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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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 91.5 94.6 97.0 99.2 100.0 101.4 -
Weighted Avg. Price 92.4 97.4 98.9 100.0 101.6 102.4 -
Avg. Price Bottom 5 Trades 82.0 87.2 90.5 97.3 96.1 100.2 -
2nd Quartile Price 87.8 94.3 96.7 99.0 99.9 100.9 -
3rd Quartile Price 92.3 96.0 98.0 99.6 100.8 101.4 -
4th Quartile Price 95.6 96.8 98.5 100.0 101.3 102.2 -
Avg. Price Top 5 Trades 98.7 97.4 99.8 100.2 101.7 102.7 -
Standard Deviation 5.1 3.3 2.8 1.2 1.9 1.0 -
     VOLUME OF TRADES (000'S) 217,262.3 14,563.7 46,963.3 85,148.7 103,971.7 3,636.0 -
     NUMBER OF TRADES 163 43 51 75 95 46 -
FNMA
AVERAGE PRICE 93.8 * * 100.0 * - -
Weighted Avg. Price 98.2 * * 99.4 * - -
Avg. Price Bottom 5 Trades 82.2 * * 98.7 * - -
2nd Quartile Price 90.8 * * 99.5 * - -
3rd Quartile Price 97.1 * * 100.3 * - -
4th Quartile Price 99.1 * * 100.8 * - -
Avg. Price Top 5 Trades 99.4 * * 101.0 * - -
Standard Deviation 6.6 * * 1.1 * - -
     VOLUME OF TRADES (000'S) 411,459.5 * * 63,684.0 * - -
     NUMBER OF TRADES 32 * * 15 * - -
FHLMC
AVERAGE PRICE 94.2 94.5 98.7 - - - -
Weighted Avg. Price 98.3 94.1 98.7 - - - -
Avg. Price Bottom 5 Trades 85.4 94.5 97.9 - - - -
2nd Quartile Price 93.2 * 98.1 - - - -
3rd Quartile Price 95.4 * 98.9 - - - -
4th Quartile Price 97.3 * 99.2 - - - -
Avg. Price Top 5 Trades 98.3 94.5 99.4 - - - -
Standard Deviation 4.0 3.1 0.7 - - - -
     VOLUME OF TRADES (000'S) 12,133.9 61,213.2 113,931.3 - - - -
     NUMBER OF TRADES 50 7 18 - - - -
GNMA
AVERAGE PRICE - - * 100.4 101.5 * -
Weighted Avg. Price - - * 100.2 101.5 * -
Avg. Price Bottom 5 Trades - - * 100.4 101.4 * -
2nd Quartile Price - - * * 101.4 * -
3rd Quartile Price - - * * 101.6 * -
4th Quartile Price - - * * 101.7 * -
Avg. Price Top 5 Trades - - * 100.4 101.5 * -
Standard Deviation - - * 0.6 0.2 * -
     VOLUME OF TRADES (000'S) - - * 3,476.9 8,730.8 * -
     NUMBER OF TRADES - - * 5 6 * -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.0 90.6 93.1 96.7 99.0 101.0 103.6
Weighted Avg. Price 85.1 92.2 94.5 97.6 99.6 101.8 104.2
Avg. Price Bottom 5 Trades 76.5 81.0 84.5 90.9 95.6 88.7 98.1
2nd Quartile Price 81.6 90.9 93.3 96.5 98.7 101.2 103.8
3rd Quartile Price 84.7 90.9 93.4 96.8 99.1 101.3 103.8
4th Quartile Price 88.0 91.9 94.5 97.2 99.7 101.9 104.4
Avg. Price Top 5 Trades 96.8 95.4 97.8 99.8 101.1 102.9 105.6
Standard Deviation 3.9 3.0 3.2 1.7 1.0 6.5 1.9
     VOLUME OF TRADES (000'S) 603,271.2 71,615.9 583,048.1 331,197.3 1,539,087.9 1,680,508.6 841,713.8
     NUMBER OF TRADES 881 257 177 197 242 265 93
FNMA
AVERAGE PRICE 82.4 - 93.9 * * - *
