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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 94.6 92.8 99.7 100.8 101.7 102.5 -
Weighted Avg. Price 96.2 99.0 100.0 101.2 102.6 104.0 -
Avg. Price Bottom 5 Trades 65.6 61.8 98.7 100.0 100.2 100.6 -
2nd Quartile Price 93.7 97.1 99.8 100.6 101.3 102.1 -
3rd Quartile Price 95.1 98.6 100.0 101.1 101.6 102.4 -
4th Quartile Price 97.4 99.4 100.0 101.2 102.4 103.0 -
Avg. Price Top 5 Trades 99.0 99.5 100.2 101.3 102.5 104.4 -
Standard Deviation 5.2 15.3 0.6 0.6 0.8 1.3 -
     VOLUME OF TRADES (000'S) 234,228.3 22,338.9 71,783.8 58,837.7 124,007.9 7,643.2 -
     NUMBER OF TRADES 452 54 39 56 108 59 -
FNMA
AVERAGE PRICE 94.1 99.1 100.2 102.2 * - -
Weighted Avg. Price 96.5 99.5 100.3 102.3 * - -
Avg. Price Bottom 5 Trades 87.9 99.1 99.9 102.1 * - -
2nd Quartile Price 93.0 * 100.1 102.1 * - -
3rd Quartile Price 94.6 * 100.2 102.5 * - -
4th Quartile Price 97.2 * 100.8 102.6 * - -
Avg. Price Top 5 Trades 98.7 99.1 100.5 102.3 * - -
Standard Deviation 3.8 0.9 0.5 0.3 * - -
     VOLUME OF TRADES (000'S) 99,322.7 14,484.0 55,890.5 25,885.0 * - -
     NUMBER OF TRADES 25 5 9 6 * - -
FHLMC
AVERAGE PRICE 95.7 84.9 * * * - -
Weighted Avg. Price 97.6 99.4 * * * - -
Avg. Price Bottom 5 Trades 87.1 78.6 * * * - -
2nd Quartile Price 94.2 98.8 * * * - -
3rd Quartile Price 97.4 99.4 * * * - -
4th Quartile Price 98.4 99.7 * * * - -
Avg. Price Top 5 Trades 99.0 99.6 * * * - -
Standard Deviation 3.8 23.4 * * * - -
     VOLUME OF TRADES (000'S) 88,894.7 35,802.1 * * * - -
     NUMBER OF TRADES 69 10 * * * - -
GNMA
AVERAGE PRICE 95.6 * 100.0 101.2 - - -
Weighted Avg. Price 95.1 * 100.0 101.3 - - -
Avg. Price Bottom 5 Trades 95.6 * 100.0 101.1 - - -
2nd Quartile Price * * * 101.1 - - -
3rd Quartile Price * * * 101.1 - - -
4th Quartile Price * * * 101.3 - - -
Avg. Price Top 5 Trades 95.6 * 100.0 101.3 - - -
Standard Deviation 3.1 * 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) 1,263.7 * 5,131.8 79,976.1 - - -
     NUMBER OF TRADES 5 * 5 11 - - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.6 94.1 95.7 99.4 101.1 101.9 103.1
Weighted Avg. Price 88.3 96.1 98.6 99.9 101.5 103.3 104.1
Avg. Price Bottom 5 Trades 65.7 71.8 64.4 92.0 94.8 92.8 96.9
2nd Quartile Price 85.3 93.7 96.6 99.1 101.2 101.8 103.8
3rd Quartile Price 88.6 94.6 97.5 99.7 101.3 102.6 104.1
4th Quartile Price 91.9 95.3 98.2 100.2 101.6 102.9 105.3
Avg. Price Top 5 Trades 97.7 99.5 100.0 101.8 103.1 104.1 106.0
Standard Deviation 4.9 3.9 6.7 1.6 1.4 3.2 4.8
     VOLUME OF TRADES (000'S) 829,702.2 136,860.0 256,070.8 719,122.6 982,629.9 391,089.5 157,047.4
     NUMBER OF TRADES 1,102 376 285 258 251 83 47
FNMA
AVERAGE PRICE * 96.3 98.5 100.3 102.0 103.9 104.9
Weighted Avg. Price * 99.2 98.1 100.2 101.9 103.8 104.8
Avg. Price Bottom 5 Trades * 96.3 97.8 99.9 101.4 103.3 104.6
2nd Quartile Price * * 97.9 100.2 101.9 103.5 104.6
3rd Quartile Price * * 98.1 100.3 102.0 103.9 104.9
4th Quartile Price * * 99.9 100.5 102.3 104.3 105.1
Avg. Price Top 5 Trades * 96.3 99.3 100.7 102.6 104.5 105.1
Standard Deviation * 2.1 1.1 0.3 0.4 0.5 0.3
     VOLUME OF TRADES (000'S) * 17,935.5 22,741.3 133,698.7 115,579.7 44,812.9 27,144.7
     NUMBER OF TRADES * 5 10 29 28 18 11
FHLMC
AVERAGE PRICE 91.4 94.0 98.0 98.9 102.1 103.6 103.3
Weighted Avg. Price 96.2 95.2 97.8 100.1 102.0 103.8 105.2
Avg. Price Bottom 5 Trades 81.1 90.8 92.1 85.1 100.2 101.6 95.0
2nd Quartile Price 88.0 94.2 97.9 99.9 101.8 103.5 104.8
3rd Quartile Price 91.7 94.2 99.6 100.1 102.1 103.9 105.2
4th Quartile Price 94.9 94.8 99.6 100.4 102.5 104.3 105.7
Avg. Price Top 5 Trades 97.9 97.2 99.4 101.0 102.9 104.8 106.3
Standard Deviation 4.4 2.2 4.4 4.8 0.7 1.2 6.9
     VOLUME OF TRADES (000'S) 177,370.6 1,366.2 20,211.9 396,620.8 412,568.3 104,381.7 56,008.6
     NUMBER OF TRADES 107 54 51 98 80 41 24
GNMA
AVERAGE PRICE 88.2 92.7 96.5 99.6 101.1 100.7 102.5
Weighted Avg. Price 89.4 94.3 97.4 99.8 101.3 102.0 103.8
Avg. Price Bottom 5 Trades 82.5 83.1 82.2 94.7 92.0 76.3 83.2
2nd Quartile Price 86.2 94.2 96.9 99.0 100.6 101.2 101.9
3rd Quartile Price 88.9 94.3 97.4 99.8 101.3 102.3 103.7
4th Quartile Price 90.0 94.5 99.1 100.0 101.9 102.5 104.3
Avg. Price Top 5 Trades 94.1 96.0 100.0 101.7 103.8 104.7 108.1
Standard Deviation 2.9 4.8 4.3 1.2 2.2 8.7 4.5
     VOLUME OF TRADES (000'S) 86,154.3 831,102.6 224,888.6 1,028,862.5 1,102,440.4 481,051.5 319,667.5
     NUMBER OF TRADES 110 30 128 183 257 148 230
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 89.5 - - - -
Weighted Avg. Price 96.4 - - - -
Avg. Price Bottom 5 Trades 70.2 - - - -
2nd Quartile Price 91.2 - - - -
3rd Quartile Price 94.0 - - - -
4th Quartile Price 98.3 - - - -
Avg. Price Top 5 Trades 98.0 - - - -
Standard Deviation 13.1 - - - -
     VOLUME OF TRADES (000'S) 66,318.9 - - - -
     NUMBER OF TRADES 20 - - - -
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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