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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 90.0 91.8 91.0 97.9 98.8 100.0 101.0
Weighted Avg. Price 92.4 95.2 96.4 98.3 99.8 100.9 101.9
Avg. Price Bottom 5 Trades 71.2 81.0 68.3 95.7 94.5 98.1 99.3
2nd Quartile Price 88.5 89.6 92.7 98.1 99.0 100.4 101.5
3rd Quartile Price 90.9 94.2 96.1 98.3 99.8 100.5 102.0
4th Quartile Price 92.0 94.6 96.5 98.5 99.8 101.0 102.1
Avg. Price Top 5 Trades 97.1 97.5 97.3 99.2 100.0 101.0 102.5
Standard Deviation 6.8 5.0 17.7 1.8 3.0 1.4 2.1
     VOLUME OF TRADES (000'S) 389,046.8 23,838.1 19,151.0 120,399.1 174,007.6 6,004.7 9,220.3
     NUMBER OF TRADES 215 92 30 36 56 33 19
FNMA
AVERAGE PRICE 92.2 95.7 * 97.1 99.8 * -
Weighted Avg. Price 85.4 96.7 * 95.9 99.6 * -
Avg. Price Bottom 5 Trades 85.6 94.4 * 96.0 99.0 * -
2nd Quartile Price 89.5 96.6 * 96.8 99.6 * -
3rd Quartile Price 93.7 96.9 * 97.3 99.9 * -
4th Quartile Price 96.7 97.0 * 97.9 100.0 * -
Avg. Price Top 5 Trades 97.3 97.0 * 98.0 100.6 * -
Standard Deviation 4.8 2.6 * 1.1 0.6 * -
     VOLUME OF TRADES (000'S) 284,119.9 32,217.5 * 155,760.8 195,645.6 * -
     NUMBER OF TRADES 21 10 * 21 20 * -
FHLMC
AVERAGE PRICE 93.0 91.1 95.3 * * - -
Weighted Avg. Price 94.9 94.5 96.9 * * - -
Avg. Price Bottom 5 Trades 87.6 88.2 95.0 * * - -
2nd Quartile Price 91.7 88.0 96.1 * * - -
3rd Quartile Price 94.3 94.8 96.8 * * - -
4th Quartile Price 96.7 95.2 97.0 * * - -
Avg. Price Top 5 Trades 96.9 92.1 95.9 * * - -
Standard Deviation 3.9 6.0 2.1 * * - -
     VOLUME OF TRADES (000'S) 14,158.6 17.7 706,002.3 * * - -
     NUMBER OF TRADES 26 12 6 * * - -
GNMA
AVERAGE PRICE * - - * - - 108.3
Weighted Avg. Price * - - * - - 115.0
Avg. Price Bottom 5 Trades * - - * - - 101.7
2nd Quartile Price * - - * - - 102.3
3rd Quartile Price * - - * - - 115.0
4th Quartile Price * - - * - - 115.0
Avg. Price Top 5 Trades * - - * - - 109.7
Standard Deviation * - - * - - 7.5
     VOLUME OF TRADES (000'S) * - - * - - 5,326.3
     NUMBER OF TRADES * - - * - - 13
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 83.6 88.3 90.7 94.1 96.8 97.9 100.3
Weighted Avg. Price 82.1 89.9 92.6 95.0 97.4 99.2 101.5
Avg. Price Bottom 5 Trades 72.3 72.9 75.2 76.1 85.9 72.6 73.0
2nd Quartile Price 82.5 88.1 90.5 94.7 96.9 98.8 100.6
3rd Quartile Price 83.3 89.2 92.0 94.7 97.0 99.0 101.3
4th Quartile Price 85.8 89.2 92.2 94.8 97.1 99.2 102.4
Avg. Price Top 5 Trades 91.7 93.5 96.9 98.1 99.1 100.7 104.1
Standard Deviation 2.7 3.1 3.6 3.3 1.8 4.2 5.0
     VOLUME OF TRADES (000'S) 963,654.9 256,874.0 467,418.6 500,324.8 814,664.6 1,797,309.9 2,078,548.9
