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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 90.7 91.5 94.4 97.4 98.9 100.0 101.2
Weighted Avg. Price 91.9 94.0 95.5 97.4 99.1 100.5 101.7
Avg. Price Bottom 5 Trades 79.3 79.0 89.3 96.6 96.6 98.3 98.2
2nd Quartile Price 88.1 91.2 94.7 97.1 98.9 99.9 101.3
3rd Quartile Price 90.5 93.8 95.1 97.4 99.0 100.3 101.4
4th Quartile Price 94.2 94.3 95.6 97.9 99.3 100.6 101.9
Avg. Price Top 5 Trades 97.4 96.8 96.5 98.6 100.0 100.9 102.5
Standard Deviation 4.4 5.4 2.5 0.6 0.9 0.7 1.5
     VOLUME OF TRADES (000'S) 291,223.9 22,234.5 19,235.0 38,635.3 381,176.6 254,044.5 31,776.2
     NUMBER OF TRADES 176 51 40 42 127 113 59
FNMA
AVERAGE PRICE 92.2 94.7 95.7 96.2 98.4 * *
Weighted Avg. Price 89.1 98.0 95.2 97.3 98.3 * *
Avg. Price Bottom 5 Trades 90.3 93.4 95.7 96.2 96.7 * *
2nd Quartile Price 88.1 92.9 * * 97.6 * *
3rd Quartile Price 96.9 98.5 * * 98.8 * *
4th Quartile Price 97.1 98.7 * * 99.3 * *
Avg. Price Top 5 Trades 95.2 96.8 95.7 96.2 99.9 * *
Standard Deviation 6.2 6.3 2.6 1.5 1.1 * *
     VOLUME OF TRADES (000'S) 28,520.5 11,273.6 113,645.6 19,710.0 159,259.6 * *
     NUMBER OF TRADES 7 8 6 5 27 * *
FHLMC
AVERAGE PRICE 93.9 90.2 * 96.9 98.3 - -
Weighted Avg. Price 91.4 90.7 * 97.8 98.1 - -
Avg. Price Bottom 5 Trades 88.4 88.7 * 95.7 97.0 - -
2nd Quartile Price 93.9 88.4 * 96.6 97.3 - -
3rd Quartile Price 94.8 97.5 * 96.9 99.2 - -
4th Quartile Price 96.3 97.7 * 97.6 99.3 - -
Avg. Price Top 5 Trades 95.7 92.1 * 98.6 99.2 - -
Standard Deviation 3.5 7.4 * 1.0 1.2 - -
     VOLUME OF TRADES (000'S) 9,473.7 1,187.6 * 154,102.0 27,600.0 - -
     NUMBER OF TRADES 24 6 * 30 18 - -
GNMA
AVERAGE PRICE * - * * 99.1 100.2 102.3
Weighted Avg. Price * - * * 99.2 99.8 102.3
Avg. Price Bottom 5 Trades * - * * 98.9 100.0 99.9
2nd Quartile Price * - * * 98.9 100.2 101.8
3rd Quartile Price * - * * 99.0 100.3 103.3
4th Quartile Price * - * * 99.3 100.7 103.3
Avg. Price Top 5 Trades * - * * 99.4 100.5 103.0
Standard Deviation * - * * 0.2 0.5 1.7
     VOLUME OF TRADES (000'S) * - * * 79,309.1 11,574.7 3,463.5
     NUMBER OF TRADES * - * * 18 13 37
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 81.2 86.5 89.6 92.5 95.1 97.8 100.7
Weighted Avg. Price 82.0 88.7 90.5 93.3 95.7 98.1 100.7
Avg. Price Bottom 5 Trades 71.9 80.2 81.6 84.6 89.0 87.7 90.4
2nd Quartile Price 79.9 86.5 89.2 92.4 95.0 97.5 100.0
3rd Quartile Price 81.1 86.9 89.5 92.5 95.3 97.9 100.4
4th Quartile Price 83.3 87.3 90.8 93.0 95.5 98.9 101.9
Avg. Price Top 5 Trades 88.9 94.3 97.5 96.4 98.2 100.0 104.4
