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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 92.2 95.5 93.8 98.9 100.1 101.2 102.3
Weighted Avg. Price 93.6 96.7 97.1 99.1 100.5 101.8 102.4
Avg. Price Bottom 5 Trades 83.7 70.5 89.9 98.0 98.8 99.8 102.0
2nd Quartile Price 91.2 95.8 94.0 98.8 100.0 101.2 102.1
3rd Quartile Price 92.8 95.8 97.0 98.9 100.3 101.5 102.2
4th Quartile Price 93.4 95.8 97.2 99.4 100.4 101.5 102.7
Avg. Price Top 5 Trades 97.8 97.1 98.0 99.6 100.9 101.6 102.6
Standard Deviation 2.6 2.3 6.2 0.9 0.6 1.0 0.3
     VOLUME OF TRADES (000'S) 93,136.3 7,644.4 5,797.3 69,612.2 204,322.0 52,889.0 751.6
     NUMBER OF TRADES 199 1,633 22 24 75 57 30
FNMA
AVERAGE PRICE 96.0 94.0 * 96.0 101.5 * -
Weighted Avg. Price 88.6 96.6 * 95.4 101.2 * -
Avg. Price Bottom 5 Trades 95.2 92.9 * 96.0 101.5 * -
2nd Quartile Price 96.9 94.3 * * * * -
3rd Quartile Price 97.7 99.1 * * * * -
4th Quartile Price 99.8 99.2 * * * * -
Avg. Price Top 5 Trades 97.7 96.5 * 96.0 101.5 * -
Standard Deviation 4.5 6.6 * 1.3 0.5 * -
     VOLUME OF TRADES (000'S) 36,334.5 3,624.1 * 7,280.3 84,238.0 * -
     NUMBER OF TRADES 6 6 * 6 5 * -
FHLMC
AVERAGE PRICE 90.2 95.1 97.3 99.5 100.5 - -
Weighted Avg. Price 96.3 95.2 98.8 98.9 100.2 - -
Avg. Price Bottom 5 Trades 78.2 86.8 95.6 98.6 100.2 - -
2nd Quartile Price 87.6 95.7 97.0 98.8 100.2 - -
3rd Quartile Price 93.0 95.7 98.7 100.0 100.4 - -
4th Quartile Price 95.5 95.7 99.0 100.1 101.3 - -
Avg. Price Top 5 Trades 96.8 95.5 99.0 99.8 100.6 - -
Standard Deviation 7.1 2.4 1.9 0.9 0.5 - -
     VOLUME OF TRADES (000'S) 2,190.1 28.4 13,999.1 69,962.0 17,650.0 - -
     NUMBER OF TRADES 32 124 15 10 10 - -
GNMA
AVERAGE PRICE 88.9 - * * 100.5 100.4 102.4
Weighted Avg. Price 91.8 - * * 100.6 101.6 102.5
Avg. Price Bottom 5 Trades 86.8 - * * 100.5 100.4 102.4
2nd Quartile Price 82.0 - * * 100.4 * *
3rd Quartile Price 91.7 - * * 100.5 * *
4th Quartile Price 92.5 - * * 100.8 * *
Avg. Price Top 5 Trades 93.2 - * * 100.5 100.4 102.4
Standard Deviation 6.3 - * * 0.1 1.8 0.2
     VOLUME OF TRADES (000'S) 8,155.7 - * * 8,835.6 2,007.6 1,912.9
     NUMBER OF TRADES 8 - * * 7 6 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 83.3 88.6 90.7 94.1 97.5 99.7 102.0
Weighted Avg. Price 83.5 90.8 92.8 95.5 97.8 99.6 102.0
Avg. Price Bottom 5 Trades 74.8 74.2 77.5 74.5 87.2 97.1 76.6
2nd Quartile Price 82.3 88.2 90.1 94.4 97.2 99.4 101.2
3rd Quartile Price 82.8 89.4 92.3 94.9 97.5 99.6 102.0
4th Quartile Price 86.0 90.4 92.7 95.3 98.0 100.1 102.9
Avg. Price Top 5 Trades 93.4 96.5 96.4 97.9 100.0 101.0 106.1
Standard Deviation 3.2 4.0 4.0 4.4 1.5 0.6 2.8
