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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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 89.7 92.3 93.5 96.8 98.8 98.8 100.7
Weighted Avg. Price 90.4 95.9 95.9 98.0 99.5 100.9 102.0
Avg. Price Bottom 5 Trades 82.6 75.9 88.6 91.9 93.2 94.7 98.2
2nd Quartile Price 87.5 93.4 92.0 97.1 98.4 96.8 99.6
3rd Quartile Price 90.5 94.0 95.5 97.8 99.4 100.0 101.4
4th Quartile Price 91.7 94.0 95.9 98.2 99.6 100.8 101.9
Avg. Price Top 5 Trades 96.6 96.6 96.1 99.3 100.4 101.5 102.2
Standard Deviation 3.5 8.4 3.5 2.7 1.7 2.5 1.9
     VOLUME OF TRADES (000'S) 312,328.8 4,920.6 63,666.6 72,761.2 674,467.2 197,507.0 26,368.5
     NUMBER OF TRADES 131 288 32 44 151 68 35
FNMA
AVERAGE PRICE 94.0 * * 98.0 98.6 * *
Weighted Avg. Price 92.6 * * 98.0 98.8 * *
Avg. Price Bottom 5 Trades 94.0 * * 95.3 97.8 * *
2nd Quartile Price * * * 97.1 98.0 * *
3rd Quartile Price * * * 99.1 98.2 * *
4th Quartile Price * * * 99.4 99.5 * *
Avg. Price Top 5 Trades 94.0 * * 99.6 100.7 * *
Standard Deviation 2.4 * * 1.9 1.0 * *
     VOLUME OF TRADES (000'S) 5,578.3 * * 43,857.0 210,235.1 * *
     NUMBER OF TRADES 5 * * 21 50 * *
FHLMC
AVERAGE PRICE 91.2 91.1 * 98.2 98.9 99.8 -
Weighted Avg. Price 92.3 89.6 * 98.4 99.6 99.7 -
Avg. Price Bottom 5 Trades 90.6 91.1 * 95.4 98.7 99.8 -
2nd Quartile Price 91.3 * * 98.2 99.5 * -
3rd Quartile Price 92.0 * * 99.0 99.6 * -
4th Quartile Price 93.6 * * 99.1 100.1 * -
Avg. Price Top 5 Trades 92.5 91.1 * 99.3 99.6 99.8 -
Standard Deviation 2.6 4.6 * 2.1 1.7 0.2 -
     VOLUME OF TRADES (000'S) 32.9 10,003.9 * 120,587.7 34,025.0 9,777.0 -
     NUMBER OF TRADES 11 21 * 28 6 6 -
GNMA
AVERAGE PRICE * * - * 99.7 * 101.2
Weighted Avg. Price * * - * 99.7 * 102.3
Avg. Price Bottom 5 Trades * * - * 99.5 * 100.7
2nd Quartile Price * * - * 99.5 * 100.5
3rd Quartile Price * * - * 99.7 * 101.7
4th Quartile Price * * - * 99.9 * 102.3
Avg. Price Top 5 Trades * * - * 99.9 * 101.8
Standard Deviation * * - * 0.2 * 1.1
     VOLUME OF TRADES (000'S) * * - * 104,695.0 * 14,538.5
     NUMBER OF TRADES * * - * 24 * 11
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 81.7 86.5 89.0 93.2 95.8 98.1 100.4
Weighted Avg. Price 80.2 89.1 92.1 93.8 96.1 98.4 100.6
Avg. Price Bottom 5 Trades 75.1 77.8 74.3 87.2 90.8 80.2 81.7
2nd Quartile Price 79.9 85.8 88.0 93.0 95.6 97.9 100.3
3rd Quartile Price 82.4 87.8 90.4 93.4 95.8 98.2 101.0
4th Quartile Price 84.3 87.9 90.7 93.4 96.2 99.2 102.1
Avg. Price Top 5 Trades 92.9 95.2 96.2 98.2 98.7 101.7 104.9
Standard Deviation 3.2 2.8 4.5 1.5 1.3 3.1 3.5
     VOLUME OF TRADES (000'S) 936,393.2 282,753.5 716,814.8 632,875.5 5,967,953.7 2,058,652.6 3,535,060.1
     NUMBER OF TRADES 979 613 499 355 289 371 304
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 83.0 84.7 86.3 93.7 95.4 101.5 98.6
Weighted Avg. Price 89.0 87.6 94.0 96.1 97.2 101.9 101.2
Avg. Price Bottom 5 Trades 78.9 80.2 78.8 93.2 95.4 101.5 97.8
2nd Quartile Price 81.0 83.0 82.3 93.0 * * 97.0
3rd Quartile Price 83.6 85.4 87.0 93.0 * * 99.0
4th Quartile Price 84.3 87.8 90.7 93.0 * * 101.3
Avg. Price Top 5 Trades 90.6 88.5 95.2 97.2 95.4 101.5 99.0
Standard Deviation 3.9 4.2 5.8 1.9 2.5 1.5 2.4
     VOLUME OF TRADES (000'S) 337.0 49.9 140.1 4,652.5 84.0 4,889.9 4,107.9
     NUMBER OF TRADES 43 32 49 32 7 53 9
GNMA
AVERAGE PRICE 83.8 89.4 92.7 94.1 95.8 98.8 100.0
Weighted Avg. Price 84.7 88.9 91.2 93.3 96.0 98.6 101.5
Avg. Price Bottom 5 Trades 78.4 87.9 90.5 92.2 87.0 96.1 76.7
2nd Quartile Price 82.8 88.7 91.8 93.4 95.8 98.5 100.0
3rd Quartile Price 83.8 89.0 92.2 93.4 96.2 98.7 101.1
4th Quartile Price 85.8 90.6 94.1 94.2 97.0 99.0 102.2
Avg. Price Top 5 Trades 88.0 91.0 94.9 98.5 100.2 102.5 105.8
Standard Deviation 2.6 1.2 1.5 1.8 3.3 1.2 4.8
     VOLUME OF TRADES (000'S) 249,652.7 946,453.0 240,467.6 659,512.2 625,044.4 2,337,027.3 2,383,361.9
     NUMBER OF TRADES 144 29 46 57 73 174 434
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 102.3 - * 98.4 *
Weighted Avg. Price 102.3 - * 100.1 *
Avg. Price Bottom 5 Trades 102.3 - * 97.2 *
2nd Quartile Price * - * 100.1 *
3rd Quartile Price * - * 100.4 *
4th Quartile Price * - * 102.1 *
Avg. Price Top 5 Trades 102.3 - * 100.7 *
Standard Deviation 1.0 - * 4.0 *
     VOLUME OF TRADES (000'S) 329.1 - * 12,245.5 *
     NUMBER OF TRADES 6 - * 7 *
FHLMC
AVERAGE PRICE 99.6 - * 100.0 *
Weighted Avg. Price 99.3 - * 100.8 *
Avg. Price Bottom 5 Trades 99.4 - * 98.8 *
2nd Quartile Price 99.3 - * 99.2 *
3rd Quartile Price 99.7 - * 99.4 *
4th Quartile Price 100.0 - * 102.2 *
Avg. Price Top 5 Trades 99.7 - * 101.4 *
Standard Deviation 0.3 - * 1.8 *
     VOLUME OF TRADES (000'S) 121,692.0 - * 21,242.0 *
     NUMBER OF TRADES 7 - * 11 *
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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