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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 92.8 93.7 95.7 98.2 99.6 100.7 101.0
Weighted Avg. Price 92.4 97.3 97.6 99.3 100.7 101.6 103.4
Avg. Price Bottom 5 Trades 86.5 82.6 94.3 96.4 99.6 100.1 100.4
2nd Quartile Price 90.2 94.8 97.3 99.1 * 100.1 98.7
3rd Quartile Price 92.6 94.8 97.9 99.2 * 101.2 103.0
4th Quartile Price 96.6 94.8 98.7 99.4 * 101.7 103.3
Avg. Price Top 5 Trades 97.0 97.0 98.2 99.6 99.6 101.7 103.2
Standard Deviation 3.5 3.8 4.4 2.5 1.9 1.2 2.7
     VOLUME OF TRADES (000'S) 58,261.4 1,250.5 7,158.5 32,675.4 2,047.8 17,209.1 52,469.8
     NUMBER OF TRADES 67 147 9 25 8 26 16
FNMA
AVERAGE PRICE 91.2 97.0 96.8 - * * *
Weighted Avg. Price 93.6 98.2 95.2 - * * *
Avg. Price Bottom 5 Trades 82.6 94.4 96.0 - * * *
2nd Quartile Price 85.6 97.7 96.2 - * * *
3rd Quartile Price 93.6 98.4 97.8 - * * *
4th Quartile Price 97.3 98.8 98.2 - * * *
Avg. Price Top 5 Trades 97.5 98.8 97.8 - * * *
Standard Deviation 6.5 3.3 1.5 - * * *
     VOLUME OF TRADES (000'S) 152,059.6 116,221.2 10,764.4 - * * *
     NUMBER OF TRADES 20 14 8 - * * *
FHLMC
AVERAGE PRICE * 92.1 97.8 99.2 * * *
Weighted Avg. Price * 92.6 98.5 99.3 * * *
Avg. Price Bottom 5 Trades * 92.1 97.5 98.5 * * *
2nd Quartile Price * * 98.5 98.6 * * *
3rd Quartile Price * * 98.8 99.4 * * *
4th Quartile Price * * 99.0 99.7 * * *
Avg. Price Top 5 Trades * 92.1 98.3 100.0 * * *
Standard Deviation * 4.0 1.6 0.6 * * *
     VOLUME OF TRADES (000'S) * 4.0 22,840.0 81,752.6 * * *
     NUMBER OF TRADES * 17 6 22 * * *
GNMA
AVERAGE PRICE 97.4 - * * * * *
Weighted Avg. Price 97.2 - * * * * *
Avg. Price Bottom 5 Trades 97.2 - * * * * *
2nd Quartile Price 97.1 - * * * * *
3rd Quartile Price 97.5 - * * * * *
4th Quartile Price 98.4 - * * * * *
Avg. Price Top 5 Trades 97.5 - * * * * *
Standard Deviation 0.6 - * * * * *
     VOLUME OF TRADES (000'S) 3,832.7 - * * * * *
     NUMBER OF TRADES 6 - * * * * *
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 92.1 94.9 97.9 100.0 100.5
Weighted Avg. Price 84.5 91.4 93.6 96.3 98.4 100.5 102.4
Avg. Price Bottom 5 Trades 74.9 84.6 84.3 85.9 89.2 96.1 76.2
2nd Quartile Price 83.0 90.0 91.8 95.2 97.8 99.8 101.5
3rd Quartile Price 84.0 90.1 93.1 95.6 98.1 100.0 101.8
4th Quartile Price 86.6 90.6 93.6 96.0 98.4 100.5 103.2
Avg. Price Top 5 Trades 94.6 94.6 95.7 98.1 100.6 102.1 105.2
Standard Deviation 3.3 1.8 3.6 3.4 2.1 1.3 6.8
     VOLUME OF TRADES (000'S) 765,585.7 43,221.9 276,883.2 127,020.8 2,774,150.3 1,784,362.1 2,021,608.5
