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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 95.3 97.9 95.6 101.3 102.3 103.4 -
Weighted Avg. Price 95.3 98.7 100.3 101.2 102.2 103.5 -
Avg. Price Bottom 5 Trades 80.8 95.2 88.5 100.0 100.1 101.1 -
2nd Quartile Price 94.8 98.7 100.1 101.4 102.4 103.5 -
3rd Quartile Price 94.8 98.7 100.3 101.4 102.4 103.5 -
4th Quartile Price 97.3 99.0 100.7 101.4 102.4 103.5 -
Avg. Price Top 5 Trades 99.4 99.3 100.7 101.4 102.4 103.5 -
Standard Deviation 2.5 2.3 21.4 0.2 0.3 0.4 -
     VOLUME OF TRADES (000'S) 168,700.2 41,773.4 62,584.4 73,930.1 28,530.7 5,993.8 -
     NUMBER OF TRADES 805 22 22 745 893 333 -
FNMA
AVERAGE PRICE 98.0 99.4 100.7 103.4 105.7 - -
Weighted Avg. Price 98.6 99.7 100.7 103.1 106.4 - -
Avg. Price Bottom 5 Trades 97.1 99.2 100.2 102.6 104.6 - -
2nd Quartile Price 96.8 99.6 100.5 103.1 105.0 - -
3rd Quartile Price 98.3 99.8 100.8 103.7 105.9 - -
4th Quartile Price 99.1 100.0 101.2 104.1 106.7 - -
Avg. Price Top 5 Trades 99.0 99.8 101.4 104.1 106.7 - -
Standard Deviation 1.1 1.0 0.7 0.7 1.3 - -
     VOLUME OF TRADES (000'S) 87,513.9 33,301.6 90,046.6 83,263.6 53,472.4 - -
     NUMBER OF TRADES 21 7 15 14 11 - -
FHLMC
AVERAGE PRICE 94.9 100.1 100.3 - - - -
Weighted Avg. Price 96.8 99.8 100.3 - - - -
Avg. Price Bottom 5 Trades 92.9 99.9 100.2 - - - -
2nd Quartile Price 95.0 99.9 100.0 - - - -
3rd Quartile Price 96.0 100.2 100.3 - - - -
4th Quartile Price 97.3 100.5 101.0 - - - -
Avg. Price Top 5 Trades 99.0 100.3 100.4 - - - -
Standard Deviation 4.9 0.4 0.6 - - - -
     VOLUME OF TRADES (000'S) 1,766.0 95,434.2 132,331.0 - - - -
     NUMBER OF TRADES 76 8 8 - - - -
GNMA
AVERAGE PRICE 94.6 - 100.4 * - * -
Weighted Avg. Price 95.1 - 100.4 * - * -
Avg. Price Bottom 5 Trades 94.6 - 100.4 * - * -
2nd Quartile Price * - * * - * -
3rd Quartile Price * - * * - * -
4th Quartile Price * - * * - * -
Avg. Price Top 5 Trades 94.6 - 100.4 * - * -
Standard Deviation 0.4 - 0.3 * - * -
     VOLUME OF TRADES (000'S) 913.1 - 4,375.4 * - * -
     NUMBER OF TRADES 5 - 6 * - * -
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 94.4 97.9 99.9 101.2 101.7 100.5
Weighted Avg. Price 87.1 96.0 98.5 100.2 101.5 103.0 104.4
Avg. Price Bottom 5 Trades 77.1 85.6 90.5 82.2 97.7 93.0 71.8
2nd Quartile Price 85.3 94.0 98.1 100.0 101.1 102.3 103.6
3rd Quartile Price 89.0 95.0 98.1 100.0 101.2 102.6 104.5
4th Quartile Price 92.2 95.5 98.1 100.0 101.6 103.3 104.9
Avg. Price Top 5 Trades 98.1 98.5 100.0 101.9 102.8 104.5 105.9
Standard Deviation 4.0 2.6 1.4 1.3 1.1 4.4 12.1
     VOLUME OF TRADES (000'S) 1,728,544.6 159,269.3 376,164.2 685,653.1 1,610,940.8 1,549,922.3 132,575.3
