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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 90.4 93.5 89.7 96.1 99.0 99.3 101.6
Weighted Avg. Price 91.2 96.4 96.1 98.6 100.4 101.2 102.3
Avg. Price Bottom 5 Trades 78.3 84.4 75.2 89.8 96.4 96.8 98.5
2nd Quartile Price 89.2 92.2 91.0 95.1 98.3 97.9 99.8
3rd Quartile Price 91.0 95.2 95.0 98.0 99.7 99.2 101.6
4th Quartile Price 92.4 95.5 96.3 98.5 99.9 100.8 104.0
Avg. Price Top 5 Trades 97.3 97.6 97.4 98.6 100.5 101.3 105.9
Standard Deviation 4.7 3.2 14.3 4.6 1.3 1.6 2.8
     VOLUME OF TRADES (000'S) 135,588.1 1,992.5 4,751.7 48,994.5 33,659.9 3,358.9 65,439.7
     NUMBER OF TRADES 167 158 47 28 56 55 25
FNMA
AVERAGE PRICE 90.4 * * 98.6 99.9 102.0 105.0
Weighted Avg. Price 91.3 * * 98.5 99.9 102.2 105.1
Avg. Price Bottom 5 Trades 89.5 * * 98.3 99.9 102.0 105.0
2nd Quartile Price 89.0 * * 98.5 * * *
3rd Quartile Price 89.5 * * 98.8 * * *
4th Quartile Price 95.8 * * 99.1 * * *
Avg. Price Top 5 Trades 91.1 * * 98.9 99.9 102.0 105.0
Standard Deviation 2.6 * * 0.6 0.1 0.5 1.0
     VOLUME OF TRADES (000'S) 6,017.6 * * 4,450.4 7,374.4 156,589.3 2,154.5
     NUMBER OF TRADES 7 * * 8 7 7 5
FHLMC
AVERAGE PRICE 93.8 93.4 94.7 98.2 99.6 * -
Weighted Avg. Price 97.7 98.2 97.4 98.4 99.6 * -
Avg. Price Bottom 5 Trades 90.6 91.2 94.2 97.6 99.6 * -
2nd Quartile Price 91.3 93.6 94.0 98.2 * * -
3rd Quartile Price 93.6 95.5 96.3 98.4 * * -
4th Quartile Price 97.2 95.5 97.4 98.8 * * -
Avg. Price Top 5 Trades 98.1 95.7 95.7 98.8 99.6 * -
Standard Deviation 3.4 5.2 2.2 1.1 0.2 * -
     VOLUME OF TRADES (000'S) 4,677.0 276.6 103,994.2 7,758.6 12,525.5 * -
     NUMBER OF TRADES 27 19 7 12 5 * -
GNMA
AVERAGE PRICE * - * * - * 104.3
Weighted Avg. Price * - * * - * 104.1
Avg. Price Bottom 5 Trades * - * * - * 101.0
2nd Quartile Price * - * * - * 101.8
3rd Quartile Price * - * * - * 102.3
4th Quartile Price * - * * - * 106.0
Avg. Price Top 5 Trades * - * * - * 109.2
Standard Deviation * - * * - * 5.1
     VOLUME OF TRADES (000'S) * - * * - * 4,415.6
     NUMBER OF TRADES * - * * - * 22
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 84.1 89.4 91.8 94.6 97.2 99.2 100.5
Weighted Avg. Price 83.5 90.2 93.1 95.6 97.8 99.6 101.7
Avg. Price Bottom 5 Trades 75.9 79.4 78.0 79.6 90.9 85.7 85.6
2nd Quartile Price 82.9 89.4 92.3 95.1 97.0 99.4 100.8
3rd Quartile Price 83.8 89.8 92.6 95.2 97.6 99.4 101.1
4th Quartile Price 86.4 90.1 92.8 95.3 97.6 99.5 101.8
Avg. Price Top 5 Trades 91.4 94.3 95.4 98.8 99.7 101.6 105.5
Standard Deviation 2.6 2.0 2.8 3.1 1.2 1.9 3.9
     VOLUME OF TRADES (000'S) 663,077.8 433,895.4 329,174.2 219,389.2 666,594.4 2,319,860.4 2,810,189.8
