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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 91.6 93.0 92.8 96.4 98.8 100.2 100.9
Weighted Avg. Price 94.0 95.6 97.8 99.0 100.8 101.3 103.0
Avg. Price Bottom 5 Trades 85.6 80.9 80.7 94.4 94.9 99.2 99.2
2nd Quartile Price 89.6 93.6 94.2 96.3 98.6 99.9 100.5
3rd Quartile Price 91.0 95.4 96.0 97.6 99.3 100.4 101.6
4th Quartile Price 94.9 95.4 98.3 98.6 99.7 100.6 101.9
Avg. Price Top 5 Trades 97.6 97.0 99.0 99.2 100.8 101.3 102.2
Standard Deviation 3.3 5.6 17.1 2.6 1.7 0.7 1.5
     VOLUME OF TRADES (000'S) 5,048.1 10,150.2 12,116.9 7,578.9 22,794.4 2,035.4 24,028.0
     NUMBER OF TRADES 76 79 32 25 72 66 43
FNMA
AVERAGE PRICE 92.0 93.9 * * 100.7 * *
Weighted Avg. Price 92.6 95.5 * * 101.4 * *
Avg. Price Bottom 5 Trades 87.1 90.4 * * 100.7 * *
2nd Quartile Price 90.1 92.5 * * * * *
3rd Quartile Price 92.5 94.7 * * * * *
4th Quartile Price 96.9 98.4 * * * * *
Avg. Price Top 5 Trades 96.7 97.2 * * 100.7 * *
Standard Deviation 4.4 4.0 * * 0.9 * *
     VOLUME OF TRADES (000'S) 52,371.7 7,687.0 * * 80,290.0 * *
     NUMBER OF TRADES 14 11 * * 5 * *
FHLMC
AVERAGE PRICE 94.6 95.0 95.5 * * - -
Weighted Avg. Price 95.5 98.0 98.3 * * - -
Avg. Price Bottom 5 Trades 94.2 95.0 93.7 * * - -
2nd Quartile Price 94.4 * 93.1 * * - -
3rd Quartile Price 96.7 * 97.1 * * - -
4th Quartile Price 97.1 * 98.0 * * - -
Avg. Price Top 5 Trades 95.7 95.0 97.9 * * - -
Standard Deviation 3.2 2.1 2.5 * * - -
     VOLUME OF TRADES (000'S) 755.8 24.5 43,472.4 * * - -
     NUMBER OF TRADES 7 6 12 * * - -
GNMA
AVERAGE PRICE 92.0 * * * - - *
Weighted Avg. Price 88.8 * * * - - *
Avg. Price Bottom 5 Trades 92.0 * * * - - *
2nd Quartile Price * * * * - - *
3rd Quartile Price * * * * - - *
4th Quartile Price * * * * - - *
Avg. Price Top 5 Trades 92.0 * * * - - *
Standard Deviation 3.4 * * * - - *
     VOLUME OF TRADES (000'S) 5,615.2 * * * - - *
     NUMBER OF TRADES 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 82.7 88.4 91.2 94.3 96.7 99.2 102.8
Weighted Avg. Price 79.9 89.9 92.5 95.0 97.6 99.4 101.6
Avg. Price Bottom 5 Trades 76.7 80.1 83.1 92.4 91.2 97.0 98.6
2nd Quartile Price 81.3 88.6 91.4 93.8 96.6 98.8 101.4
3rd Quartile Price 82.3 88.6 91.5 94.1 96.7 99.2 103.7
4th Quartile Price 85.1 88.9 91.9 94.8 97.2 99.6 103.7
Avg. Price Top 5 Trades 94.0 95.6 95.8 98.1 99.8 100.8 105.1
Standard Deviation 2.9 1.9 2.0 1.1 1.6 0.8 1.5
     VOLUME OF TRADES (000'S) 1,819,982.5 185,947.5 149,090.6 161,479.3 433,832.0 982,913.8 5,478,915.7
     NUMBER OF TRADES 774 481 337 197 252 210 468
FNMA
AVERAGE PRICE * * * 96.2 - - 101.3
Weighted Avg. Price * * * 96.2 - - 102.0
Avg. Price Bottom 5 Trades * * * 96.2 - - 101.3
2nd Quartile Price * * * * - - *
3rd Quartile Price * * * * - - *
4th Quartile Price * * * * - - *
Avg. Price Top 5 Trades * * * 96.2 - - 101.3
Standard Deviation * * * - - - 1.0
     VOLUME OF TRADES (000'S) * * * 167.5 - - 13,378.1
     NUMBER OF TRADES * * * 6 - - 5
FHLMC
AVERAGE PRICE 82.8 90.3 91.6 95.9 * 89.6 *
Weighted Avg. Price 78.0 90.8 91.5 98.8 * 88.1 *
Avg. Price Bottom 5 Trades 79.9 87.4 91.6 95.1 * 89.6 *
2nd Quartile Price 81.2 88.9 * 94.6 * * *
3rd Quartile Price 82.9 90.2 * 94.6 * * *
4th Quartile Price 93.7 90.8 * 98.5 * * *
Avg. Price Top 5 Trades 85.2 94.8 91.6 98.1 * 89.6 *
Standard Deviation 6.3 2.6 0.2 2.2 * 4.2 *
     VOLUME OF TRADES (000'S) 16,979.0 42,939.7 29.5 851.2 * 0.8 *
     NUMBER OF TRADES 7 31 52 21 * 7 *
GNMA
AVERAGE PRICE 83.8 91.5 92.8 94.9 96.5 96.8 100.8
Weighted Avg. Price 86.2 90.8 94.6 96.8 97.1 99.5 102.9
Avg. Price Bottom 5 Trades 79.3 89.6 89.8 94.3 84.1 81.3 83.6
2nd Quartile Price 83.1 91.0 91.8 94.3 96.8 97.4 100.0
3rd Quartile Price 83.1 91.9 92.6 94.3 97.3 98.9 101.5
4th Quartile Price 86.3 91.9 95.4 94.9 98.0 99.6 103.1
Avg. Price Top 5 Trades 87.8 91.6 96.1 97.7 99.7 101.4 105.8
Standard Deviation 2.5 0.6 3.1 1.4 3.8 6.4 5.1
     VOLUME OF TRADES (000'S) 28,037.7 165,394.0 42,158.9 114,334.4 32,130.7 146,804.8 457,787.3
     NUMBER OF TRADES 68 194 21 30 95 95 332
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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