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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 92.5 95.1 99.1 100.6 101.4 102.4 -
Weighted Avg. Price 92.2 98.5 99.9 101.0 102.2 102.5 -
Avg. Price Bottom 5 Trades 84.1 91.6 98.0 99.5 99.5 102.2 -
2nd Quartile Price 90.5 92.0 99.7 100.2 100.8 102.2 -
3rd Quartile Price 92.0 96.9 99.7 101.0 102.1 103.2 -
4th Quartile Price 95.9 98.7 100.0 101.0 102.2 103.4 -
Avg. Price Top 5 Trades 98.7 99.0 100.5 101.2 102.2 102.8 -
Standard Deviation 4.7 3.6 2.4 0.7 1.0 1.0 -
     VOLUME OF TRADES (000'S) 79,389.0 1,080.1 38,119.0 20,939.6 4,330.0 60.5 -
     NUMBER OF TRADES 92 27 27 37 49 11 -
FNMA
AVERAGE PRICE * * 99.7 102.1 * * -
Weighted Avg. Price * * 100.3 102.1 * * -
Avg. Price Bottom 5 Trades * * 99.3 101.8 * * -
2nd Quartile Price * * 99.7 102.0 * * -
3rd Quartile Price * * 99.8 102.0 * * -
4th Quartile Price * * 100.3 102.3 * * -
Avg. Price Top 5 Trades * * 100.1 102.5 * * -
Standard Deviation * * 0.7 0.6 * * -
     VOLUME OF TRADES (000'S) * * 31,546.5 32,299.4 * * -
     NUMBER OF TRADES * * 9 16 * * -
FHLMC
AVERAGE PRICE 92.5 98.6 98.3 * * - -
Weighted Avg. Price 98.2 99.4 99.7 * * - -
Avg. Price Bottom 5 Trades 76.3 97.8 98.3 * * - -
2nd Quartile Price 96.7 99.2 * * * - -
3rd Quartile Price 98.3 99.5 * * * - -
4th Quartile Price 98.8 99.6 * * * - -
Avg. Price Top 5 Trades 99.0 99.5 98.3 * * - -
Standard Deviation 22.4 1.8 1.9 * * - -
     VOLUME OF TRADES (000'S) 4,479.9 229,309.1 15,538.5 * * - -
     NUMBER OF TRADES 19 11 5 * * - -
GNMA
AVERAGE PRICE 95.3 * - - - - -
Weighted Avg. Price 93.4 * - - - - -
Avg. Price Bottom 5 Trades 95.3 * - - - - -
2nd Quartile Price * * - - - - -
3rd Quartile Price * * - - - - -
4th Quartile Price * * - - - - -
Avg. Price Top 5 Trades 95.3 * - - - - -
Standard Deviation 2.5 * - - - - -
     VOLUME OF TRADES (000'S) 1,591.9 * - - - - -
     NUMBER OF TRADES 5 * - - - - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.6 93.6 96.8 98.8 98.8 102.1 102.6
Weighted Avg. Price 85.4 93.9 97.0 99.0 101.0 102.7 104.3
Avg. Price Bottom 5 Trades 76.9 89.3 95.0 95.4 70.6 95.2 81.9
2nd Quartile Price 83.3 92.9 96.1 98.6 100.3 102.2 103.8
3rd Quartile Price 86.9 93.4 96.4 98.7 100.6 102.4 103.9
4th Quartile Price 90.3 94.5 97.7 99.2 100.7 102.9 104.2
Avg. Price Top 5 Trades 95.9 98.6 99.0 101.1 101.9 103.7 106.3
Standard Deviation 4.2 2.2 1.1 1.1 8.4 2.7 11.6
     VOLUME OF TRADES (000'S) 534,829.7 120,428.4 63,984.1 882,792.9 572,120.8 721,193.7 386,310.0
     NUMBER OF TRADES 494 144 126 157 121 101 82
FNMA
AVERAGE PRICE 85.2 93.9 96.2 * 101.6 102.3 103.9
Weighted Avg. Price 85.2 93.3 96.2 * 101.6 102.2 104.8
Avg. Price Bottom 5 Trades 80.0 93.9 96.2 * 101.6 102.2 102.9
2nd Quartile Price 80.6 * * * * 102.2 103.7
3rd Quartile Price 90.2 * * * * 102.2 105.2
4th Quartile Price 90.3 * * * * 102.5 106.5
Avg. Price Top 5 Trades 90.3 93.9 96.2 * 101.6 102.3 105.2
Standard Deviation 6.5 1.7 0.1 * - 0.2 2.9
     VOLUME OF TRADES (000'S) 26,123.4 14,620.1 8,957.1 * 4,607.7 71,961.9 8,252.0
     NUMBER OF TRADES 10 7 7 * 5 8 10
FHLMC
AVERAGE PRICE 89.4 94.2 96.9 100.0 99.4 101.9 *
Weighted Avg. Price 82.9 93.2 96.1 99.0 100.6 102.3 *
Avg. Price Bottom 5 Trades 85.3 93.5 96.5 99.4 99.4 101.9 *
2nd Quartile Price 86.1 93.7 96.1 99.4 * * *
3rd Quartile Price 90.0 94.1 98.7 100.7 * * *
4th Quartile Price 91.9 95.8 98.8 101.5 * * *
Avg. Price Top 5 Trades 94.1 94.6 97.1 100.3 99.4 101.9 *
Standard Deviation 3.4 1.0 1.4 1.3 1.8 1.5 *
     VOLUME OF TRADES (000'S) 34,934.3 4,338.3 4,241.7 7,356.6 48,297.3 76,908.9 *
     NUMBER OF TRADES 40 9 6 7 6 5 *
GNMA
AVERAGE PRICE 87.2 94.9 95.6 99.4 98.4 95.8 99.5
Weighted Avg. Price 88.3 95.6 96.7 99.0 100.9 102.5 103.0
Avg. Price Bottom 5 Trades 81.7 93.6 91.3 97.8 79.5 69.4 82.0
2nd Quartile Price 85.2 94.0 96.0 99.0 99.7 90.0 99.0
3rd Quartile Price 88.5 94.2 96.2 99.1 100.8 102.0 103.0
4th Quartile Price 88.6 97.1 96.6 100.0 101.3 102.5 103.7
Avg. Price Top 5 Trades 92.0 96.8 98.1 102.0 105.0 103.6 104.4
Standard Deviation 2.8 1.8 2.7 1.5 7.7 10.7 7.4
     VOLUME OF TRADES (000'S) 313,517.5 3,165.8 106,703.2 394,569.8 122,450.5 319,520.2 24,082.4
     NUMBER OF TRADES 70 15 32 39 73 73 80
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 * - - - -
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 * - - - -
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 - - - - -
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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