Standard Deviation 2.7 2.0 2.3 1.9 1.6 2.0 2.1
     VOLUME OF TRADES (000'S) 1,120,719.6 229,838.6 2,009,188.3 211,809.7 1,369,978.0 2,637,206.1 5,717,133.8
     NUMBER OF TRADES 1,024 558 476 333 334 397 495
FNMA
AVERAGE PRICE 79.8 - * * * * *
Weighted Avg. Price 83.0 - * * * * *
Avg. Price Bottom 5 Trades 79.1 - * * * * *
2nd Quartile Price 77.7 - * * * * *
3rd Quartile Price 82.8 - * * * * *
4th Quartile Price 83.4 - * * * * *
Avg. Price Top 5 Trades 80.3 - * * * * *
Standard Deviation 2.8 - * * * * *
     VOLUME OF TRADES (000'S) 62,960.4 - * * * * *
     NUMBER OF TRADES 6 - * * * * *
FHLMC
AVERAGE PRICE 85.1 87.5 89.0 93.1 93.3 * 97.3
Weighted Avg. Price 88.9 89.5 91.9 95.0 96.0 * 101.9
Avg. Price Bottom 5 Trades 83.6 86.8 78.7 93.1 93.3 * 95.5
2nd Quartile Price 83.6 86.5 89.5 * * * 94.5
3rd Quartile Price 84.6 87.5 89.5 * * * 97.2
4th Quartile Price 85.3 88.3 90.7 * * * 101.4
Avg. Price Top 5 Trades 92.2 91.8 93.5 93.1 93.3 * 102.5
Standard Deviation 3.1 1.7 5.6 1.2 4.7 * 3.7
     VOLUME OF TRADES (000'S) 2,997.6 11,022.9 5,449.9 74.5 1,352.0 * 6,248.4
     NUMBER OF TRADES 53 85 76 6 6 * 20
GNMA
AVERAGE PRICE 82.5 88.9 91.7 93.8 96.9 97.9 100.6
Weighted Avg. Price 80.6 87.8 92.3 93.1 96.6 98.7 101.4
Avg. Price Bottom 5 Trades 75.6 85.9 89.5 87.5 87.6 83.6 68.2
2nd Quartile Price 81.2 88.1 90.5 93.1 95.9 98.4 100.2
3rd Quartile Price 82.4 88.6 91.6 93.4 96.5 98.7 101.2
4th Quartile Price 85.1 90.4 93.9 95.1 100.0 100.0 101.9
Avg. Price Top 5 Trades 86.8 90.5 94.2 98.6 100.0 102.0 106.7
Standard Deviation 2.9 1.5 1.8 3.3 3.0 4.0 5.3
     VOLUME OF TRADES (000'S) 2,410,895.8 1,760,279.8 38,287.6 3,806,940.5 638,664.0 1,582,343.6 5,349,512.5
     NUMBER OF TRADES 126 62 32 49 134 220 597
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 * - * 99.5 *
Weighted Avg. Price * - * 99.5 *
Avg. Price Bottom 5 Trades * - * 97.8 *
2nd Quartile Price * - * 99.5 *
3rd Quartile Price * - * 99.8 *
4th Quartile Price * - * 100.4 *
Avg. Price Top 5 Trades * - * 100.8 *
Standard Deviation * - * 1.5 *
     VOLUME OF TRADES (000'S) * - * 117,265.2 *
     NUMBER OF TRADES * - * 19 *
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 - - 96.4 - -
Weighted Avg. Price - - 97.0 - -
Avg. Price Bottom 5 Trades - - 95.8 - -
2nd Quartile Price - - 95.8 - -
3rd Quartile Price - - 97.6 - -
4th Quartile Price - - 99.2 - -
Avg. Price Top 5 Trades - - 96.8 - -
Standard Deviation - - 1.8 - -
     VOLUME OF TRADES (000'S) - - 69,086.3 - -
     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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