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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 91.0 92.0 96.0 98.6 99.4 100.5 101.9
Weighted Avg. Price 89.1 96.1 96.7 98.8 100.0 101.2 102.6
Avg. Price Bottom 5 Trades 84.9 87.8 94.7 97.5 96.9 97.9 99.6
2nd Quartile Price 89.0 94.3 96.4 98.1 99.7 100.5 102.1
3rd Quartile Price 91.3 95.2 96.5 98.5 99.9 100.9 102.4
4th Quartile Price 93.5 96.6 97.0 99.7 100.0 101.3 102.6
Avg. Price Top 5 Trades 97.6 97.4 97.1 99.8 100.5 101.5 103.2
Standard Deviation 3.1 7.6 2.1 1.0 1.1 1.5 1.7
     VOLUME OF TRADES (000'S) 471,408.8 77,965.1 1,519.6 53,120.7 264,998.9 16,155.3 37,164.7
     NUMBER OF TRADES 129 31 14 25 50 45 29
FNMA
AVERAGE PRICE 94.7 95.4 * * 100.2 - -
Weighted Avg. Price 96.9 98.2 * * 100.0 - -
Avg. Price Bottom 5 Trades 93.1 93.2 * * 99.4 - -
2nd Quartile Price 92.6 97.3 * * 99.8 - -
3rd Quartile Price 96.2 97.8 * * 100.0 - -
4th Quartile Price 96.4 98.4 * * 100.8 - -
Avg. Price Top 5 Trades 96.6 98.0 * * 101.4 - -
Standard Deviation 2.3 4.1 * * 0.9 - -
     VOLUME OF TRADES (000'S) 38,328.5 55,490.5 * * 523,302.0 - -
     NUMBER OF TRADES 9 9 * * 17 - -
FHLMC
AVERAGE PRICE 90.9 94.0 * * * - -
Weighted Avg. Price 92.2 94.6 * * * - -
Avg. Price Bottom 5 Trades 85.0 93.9 * * * - -
2nd Quartile Price 89.8 94.3 * * * - -
3rd Quartile Price 93.3 94.3 * * * - -
4th Quartile Price 96.5 94.3 * * * - -
Avg. Price Top 5 Trades 97.0 94.7 * * * - -
Standard Deviation 6.3 2.5 * * * - -
     VOLUME OF TRADES (000'S) 15,455.6 12.2 * * * - -
     NUMBER OF TRADES 23 26 * * * - -
GNMA
AVERAGE PRICE 95.8 - - * 99.5 100.9 102.3
Weighted Avg. Price 95.7 - - * 100.1 101.0 102.2
Avg. Price Bottom 5 Trades 94.8 - - * 99.5 100.9 102.0
2nd Quartile Price 94.3 - - * * * 102.1
3rd Quartile Price 96.3 - - * * * 102.1
4th Quartile Price 97.7 - - * * * 102.8
Avg. Price Top 5 Trades 96.9 - - * 99.5 100.9 102.4
Standard Deviation 1.7 - - * 1.2 - 0.4
     VOLUME OF TRADES (000'S) 222.6 - - * 4,779.1 1,672.9 2,541.4
     NUMBER OF TRADES 8 - - * 6 11 21
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 82.2 87.9 90.2 93.5 96.1 98.6 100.6
Weighted Avg. Price 81.8 90.4 92.4 94.5 97.0 99.2 101.6
Avg. Price Bottom 5 Trades 73.7 77.7 78.6 87.1 90.3 92.8 56.7
2nd Quartile Price 80.9 87.8 90.7 93.2 96.2 98.4 100.9
3rd Quartile Price 82.3 87.8 90.7 93.5 96.2 98.8 101.6
4th Quartile Price 84.5 88.3 91.3 94.2 96.7 99.1 102.9
Avg. Price Top 5 Trades 93.5 96.3 95.3 97.1 98.8 100.7 105.3
Standard Deviation 3.0 2.3 2.8 1.7 1.4 1.3 8.6
     VOLUME OF TRADES (000'S) 788,667.5 505,487.5 61,275.8 329,183.2 695,415.3 1,230,710.0 4,507,931.1
