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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 91.3 92.5 97.3 98.9 99.2 100.4 102.0
Weighted Avg. Price 93.8 96.3 97.3 98.9 100.6 101.8 103.0
Avg. Price Bottom 5 Trades 85.2 79.4 94.9 98.8 94.6 96.6 100.1
2nd Quartile Price 89.0 94.8 97.0 98.8 99.0 100.4 101.7
3rd Quartile Price 92.0 94.8 97.3 98.9 100.1 101.1 102.3
4th Quartile Price 93.2 94.8 98.6 98.9 100.5 101.5 102.9
Avg. Price Top 5 Trades 97.0 98.4 100.0 99.2 100.9 101.9 103.5
Standard Deviation 3.3 5.2 4.1 0.2 2.4 2.0 1.3
     VOLUME OF TRADES (000'S) 23,073.0 11,751.3 975.6 25,685.1 45,210.5 16,080.5 39,698.5
     NUMBER OF TRADES 122 159 16 26 64 69 39
FNMA
AVERAGE PRICE 95.1 91.7 94.0 99.0 100.6 102.4 -
Weighted Avg. Price 96.2 91.9 94.3 99.1 100.6 102.3 -
Avg. Price Bottom 5 Trades 93.7 91.1 93.5 98.1 99.5 102.4 -
2nd Quartile Price 94.8 91.1 93.8 98.7 100.2 * -
3rd Quartile Price 97.2 91.7 94.2 99.3 100.7 * -
4th Quartile Price 99.5 92.5 94.5 99.9 101.1 * -
Avg. Price Top 5 Trades 97.0 92.2 94.5 99.8 101.7 102.4 -
Standard Deviation 3.6 0.7 0.6 1.0 0.9 0.2 -
     VOLUME OF TRADES (000'S) 49,068.4 35,399.9 50,398.5 206,088.2 434,792.0 32,084.0 -
     NUMBER OF TRADES 7 13 12 12 25 5 -
FHLMC
AVERAGE PRICE 95.8 94.3 98.3 99.4 * - -
Weighted Avg. Price 95.8 94.0 97.9 99.4 * - -
Avg. Price Bottom 5 Trades 95.8 94.3 97.2 98.6 * - -
2nd Quartile Price * * 97.3 99.1 * - -
3rd Quartile Price * * 98.3 99.4 * - -
4th Quartile Price * * 105.3 99.9 * - -
Avg. Price Top 5 Trades 95.8 94.3 99.4 100.2 * - -
Standard Deviation 1.8 2.4 3.3 0.7 * - -
     VOLUME OF TRADES (000'S) 649.4 3.5 935.1 35,188.2 * - -
     NUMBER OF TRADES 5 14 7 20 * - -
GNMA
AVERAGE PRICE * - 90.5 * * * 101.2
Weighted Avg. Price * - 91.4 * * * 101.6
Avg. Price Bottom 5 Trades * - 90.5 * * * 100.8
2nd Quartile Price * - * * * * 100.9
3rd Quartile Price * - * * * * 102.3
4th Quartile Price * - * * * * 103.3
Avg. Price Top 5 Trades * - 90.5 * * * 101.7
Standard Deviation * - 2.3 * * * 1.5
     VOLUME OF TRADES (000'S) * - 12.7 * * * 215.3
     NUMBER OF TRADES * - 5 * * * 6
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 83.9 88.9 91.6 94.7 97.5 99.7 102.2
Weighted Avg. Price 84.5 90.2 93.2 95.8 97.9 100.0 102.2
Avg. Price Bottom 5 Trades 74.3 73.9 82.4 84.1 91.6 94.8 95.1
2nd Quartile Price 82.5 88.6 90.6 94.6 97.4 99.5 101.4
3rd Quartile Price 83.8 89.6 92.7 95.1 97.7 99.7 102.0
4th Quartile Price 86.2 89.8 93.0 95.8 97.9 100.2 103.1
Avg. Price Top 5 Trades 93.2 94.0 94.9 97.7 100.5 101.2 105.9
Standard Deviation 3.0 2.6 2.6 2.3 1.5 1.2 1.8
     VOLUME OF TRADES (000'S) 698,461.1 116,575.5 137,752.0 230,009.1 552,316.8 1,335,672.8 2,863,293.2
     NUMBER OF TRADES 989 650 461 329 299 297 349
FNMA
AVERAGE PRICE 80.9 * - - - - -
Weighted Avg. Price 78.7 * - - - - -
Avg. Price Bottom 5 Trades 80.9 * - - - - -
2nd Quartile Price * * - - - - -
3rd Quartile Price * * - - - - -
4th Quartile Price * * - - - - -
Avg. Price Top 5 Trades 80.9 * - - - - -
Standard Deviation 3.3 * - - - - -
     VOLUME OF TRADES (000'S) 4,778.2 * - - - - -
     NUMBER OF TRADES 10 * - - - - -
FHLMC
AVERAGE PRICE 87.3 88.5 91.8 93.7 96.0 - 99.1
Weighted Avg. Price 91.2 89.5 93.4 96.6 96.8 - 102.1
Avg. Price Bottom 5 Trades 86.2 83.4 85.9 92.0 96.0 - 98.7
2nd Quartile Price 86.2 89.5 92.5 94.9 * - 99.2
3rd Quartile Price 86.2 89.5 92.5 95.2 * - 99.6
4th Quartile Price 87.8 89.5 92.5 96.2 * - 99.8
Avg. Price Top 5 Trades 91.5 89.6 93.8 96.2 96.0 - 100.0
Standard Deviation 2.9 2.5 4.2 3.9 1.5 - 1.6
     VOLUME OF TRADES (000'S) 1,570.1 164.1 146.0 96.0 19.2 - 394.9
     NUMBER OF TRADES 40 57 63 18 7 - 9
GNMA
AVERAGE PRICE 85.1 89.5 92.2 95.2 97.5 99.1 100.6
Weighted Avg. Price 87.6 90.7 93.2 95.8 98.2 100.1 102.1
Avg. Price Bottom 5 Trades 80.2 87.3 89.9 87.4 83.5 93.2 86.4
2nd Quartile Price 84.1 87.9 91.5 94.3 97.8 98.6 100.3
3rd Quartile Price 84.7 90.6 92.7 95.6 97.8 99.9 101.9
4th Quartile Price 87.9 91.8 93.5 97.6 98.1 100.1 103.2
Avg. Price Top 5 Trades 89.1 92.4 96.1 100.0 101.6 101.6 106.4
Standard Deviation 2.8 2.7 3.5 3.8 3.3 2.1 6.0
     VOLUME OF TRADES (000'S) 463,855.2 56,545.9 172,722.2 259,571.9 401,400.6 896,290.6 1,645,721.9
     NUMBER OF TRADES 113 21 31 68 112 164 463
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 - - - 100.2 -
Weighted Avg. Price - - - 100.8 -
Avg. Price Bottom 5 Trades - - - 100.2 -
2nd Quartile Price - - - * -
3rd Quartile Price - - - * -
4th Quartile Price - - - * -
Avg. Price Top 5 Trades - - - 100.2 -
Standard Deviation - - - 1.0 -
     VOLUME OF TRADES (000'S) - - - 59,341.0 -
     NUMBER OF TRADES - - - 5 -
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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