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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 92.9 93.7 97.3 99.1 99.9 101.2 102.6
Weighted Avg. Price 91.2 97.2 97.4 99.4 100.7 101.8 102.8
Avg. Price Bottom 5 Trades 83.9 84.7 96.6 97.5 97.6 100.0 102.4
2nd Quartile Price 90.4 94.4 97.3 99.0 100.0 101.3 102.5
3rd Quartile Price 92.3 94.4 97.4 99.3 100.0 101.3 102.7
4th Quartile Price 96.8 94.7 97.4 99.6 100.5 101.6 102.7
Avg. Price Top 5 Trades 97.5 97.1 97.9 99.9 100.9 101.7 103.2
Standard Deviation 3.7 3.5 1.0 0.8 1.3 0.6 0.9
     VOLUME OF TRADES (000'S) 328,086.6 2,362.0 12,682.3 157,731.3 103,431.4 90,213.4 7,136.3
     NUMBER OF TRADES 266 176 16 52 52 53 23
FNMA
AVERAGE PRICE 91.4 94.9 95.6 98.3 100.7 - *
Weighted Avg. Price 90.8 96.1 95.3 100.0 100.9 - *
Avg. Price Bottom 5 Trades 83.6 90.7 94.8 96.0 100.2 - *
2nd Quartile Price 88.9 95.1 94.9 98.2 100.4 - *
3rd Quartile Price 92.4 96.0 95.8 99.6 100.8 - *
4th Quartile Price 95.7 98.7 98.3 100.6 101.3 - *
Avg. Price Top 5 Trades 97.0 98.4 96.1 100.3 101.2 - *
Standard Deviation 5.2 3.9 1.5 2.7 0.5 - *
     VOLUME OF TRADES (000'S) 98,063.5 3,687.9 16,560.9 74,882.0 69,038.4 - *
     NUMBER OF TRADES 25 14 7 11 14 - *
FHLMC
AVERAGE PRICE 96.8 93.5 97.4 99.7 * - *
Weighted Avg. Price 97.4 95.2 97.7 99.3 * - *
Avg. Price Bottom 5 Trades 94.3 91.3 93.3 99.1 * - *
2nd Quartile Price 97.3 95.7 97.3 99.3 * - *
3rd Quartile Price 97.3 95.7 97.9 99.8 * - *
4th Quartile Price 97.4 97.3 99.0 100.0 * - *
Avg. Price Top 5 Trades 97.4 96.9 99.3 100.1 * - *
Standard Deviation 1.3 5.7 2.4 0.5 * - *
     VOLUME OF TRADES (000'S) 12,346.0 1,714.4 82,486.0 117,967.8 * - *
     NUMBER OF TRADES 59 21 26 17 * - *
GNMA
AVERAGE PRICE 97.0 98.0 - * * 101.8 *
Weighted Avg. Price 92.7 98.0 - * * 101.8 *
Avg. Price Bottom 5 Trades 97.0 98.0 - * * 101.8 *
2nd Quartile Price * * - * * * *
3rd Quartile Price * * - * * * *
4th Quartile Price * * - * * * *
Avg. Price Top 5 Trades 97.0 98.0 - * * 101.8 *
Standard Deviation 2.0 0.1 - * * 0.1 *
     VOLUME OF TRADES (000'S) 46,513.5 356.5 - * * 25,399.5 *
     NUMBER OF TRADES 7 8 - * * 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 84.4 90.0 92.8 95.1 98.0 100.0 102.1
Weighted Avg. Price 82.7 90.8 93.3 96.3 98.1 100.2 103.0
Avg. Price Bottom 5 Trades 73.2 72.1 66.9 84.0 85.7 88.8 81.7
2nd Quartile Price 83.3 90.3 93.0 95.2 98.1 100.0 101.6
3rd Quartile Price 83.3 90.4 93.3 95.7 98.1 100.0 101.6
4th Quartile Price 86.9 90.4 93.3 95.9 98.1 100.0 103.1
Avg. Price Top 5 Trades 96.5 97.0 96.8 98.3 100.3 101.7 106.9
Standard Deviation 2.5 2.0 2.6 2.3 1.1 0.8 2.4
     VOLUME OF TRADES (000'S) 3,654,544.9 1,776,030.3 2,016,870.3 714,360.8 2,191,665.3 2,241,206.7 8,367,601.8
     NUMBER OF TRADES 5,997 2,491 1,897 500 1,625 2,316 1,703
FNMA
AVERAGE PRICE 80.6 - * 95.6 98.5 100.6 102.7