     NUMBER OF TRADES 1,321 819 638 512 519 279 306
FNMA
AVERAGE PRICE 76.9 88.2 * 94.3 - - *
Weighted Avg. Price 81.0 90.2 * 93.4 - - *
Avg. Price Bottom 5 Trades 76.9 87.4 * 94.3 - - *
2nd Quartile Price * 85.0 * * - - *
3rd Quartile Price * 90.3 * * - - *
4th Quartile Price * 90.7 * * - - *
Avg. Price Top 5 Trades 76.9 89.4 * 94.3 - - *
Standard Deviation 5.7 3.0 * 1.2 - - *
     VOLUME OF TRADES (000'S) 1,156.1 48,948.0 * 327.2 - - *
     NUMBER OF TRADES 6 8 * 5 - - *
FHLMC
AVERAGE PRICE 86.2 89.3 91.9 93.6 96.6 * 95.9
Weighted Avg. Price 87.4 90.8 95.9 96.1 98.5 * 102.1
Avg. Price Bottom 5 Trades 85.5 86.3 87.6 89.6 94.1 * 89.2
2nd Quartile Price 85.8 89.1 92.0 94.8 96.5 * 90.6
3rd Quartile Price 85.8 89.6 92.6 95.5 98.5 * 101.7
4th Quartile Price 86.6 90.3 93.2 96.0 99.1 * 102.0
Avg. Price Top 5 Trades 87.7 92.0 96.3 97.1 98.4 * 101.1
Standard Deviation 1.8 1.6 3.4 7.0 3.4 * 6.3
     VOLUME OF TRADES (000'S) 331.9 4,034.1 2,708.5 657.3 53.3 * 98.5
     NUMBER OF TRADES 39 66 38 26 17 * 15
GNMA
AVERAGE PRICE 84.4 90.5 93.0 94.6 97.4 97.2 100.6
Weighted Avg. Price 84.1 90.5 93.3 95.5 98.0 99.6 104.8
Avg. Price Bottom 5 Trades 79.9 88.0 91.4 89.2 83.3 81.8 51.5
2nd Quartile Price 82.6 90.0 92.6 95.1 97.6 99.2 100.0
3rd Quartile Price 84.3 90.4 93.0 95.4 97.9 99.6 101.8
4th Quartile Price 87.3 91.0 93.7 96.2 99.5 99.9 103.9
Avg. Price Top 5 Trades 88.6 92.4 94.5 96.2 103.5 103.1 118.0
Standard Deviation 2.5 1.2 1.7 2.7 4.1 6.0 10.1
     VOLUME OF TRADES (000'S) 134,921.0 383,678.8 36,497.1 38,756.7 44,538.2 699,760.6 363,119.2
     NUMBER OF TRADES 155 71 46 60 135 115 454
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 100.4 - 100.0 99.4 *
Weighted Avg. Price 100.9 - 99.9 99.4 *
Avg. Price Bottom 5 Trades 100.4 - 100.0 99.2 *
2nd Quartile Price * - * 99.2 *
3rd Quartile Price * - * 99.5 *
4th Quartile Price * - * 99.8 *
Avg. Price Top 5 Trades 100.4 - 100.0 99.6 *
Standard Deviation 1.1 - 0.4 0.4 *
     VOLUME OF TRADES (000'S) 140.6 - 11,640.2 38,109.7 *
     NUMBER OF TRADES 8 - 5 8 *
FHLMC
AVERAGE PRICE * - - 99.8 *
Weighted Avg. Price * - - 99.8 *
Avg. Price Bottom 5 Trades * - - 99.8 *
2nd Quartile Price * - - 99.8 *
3rd Quartile Price * - - 99.9 *
4th Quartile Price * - - 100.1 *
Avg. Price Top 5 Trades * - - 99.9 *
Standard Deviation * - - 0.2 *
     VOLUME OF TRADES (000'S) * - - 31,254.0 *
     NUMBER OF TRADES * - - 6 *
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 Listor 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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