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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 91.8 95.5 97.1 97.2 97.9 99.4 100.4
Weighted Avg. Price 90.3 96.7 96.1 98.4 99.6 100.7 101.8
Avg. Price Bottom 5 Trades 84.3 92.8 95.3 94.2 89.4 97.4 98.5
2nd Quartile Price 88.1 94.2 95.8 95.9 98.0 98.0 98.9
3rd Quartile Price 90.4 94.2 97.4 98.0 99.2 100.3 101.3
4th Quartile Price 96.8 99.1 99.3 99.0 99.5 100.4 101.3
Avg. Price Top 5 Trades 98.4 98.8 98.3 99.1 100.2 101.0 102.3
Standard Deviation 4.9 2.5 2.0 2.1 3.4 1.4 1.7
     VOLUME OF TRADES (000'S) 323,202.9 23,703.5 8,510.9 16,935.7 117,120.8 142,468.9 2,458.9
     NUMBER OF TRADES 174 158 12 31 75 53 23
FNMA
AVERAGE PRICE 94.0 95.6 91.0 96.7 98.9 101.3 *
Weighted Avg. Price 91.7 95.2 92.6 95.6 98.8 101.2 *
Avg. Price Bottom 5 Trades 91.6 94.9 89.2 95.4 96.8 101.1 *
2nd Quartile Price 90.8 94.5 90.8 95.9 98.7 101.0 *
3rd Quartile Price 96.3 96.6 91.6 97.3 99.2 101.7 *
4th Quartile Price 96.8 97.5 94.0 98.3 99.7 102.2 *
Avg. Price Top 5 Trades 96.8 96.4 92.8 97.7 100.1 101.5 *
Standard Deviation 3.4 1.6 3.0 1.5 1.0 0.6 *
     VOLUME OF TRADES (000'S) 39,324.1 13,278.3 97,657.4 24,050.0 301,768.0 7,742.6 *
     NUMBER OF TRADES 13 7 10 11 45 6 *
FHLMC
AVERAGE PRICE 95.1 93.7 * 97.2 98.9 * -
Weighted Avg. Price 94.1 93.8 * 97.6 98.6 * -
Avg. Price Bottom 5 Trades 88.8 93.7 * 95.3 98.7 * -
2nd Quartile Price 95.3 * * 96.9 98.6 * -
3rd Quartile Price 95.3 * * 97.3 99.3 * -
4th Quartile Price 98.6 * * 98.6 100.0 * -
Avg. Price Top 5 Trades 96.3 93.7 * 98.9 99.0 * -
Standard Deviation 3.7 0.9 * 1.6 0.6 * -
     VOLUME OF TRADES (000'S) 11,797.2 10.3 * 118,406.4 43,208.0 * -
     NUMBER OF TRADES 27 21 * 19 6 * -
GNMA
AVERAGE PRICE * - 95.8 97.7 * 100.7 *
Weighted Avg. Price * - 95.8 97.7 * 100.8 *
Avg. Price Bottom 5 Trades * - 95.8 97.6 * 100.5 *
2nd Quartile Price * - * 97.7 * 100.7 *
3rd Quartile Price * - * 97.7 * 100.9 *
4th Quartile Price * - * 98.2 * 101.0 *
Avg. Price Top 5 Trades * - 95.8 97.8 * 100.9 *
Standard Deviation * - 0.1 0.3 * 0.2 *
     VOLUME OF TRADES (000'S) * - 5,030.2 8,240.8 * 414,436.9 *
     NUMBER OF TRADES * - 5 6 * 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 81.1 87.4 90.5 93.2 95.6 98.4 101.1
Weighted Avg. Price 80.0 89.5 91.1 93.5 96.3 98.4 101.3
Avg. Price Bottom 5 Trades 72.8 82.4 86.0 88.5 75.3 95.2 74.3
2nd Quartile Price 78.2 87.3 90.1 93.1 95.8 98.2 100.3
3rd Quartile Price 81.0 87.5 90.6 93.4 95.9 98.4 101.1
4th Quartile Price 84.1 87.8 90.8 93.5 96.3 99.0 102.3