Weighted Avg. Price 79.1 - * 95.4 98.4 100.3 102.4
Avg. Price Bottom 5 Trades 80.6 - * 95.5 98.2 99.4 100.7
2nd Quartile Price * - * 95.5 98.4 100.4 101.8
3rd Quartile Price * - * 95.8 98.4 100.9 102.6
4th Quartile Price * - * 96.0 98.7 101.4 103.9
Avg. Price Top 5 Trades 80.6 - * 95.7 98.9 101.4 105.0
Standard Deviation 4.4 - * 0.3 0.3 1.1 1.4
     VOLUME OF TRADES (000'S) 4,955.3 - * 23,411.2 31,533.6 42,282.8 141,275.1
     NUMBER OF TRADES 7 - * 6 17 16 46
FHLMC
AVERAGE PRICE 85.4 86.5 87.7 94.4 89.5 * 88.5
Weighted Avg. Price 83.3 95.6 93.2 97.4 93.6 * 102.0
Avg. Price Bottom 5 Trades 77.0 70.0 68.9 93.5 87.4 * 73.7
2nd Quartile Price 81.3 82.5 86.7 95.2 86.3 * 81.6
3rd Quartile Price 86.4 90.0 93.0 95.2 96.8 * 99.3
4th Quartile Price 87.3 90.0 93.0 96.3 96.8 * 102.3
Avg. Price Top 5 Trades 94.5 96.8 93.5 96.1 92.1 * 103.4
Standard Deviation 6.3 8.7 10.9 3.8 7.5 * 17.2
     VOLUME OF TRADES (000'S) 39,640.1 1,359.1 9,676.9 532.4 94.9 * 6,048.8
     NUMBER OF TRADES 61 64 52 17 9 * 17
GNMA
AVERAGE PRICE 85.4 91.2 93.9 95.9 97.3 99.2 99.4
Weighted Avg. Price 83.7 92.2 93.7 96.2 98.8 100.3 102.0
Avg. Price Bottom 5 Trades 80.6 89.0 91.9 94.9 83.1 87.2 63.9
2nd Quartile Price 84.9 91.0 93.0 95.4 98.1 99.7 100.8
3rd Quartile Price 84.9 91.6 93.8 95.4 98.5 100.1 102.2
4th Quartile Price 85.6 92.2 95.3 96.4 99.0 100.6 103.5
Avg. Price Top 5 Trades 90.6 92.5 97.1 97.3 100.1 103.3 107.1
Standard Deviation 2.4 1.2 2.4 0.8 4.1 3.5 8.2
     VOLUME OF TRADES (000'S) 2,234,936.4 227,587.4 134,360.9 214,288.4 525,029.8 771,223.3 1,600,778.0
     NUMBER OF TRADES 199 40 28 66 83 138 289
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 * - 101.6 101.6 -
Weighted Avg. Price * - 101.9 101.6 -
Avg. Price Bottom 5 Trades * - 101.6 101.6 -
2nd Quartile Price * - * * -
3rd Quartile Price * - * * -
4th Quartile Price * - * * -
Avg. Price Top 5 Trades * - 101.6 101.6 -
Standard Deviation * - 0.2 0.1 -
     VOLUME OF TRADES (000'S) * - 1,698.5 50,169.7 -
     NUMBER OF TRADES * - 5 7 -
FHLMC
AVERAGE PRICE * - * 99.4 *
Weighted Avg. Price * - * 98.9 *
Avg. Price Bottom 5 Trades * - * 97.4 *
2nd Quartile Price * - * 100.3 *
3rd Quartile Price * - * 100.4 *
4th Quartile Price * - * 101.6 *
Avg. Price Top 5 Trades * - * 100.7 *
Standard Deviation * - * 3.3 *
     VOLUME OF TRADES (000'S) * - * 8,866.6 *
     NUMBER OF TRADES * - * 13 *
GNMA
AVERAGE PRICE - - 98.8 - -
Weighted Avg. Price - - 99.7 - -
Avg. Price Bottom 5 Trades - - 97.5 - -
2nd Quartile Price - - 97.8 - -
3rd Quartile Price - - 100.6 - -
4th Quartile Price - - 101.2 - -
Avg. Price Top 5 Trades - - 100.3 - -
Standard Deviation - - 2.4 - -
     VOLUME OF TRADES (000'S) - - 11,238.2 - -
     NUMBER OF TRADES - - 8 - -
* 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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