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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 94.8 97.7 95.6 100.5 101.2 102.3 -
Weighted Avg. Price 94.6 99.0 100.4 101.3 102.2 103.3 -
Avg. Price Bottom 5 Trades 85.8 94.6 84.5 98.7 98.8 100.4 -
2nd Quartile Price 93.6 97.1 99.0 99.7 100.4 101.5 -
3rd Quartile Price 94.7 98.9 100.3 101.0 101.6 102.6 -
4th Quartile Price 97.0 99.1 100.3 101.3 102.3 103.3 -
Avg. Price Top 5 Trades 99.2 99.4 100.5 101.5 102.4 103.6 -
Standard Deviation 2.9 2.8 20.4 1.1 1.2 1.2 -
     VOLUME OF TRADES (000'S) 323,922.0 29,901.0 52,520.0 13,616.7 15,550.3 418.5 -
     NUMBER OF TRADES 219 27 24 75 94 49 -
FNMA
AVERAGE PRICE 93.5 98.8 100.6 102.3 - - -
Weighted Avg. Price 91.7 99.5 100.8 102.6 - - -
Avg. Price Bottom 5 Trades 86.1 96.7 99.9 101.9 - - -
2nd Quartile Price 91.1 97.1 100.2 102.1 - - -
3rd Quartile Price 95.2 99.6 100.9 102.4 - - -
4th Quartile Price 97.9 100.0 101.2 103.0 - - -
Avg. Price Top 5 Trades 98.5 100.1 101.3 102.7 - - -
Standard Deviation 4.6 1.5 0.5 0.6 - - -
     VOLUME OF TRADES (000'S) 49,193.9 29,111.0 556,046.0 136,553.0 - - -
     NUMBER OF TRADES 34 19 22 9 - - -
FHLMC
AVERAGE PRICE 94.8 99.8 100.3 * * - -
Weighted Avg. Price 96.7 99.9 99.6 * * - -
Avg. Price Bottom 5 Trades 90.3 99.8 99.5 * * - -
2nd Quartile Price 94.4 99.7 99.5 * * - -
3rd Quartile Price 95.9 99.9 100.6 * * - -
4th Quartile Price 98.0 100.1 101.1 * * - -
Avg. Price Top 5 Trades 98.6 99.9 101.3 * * - -
Standard Deviation 3.6 0.2 0.9 * * - -
     VOLUME OF TRADES (000'S) 1,691.9 34,929.2 158,446.0 * * - -
     NUMBER OF TRADES 23 7 15 * * - -
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 88.4 94.6 98.0 100.0 101.4 100.6 103.6
Weighted Avg. Price 85.7 96.0 98.6 100.1 102.0 102.6 104.3
Avg. Price Bottom 5 Trades 77.6 85.4 92.0 97.3 67.4 82.5 87.1
2nd Quartile Price 85.3 94.7 97.7 99.6 101.2 101.3 103.5
3rd Quartile Price 88.5 94.9 98.2 100.0 101.5 102.4 104.4
4th Quartile Price 92.0 95.8 98.4 100.3 103.6 102.6 105.4
Avg. Price Top 5 Trades 98.1 99.2 100.4 102.5 103.5 103.9 106.0
Standard Deviation 4.2 2.4 1.4 0.9 5.0 7.1 3.7
     VOLUME OF TRADES (000'S) 2,649,010.8 821,829.0 1,345,747.6 1,369,902.0 1,535,919.0 630,032.8 920,782.8
     NUMBER OF TRADES 1,241 436 319 252 342 142 145
FNMA
AVERAGE PRICE 89.6 * * 99.8 101.6 103.5 *
Weighted Avg. Price 89.2 * * 100.8 101.7 103.5 *
Avg. Price Bottom 5 Trades 85.6 * * 99.6 101.0 103.3 *
2nd Quartile Price 88.0 * * 100.4 101.5 103.3 *
3rd Quartile Price 92.3 * * 100.6 102.1 103.8 *
4th Quartile Price 97.1 * * 100.8 102.5 103.9 *
Avg. Price Top 5 Trades 93.7 * * 100.4 102.2 103.8 *
Standard Deviation 5.9 * * 1.5 1.1 0.3 *
     VOLUME OF TRADES (000'S) 13,897.8 * * 33,266.7 40,191.8 24,310.6 *
     NUMBER OF TRADES 10 * * 6 9 10 *
FHLMC
AVERAGE PRICE 90.5 93.6 97.9 100.5 101.7 102.7 99.3
Weighted Avg. Price 83.3 97.0 99.8 100.4 101.8 103.2 104.6
Avg. Price Bottom 5 Trades 87.5 69.0 94.2 100.3 100.9 100.9 91.3
2nd Quartile Price 88.5 94.8 97.9 100.2 101.4 102.5 103.5
3rd Quartile Price 91.0 95.8 98.8 100.6 101.7 103.1 104.9
4th Quartile Price 92.0 97.0 100.1 100.9 102.3 103.7 105.4
Avg. Price Top 5 Trades 94.6 96.9 100.2 100.8 102.7 103.9 105.5
Standard Deviation 2.6 8.7 3.3 0.3 0.8 1.6 12.2
     VOLUME OF TRADES (000'S) 156,237.9 599,851.1 6,269.1 8,141.3 50,175.4 63,799.1 82,897.1
     NUMBER OF TRADES 79 61 23 11 25 19 14
GNMA
AVERAGE PRICE 88.5 95.4 96.7 98.6 100.1 101.0 102.3
Weighted Avg. Price 87.1 95.6 98.1 100.3 101.4 102.6 104.4
Avg. Price Bottom 5 Trades 81.0 94.7 90.2 81.5 83.1 76.9 66.4
2nd Quartile Price 86.7 94.6 98.0 100.1 98.8 101.5 102.8
3rd Quartile Price 89.4 95.2 98.2 100.3 101.2 102.1 102.8
4th Quartile Price 90.7 96.5 98.2 100.7 101.9 103.5 104.1
Avg. Price Top 5 Trades 93.9 96.7 99.6 103.2 104.5 105.9 108.7
Standard Deviation 3.1 0.9 7.6 5.7 4.7 6.5 6.7
     VOLUME OF TRADES (000'S) 2,885,338.7 38,650.6 1,341,458.9 735,329.4 1,614,915.7 1,874,474.1 918,817.9
     NUMBER OF TRADES 137 28 62 157 186 296 304
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 - - - * -
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 98.6 * * - -
Weighted Avg. Price 99.8 * * - -
Avg. Price Bottom 5 Trades 98.6 * * - -
2nd Quartile Price * * * - -
3rd Quartile Price * * * - -
4th Quartile Price * * * - -
Avg. Price Top 5 Trades 98.6 * * - -
Standard Deviation 3.4 * * - -
     VOLUME OF TRADES (000'S) 183.5 * * - -
     NUMBER OF TRADES 7 * * - -
* 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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