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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 93.3 94.2 97.3 99.8 101.0 101.6 -
Weighted Avg. Price 94.1 97.4 99.4 100.6 101.8 103.9 -
Avg. Price Bottom 5 Trades 80.4 88.5 92.5 94.7 98.7 97.8 -
2nd Quartile Price 92.1 92.0 97.5 100.0 100.4 102.0 -
3rd Quartile Price 95.2 96.4 99.1 100.4 101.3 102.4 -
4th Quartile Price 95.9 98.2 99.2 100.6 101.6 102.7 -
Avg. Price Top 5 Trades 98.8 99.0 99.6 100.9 102.2 103.1 -
Standard Deviation 4.7 4.4 3.1 1.7 1.1 2.1 -
     VOLUME OF TRADES (000'S) 189,224.8 7,684.3 18,490.1 193,308.4 30,935.2 4,012.0 -
     NUMBER OF TRADES 211 25 30 62 57 28 -
FNMA
AVERAGE PRICE 94.5 * 99.3 100.9 * - -
Weighted Avg. Price 95.2 * 98.8 101.1 * - -
Avg. Price Bottom 5 Trades 89.6 * 98.8 100.2 * - -
2nd Quartile Price 92.9 * 99.3 100.3 * - -
3rd Quartile Price 97.4 * 99.6 101.1 * - -
4th Quartile Price 98.5 * 99.8 101.7 * - -
Avg. Price Top 5 Trades 98.8 * 99.8 101.8 * - -
Standard Deviation 5.2 * 0.6 0.7 * - -
     VOLUME OF TRADES (000'S) 39,100.8 * 29,645.5 99,481.9 * - -
     NUMBER OF TRADES 16 * 14 17 * - -
FHLMC
AVERAGE PRICE 92.9 98.8 99.1 - - - -
Weighted Avg. Price 96.1 98.7 98.9 - - - -
Avg. Price Bottom 5 Trades 90.1 98.8 98.2 - - - -
2nd Quartile Price 89.5 * 98.7 - - - -
3rd Quartile Price 94.2 * 99.0 - - - -
4th Quartile Price 95.9 * 99.7 - - - -
Avg. Price Top 5 Trades 95.7 98.8 100.1 - - - -
Standard Deviation 3.3 0.3 0.6 - - - -
     VOLUME OF TRADES (000'S) 16,268.4 188,984.4 411,659.6 - - - -
     NUMBER OF TRADES 16 7 39 - - - -
GNMA
AVERAGE PRICE 95.3 * * * * * *
Weighted Avg. Price 91.5 * * * * * *
Avg. Price Bottom 5 Trades 94.7 * * * * * *
2nd Quartile Price 96.0 * * * * * *
3rd Quartile Price 96.4 * * * * * *
4th Quartile Price 97.0 * * * * * *
Avg. Price Top 5 Trades 96.5 * * * * * *
Standard Deviation 2.2 * * * * * *
     VOLUME OF TRADES (000'S) 1,107.6 * * * * * *
     NUMBER OF TRADES 7 * * * * * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.6 92.2 94.5 97.4 99.3 101.7 103.6
Weighted Avg. Price 84.0 92.7 95.6 97.7 99.7 101.7 104.1
Avg. Price Bottom 5 Trades 48.7 80.2 67.1 90.4 87.8 98.1 94.4
2nd Quartile Price 82.3 92.2 94.8 97.4 99.5 101.5 103.2
3rd Quartile Price 85.7 92.5 95.2 97.5 99.5 101.6 103.7
4th Quartile Price 88.9 92.6 95.5 97.9 99.7 102.1 105.0
Avg. Price Top 5 Trades 95.7 97.9 98.2 100.2 100.9 103.2 105.8
Standard Deviation 4.9 2.1 4.8 2.1 1.8 0.7 3.3
     VOLUME OF TRADES (000'S) 6,005,803.8 3,849,286.5 124,036.4 2,791,325.3 7,499,378.0 3,207,414.5 681,423.1
     NUMBER OF TRADES 1,411 421 227 257 471 260 155
FNMA
AVERAGE PRICE 89.2 - - - - - *
Weighted Avg. Price 91.9 - - - - - *
Avg. Price Bottom 5 Trades 89.2 - - - - - *
2nd Quartile Price * - - - - - *
3rd Quartile Price * - - - - - *
4th Quartile Price * - - - - - *
Avg. Price Top 5 Trades 89.2 - - - - - *
Standard Deviation 5.9 - - - - - *
     VOLUME OF TRADES (000'S) 15,261.9 - - - - - *
     NUMBER OF TRADES 9 - - - - - *
FHLMC
AVERAGE PRICE 87.7 90.5 94.9 97.0 - * 71.8
Weighted Avg. Price 93.1 92.4 98.1 94.8 - * 101.1
Avg. Price Bottom 5 Trades 83.2 83.0 93.9 97.0 - * 71.8
2nd Quartile Price 85.7 91.1 94.8 * - * *
3rd Quartile Price 88.9 92.3 95.5 * - * *
4th Quartile Price 89.5 92.5 95.5 * - * *
Avg. Price Top 5 Trades 94.6 92.3 95.5 97.0 - * 71.8
Standard Deviation 3.2 4.3 1.3 1.4 - * 21.7
     VOLUME OF TRADES (000'S) 3,292.8 47.8 3,834.1 6,368.0 - * 2,572.4
     NUMBER OF TRADES 71 29 18 5 - * 5
GNMA
AVERAGE PRICE 86.0 92.7 93.4 95.7 99.5 99.2 102.1
Weighted Avg. Price 90.2 92.8 95.2 97.8 99.9 101.6 103.8
Avg. Price Bottom 5 Trades 77.8 89.7 90.6 82.0 87.3 80.9 76.0
2nd Quartile Price 84.3 92.8 94.7 97.4 99.7 100.6 102.1
3rd Quartile Price 86.5 93.0 95.1 98.0 99.9 101.5 103.0
4th Quartile Price 90.4 93.3 95.2 98.2 100.3 102.3 104.3
Avg. Price Top 5 Trades 91.3 95.1 96.5 99.5 105.2 106.7 107.8
Standard Deviation 4.6 2.7 5.6 6.2 3.7 6.6 8.1
     VOLUME OF TRADES (000'S) 2,179,077.0 667,494.0 343,452.5 1,030,337.0 2,462,998.1 1,007,424.8 866,553.3
     NUMBER OF TRADES 99 40 40 142 179 203 255
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 - - 98.0 - -
Weighted Avg. Price - - 98.3 - -
Avg. Price Bottom 5 Trades - - 97.1 - -
2nd Quartile Price - - 97.2 - -
3rd Quartile Price - - 98.3 - -
4th Quartile Price - - 99.0 - -
Avg. Price Top 5 Trades - - 99.1 - -
Standard Deviation - - 1.0 - -
     VOLUME OF TRADES (000'S) - - 117,725.0 - -
     NUMBER OF TRADES - - 12 - -
* 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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