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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 92.8 96.2 98.7 100.5 101.4 101.6 -
Weighted Avg. Price 93.3 99.0 99.9 101.0 102.2 102.3 -
Avg. Price Bottom 5 Trades 82.4 91.2 95.9 99.7 100.1 100.2 -
2nd Quartile Price 90.1 96.6 99.8 100.6 101.1 99.9 -
3rd Quartile Price 93.4 98.3 99.8 101.0 101.8 102.1 -
4th Quartile Price 94.6 98.8 99.9 101.0 102.2 103.0 -
Avg. Price Top 5 Trades 98.9 99.5 100.0 101.1 102.2 102.8 -
Standard Deviation 3.5 5.9 5.3 0.7 0.8 1.3 -
     VOLUME OF TRADES (000'S) 760,955.9 81,938.2 223,641.7 110,490.7 16,609.9 148.0 -
     NUMBER OF TRADES 228 28 31 39 63 33 -
FNMA
AVERAGE PRICE 94.7 98.2 99.9 101.0 - - -
Weighted Avg. Price 94.4 98.9 100.4 101.8 - - -
Avg. Price Bottom 5 Trades 89.7 96.0 99.2 101.0 - - -
2nd Quartile Price 94.6 98.7 99.6 * - - -
3rd Quartile Price 96.8 99.4 100.0 * - - -
4th Quartile Price 97.7 99.7 100.6 * - - -
Avg. Price Top 5 Trades 98.2 99.7 100.8 101.0 - - -
Standard Deviation 4.2 2.0 0.6 1.0 - - -
     VOLUME OF TRADES (000'S) 27,719.8 57,914.8 700,460.0 101,375.0 - - -
     NUMBER OF TRADES 19 14 19 7 - - -
FHLMC
AVERAGE PRICE 97.4 98.9 99.6 * - * -
Weighted Avg. Price 98.3 97.4 99.3 * - * -
Avg. Price Bottom 5 Trades 96.1 98.5 99.0 * - * -
2nd Quartile Price 97.0 99.4 99.3 * - * -
3rd Quartile Price 97.7 99.5 99.7 * - * -
4th Quartile Price 98.1 99.9 100.2 * - * -
Avg. Price Top 5 Trades 98.2 99.6 100.2 * - * -
Standard Deviation 1.0 1.3 0.6 * - * -
     VOLUME OF TRADES (000'S) 34,996.8 97,253.0 118,327.0 * - * -
     NUMBER OF TRADES 24 7 14 * - * -
GNMA
AVERAGE PRICE 96.5 - * * * - -
Weighted Avg. Price 97.5 - * * * - -
Avg. Price Bottom 5 Trades 95.1 - * * * - -
2nd Quartile Price 97.3 - * * * - -
3rd Quartile Price 97.5 - * * * - -
4th Quartile Price 98.3 - * * * - -
Avg. Price Top 5 Trades 98.1 - * * * - -
Standard Deviation 3.1 - * * * - -
     VOLUME OF TRADES (000'S) 5,879.0 - * * * - -
     NUMBER OF TRADES 17 - * * * - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.3 94.0 97.0 99.6 101.0 102.1 102.6
Weighted Avg. Price 86.6 95.7 97.8 99.7 101.4 102.8 103.7
Avg. Price Bottom 5 Trades 75.0 86.7 90.2 96.1 95.2 98.8 95.6
2nd Quartile Price 84.9 93.8 96.7 99.4 100.8 102.0 103.6
3rd Quartile Price 88.2 94.4 97.5 99.6 101.1 102.4 103.6
4th Quartile Price 91.6 94.7 98.1 99.9 101.5 103.0 103.7
Avg. Price Top 5 Trades 98.4 99.0 99.9 102.2 103.6 104.3 105.3
Standard Deviation 4.6 1.9 2.0 1.0 1.3 2.1 3.2
     VOLUME OF TRADES (000'S) 2,762,970.6 82,345.3 207,974.8 1,207,939.4 1,722,553.2 321,643.3 170,450.1
     NUMBER OF TRADES 1,115 239 145 231 292 76 92
FNMA
AVERAGE PRICE 83.6 * - 99.7 101.7 102.9 *
Weighted Avg. Price 80.4 * - 99.7 101.7 103.4 *
Avg. Price Bottom 5 Trades 76.3 * - 99.6 101.3 102.1 *
2nd Quartile Price 79.4 * - 99.6 101.6 103.2 *
3rd Quartile Price 83.3 * - 99.8 101.7 103.3 *
4th Quartile Price 87.2 * - 99.8 101.9 103.5 *
Avg. Price Top 5 Trades 95.3 * - 100.0 102.1 103.6 *
Standard Deviation 5.4 * - 0.2 0.3 1.4 *
     VOLUME OF TRADES (000'S) 315,883.1 * - 57,338.1 75,703.4 38,509.5 *
     NUMBER OF TRADES 78 * - 17 24 17 *
FHLMC
AVERAGE PRICE 88.5 93.8 * 95.2 102.0 100.4 97.4
Weighted Avg. Price 84.7 96.0 * 99.8 101.8 103.2 104.4
Avg. Price Bottom 5 Trades 75.5 93.6 * 89.2 101.5 95.0 97.4
2nd Quartile Price 79.6 93.1 * 95.0 101.2 99.8 *
3rd Quartile Price 91.4 94.3 * 99.7 102.0 103.0 *
4th Quartile Price 93.5 95.3 * 99.8 102.7 103.4 *
Avg. Price Top 5 Trades 98.4 94.5 * 99.9 102.5 103.6 97.4
Standard Deviation 7.3 2.1 * 6.7 0.9 4.2 4.7
     VOLUME OF TRADES (000'S) 472,843.5 67.3 * 97,534.9 55,689.5 31,660.1 11,013.6
     NUMBER OF TRADES 140 16 * 14 8 21 9
GNMA
AVERAGE PRICE 89.1 95.5 97.5 98.2 99.4 101.2 101.3
Weighted Avg. Price 91.9 95.0 97.4 99.7 101.6 102.8 103.3
Avg. Price Bottom 5 Trades 82.1 94.0 94.9 78.3 84.2 82.7 70.0
2nd Quartile Price 86.4 94.4 97.4 99.6 100.2 101.9 102.5
3rd Quartile Price 90.0 95.9 97.7 99.8 101.4 102.8 103.1
4th Quartile Price 92.1 96.2 98.0 100.0 101.9 103.3 104.3
Avg. Price Top 5 Trades 95.2 96.7 99.4 103.5 103.9 104.6 106.3
Standard Deviation 3.7 1.4 1.5 5.9 4.9 5.4 7.9
     VOLUME OF TRADES (000'S) 587,574.9 85,066.8 328,058.8 1,771,196.8 1,132,419.1 628,844.8 188,613.8
     NUMBER OF TRADES 153 24 58 109 185 141 136
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 100.7 - - - -
Weighted Avg. Price 100.5 - - - -
Avg. Price Bottom 5 Trades 100.1 - - - -
2nd Quartile Price 100.5 - - - -
3rd Quartile Price 101.0 - - - -
4th Quartile Price 102.0 - - - -
Avg. Price Top 5 Trades 101.7 - - - -
Standard Deviation 1.4 - - - -
     VOLUME OF TRADES (000'S) 794,508.2 - - - -
     NUMBER OF TRADES 10 - - - -
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 - - - - -
* 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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