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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 91.1 92.8 94.1 97.9 99.5 100.5 101.7
Weighted Avg. Price 90.8 96.1 96.2 97.7 99.7 100.7 101.6
Avg. Price Bottom 5 Trades 79.9 83.4 90.5 97.5 99.3 100.0 101.7
2nd Quartile Price 87.7 91.2 92.0 97.7 99.4 100.2 *
3rd Quartile Price 91.2 94.4 95.2 97.7 99.5 100.5 *
4th Quartile Price 96.6 94.6 96.1 98.8 99.7 100.6 *
Avg. Price Top 5 Trades 97.7 97.8 97.4 98.2 99.8 101.1 101.7
Standard Deviation 5.1 3.8 3.2 0.6 0.2 0.5 0.7
     VOLUME OF TRADES (000'S) 196,642.4 7,482.3 5,620.1 53,305.7 185,823.2 19,538.7 2,347.4
     NUMBER OF TRADES 187 100 26 11 24 26 8
FNMA
AVERAGE PRICE 94.3 * * 97.3 99.3 * *
Weighted Avg. Price 93.2 * * 97.6 99.0 * *
Avg. Price Bottom 5 Trades 92.9 * * 96.9 98.4 * *
2nd Quartile Price 95.9 * * 96.6 98.9 * *
3rd Quartile Price 96.2 * * 97.9 99.3 * *
4th Quartile Price 99.3 * * 99.0 100.0 * *
Avg. Price Top 5 Trades 96.7 * * 97.5 100.2 * *
Standard Deviation 4.3 * * 1.2 0.8 * *
     VOLUME OF TRADES (000'S) 25,277.7 * * 24,957.0 207,538.6 * *
     NUMBER OF TRADES 7 * * 6 17 * *
FHLMC
AVERAGE PRICE 92.7 92.8 96.2 * - - -
Weighted Avg. Price 97.1 97.3 95.7 * - - -
Avg. Price Bottom 5 Trades 86.5 92.1 96.2 * - - -
2nd Quartile Price 90.4 91.9 * * - - -
3rd Quartile Price 96.4 92.0 * * - - -
4th Quartile Price 96.6 94.6 * * - - -
Avg. Price Top 5 Trades 97.0 93.9 96.2 * - - -
Standard Deviation 5.6 1.7 0.5 * - - -
     VOLUME OF TRADES (000'S) 8,604.3 432.5 22,568.0 * - - -
     NUMBER OF TRADES 26 15 6 * - - -
GNMA
AVERAGE PRICE * 98.9 * * - * 102.2
Weighted Avg. Price * 98.9 * * - * 102.1
Avg. Price Bottom 5 Trades * 98.9 * * - * 102.2
2nd Quartile Price * * * * - * *
3rd Quartile Price * * * * - * *
4th Quartile Price * * * * - * *
Avg. Price Top 5 Trades * 98.9 * * - * 102.2
Standard Deviation * 0.3 * * - * 0.7
     VOLUME OF TRADES (000'S) * 180.1 * * - * 3,771.3
     NUMBER OF TRADES * 5 * * - * 6
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 82.8 87.7 89.7 93.6 96.4 98.3 100.8
Weighted Avg. Price 81.1 89.9 92.1 94.2 96.7 99.0 101.9
Avg. Price Bottom 5 Trades 73.8 75.2 50.6 86.4 93.6 93.5 84.1
2nd Quartile Price 81.2 87.9 89.8 93.6 96.3 98.3 100.6
3rd Quartile Price 82.9 88.4 91.1 94.0 96.4 98.8 101.2
4th Quartile Price 84.8 88.4 91.3 94.1 96.6 99.1 102.3
Avg. Price Top 5 Trades 92.8 92.1 97.7 98.9 99.3 100.1 104.4
Standard Deviation 3.2 2.4 5.6 2.0 1.0 1.7 4.1
     VOLUME OF TRADES (000'S) 817,777.2 199,209.7 91,674.6 216,710.9 327,128.3 1,073,677.3 4,016,216.3
     NUMBER OF TRADES 963 446 377 279 279 205 208
FNMA
AVERAGE PRICE 81.5 * * * - - *
Weighted Avg. Price 81.6 * * * - - *
Avg. Price Bottom 5 Trades 81.5 * * * - - *
2nd Quartile Price * * * * - - *
3rd Quartile Price * * * * - - *
4th Quartile Price * * * * - - *
Avg. Price Top 5 Trades 81.5 * * * - - *
Standard Deviation 2.4 * * * - - *
     VOLUME OF TRADES (000'S) 4,504.3 * * * - - *
     NUMBER OF TRADES 5 * * * - - *
FHLMC
AVERAGE PRICE 86.0 87.1 90.9 93.0 * * *
Weighted Avg. Price 83.9 90.2 93.4 95.5 * * *
Avg. Price Bottom 5 Trades 84.4 77.6 90.2 92.4 * * *
2nd Quartile Price 84.8 87.9 91.1 91.3 * * *
3rd Quartile Price 84.8 87.9 91.1 91.5 * * *
4th Quartile Price 87.1 88.6 91.8 96.6 * * *
Avg. Price Top 5 Trades 90.1 93.5 93.5 93.7 * * *
Standard Deviation 3.4 7.6 2.2 2.9 * * *
     VOLUME OF TRADES (000'S) 11,962.1 17,533.5 10,105.7 1,058.0 * * *
     NUMBER OF TRADES 40 44 51 9 * * *
GNMA
AVERAGE PRICE 84.0 89.7 92.5 95.1 97.4 99.3 100.5
Weighted Avg. Price 84.9 89.4 92.2 94.7 97.2 99.5 102.0
Avg. Price Bottom 5 Trades 79.8 89.1 92.0 93.6 95.4 92.6 69.2
2nd Quartile Price 82.7 89.3 92.2 94.5 97.0 99.2 101.1
3rd Quartile Price 83.6 89.7 92.3 95.0 97.4 99.6 102.1
4th Quartile Price 86.0 90.3 92.9 95.5 97.9 99.9 103.2
Avg. Price Top 5 Trades 87.3 90.3 93.2 96.7 99.3 101.4 105.6
Standard Deviation 2.1 0.6 0.7 1.1 0.9 2.0 9.8
     VOLUME OF TRADES (000'S) 45,860.5 123,651.4 114,386.6 231,661.8 225,313.8 1,265,103.2 1,124,767.4
     NUMBER OF TRADES 62 24 14 37 94 185 397
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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