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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 92.6 97.3 97.7 99.8 101.1 102.2 -
Weighted Avg. Price 91.0 97.8 99.3 100.0 101.4 102.5 -
Avg. Price Bottom 5 Trades 82.0 93.9 95.0 96.0 96.2 99.6 -
2nd Quartile Price 92.7 97.0 98.4 100.0 101.5 102.5 -
3rd Quartile Price 92.7 98.3 98.5 100.0 101.5 102.5 -
4th Quartile Price 92.7 99.0 98.8 100.0 101.5 102.5 -
Avg. Price Top 5 Trades 98.6 98.9 99.0 100.3 101.5 102.5 -
Standard Deviation 1.7 2.4 2.1 1.0 1.2 1.3 -
     VOLUME OF TRADES (000'S) 182,868.8 5,371.8 29,168.0 100,331.9 81,185.1 2,282.5 -
     NUMBER OF TRADES 1,100 28 33 185 241 94 -
FNMA
AVERAGE PRICE 89.5 * * 100.0 - * -
Weighted Avg. Price 85.9 * * 99.7 - * -
Avg. Price Bottom 5 Trades 89.5 * * 99.0 - * -
2nd Quartile Price * * * 99.6 - * -
3rd Quartile Price * * * 100.5 - * -
4th Quartile Price * * * 100.8 - * -
Avg. Price Top 5 Trades 89.5 * * 100.8 - * -
Standard Deviation 5.0 * * 1.1 - * -
     VOLUME OF TRADES (000'S) 74,584.1 * * 69,089.5 - * -
     NUMBER OF TRADES 6 * * 15 - * -
FHLMC
AVERAGE PRICE 94.3 95.8 97.5 99.9 - * -
Weighted Avg. Price 96.7 98.1 99.5 100.0 - * -
Avg. Price Bottom 5 Trades 89.8 94.0 95.4 99.8 - * -
2nd Quartile Price 92.2 92.0 98.0 99.8 - * -
3rd Quartile Price 95.0 98.2 99.3 100.0 - * -
4th Quartile Price 97.7 98.5 99.7 100.2 - * -
Avg. Price Top 5 Trades 98.5 98.6 99.7 100.0 - * -
Standard Deviation 4.5 3.2 3.6 0.2 - * -
     VOLUME OF TRADES (000'S) 1,304.8 254,993.6 16,744.3 18,000.0 - * -
     NUMBER OF TRADES 28 13 12 6 - * -
GNMA
AVERAGE PRICE 96.8 * - - 101.6 * -
Weighted Avg. Price 94.7 * - - 101.6 * -
Avg. Price Bottom 5 Trades 95.8 * - - 101.6 * -
2nd Quartile Price 96.9 * - - * * -
3rd Quartile Price 97.7 * - - * * -
4th Quartile Price 98.5 * - - * * -
Avg. Price Top 5 Trades 97.8 * - - 101.6 * -
Standard Deviation 1.9 * - - - * -
     VOLUME OF TRADES (000'S) 999.4 * - - 18,147.3 * -
     NUMBER OF TRADES 8 * - - 20 * -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.4 90.1 93.4 96.9 98.6 100.3 97.3
Weighted Avg. Price 82.0 91.8 95.1 96.8 99.1 101.1 103.4
Avg. Price Bottom 5 Trades 73.6 81.5 84.1 93.9 92.2 79.6 79.6
2nd Quartile Price 81.5 88.7 93.4 96.5 98.6 100.9 95.0
3rd Quartile Price 84.9 90.7 94.1 96.6 98.9 101.1 103.0
4th Quartile Price 87.8 91.5 94.5 97.1 99.2 101.6 103.4
Avg. Price Top 5 Trades 94.4 95.7 98.6 100.1 100.7 103.2 105.9
Standard Deviation 3.9 2.7 3.4 1.3 1.5 4.6 10.3
     VOLUME OF TRADES (000'S) 2,064,706.4 672,558.4 178,267.9 894,338.8 1,747,115.0 5,321,968.0 414,393.7
     NUMBER OF TRADES 1,262 385 242 231 290 234 229
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 85.7 89.9 93.1 94.8 * * 82.4
Weighted Avg. Price 87.7 91.6 94.3 99.9 * * 103.1
Avg. Price Bottom 5 Trades 72.9 82.4 87.4 93.9 * * 82.4
2nd Quartile Price 83.3 90.0 94.0 96.3 * * *
3rd Quartile Price 86.8 90.4 94.4 98.0 * * *
4th Quartile Price 88.6 92.1 97.2 100.3 * * *
Avg. Price Top 5 Trades 93.5 95.1 97.5 98.1 * * 82.4
Standard Deviation 5.2 3.9 6.0 8.8 * * 7.0
     VOLUME OF TRADES (000'S) 6,237.9 28,215.9 12,439.3 82.8 * * 32.5
     NUMBER OF TRADES 102 61 26 7 * * 20
GNMA
AVERAGE PRICE 84.8 91.9 93.8 96.8 99.4 100.4 89.7
Weighted Avg. Price 84.3 92.2 94.8 97.2 99.1 102.3 102.2
Avg. Price Bottom 5 Trades 79.5 90.7 76.7 87.6 90.2 76.9 75.3
2nd Quartile Price 83.8 91.8 94.4 97.1 99.5 101.1 81.0
3rd Quartile Price 83.8 91.8 94.4 97.4 99.6 102.1 82.0
4th Quartile Price 86.9 92.8 94.4 98.4 99.6 102.9 102.1
Avg. Price Top 5 Trades 91.6 93.3 96.2 99.0 101.6 104.5 106.1
Standard Deviation 2.6 1.1 3.0 3.3 1.4 5.9 12.3
     VOLUME OF TRADES (000'S) 782,809.0 216,336.6 29,709.5 49,323.7 776,760.2 397,350.3 2,485,973.6
     NUMBER OF TRADES 236 25 265 63 409 255 259
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 * - - 99.6 *
Weighted Avg. Price * - - 99.8 *
Avg. Price Bottom 5 Trades * - - 99.4 *
2nd Quartile Price * - - 99.8 *
3rd Quartile Price * - - 99.9 *
4th Quartile Price * - - 100.4 *
Avg. Price Top 5 Trades * - - 99.8 *
Standard Deviation * - - 1.0 *
     VOLUME OF TRADES (000'S) * - - 184,469.9 *
     NUMBER OF TRADES * - - 8 *
FHLMC
AVERAGE PRICE 102.4 - - - -
Weighted Avg. Price 102.6 - - - -
Avg. Price Bottom 5 Trades 102.4 - - - -
2nd Quartile Price * - - - -
3rd Quartile Price * - - - -
4th Quartile Price * - - - -
Avg. Price Top 5 Trades 102.4 - - - -
Standard Deviation 0.7 - - - -
     VOLUME OF TRADES (000'S) 341.7 - - - -
     NUMBER OF TRADES 5 - - - -
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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