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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 93.3 96.0 94.3 100.2 101.0 102.3
Weighted Avg. Price 91.0 96.7 98.2 99.2 100.5 101.5 102.6
Avg. Price Bottom 5 Trades 82.2 83.3 95.4 84.1 98.9 98.6 101.1
2nd Quartile Price 89.9 93.6 96.4 98.2 100.1 101.0 102.0
3rd Quartile Price 91.0 93.6 96.9 99.0 100.4 101.4 102.5
4th Quartile Price 94.0 94.5 97.3 99.2 100.5 101.5 102.6
Avg. Price Top 5 Trades 97.2 97.2 97.5 99.5 101.2 101.8 103.1
Standard Deviation 3.9 3.0 2.6 19.7 0.7 1.0 0.7
     VOLUME OF TRADES (000'S) 279,152.5 26,366.0 711.7 21,986.5 45,139.4 38,733.7 47,239.8
     NUMBER OF TRADES 128 176 17 25 59 81 41
FNMA
AVERAGE PRICE 91.0 * - * 100.2 * -
Weighted Avg. Price 84.7 * - * 100.2 * -
Avg. Price Bottom 5 Trades 88.8 * - * 100.1 * -
2nd Quartile Price 85.3 * - * 99.9 * -
3rd Quartile Price 91.6 * - * 100.3 * -
4th Quartile Price 95.9 * - * 100.9 * -
Avg. Price Top 5 Trades 93.2 * - * 100.3 * -
Standard Deviation 5.9 * - * 0.4 * -
     VOLUME OF TRADES (000'S) 192,958.7 * - * 200,797.0 * -
     NUMBER OF TRADES 8 * - * 10 * -
FHLMC
AVERAGE PRICE 95.3 95.0 93.1 92.4 100.0 - -
Weighted Avg. Price 95.5 96.4 97.9 98.5 100.0 - -
Avg. Price Bottom 5 Trades 92.6 95.0 89.7 76.1 99.8 - -
2nd Quartile Price 94.1 * 96.9 97.9 99.8 - -
3rd Quartile Price 95.1 * 97.6 98.5 100.6 - -
4th Quartile Price 96.6 * 97.9 98.9 100.9 - -
Avg. Price Top 5 Trades 98.2 95.0 97.8 99.3 100.2 - -
Standard Deviation 1.9 0.9 10.4 23.2 0.8 - -
     VOLUME OF TRADES (000'S) 3,259.8 242.8 104,559.0 191,108.3 89,941.1 - -
     NUMBER OF TRADES 32 14 12 18 6 - -
GNMA
AVERAGE PRICE 90.9 - - * - * *
Weighted Avg. Price 88.1 - - * - * *
Avg. Price Bottom 5 Trades 87.3 - - * - * *
2nd Quartile Price 87.5 - - * - * *
3rd Quartile Price 89.8 - - * - * *
4th Quartile Price 97.2 - - * - * *
Avg. Price Top 5 Trades 94.1 - - * - * *
Standard Deviation 4.8 - - * - * *
     VOLUME OF TRADES (000'S) 3,248.7 - - * - * *
     NUMBER OF TRADES 9 - - * - * *
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 84.1 89.4 92.2 95.8 98.0 99.6 101.1
Weighted Avg. Price 83.9 90.7 93.5 96.2 98.4 100.3 102.8
Avg. Price Bottom 5 Trades 71.9 77.1 78.6 89.3 88.9 73.0 52.3
2nd Quartile Price 82.9 89.3 92.3 95.7 97.9 99.9 101.7
3rd Quartile Price 83.6 90.1 92.9 95.9 98.2 100.1 102.3
4th Quartile Price 86.6 90.3 93.3 96.2 98.5 100.6 103.7
Avg. Price Top 5 Trades 93.7 94.9 96.8 99.1 100.3 102.0 107.7
Standard Deviation 3.2 2.4 2.9 1.7 1.7 5.6 8.8