     VOLUME OF TRADES (000'S) 1,371,795.0 935,244.1 753,866.6 202,810.7 1,414,963.6 3,514,007.7 6,286,800.3
     NUMBER OF TRADES 1,023 719 434 327 396 508 762
FNMA
AVERAGE PRICE 77.4 * - * - * 93.1
Weighted Avg. Price 82.4 * - * - * 101.3
Avg. Price Bottom 5 Trades 75.4 * - * - * 89.3
2nd Quartile Price 74.7 * - * - * 95.0
3rd Quartile Price 78.7 * - * - * 98.5
4th Quartile Price 84.9 * - * - * 101.1
Avg. Price Top 5 Trades 79.2 * - * - * 99.8
Standard Deviation 4.4 * - * - * 9.8
     VOLUME OF TRADES (000'S) 44,764.1 * - * - * 1,866.4
     NUMBER OF TRADES 7 * - * - * 9
FHLMC
AVERAGE PRICE 85.2 88.7 90.2 92.5 95.4 97.0 102.2
Weighted Avg. Price 77.2 82.4 94.6 95.5 93.8 100.4 103.5
Avg. Price Bottom 5 Trades 78.7 83.3 83.6 85.6 92.0 92.4 86.0
2nd Quartile Price 83.8 89.0 89.0 90.2 93.4 97.8 102.0
3rd Quartile Price 86.0 89.4 92.0 94.9 95.5 99.8 104.0
4th Quartile Price 86.9 90.4 93.2 95.7 98.3 100.4 105.6
Avg. Price Top 5 Trades 88.1 91.4 95.0 95.4 99.0 100.3 107.2
Standard Deviation 3.4 2.6 5.0 4.9 3.3 4.3 6.2
     VOLUME OF TRADES (000'S) 24,939.0 9,751.0 1,138.3 66.4 30,214.9 1,436.7 20,468.6
     NUMBER OF TRADES 52 63 43 27 19 13 55
GNMA
AVERAGE PRICE 85.5 88.1 91.8 94.9 96.3 98.0 100.7
Weighted Avg. Price 83.7 90.4 92.8 95.3 97.8 99.8 101.8
Avg. Price Bottom 5 Trades 80.6 81.9 87.7 91.7 78.7 74.5 76.6
2nd Quartile Price 84.6 85.7 92.0 95.0 97.3 99.1 100.3
3rd Quartile Price 85.0 90.2 92.6 95.2 98.5 99.7 101.5
4th Quartile Price 88.0 90.3 92.7 95.3 98.5 100.0 102.5
Avg. Price Top 5 Trades 89.2 90.6 93.3 97.0 100.3 105.5 108.9
Standard Deviation 2.7 3.6 2.8 1.9 5.7 6.9 5.9
     VOLUME OF TRADES (000'S) 4,152,765.4 98,462.8 384,681.0 481,998.5 697,136.8 1,064,541.5 1,633,168.7
     NUMBER OF TRADES 79 31 30 59 278 255 536
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 101.9 - - 99.6 *
Weighted Avg. Price 102.0 - - 99.3 *
Avg. Price Bottom 5 Trades 101.9 - - 99.6 *
2nd Quartile Price * - - * *
3rd Quartile Price * - - * *
4th Quartile Price * - - * *
Avg. Price Top 5 Trades 101.9 - - 99.6 *
Standard Deviation 2.2 - - 0.3 *
     VOLUME OF TRADES (000'S) 158.0 - - 6,540.4 *
     NUMBER OF TRADES 12 - - 5 *
FHLMC
AVERAGE PRICE * - - 100.9 92.8
Weighted Avg. Price * - - 102.4 92.9
Avg. Price Bottom 5 Trades * - - 100.4 91.5
2nd Quartile Price * - - 100.3 91.9
3rd Quartile Price * - - 103.3 92.9
4th Quartile Price * - - 103.4 94.0
Avg. Price Top 5 Trades * - - 101.3 94.2
Standard Deviation * - - 2.0 1.2
     VOLUME OF TRADES (000'S) * - - 23,592.4 19,948.6
     NUMBER OF TRADES * - - 6 16
GNMA
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 * - * - -
* 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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