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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 90.8 92.7 96.6 98.6 99.6 101.2 102.3
Weighted Avg. Price 91.2 96.6 96.6 98.8 100.1 101.2 102.1
Avg. Price Bottom 5 Trades 81.9 80.9 96.2 97.8 98.2 97.8 99.9
2nd Quartile Price 88.6 92.2 96.5 98.4 99.3 101.3 102.3
3rd Quartile Price 91.3 94.7 96.7 98.6 99.8 101.3 102.3
4th Quartile Price 93.3 94.7 97.5 98.9 100.1 101.3 102.3
Avg. Price Top 5 Trades 98.2 97.8 97.1 99.5 100.6 101.2 102.3
Standard Deviation 3.7 4.8 0.7 0.6 0.7 0.3 0.2
     VOLUME OF TRADES (000'S) 504,772.9 28,859.2 24,926.6 74,388.1 86,929.0 43,802.6 41,766.5
     NUMBER OF TRADES 175 111 11 30 56 1,375 1,360
FNMA
AVERAGE PRICE 93.1 * 96.5 98.1 99.9 101.7 -
Weighted Avg. Price 95.6 * 94.7 99.0 99.7 101.6 -
Avg. Price Bottom 5 Trades 85.5 * 96.5 97.1 98.9 100.9 -
2nd Quartile Price 91.8 * * 98.5 99.5 100.7 -
3rd Quartile Price 94.4 * * 98.9 100.0 102.3 -
4th Quartile Price 96.0 * * 99.4 100.7 103.2 -
Avg. Price Top 5 Trades 98.3 * 96.5 99.2 100.8 102.5 -
Standard Deviation 4.9 * 1.6 1.6 0.8 1.4 -
     VOLUME OF TRADES (000'S) 23,119.9 * 55,725.0 126,529.0 508,130.0 62,785.5 -
     NUMBER OF TRADES 24 * 5 9 16 8 -
FHLMC
AVERAGE PRICE 91.1 95.1 94.3 98.0 99.7 - *
Weighted Avg. Price 90.9 97.4 96.8 97.5 99.6 - *
Avg. Price Bottom 5 Trades 86.7 95.1 93.0 97.2 99.6 - *
2nd Quartile Price 89.2 * 91.0 97.3 99.5 - *
3rd Quartile Price 93.5 * 94.2 98.0 99.8 - *
4th Quartile Price 95.0 * 97.3 99.2 99.8 - *
Avg. Price Top 5 Trades 94.7 95.1 96.3 99.0 99.7 - *
Standard Deviation 4.4 0.9 3.3 0.9 0.2 - *
     VOLUME OF TRADES (000'S) 1,509.3 155.2 68,004.9 259,662.0 56,804.0 - *
     NUMBER OF TRADES 17 9 8 18 13 - *
GNMA
AVERAGE PRICE 93.0 * * * 99.9 * 101.9
Weighted Avg. Price 91.5 * * * 100.0 * 101.6
Avg. Price Bottom 5 Trades 89.0 * * * 99.9 * 101.5
2nd Quartile Price 91.0 * * * * * 101.6
3rd Quartile Price 93.2 * * * * * 102.1
4th Quartile Price 96.3 * * * * * 102.9
Avg. Price Top 5 Trades 97.1 * * * 99.9 * 102.3
Standard Deviation 3.5 * * * 0.2 * 0.9
     VOLUME OF TRADES (000'S) 8,224.7 * * * 4,563.2 * 1,674.8
     NUMBER OF TRADES 21 * * * 6 * 8
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 83.6 89.2 91.8 94.8 96.7 99.7 99.9
Weighted Avg. Price 83.7 90.5 94.0 95.6 97.5 99.6 101.4
Avg. Price Bottom 5 Trades 74.9 81.5 86.2 83.6 41.6 88.9 41.0
2nd Quartile Price 82.3 89.1 91.3 94.8 97.2 99.3 101.0
3rd Quartile Price 83.2 89.3 92.1 94.9 97.3 99.6 101.6
4th Quartile Price 85.9 89.5 92.4 95.2 97.6 102.7 102.7
Avg. Price Top 5 Trades 92.7 95.8 95.3 98.1 99.7 102.6 105.6
Standard Deviation 2.7 1.9 1.6 2.2 8.1 3.4 13.1
     VOLUME OF TRADES (000'S) 1,181,333.3 214,732.6 409,086.7 501,323.4 2,837,138.3 3,974,253.6 3,239,748.6
     NUMBER OF TRADES 1,521 663 614 627 610 494 344
FNMA
AVERAGE PRICE 80.8 90.9 92.0 94.8 - - 95.6
Weighted Avg. Price 80.7 90.2 91.8 95.4 - - 108.6
