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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 89.1 93.1 87.6 96.9 99.3 99.8 101.3
Weighted Avg. Price 90.8 95.7 97.4 98.4 100.1 101.4 104.2
Avg. Price Bottom 5 Trades 57.0 64.8 65.5 93.4 96.6 95.5 99.3
2nd Quartile Price 89.6 94.7 88.0 96.5 98.9 99.2 101.0
3rd Quartile Price 91.7 95.2 94.0 98.3 99.9 100.6 102.0
4th Quartile Price 93.6 95.2 96.6 98.4 100.2 101.2 103.6
Avg. Price Top 5 Trades 98.0 96.7 97.2 98.7 100.8 101.8 103.6
Standard Deviation 10.7 9.0 21.7 2.7 1.5 2.2 2.7
     VOLUME OF TRADES (000'S) 139,657.9 2,258.8 9,312.2 66,672.8 183,595.2 13,283.3 12,133.9
     NUMBER OF TRADES 92 296 20 28 50 53 19
FNMA
AVERAGE PRICE 88.3 98.3 * * 100.7 * *
Weighted Avg. Price 90.4 98.7 * * 100.3 * *
Avg. Price Bottom 5 Trades 77.2 98.0 * * 100.2 * *
2nd Quartile Price 83.8 97.8 * * 100.3 * *
3rd Quartile Price 90.2 99.6 * * 100.6 * *
4th Quartile Price 95.4 99.6 * * 101.3 * *
Avg. Price Top 5 Trades 97.5 98.7 * * 101.2 * *
Standard Deviation 7.8 1.5 * * 0.9 * *
     VOLUME OF TRADES (000'S) 66,719.1 4,362.3 * * 69,370.0 * *
     NUMBER OF TRADES 31 6 * * 8 * *
FHLMC
AVERAGE PRICE 95.0 86.0 92.6 98.2 * - -
Weighted Avg. Price 90.3 97.1 97.5 99.0 * - -
Avg. Price Bottom 5 Trades 91.4 80.7 92.6 93.3 * - -
2nd Quartile Price 92.5 82.7 * 98.9 * - -
3rd Quartile Price 96.0 86.8 * 99.5 * - -
4th Quartile Price 97.5 94.0 * 99.8 * - -
Avg. Price Top 5 Trades 97.8 94.0 92.6 99.9 * - -
Standard Deviation 3.1 7.1 6.2 3.6 * - -
     VOLUME OF TRADES (000'S) 14,423.8 33.3 71,180.0 96,032.0 * - -
     NUMBER OF TRADES 24 15 7 28 * - -
GNMA
AVERAGE PRICE * * * 94.5 100.1 101.1 *
Weighted Avg. Price * * * 98.9 100.3 101.4 *
Avg. Price Bottom 5 Trades * * * 94.5 100.1 100.9 *
2nd Quartile Price * * * * * 101.3 *
3rd Quartile Price * * * * * 101.3 *
4th Quartile Price * * * * * 101.4 *
Avg. Price Top 5 Trades * * * 94.5 100.1 101.3 *
Standard Deviation * * * 6.0 0.6 0.8 *
     VOLUME OF TRADES (000'S) * * * 3,349.9 8,385.7 20,961.0 *
     NUMBER OF TRADES * * * 5 5 16 *
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 83.2 88.2 90.6 93.6 97.0 99.1 101.4
Weighted Avg. Price 81.7 90.4 92.9 95.4 97.5 99.5 102.1
Avg. Price Bottom 5 Trades 71.2 67.5 70.9 75.9 88.3 89.7 78.1
2nd Quartile Price 82.0 88.6 90.4 94.1 97.0 99.2 101.2
3rd Quartile Price 82.8 89.3 92.2 94.7 97.2 99.3 101.8
4th Quartile Price 85.8 89.3 92.3 94.9 97.4 99.6 103.4
Avg. Price Top 5 Trades 95.4 95.6 96.7 97.9 99.7 100.6 105.5
Standard Deviation 3.1 3.4 4.0 3.9 1.6 1.8 6.6
     VOLUME OF TRADES (000'S) 1,802,721.7 289,520.0 397,706.0 131,568.0 704,613.4 949,850.4 968,204.9
     NUMBER OF TRADES 1,051 623 403 294 296 285 295
FNMA
AVERAGE PRICE 81.1 82.5 - - - - -