     NUMBER OF TRADES 1,083 675 428 249 291 313 487
FNMA
AVERAGE PRICE * 88.8 93.6 * - - 96.7
Weighted Avg. Price * 91.0 93.6 * - - 102.8
Avg. Price Bottom 5 Trades * 88.8 91.9 * - - 94.8
2nd Quartile Price * * 93.4 * - - 96.5
3rd Quartile Price * * 94.7 * - - 97.0
4th Quartile Price * * 94.9 * - - 100.4
Avg. Price Top 5 Trades * 88.8 94.9 * - - 99.3
Standard Deviation * 2.7 1.9 * - - 5.7
     VOLUME OF TRADES (000'S) * 12,348.6 25,239.9 * - - 5,304.5
     NUMBER OF TRADES * 6 12 * - - 8
FHLMC
AVERAGE PRICE 84.3 88.8 90.5 93.5 * * 100.3
Weighted Avg. Price 80.4 91.2 91.8 92.3 * * 101.1
Avg. Price Bottom 5 Trades 80.6 83.4 87.8 93.0 * * 97.5
2nd Quartile Price 84.5 87.9 90.7 93.1 * * 101.0
3rd Quartile Price 84.5 87.9 90.7 93.2 * * 102.2
4th Quartile Price 84.5 89.6 90.7 95.2 * * 104.8
Avg. Price Top 5 Trades 87.3 92.1 92.3 93.8 * * 103.0
Standard Deviation 1.6 2.4 1.2 1.1 * * 4.9
     VOLUME OF TRADES (000'S) 24,126.2 85,642.6 177.7 3,387.1 * * 4,903.5
     NUMBER OF TRADES 96 168 92 9 * * 9
GNMA
AVERAGE PRICE 83.1 89.2 90.5 93.3 96.2 98.5 100.5
Weighted Avg. Price 82.5 88.8 91.5 94.5 96.9 99.2 102.0
Avg. Price Bottom 5 Trades 77.2 84.6 85.7 86.4 81.5 87.4 73.9
2nd Quartile Price 81.8 88.3 90.6 92.9 96.5 98.6 100.6
3rd Quartile Price 83.2 90.7 91.3 93.9 97.4 99.0 101.6
4th Quartile Price 85.7 90.7 91.6 94.4 98.9 99.5 102.9
Avg. Price Top 5 Trades 88.0 90.8 92.5 97.4 99.9 101.5 106.9
Standard Deviation 3.0 2.5 2.3 2.6 4.9 3.0 5.6
     VOLUME OF TRADES (000'S) 272,037.6 27,173.2 41,913.0 261,493.2 224,046.5 839,611.7 1,529,417.3
     NUMBER OF TRADES 127 44 51 71 187 172 620
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 * - - 100.1 *
Weighted Avg. Price * - - 99.1 *
Avg. Price Bottom 5 Trades * - - 99.9 *
2nd Quartile Price * - - 99.8 *
3rd Quartile Price * - - 100.3 *
4th Quartile Price * - - 100.8 *
Avg. Price Top 5 Trades * - - 100.4 *
Standard Deviation * - - 0.8 *
     VOLUME OF TRADES (000'S) * - - 29,076.8 *
     NUMBER OF TRADES * - - 8 *
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 99.8 100.3 100.0 - -
Weighted Avg. Price 99.8 100.4 99.5 - -
Avg. Price Bottom 5 Trades 99.8 100.3 99.1 - -
2nd Quartile Price * * 99.6 - -
3rd Quartile Price * * 100.9 - -
4th Quartile Price * * 101.1 - -
Avg. Price Top 5 Trades 99.8 100.3 100.9 - -
Standard Deviation - 0.2 1.3 - -
     VOLUME OF TRADES (000'S) 86.1 9,486.0 27,618.6 - -
     NUMBER OF TRADES 5 5 9 - -
* 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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