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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 98.2 99.7 100.7 101.6 102.0 *
Weighted Avg. Price 96.5 99.4 100.1 101.5 102.7 103.9 *
Avg. Price Bottom 5 Trades 80.6 94.9 97.9 99.3 99.2 100.2 *
2nd Quartile Price 92.3 98.5 100.0 99.9 102.3 101.5 *
3rd Quartile Price 95.3 98.8 100.1 101.2 102.5 103.6 *
4th Quartile Price 97.3 99.6 100.4 101.3 102.7 103.9 *
Avg. Price Top 5 Trades 98.9 100.0 100.5 101.6 102.8 104.0 *
Standard Deviation 5.8 2.3 1.9 0.9 2.3 2.6 *
     VOLUME OF TRADES (000'S) 142,647.4 174,671.2 126,862.7 66,807.1 26,137.9 11,041.4 *
     NUMBER OF TRADES 202 56 32 45 39 22 *
FNMA
AVERAGE PRICE 90.7 97.9 * * - - -
Weighted Avg. Price 87.1 97.3 * * - - -
Avg. Price Bottom 5 Trades 80.0 96.2 * * - - -
2nd Quartile Price 86.8 97.8 * * - - -
3rd Quartile Price 93.8 98.1 * * - - -
4th Quartile Price 97.5 99.7 * * - - -
Avg. Price Top 5 Trades 98.0 99.7 * * - - -
Standard Deviation 7.2 1.9 * * - - -
     VOLUME OF TRADES (000'S) 44,486.8 76,638.8 * * - - -
     NUMBER OF TRADES 23 17 * * - - -
FHLMC
AVERAGE PRICE 95.9 99.7 99.3 * - - -
Weighted Avg. Price 98.5 99.7 99.7 * - - -
Avg. Price Bottom 5 Trades 89.6 99.6 99.1 * - - -
2nd Quartile Price 96.9 99.6 98.9 * - - -
3rd Quartile Price 98.0 99.7 99.5 * - - -
4th Quartile Price 98.6 99.9 99.9 * - - -
Avg. Price Top 5 Trades 98.9 99.8 99.8 * - - -
Standard Deviation 6.2 0.2 0.5 * - - -
     VOLUME OF TRADES (000'S) 13,357.3 7,887.9 28,074.0 * - - -
     NUMBER OF TRADES 36 10 10 * - - -
GNMA
AVERAGE PRICE 95.8 * - * - - -
Weighted Avg. Price 97.5 * - * - - -
Avg. Price Bottom 5 Trades 95.1 * - * - - -
2nd Quartile Price 95.9 * - * - - -
3rd Quartile Price 96.0 * - * - - -
4th Quartile Price 97.8 * - * - - -
Avg. Price Top 5 Trades 96.7 * - * - - -
Standard Deviation 2.3 * - * - - -
     VOLUME OF TRADES (000'S) 21,911.6 * - * - - -
     NUMBER OF TRADES 8 * - * - - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.1 92.6 95.7 99.8 99.9 102.6 103.1
Weighted Avg. Price 89.1 95.0 98.6 100.0 101.8 103.3 104.9
Avg. Price Bottom 5 Trades 61.0 70.4 44.5 91.8 72.8 97.3 97.0
2nd Quartile Price 85.0 92.5 96.6 99.6 101.1 102.7 103.9
3rd Quartile Price 88.2 94.5 97.7 99.8 101.3 102.9 104.5
4th Quartile Price 92.0 94.7 98.4 100.2 101.7 103.3 105.2
Avg. Price Top 5 Trades 98.3 98.3 100.5 102.3 103.1 104.4 105.7
Standard Deviation 4.5 4.5 8.6 1.3 7.3 1.6 4.8
     VOLUME OF TRADES (000'S) 457,250.3 858,018.5 269,746.6 1,141,470.1 905,712.3 686,619.7 216,000.8
     NUMBER OF TRADES 1,465 478 267 318 241 129 56
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 90.8 90.3 98.6 99.6 * * *
Weighted Avg. Price 95.8 93.6 99.7 100.1 * * *
Avg. Price Bottom 5 Trades 76.8 80.3 97.2 99.3 * * *
2nd Quartile Price 88.1 87.1 97.5 99.3 * * *
3rd Quartile Price 91.9 94.5 99.5 100.1 * * *
4th Quartile Price 95.1 94.5 100.0 101.5 * * *
Avg. Price Top 5 Trades 98.5 94.7 99.9 100.0 * * *
Standard Deviation 5.5 5.7 1.5 1.3 * * *
     VOLUME OF TRADES (000'S) 37,188.5 35.9 3,053.8 41.8 * * *
     NUMBER OF TRADES 112 61 12 7 * * *
GNMA
AVERAGE PRICE 88.5 94.1 96.8 99.2 99.7 98.5 99.9
Weighted Avg. Price 89.0 94.9 97.6 99.9 101.4 102.6 104.9
Avg. Price Bottom 5 Trades 81.4 92.1 88.2 85.8 85.1 60.3 67.8
2nd Quartile Price 86.2 92.6 96.9 99.7 100.3 100.0 100.4
3rd Quartile Price 89.7 94.6 97.4 99.8 101.2 102.3 103.5
4th Quartile Price 90.2 95.6 97.9 100.0 101.9 103.2 104.3
Avg. Price Top 5 Trades 95.3 96.4 99.5 102.1 103.3 106.7 107.6
Standard Deviation 3.6 2.0 3.1 3.3 4.9 12.7 13.2
     VOLUME OF TRADES (000'S) 666,709.8 17,983.9 228,525.7 1,478,508.7 1,042,847.0 2,275,252.7 126,119.5
     NUMBER OF TRADES 136 21 85 150 192 126 118
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 101.6 - - - -
Weighted Avg. Price 95.9 - - - -
Avg. Price Bottom 5 Trades 93.5 - - - -
2nd Quartile Price 98.8 - - - -
3rd Quartile Price 103.9 - - - -
4th Quartile Price 103.9 - - - -
Avg. Price Top 5 Trades 102.9 - - - -
Standard Deviation 3.7 - - - -
     VOLUME OF TRADES (000'S) 35,053.2 - - - -
     NUMBER OF TRADES 58 - - - -
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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