Weighted Avg. Price 81.6 - 93.9 * * - *
Avg. Price Bottom 5 Trades 82.4 - 93.9 * * - *
2nd Quartile Price * - * * * - *
3rd Quartile Price * - * * * - *
4th Quartile Price * - * * * - *
Avg. Price Top 5 Trades 82.4 - 93.9 * * - *
Standard Deviation 4.0 - 0.4 * * - *
     VOLUME OF TRADES (000'S) 23,173.1 - 282.9 * * - *
     NUMBER OF TRADES 11 - 8 * * - *
FHLMC
AVERAGE PRICE 86.4 90.4 91.3 89.3 * - *
Weighted Avg. Price 90.4 94.4 98.1 97.2 * - *
Avg. Price Bottom 5 Trades 77.5 82.5 84.7 82.5 * - *
2nd Quartile Price 84.7 90.9 87.0 85.0 * - *
3rd Quartile Price 87.6 90.9 93.6 90.8 * - *
4th Quartile Price 88.8 90.9 93.9 96.2 * - *
Avg. Price Top 5 Trades 95.7 94.5 94.9 94.5 * - *
Standard Deviation 5.1 2.6 5.5 6.2 * - *
     VOLUME OF TRADES (000'S) 11,187.3 444.8 129.9 16.8 * - *
     NUMBER OF TRADES 77 163 24 15 * - *
GNMA
AVERAGE PRICE 85.8 90.8 96.5 96.7 99.3 101.0 102.6
Weighted Avg. Price 87.2 91.8 94.6 97.1 99.4 101.4 103.5
Avg. Price Bottom 5 Trades 80.4 87.6 90.4 86.2 85.2 85.0 76.0
2nd Quartile Price 83.4 91.2 94.5 97.0 99.0 101.1 101.9
3rd Quartile Price 86.9 91.6 97.4 97.1 99.4 101.5 103.2
4th Quartile Price 87.5 92.2 98.4 97.7 99.8 102.3 103.8
Avg. Price Top 5 Trades 90.8 92.9 99.8 102.1 104.5 105.7 107.5
Standard Deviation 2.7 2.7 2.7 4.0 3.6 3.2 4.5
     VOLUME OF TRADES (000'S) 1,056,956.0 44,064.8 690,914.8 1,919,779.8 2,756,976.8 1,598,777.1 1,271,396.6
     NUMBER OF TRADES 153 30 100 94 221 282 353
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 * - - 99.4 -
Weighted Avg. Price * - - 98.8 -
Avg. Price Bottom 5 Trades * - - 98.7 -
2nd Quartile Price * - - 99.8 -
3rd Quartile Price * - - 100.3 -
4th Quartile Price * - - 100.6 -
Avg. Price Top 5 Trades * - - 100.3 -
Standard Deviation * - - 1.6 -
     VOLUME OF TRADES (000'S) * - - 74,723.1 -
     NUMBER OF TRADES * - - 8 -
FHLMC
AVERAGE PRICE * - - 97.0 95.8
Weighted Avg. Price * - - 99.8 95.8
Avg. Price Bottom 5 Trades * - - 97.0 95.5
2nd Quartile Price * - - * 93.9
3rd Quartile Price * - - * 97.5
4th Quartile Price * - - * 97.8
Avg. Price Top 5 Trades * - - 97.0 96.5
Standard Deviation * - - 1.7 2.1
     VOLUME OF TRADES (000'S) * - - 3,112.1 322.4
     NUMBER OF TRADES * - - 5 8
GNMA
AVERAGE PRICE - 98.8 98.4 - -
Weighted Avg. Price - 98.1 98.2 - -
Avg. Price Bottom 5 Trades - 98.5 97.3 - -
2nd Quartile Price - 99.2 97.1 - -
3rd Quartile Price - 100.2 98.6 - -
4th Quartile Price - 100.2 99.9 - -
Avg. Price Top 5 Trades - 99.1 99.5 - -
Standard Deviation - 1.5 1.8 - -
     VOLUME OF TRADES (000'S) - 4,063.5 15,401.8 - -
     NUMBER OF TRADES - 6 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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