     NUMBER OF TRADES 1,292 346 476 1,493 288 157 81
FNMA
AVERAGE PRICE 91.0 * * - - - -
Weighted Avg. Price 94.8 * * - - - -
Avg. Price Bottom 5 Trades 85.0 * * - - - -
2nd Quartile Price 91.4 * * - - - -
3rd Quartile Price 92.2 * * - - - -
4th Quartile Price 93.5 * * - - - -
Avg. Price Top 5 Trades 96.4 * * - - - -
Standard Deviation 4.9 * * - - - -
     VOLUME OF TRADES (000'S) 12,255.6 * * - - - -
     NUMBER OF TRADES 29 * * - - - -
FHLMC
AVERAGE PRICE 91.0 94.7 97.5 95.3 - 81.7 *
Weighted Avg. Price 94.2 95.9 96.7 96.6 - 81.7 *
Avg. Price Bottom 5 Trades 87.5 94.4 97.5 95.3 - 81.7 *
2nd Quartile Price 89.1 95.2 * * - * *
3rd Quartile Price 92.3 95.2 * * - * *
4th Quartile Price 92.3 95.2 * * - * *
Avg. Price Top 5 Trades 96.7 96.4 97.5 95.3 - 81.7 *
Standard Deviation 2.4 2.3 0.9 2.6 - 0.5 *
     VOLUME OF TRADES (000'S) 3,459.9 420.3 2.8 5.1 - - *
     NUMBER OF TRADES 118 79 9 7 - 6 *
GNMA
AVERAGE PRICE 87.8 93.7 98.1 99.5 100.3 100.9 101.2
Weighted Avg. Price 87.1 95.3 98.3 100.0 101.2 102.7 103.1
Avg. Price Bottom 5 Trades 82.5 90.5 94.2 98.7 85.5 84.0 83.2
2nd Quartile Price 87.5 93.5 98.3 99.0 100.0 100.4 101.6
3rd Quartile Price 87.5 95.0 98.3 99.0 100.0 101.3 102.6
4th Quartile Price 87.5 95.4 98.3 100.0 101.2 103.1 103.8
Avg. Price Top 5 Trades 95.0 95.8 100.0 103.1 106.3 104.8 105.5
Standard Deviation 2.0 2.4 1.9 1.1 3.3 4.0 5.3
     VOLUME OF TRADES (000'S) 1,222,047.5 96,108.2 561,852.4 626,965.8 933,466.5 601,343.1 320,796.0
     NUMBER OF TRADES 371 26 252 120 215 279 172
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 - - - 100.0 *
Weighted Avg. Price - - - 100.4 *
Avg. Price Bottom 5 Trades - - - 99.7 *
2nd Quartile Price - - - 100.3 *
3rd Quartile Price - - - 101.4 *
4th Quartile Price - - - 101.5 *
Avg. Price Top 5 Trades - - - 100.7 *
Standard Deviation - - - 1.8 *
     VOLUME OF TRADES (000'S) - - - 59,208.2 *
     NUMBER OF TRADES - - - 6 *
FHLMC
AVERAGE PRICE * - - 96.9 *
Weighted Avg. Price * - - 99.3 *
Avg. Price Bottom 5 Trades * - - 96.9 *
2nd Quartile Price * - - * *
3rd Quartile Price * - - * *
4th Quartile Price * - - * *
Avg. Price Top 5 Trades * - - 96.9 *
Standard Deviation * - - 3.1 *
     VOLUME OF TRADES (000'S) * - - 45,445.1 *
     NUMBER OF TRADES * - - 5 *
GNMA
AVERAGE PRICE * - 100.5 - -
Weighted Avg. Price * - 100.6 - -
Avg. Price Bottom 5 Trades * - 99.3 - -
2nd Quartile Price * - 100.2 - -
3rd Quartile Price * - 101.0 - -
4th Quartile Price * - 101.2 - -
Avg. Price Top 5 Trades * - 101.4 - -
Standard Deviation * - 1.2 - -
     VOLUME OF TRADES (000'S) * - 100,987.4 - -
     NUMBER OF TRADES * - 12 - -
* 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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