     NUMBER OF TRADES 477 235 147 159 280 201 231
FNMA
AVERAGE PRICE 81.9 91.3 * * 96.2 - *
Weighted Avg. Price 78.1 88.5 * * 96.8 - *
Avg. Price Bottom 5 Trades 77.3 89.9 * * 96.2 - *
2nd Quartile Price 77.5 90.8 * * * - *
3rd Quartile Price 81.2 91.3 * * * - *
4th Quartile Price 88.0 91.8 * * * - *
Avg. Price Top 5 Trades 89.1 93.1 * * 96.2 - *
Standard Deviation 5.0 2.4 * * 1.2 - *
     VOLUME OF TRADES (000'S) 648,939.1 66,193.1 * * 4,761.7 - *
     NUMBER OF TRADES 57 12 * * 8 - *
FHLMC
AVERAGE PRICE 83.0 88.4 89.8 93.8 98.5 96.7 104.0
Weighted Avg. Price 79.2 91.3 92.3 95.2 98.8 100.0 102.8
Avg. Price Bottom 5 Trades 75.6 85.1 88.1 89.9 97.9 92.9 103.6
2nd Quartile Price 77.8 86.0 88.0 93.5 98.0 99.1 102.8
3rd Quartile Price 85.7 90.5 91.0 94.4 99.0 100.7 105.4
4th Quartile Price 87.8 91.3 93.8 101.5 100.5 101.0 106.1
Avg. Price Top 5 Trades 90.4 91.9 93.9 98.6 99.2 101.2 104.3
Standard Deviation 5.6 3.6 3.6 7.6 1.4 8.8 1.6
     VOLUME OF TRADES (000'S) 456,343.2 6,100.8 9,337.7 10,849.9 23,852.4 12,631.4 36,443.9
     NUMBER OF TRADES 88 30 18 9 7 13 6
GNMA
AVERAGE PRICE 86.1 93.2 93.9 95.1 95.9 98.5 99.9
Weighted Avg. Price 86.4 93.2 93.7 96.1 98.7 100.6 102.3
Avg. Price Bottom 5 Trades 80.5 90.8 91.8 90.8 82.7 83.8 77.9
2nd Quartile Price 84.3 92.7 92.8 95.1 97.0 99.0 101.0
3rd Quartile Price 86.6 93.9 93.6 96.1 98.3 100.1 101.4
4th Quartile Price 88.9 93.9 96.2 96.3 98.8 100.6 102.6
Avg. Price Top 5 Trades 90.1 93.7 96.9 98.9 100.0 103.1 105.5
Standard Deviation 3.4 1.1 2.2 3.2 5.4 5.2 5.8
     VOLUME OF TRADES (000'S) 125,609.9 88,637.8 33,465.8 1,346,676.9 303,440.1 934,123.3 1,265,828.0
     NUMBER OF TRADES 51 56 30 55 101 114 428
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 * - * 100.6 -
Weighted Avg. Price * - * 101.5 -
Avg. Price Bottom 5 Trades * - * 99.4 -
2nd Quartile Price * - * 100.9 -
3rd Quartile Price * - * 101.2 -
4th Quartile Price * - * 102.8 -
Avg. Price Top 5 Trades * - * 101.8 -
Standard Deviation * - * 3.1 -
     VOLUME OF TRADES (000'S) * - * 84,152.6 -
     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 * - 99.4 - -
Weighted Avg. Price * - 99.7 - -
Avg. Price Bottom 5 Trades * - 98.7 - -
2nd Quartile Price * - 99.2 - -
3rd Quartile Price * - 99.6 - -
4th Quartile Price * - 100.6 - -
Avg. Price Top 5 Trades * - 100.2 - -
Standard Deviation * - 1.1 - -
     VOLUME OF TRADES (000'S) * - 29,489.5 - -
     NUMBER OF TRADES * - 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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