Avg. Price Top 5 Trades 90.7 92.4 94.6 97.3 98.8 100.1 105.3
Standard Deviation 3.1 1.3 1.5 1.3 4.9 1.0 4.8
     VOLUME OF TRADES (000'S) 4,977,887.1 219,195.9 567,715.2 4,507,560.2 1,829,734.1 4,955,215.8 8,149,816.8
     NUMBER OF TRADES 1,355 544 418 502 407 457 570
FNMA
AVERAGE PRICE 86.8 88.9 91.6 94.4 97.5 98.0 95.3
Weighted Avg. Price 78.6 90.2 91.8 94.4 97.6 100.4 101.9
Avg. Price Bottom 5 Trades 78.7 88.9 89.2 93.6 97.0 98.0 95.3
2nd Quartile Price 89.6 * 90.0 93.6 97.4 * *
3rd Quartile Price 91.8 * 92.7 95.6 97.8 * *
4th Quartile Price 91.8 * 93.9 95.6 98.0 * *
Avg. Price Top 5 Trades 90.4 88.9 93.6 94.8 98.1 98.0 95.3
Standard Deviation 7.8 2.5 2.4 1.2 1.0 4.5 6.4
     VOLUME OF TRADES (000'S) 19,732.8 438.8 6,406.1 6,878.2 21,201.6 20,091.9 29.1
     NUMBER OF TRADES 13 5 12 10 8 5 7
FHLMC
AVERAGE PRICE 83.9 88.0 90.9 93.1 97.6 99.1 101.5
Weighted Avg. Price 74.1 89.0 92.7 94.1 97.8 100.0 102.8
Avg. Price Bottom 5 Trades 81.0 87.1 90.0 93.0 95.9 94.3 88.6
2nd Quartile Price 84.1 87.3 90.2 92.8 97.1 99.2 101.4
3rd Quartile Price 84.1 87.8 90.2 93.4 97.6 100.0 102.2
4th Quartile Price 84.5 89.2 92.6 93.6 99.2 100.7 104.0
Avg. Price Top 5 Trades 85.4 90.0 93.1 93.4 99.1 101.5 107.0
Standard Deviation 2.0 1.4 1.3 1.0 2.2 3.5 7.2
     VOLUME OF TRADES (000'S) 9,710.2 92,251.2 9,633.1 871.9 6,542.3 8,969.7 15,757.1
     NUMBER OF TRADES 47 50 75 14 17 38 52
GNMA
AVERAGE PRICE 84.7 89.3 91.6 93.8 97.5 98.8 100.6
Weighted Avg. Price 79.5 89.1 92.4 94.0 96.6 98.8 101.2
Avg. Price Bottom 5 Trades 77.7 87.1 91.0 82.4 93.6 91.4 67.8
2nd Quartile Price 81.9 89.2 91.2 93.8 96.9 98.8 100.7
3rd Quartile Price 86.1 89.4 91.6 94.4 98.0 99.1 101.5
4th Quartile Price 87.7 89.7 91.7 95.2 98.0 99.4 102.3
Avg. Price Top 5 Trades 87.7 90.3 93.3 95.9 99.5 103.7 106.1
Standard Deviation 3.4 0.7 0.6 3.1 1.3 2.1 6.2
     VOLUME OF TRADES (000'S) 3,566,783.2 355,480.8 117,234.1 172,277.2 710,324.2 4,003,202.0 2,144,676.0
     NUMBER OF TRADES 276 228 97 90 247 246 491
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 95.8
Weighted Avg. Price * - - 99.7 95.2
Avg. Price Bottom 5 Trades * - - 99.2 95.8
2nd Quartile Price * - - 99.5 *
3rd Quartile Price * - - 100.0 *
4th Quartile Price * - - 100.6 *
Avg. Price Top 5 Trades * - - 100.9 95.8
Standard Deviation * - - 1.2 3.5
     VOLUME OF TRADES (000'S) * - - 68,329.1 16,377.4
     NUMBER OF TRADES * - - 11 6
FHLMC
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 * - - * *
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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