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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 91.1 90.8 95.5 97.3 99.7 100.5 101.5
Weighted Avg. Price 90.7 94.9 96.9 98.2 100.0 100.9 102.8
Avg. Price Bottom 5 Trades 82.4 68.2 92.3 95.5 98.1 98.3 98.6
2nd Quartile Price 89.1 92.2 96.0 97.9 99.7 100.7 101.5
3rd Quartile Price 91.3 92.8 96.1 98.2 99.9 100.7 101.8
4th Quartile Price 93.5 92.8 96.5 99.1 100.0 101.1 102.3
Avg. Price Top 5 Trades 96.5 96.0 97.7 98.6 100.4 101.3 102.9
Standard Deviation 3.0 9.0 2.4 2.3 0.6 1.1 1.9
     VOLUME OF TRADES (000'S) 87,269.2 81,554.6 14,750.4 88,687.5 99,602.2 26,071.4 7,514.3
     NUMBER OF TRADES 203 137 22 15 63 38 34
FNMA
AVERAGE PRICE 96.4 97.5 95.1 97.5 100.0 - -
Weighted Avg. Price 97.6 98.2 93.2 98.4 100.1 - -
Avg. Price Bottom 5 Trades 94.7 97.4 92.6 97.3 99.4 - -
2nd Quartile Price 95.7 95.9 93.1 98.4 99.8 - -
3rd Quartile Price 99.0 98.4 96.9 98.4 100.0 - -
4th Quartile Price 99.2 98.5 98.7 98.8 100.7 - -
Avg. Price Top 5 Trades 99.1 98.5 96.3 98.6 100.4 - -
Standard Deviation 4.2 1.3 2.9 1.7 0.6 - -
     VOLUME OF TRADES (000'S) 6,319.8 10,370.0 24,691.9 68,310.0 182,512.9 - -
     NUMBER OF TRADES 8 8 10 9 15 - -
FHLMC
AVERAGE PRICE 90.2 * * 98.2 99.5 - *
Weighted Avg. Price 95.2 * * 97.7 99.5 - *
Avg. Price Bottom 5 Trades 87.0 * * 97.7 99.4 - *
2nd Quartile Price 88.1 * * 97.6 99.4 - *
3rd Quartile Price 91.3 * * 98.8 99.5 - *
4th Quartile Price 94.0 * * 99.2 99.6 - *
Avg. Price Top 5 Trades 92.7 * * 98.6 99.6 - *
Standard Deviation 5.4 * * 0.9 0.2 - *
     VOLUME OF TRADES (000'S) 168.0 * * 18,139.4 93,704.0 - *
     NUMBER OF TRADES 19 * * 7 9 - *
GNMA
AVERAGE PRICE 92.2 - - * * 101.0 *
Weighted Avg. Price 92.8 - - * * 101.1 *
Avg. Price Bottom 5 Trades 92.2 - - * * 101.0 *
2nd Quartile Price * - - * * * *
3rd Quartile Price * - - * * * *
4th Quartile Price * - - * * * *
Avg. Price Top 5 Trades 92.2 - - * * 101.0 *
Standard Deviation 2.8 - - * * 0.1 *
     VOLUME OF TRADES (000'S) 2,697.9 - - * * 40,479.9 *
     NUMBER OF TRADES 9 - - * * 5 *
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 82.8 88.2 91.3 94.2 96.6 99.1 102.2
Weighted Avg. Price 82.9 89.3 93.9 94.5 97.2 99.2 102.5
Avg. Price Bottom 5 Trades 72.8 76.4 77.8 84.8 82.6 90.1 72.6
2nd Quartile Price 81.6 88.2 91.1 94.2 96.6 98.9 101.3
3rd Quartile Price 82.8 88.6 91.5 94.4 96.9 99.1 102.5
4th Quartile Price 85.2 88.8 92.8 94.4 97.1 99.6 103.5
Avg. Price Top 5 Trades 92.1 95.0 97.4 97.0 99.6 101.7 106.6
Standard Deviation 2.8 2.2 3.2 1.7 1.9 1.8 4.7
     VOLUME OF TRADES (000'S) 747,810.4 816,324.4 1,048,424.7 1,398,434.8 2,208,815.0 2,117,309.7 7,815,600.2
     NUMBER OF TRADES 1,586 807 615 452 458 447 777
FNMA
AVERAGE PRICE 84.7 81.8 * - - - -