Avg. Price Bottom 5 Trades 79.5 89.7 90.8 93.6 - - 92.6
2nd Quartile Price 79.8 90.1 91.1 94.0 - - 98.0
3rd Quartile Price 80.1 90.3 91.8 95.6 - - 99.3
4th Quartile Price 81.1 94.0 93.4 95.6 - - 100.0
Avg. Price Top 5 Trades 83.3 91.6 93.1 95.4 - - 102.1
Standard Deviation 2.9 2.2 1.2 1.0 - - 11.7
     VOLUME OF TRADES (000'S) 25,809.9 2,512.2 18,390.0 47,926.3 - - 42,541.3
     NUMBER OF TRADES 19 8 17 15 - - 13
FHLMC
AVERAGE PRICE 83.4 88.9 91.5 95.2 85.9 94.9 87.8
Weighted Avg. Price 74.8 90.8 94.7 96.5 98.5 96.7 105.3
Avg. Price Bottom 5 Trades 73.0 86.9 86.9 94.9 84.0 93.4 84.7
2nd Quartile Price 82.0 89.0 91.3 94.8 97.7 94.0 99.7
3rd Quartile Price 85.8 89.2 91.9 94.9 97.9 94.0 104.4
4th Quartile Price 85.9 89.4 91.9 95.0 98.3 99.0 106.6
Avg. Price Top 5 Trades 87.6 90.5 94.3 96.9 98.2 99.2 102.5
Standard Deviation 4.6 1.3 1.9 0.8 34.7 3.1 38.8
     VOLUME OF TRADES (000'S) 18,192.9 1,611.7 4,008.3 842.6 27.5 8.9 289.0
     NUMBER OF TRADES 57 62 103 49 8 30 7
GNMA
AVERAGE PRICE 85.2 90.2 92.8 95.5 97.7 99.6 99.4
Weighted Avg. Price 84.1 90.4 93.2 95.5 98.1 99.9 101.8
Avg. Price Bottom 5 Trades 78.8 85.9 82.5 87.2 92.0 91.6 30.3
2nd Quartile Price 83.6 90.2 92.7 95.4 96.9 99.0 100.6
3rd Quartile Price 84.8 90.5 93.1 95.7 97.3 99.9 101.9
4th Quartile Price 87.4 91.0 93.8 96.5 98.3 99.9 102.9
Avg. Price Top 5 Trades 94.0 91.5 96.9 99.7 100.4 101.7 106.4
Standard Deviation 2.8 1.4 3.3 3.0 1.4 1.2 12.4
     VOLUME OF TRADES (000'S) 4,532,866.5 917,207.9 1,088,180.1 7,007,170.6 1,894,398.2 1,807,958.5 1,778,398.7
     NUMBER OF TRADES 217 78 104 122 320 646 500
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 96.6 - - 95.2 -
Weighted Avg. Price 102.1 - - 94.3 -
Avg. Price Bottom 5 Trades 89.5 - - 93.9 -
2nd Quartile Price 99.0 - - 90.9 -
3rd Quartile Price 100.5 - - 100.0 -
4th Quartile Price 102.0 - - 101.3 -
Avg. Price Top 5 Trades 102.0 - - 96.3 -
Standard Deviation 12.9 - - 5.4 -
     VOLUME OF TRADES (000'S) 556.2 - - 22,440.5 -
     NUMBER OF TRADES 23 - - 6 -
FHLMC
AVERAGE PRICE 101.0 - - * 95.6
Weighted Avg. Price 102.2 - - * 96.0
Avg. Price Bottom 5 Trades 100.4 - - * 95.6
2nd Quartile Price 100.5 - - * *
3rd Quartile Price 101.0 - - * *
4th Quartile Price 103.0 - - * *
Avg. Price Top 5 Trades 101.3 - - * 95.6
Standard Deviation 1.2 - - * 3.1
     VOLUME OF TRADES (000'S) 277.3 - - * 8,386.2
     NUMBER OF TRADES 14 - - * 5
GNMA
AVERAGE PRICE 98.2 - * - -
Weighted Avg. Price 99.9 - * - -
Avg. Price Bottom 5 Trades 82.7 - * - -
2nd Quartile Price 99.5 - * - -
3rd Quartile Price 100.0 - * - -
4th Quartile Price 100.5 - * - -
Avg. Price Top 5 Trades 100.0 - * - -
Standard Deviation 5.0 - * - -
     VOLUME OF TRADES (000'S) 1,490.5 - * - -
     NUMBER OF TRADES 83 - * - -
* 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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