     VOLUME OF TRADES (000'S) 1,352,653.0 57,240.1 305,110.6 474,257.7 967,050.0 1,324,427.2 4,873,967.2
     NUMBER OF TRADES 1,071 434 403 278 404 337 492
FNMA
AVERAGE PRICE 85.6 - * * - 95.8 98.4
Weighted Avg. Price 88.8 - * * - 97.3 99.8
Avg. Price Bottom 5 Trades 85.6 - * * - 95.0 97.7
2nd Quartile Price * - * * - 95.5 97.5
3rd Quartile Price * - * * - 97.0 98.2
4th Quartile Price * - * * - 100.8 100.0
Avg. Price Top 5 Trades 85.6 - * * - 97.3 98.9
Standard Deviation 4.9 - * * - 3.1 1.2
     VOLUME OF TRADES (000'S) 9,410.6 - * * - 39.3 48.7
     NUMBER OF TRADES 5 - * * - 7 13
FHLMC
AVERAGE PRICE 86.0 89.7 92.5 93.6 98.8 88.5 96.9
Weighted Avg. Price 87.6 91.8 91.3 96.2 98.6 97.5 104.7
Avg. Price Bottom 5 Trades 78.3 88.9 84.9 92.9 98.4 77.0 70.0
2nd Quartile Price 86.0 89.8 92.9 95.5 98.0 95.0 101.0
3rd Quartile Price 86.6 89.8 92.9 95.8 99.2 98.8 104.4
4th Quartile Price 88.8 90.5 92.9 95.8 99.4 99.9 104.4
Avg. Price Top 5 Trades 92.0 92.2 95.3 95.5 99.4 99.7 104.0
Standard Deviation 5.8 2.2 3.7 4.3 0.8 28.4 24.3
     VOLUME OF TRADES (000'S) 1,280.9 352.2 12,205.8 293.8 22,347.8 9.0 3,360.3
     NUMBER OF TRADES 28 39 59 9 8 12 35
GNMA
AVERAGE PRICE 86.0 90.8 94.2 95.1 96.9 96.6 99.2
Weighted Avg. Price 84.2 91.1 94.0 96.2 98.6 100.2 101.5
Avg. Price Bottom 5 Trades 80.2 87.5 92.4 89.3 82.3 69.2 79.0
2nd Quartile Price 84.4 89.7 93.8 95.4 98.2 97.3 98.3
3rd Quartile Price 85.4 91.4 94.8 96.8 98.8 100.0 101.5
4th Quartile Price 88.5 92.4 94.8 97.6 99.9 100.5 102.5
Avg. Price Top 5 Trades 90.1 92.7 95.2 97.6 100.1 103.0 105.2
Standard Deviation 2.7 1.9 1.3 3.8 8.2 8.6 5.8
     VOLUME OF TRADES (000'S) 244,134.6 29,792.0 26,835.5 37,127.0 699,438.0 316,711.9 862,701.7
     NUMBER OF TRADES 129 47 29 38 117 124 411
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 95.4 - * * -
Weighted Avg. Price 96.1 - * * -
Avg. Price Bottom 5 Trades 94.1 - * * -
2nd Quartile Price 94.0 - * * -
3rd Quartile Price 96.0 - * * -
4th Quartile Price 98.0 - * * -
Avg. Price Top 5 Trades 96.6 - * * -
Standard Deviation 2.1 - * * -
     VOLUME OF TRADES (000'S) 152.0 - * * -
     NUMBER OF TRADES 11 - * * -
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 - - 93.9 - -
Weighted Avg. Price - - 93.8 - -
Avg. Price Bottom 5 Trades - - 93.9 - -
2nd Quartile Price - - * - -
3rd Quartile Price - - * - -
4th Quartile Price - - * - -
Avg. Price Top 5 Trades - - 93.9 - -
Standard Deviation - - 0.6 - -
     VOLUME OF TRADES (000'S) - - 28,618.3 - -
     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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