Weighted Avg. Price 85.0 89.6 * - - - -
Avg. Price Bottom 5 Trades 84.7 81.8 * - - - -
2nd Quartile Price * * * - - - -
3rd Quartile Price * * * - - - -
4th Quartile Price * * * - - - -
Avg. Price Top 5 Trades 84.7 81.8 * - - - -
Standard Deviation 3.4 6.0 * - - - -
     VOLUME OF TRADES (000'S) 23,059.2 19,624.0 * - - - -
     NUMBER OF TRADES 6 5 * - - - -
FHLMC
AVERAGE PRICE 85.3 88.1 90.5 93.6 97.6 100.3 101.8
Weighted Avg. Price 88.4 89.9 93.4 95.8 98.4 101.8 101.9
Avg. Price Bottom 5 Trades 80.8 81.8 80.8 92.4 96.7 100.3 98.1
2nd Quartile Price 85.2 88.6 91.5 94.4 96.6 * 99.3
3rd Quartile Price 85.2 88.6 91.5 94.4 97.5 * 102.5
4th Quartile Price 86.0 89.8 91.5 95.6 98.5 * 104.9
Avg. Price Top 5 Trades 88.9 90.9 94.2 96.7 98.7 100.3 103.6
Standard Deviation 2.9 2.7 3.4 4.5 1.4 2.3 2.8
     VOLUME OF TRADES (000'S) 3,576.1 6,884.7 278.9 26,019.9 50.0 741.9 6,873.9
     NUMBER OF TRADES 48 53 101 39 17 29 38
GNMA
AVERAGE PRICE 84.9 90.3 93.7 95.3 97.1 99.3 101.4
Weighted Avg. Price 85.8 90.0 92.5 94.8 97.5 99.6 101.7
Avg. Price Bottom 5 Trades 79.5 88.5 91.6 90.3 91.1 95.6 74.4
2nd Quartile Price 83.5 90.4 93.9 94.3 96.9 99.2 101.0
3rd Quartile Price 84.6 90.4 93.9 95.3 97.5 99.6 102.2
4th Quartile Price 87.1 90.4 93.9 97.0 98.3 99.7 103.7
Avg. Price Top 5 Trades 88.5 91.3 96.8 96.9 99.8 103.5 107.4
Standard Deviation 2.5 1.1 1.1 2.9 2.3 1.8 5.2
     VOLUME OF TRADES (000'S) 2,538,133.3 37,438.3 47,520.0 109,881.2 503,734.1 1,617,079.8 2,957,355.3
     NUMBER OF TRADES 103 82 108 76 123 138 434
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 103.2 - - 99.8 98.7
Weighted Avg. Price 103.2 - - 99.4 99.5
Avg. Price Bottom 5 Trades 103.2 - - 96.5 98.7
2nd Quartile Price * - - 99.6 *
3rd Quartile Price * - - 100.8 *
4th Quartile Price * - - 103.2 *
Avg. Price Top 5 Trades 103.2 - - 102.2 98.7
Standard Deviation - - - 3.7 6.4
     VOLUME OF TRADES (000'S) 12,032.6 - - 172,695.9 20,906.3
     NUMBER OF TRADES 12 - - 13 5
FHLMC
AVERAGE PRICE 103.2 - - * *
Weighted Avg. Price 103.2 - - * *
Avg. Price Bottom 5 Trades 103.2 - - * *
2nd Quartile Price * - - * *
3rd Quartile Price * - - * *
4th Quartile Price * - - * *
Avg. Price Top 5 Trades 103.2 - - * *
Standard Deviation 0.1 - - * *
     VOLUME OF TRADES (000'S) 3,945.6 - - * *
     NUMBER OF TRADES 6 - - * *
GNMA
AVERAGE PRICE 101.5 - * - -
Weighted Avg. Price 103.1 - * - -
Avg. Price Bottom 5 Trades 101.5 - * - -
2nd Quartile Price * - * - -
3rd Quartile Price * - * - -
4th Quartile Price * - * - -
Avg. Price Top 5 Trades 101.5 - * - -
Standard Deviation 1.6 - * - -
     VOLUME OF TRADES (000'S) 1,301.3 - * - -
     NUMBER OF TRADES 5 - * - -
* 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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