Deviation 2.9 23.2 16.5 1.3 1.6 1.8 *
     VOLUME OF TRADES (000'S) 148,930.2 1,780.3 30,717.3 55,512.4 56,294.4 4,592.6 *
     NUMBER OF TRADES 207 17 36 61 78 56 *
FNMA
AVERAGE PRICE 94.7 95.0 99.3 99.8 * * -
Weighted Avg. Price 89.0 94.7 99.3 99.8 * * -
Avg. Price Bottom 5 Trades 87.9 95.0 98.6 99.0 * * -
2nd Quartile Price 94.2 * 99.1 99.4 * * -
3rd Quartile Price 97.5 * 99.4 100.1 * * -
4th Quartile Price 98.1 * 99.8 100.3 * * -
Avg. Price Top 5 Trades 98.5 95.0 100.0 100.4 * * -
Standard Deviation 5.2 0.7 0.6 0.7 * * -
     VOLUME OF TRADES (000'S) 43,780.2 22,808.0 468,590.0 255,036.2 * * -
     NUMBER OF TRADES 16 5 25 19 * * -
FHLMC
AVERAGE PRICE 94.7 96.6 97.7 98.6 - - -
Weighted Avg. Price 95.1 97.2 98.3 98.9 - - -
Avg. Price Bottom 5 Trades 91.9 95.4 94.1 97.8 - - -
2nd Quartile Price 93.8 95.5 98.0 97.7 - - -
3rd Quartile Price 95.4 98.5 98.7 98.7 - - -
4th Quartile Price 96.8 98.5 98.9 100.1 - - -
Avg. Price Top 5 Trades 97.3 98.5 99.3 100.3 - - -
Standard Deviation 3.2 3.2 2.7 1.7 - - -
     VOLUME OF TRADES (000'S) 15,154.0 167,111.9 436,199.4 137,620.0 - - -
     NUMBER OF TRADES 40 8 25 16 - - -
GNMA
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 * - * * * * -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.3 91.2 94.4 97.1 99.0 101.2 100.6
Weighted Avg. Price 83.5 92.6 94.9 99.7 99.2 101.4 104.6
Avg. Price Bottom 5 Trades 74.0 85.5 88.2 93.2 63.4 85.5 93.4
2nd Quartile Price 77.9 91.0 94.3 96.9 99.1 101.2 100.0
3rd Quartile Price 84.5 91.4 94.3 96.9 99.1 101.2 103.1
4th Quartile Price 88.1 91.7 94.8 96.9 99.1 101.2 103.8
Avg. Price Top 5 Trades 95.9 96.8 98.3 102.1 100.9 103.4 106.1
Standard Deviation 4.6 1.8 1.3 1.3 3.3 1.7 11.0
     VOLUME OF TRADES (000'S) 1,048,820.6 323,091.3 2,218,204.4 1,757,156.8 1,711,801.1 3,054,091.0 1,495,503.0
     NUMBER OF TRADES 1,415 378 526 1,424 2,713 1,064 137
FNMA
AVERAGE PRICE 86.0 * - 97.2 99.5 101.5 103.8
Weighted Avg. Price 82.1 * - 97.2 99.7 101.0 103.5
Avg. Price Bottom 5 Trades 80.3 * - 97.2 99.1 100.8 103.8
2nd Quartile Price 83.5 * - * 99.2 101.2 *
3rd Quartile Price 88.0 * - * 99.6 101.8 *
4th Quartile Price 94.9 * - * 99.9 102.0 *
Avg. Price Top 5 Trades 88.8 * - 97.2 99.9 102.1 103.8
Standard Deviation 7.7 * - 0.2 0.4 0.6 0.9
     VOLUME OF TRADES (000'S) 27,771.0 * - 6,537.9 49,994.0 103,054.5 20,129.3
     NUMBER OF TRADES 9 * - 5 12 20 5
FHLMC
AVERAGE PRICE 86.5 91.2 93.7 99.0 93.8 - 102.7
Weighted Avg. Price 87.8 95.0 96.4 102.1 100.2 - 103.9
Avg. Price Bottom 5 Trades 79.6 86.6 90.9 97.4 93.8 - 102.7
2nd Quartile Price 84.8 90.0 94.2 97.4 * - *
3rd Quartile Price 86.6 91.7 94.5 99.9 * - *
4th Quartile Price 89.6 92.3 95.5 102.2 * - *
Avg. Price Top 5 Trades 93.0 96.7 96.2 99.7 93.8 - 102.7
Standard Deviation 4.0 2.9 2.9 3.0 6.4 - 2.7
     VOLUME OF TRADES (000'S) 8,258.0 1,934.3 3,855.3 2,601.2 56.8 - 41.0
     NUMBER OF TRADES 74 50 24 9 10 - 7
GNMA
AVERAGE PRICE 85.8 91.4 93.9 96.7 98.9 100.9 102.7
Weighted Avg. Price 87.1 92.2 94.6 97.1 99.5 101.5 103.7
Avg. Price Bottom 5 Trades 79.9 89.5 82.2 87.2 82.6 83.9 85.0
2nd Quartile Price 83.3 91.3 94.3 97.0 99.3 101.2 102.4
3rd Quartile Price 86.1 92.1 94.4 97.1 99.5 101.6 103.3
4th Quartile Price 88.9 92.3 95.3 97.5 99.9 102.3 104.8
Avg. Price Top 5 Trades 92.1 93.5 97.6 100.1 104.9 103.7 108.3
Standard Deviation 3.5 2.9 4.0 2.8 3.7 3.7 4.7
     VOLUME OF TRADES (000'S) 1,868,696.0 412,347.8 349,623.6 1,140,700.6 2,151,302.5 2,938,053.9 1,268,613.8
     NUMBER OF TRADES 109 39 71 170 218 343 372
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 * - - 100.4 -
Weighted Avg. Price * - - 100.1 -
Avg. Price Bottom 5 Trades * - - 99.2 -
2nd Quartile Price * - - 100.6 -
3rd Quartile Price * - - 100.6 -
4th Quartile Price * - - 100.8 -
Avg. Price Top 5 Trades * - - 101.4 -
Standard Deviation * - - 1.4 -
     VOLUME OF TRADES (000'S) * - - 83,841.0 -
     NUMBER OF TRADES * - - 17 -
FHLMC
AVERAGE PRICE - - - 100.0 99.0
Weighted Avg. Price - - - 100.0 98.7
Avg. Price Bottom 5 Trades - - - 100.0 99.0
2nd Quartile Price - - - * *
3rd Quartile Price - - - * *
4th Quartile Price - - - * *
Avg. Price Top 5 Trades - - - 100.0 99.0
Standard Deviation - - - 0.2 2.2
     VOLUME OF TRADES (000'S) - - - 129,549.5 25,449.2
     NUMBER OF TRADES - - - 16 5
GNMA
AVERAGE PRICE - - 99.2 - -
Weighted Avg. Price - - 99.4 - -
Avg. Price Bottom 5 Trades - - 97.8 - -
2nd Quartile Price - - 98.5 - -
3rd Quartile Price - - 99.8 - -
4th Quartile Price - - 100.0 - -
Avg. Price Top 5 Trades - - 100.1 - -
Standard Deviation - - 1.2 - -
     VOLUME OF TRADES (000'S) - - 60,887.0 - -
     NUMBER OF TRADES - - 16 - -
* 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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