Weighted Avg. Price 77.2 85.8 - - - - -
Avg. Price Bottom 5 Trades 81.1 82.5 - - - - -
2nd Quartile Price * * - - - - -
3rd Quartile Price * * - - - - -
4th Quartile Price * * - - - - -
Avg. Price Top 5 Trades 81.1 82.5 - - - - -
Standard Deviation 3.5 4.3 - - - - -
     VOLUME OF TRADES (000'S) 23,587.5 119.8 - - - - -
     NUMBER OF TRADES 5 6 - - - - -
FHLMC
AVERAGE PRICE 85.7 88.4 89.1 88.1 * 74.1 88.5
Weighted Avg. Price 87.4 90.1 95.1 95.5 * 100.3 102.0
Avg. Price Bottom 5 Trades 81.2 78.9 66.5 85.7 * 74.1 80.5
2nd Quartile Price 85.6 89.3 87.7 88.0 * * 99.6
3rd Quartile Price 86.1 89.3 92.2 88.0 * * 99.8
4th Quartile Price 86.1 89.3 92.2 94.6 * * 102.2
Avg. Price Top 5 Trades 91.2 90.6 95.6 90.6 * 74.1 100.6
Standard Deviation 2.9 2.7 7.4 4.8 * 36.0 21.1
     VOLUME OF TRADES (000'S) 2,109.8 156.9 7,992.2 19.5 * 62.0 33.0
     NUMBER OF TRADES 57 105 87 13 * 5 13
GNMA
AVERAGE PRICE 85.1 89.8 91.5 94.6 93.3 95.9 97.4
Weighted Avg. Price 83.3 90.5 92.7 95.3 97.5 99.5 101.6
Avg. Price Bottom 5 Trades 78.3 86.6 84.9 88.0 77.9 78.0 76.3
2nd Quartile Price 83.7 89.8 91.8 94.8 89.8 98.3 98.7
3rd Quartile Price 84.8 90.4 92.4 95.1 97.4 99.5 101.0
4th Quartile Price 87.8 90.8 92.8 95.3 98.3 99.9 102.3
Avg. Price Top 5 Trades 90.9 91.1 93.1 96.2 100.7 103.9 106.0
Standard Deviation 3.6 2.3 2.5 2.9 8.3 7.8 8.9
     VOLUME OF TRADES (000'S) 4,924,052.2 149,121.2 2,563,617.9 4,558,832.0 2,225,871.6 1,306,815.0 1,732,410.1
     NUMBER OF TRADES 159 45 65 87 168 205 579
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 95.0 - * 99.7 *
Weighted Avg. Price 100.8 - * 99.7 *
Avg. Price Bottom 5 Trades 89.1 - * 99.7 *
2nd Quartile Price 101.9 - * * *
3rd Quartile Price 102.1 - * * *
4th Quartile Price 102.3 - * * *
Avg. Price Top 5 Trades 102.3 - * 99.7 *
Standard Deviation 14.2 - * 1.2 *
     VOLUME OF TRADES (000'S) 102.2 - * 7,320.4 *
     NUMBER OF TRADES 9 - * 5 *
FHLMC
AVERAGE PRICE 102.4 - - * *
Weighted Avg. Price 102.2 - - * *
Avg. Price Bottom 5 Trades 102.2 - - * *
2nd Quartile Price 101.9 - - * *
3rd Quartile Price 103.0 - - * *
4th Quartile Price 103.1 - - * *
Avg. Price Top 5 Trades 102.7 - - * *
Standard Deviation 0.6 - - * *
     VOLUME OF TRADES (000'S) 48.9 - - * *
     NUMBER OF TRADES 7 - - * *
GNMA
AVERAGE PRICE * - 100.3 - -
Weighted Avg. Price * - 101.1 - -
Avg. Price Bottom 5 Trades * - 100.3 - -
2nd Quartile Price * - * - -
3rd Quartile Price * - * - -
4th Quartile Price * - * - -
Avg. Price Top 5 Trades * - 100.3 - -
Standard Deviation * - 1.2 - -
     VOLUME OF TRADES (000'S) * - 5,114.9 - -
     NUMBER OF TRADES * - 6 - -
* 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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