     NUMBER OF TRADES 1,163 666 496 416 389 465 214
FNMA
AVERAGE PRICE 81.1 * 90.0 95.4 97.8 99.7 102.2
Weighted Avg. Price 82.1 * 92.7 95.4 97.6 99.4 101.2
Avg. Price Bottom 5 Trades 81.1 * 90.0 95.0 97.5 99.4 101.3
2nd Quartile Price * * * 95.2 97.5 99.4 101.0
3rd Quartile Price * * * 95.6 97.6 99.9 102.3
4th Quartile Price * * * 96.2 98.3 100.2 103.5
Avg. Price Top 5 Trades 81.1 * 90.0 95.8 97.9 100.0 103.4
Standard Deviation 2.4 * 3.6 0.6 0.4 0.4 1.2
     VOLUME OF TRADES (000'S) 36,731.3 * 15,987.2 70,087.4 88,627.8 33,371.3 50,308.9
     NUMBER OF TRADES 5 * 5 9 8 9 14
FHLMC
AVERAGE PRICE 84.9 89.9 91.6 93.6 97.6 99.6 *
Weighted Avg. Price 86.7 92.2 94.2 95.9 97.7 99.5 *
Avg. Price Bottom 5 Trades 80.1 75.7 82.2 88.4 97.2 99.3 *
2nd Quartile Price 84.0 89.8 92.6 95.2 97.5 99.3 *
3rd Quartile Price 86.3 91.6 92.6 95.3 97.6 99.5 *
4th Quartile Price 87.2 91.6 92.8 95.3 98.4 100.2 *
Avg. Price Top 5 Trades 88.1 93.7 93.8 96.3 98.1 99.9 *
Standard Deviation 3.9 5.1 3.5 4.2 0.6 0.5 *
     VOLUME OF TRADES (000'S) 575.9 8,285.7 1,776.1 18,800.8 183,964.9 57,456.1 *
     NUMBER OF TRADES 25 94 87 38 15 10 *
GNMA
AVERAGE PRICE 85.4 90.2 92.9 95.8 98.5 99.3 101.7
Weighted Avg. Price 86.2 91.2 93.6 95.5 98.3 99.9 101.9
Avg. Price Bottom 5 Trades 81.9 87.7 92.6 95.0 92.7 91.1 67.0
2nd Quartile Price 84.1 89.0 92.3 95.7 97.8 99.1 101.3
3rd Quartile Price 84.8 90.7 93.4 96.0 100.0 99.8 102.1
4th Quartile Price 88.0 91.3 93.5 96.3 100.0 100.3 103.3
Avg. Price Top 5 Trades 88.6 91.8 93.6 97.1 100.0 103.4 111.9
Standard Deviation 2.0 1.6 0.8 1.1 2.3 3.6 5.7
     VOLUME OF TRADES (000'S) 26,613.3 27,379.0 30,041.5 33,882.6 61,856.0 98,288.1 493,301.6
     NUMBER OF TRADES 87 36 14 24 86 74 378
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 - - - 99.9 100.5
Weighted Avg. Price - - - 100.1 100.7
Avg. Price Bottom 5 Trades - - - 99.8 99.9
2nd Quartile Price - - - 99.9 100.0
3rd Quartile Price - - - 100.1 100.2
4th Quartile Price - - - 100.3 103.6
Avg. Price Top 5 Trades - - - 100.0 100.8
Standard Deviation - - - 0.3 1.5
     VOLUME OF TRADES (000'S) - - - 49,121.4 27,829.4
     NUMBER OF TRADES - - - 6 6
FHLMC
AVERAGE PRICE 102.8 - - - -
Weighted Avg. Price 102.9 - - - -
Avg. Price Bottom 5 Trades 102.8 - - - -
2nd Quartile Price * - - - -
3rd Quartile Price * - - - -
4th Quartile Price * - - - -
Avg. Price Top 5 Trades 102.8 - - - -
Standard Deviation 0.3 - - - -
     VOLUME OF TRADES (000'S) 3,518.2 - - - -
     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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