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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 91.8 96.2 99.1 100.4 101.6 102.6 -
Weighted Avg. Price 96.2 96.8 99.3 100.7 101.9 103.0 -
Avg. Price Bottom 5 Trades 83.2 93.6 98.9 99.3 101.1 102.4 -
2nd Quartile Price 89.6 96.7 98.8 100.6 101.8 102.8 -
3rd Quartile Price 92.0 97.3 99.3 100.6 101.8 102.8 -
4th Quartile Price 94.9 97.8 99.4 100.7 101.9 103.0 -
Avg. Price Top 5 Trades 97.8 97.7 99.4 101.0 102.0 102.8 -
Standard Deviation 4.1 2.2 0.4 0.7 0.8 1.3 -
     VOLUME OF TRADES (000'S) 103,956.3 75.2 82,606.7 55,702.6 18,880.3 23,443.3 -
     NUMBER OF TRADES 103 17 11 28 20 11 -
FNMA
AVERAGE PRICE 92.2 * 99.9 * * - -
Weighted Avg. Price 95.0 * 100.6 * * - -
Avg. Price Bottom 5 Trades 85.6 * 99.5 * * - -
2nd Quartile Price 87.5 * 99.6 * * - -
3rd Quartile Price 96.9 * 99.9 * * - -
4th Quartile Price 99.1 * 100.3 * * - -
Avg. Price Top 5 Trades 98.1 * 100.2 * * - -
Standard Deviation 7.2 * 0.5 * * - -
     VOLUME OF TRADES (000'S) 43,361.2 * 40,534.0 * * - -
     NUMBER OF TRADES 11 * 9 * * - -
FHLMC
AVERAGE PRICE 92.3 98.7 99.3 * - * -
Weighted Avg. Price 96.7 98.2 99.4 * - * -
Avg. Price Bottom 5 Trades 92.3 98.5 99.1 * - * -
2nd Quartile Price * 97.9 99.2 * - * -
3rd Quartile Price * 99.6 99.3 * - * -
4th Quartile Price * 99.7 99.6 * - * -
Avg. Price Top 5 Trades 92.3 98.8 99.7 * - * -
Standard Deviation 5.9 0.9 0.3 * - * -
     VOLUME OF TRADES (000'S) 7,654.4 2,485.6 32,187.8 * - * -
     NUMBER OF TRADES 9 7 19 * - * -
GNMA
AVERAGE PRICE 97.1 * - - - - -
Weighted Avg. Price 97.0 * - - - - -
Avg. Price Bottom 5 Trades 97.1 * - - - - -
2nd Quartile Price * * - - - - -
3rd Quartile Price * * - - - - -
4th Quartile Price * * - - - - -
Avg. Price Top 5 Trades 97.1 * - - - - -
Standard Deviation 0.3 * - - - - -
     VOLUME OF TRADES (000'S) 274,576.0 * - - - - -
     NUMBER OF TRADES 14 * - - - - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.8 90.8 94.7 97.7 99.7 101.5 103.9
Weighted Avg. Price 84.4 94.7 95.8 98.5 100.1 101.9 103.5
Avg. Price Bottom 5 Trades 72.6 76.3 85.9 90.5 96.0 93.5 102.4
2nd Quartile Price 83.0 89.9 94.2 97.8 99.5 101.6 103.3
3rd Quartile Price 86.2 92.0 95.3 98.0 99.9 101.9 103.7
4th Quartile Price 89.1 92.8 95.7 98.3 100.0 102.3 104.2
Avg. Price Top 5 Trades 93.5 97.7 99.2 100.6 101.5 103.5 106.0
Standard Deviation 3.8 3.7 2.6 1.7 1.0 2.2 0.8
     VOLUME OF TRADES (000'S) 639,253.2 240,248.8 161,908.9 535,840.5 1,325,285.9 1,216,564.1 1,054,324.2
     NUMBER OF TRADES 1,044 356 218 221 260 148 119
FNMA
AVERAGE PRICE 88.8 - - - - * *
Weighted Avg. Price 90.3 - - - - * *
Avg. Price Bottom 5 Trades 88.2 - - - - * *
2nd Quartile Price 89.7 - - - - * *
3rd Quartile Price 89.8 - - - - * *
4th Quartile Price 91.7 - - - - * *
Avg. Price Top 5 Trades 90.1 - - - - * *
Standard Deviation 3.4 - - - - * *
     VOLUME OF TRADES (000'S) 2,406.0 - - - - * *
     NUMBER OF TRADES 6 - - - - * *
FHLMC
AVERAGE PRICE 87.3 89.2 95.5 * * 92.9 103.0
Weighted Avg. Price 89.9 93.2 95.3 * * 104.3 103.4
Avg. Price Bottom 5 Trades 83.4 85.2 95.5 * * 92.9 103.0
2nd Quartile Price 85.3 88.0 * * * * *
3rd Quartile Price 87.7 89.1 * * * * *
4th Quartile Price 90.0 92.8 * * * * *
Avg. Price Top 5 Trades 91.3 94.8 95.5 * * 92.9 103.0
Standard Deviation 2.7 4.4 0.4 * * 6.1 2.6
     VOLUME OF TRADES (000'S) 16,656.4 19,651.8 11,555.7 * * 84.8 32,447.4
     NUMBER OF TRADES 60 39 5 * * 7 9
GNMA
AVERAGE PRICE 83.0 90.6 92.8 94.6 99.9 99.5 99.5
Weighted Avg. Price 81.0 93.8 96.2 98.5 100.1 101.6 103.0
Avg. Price Bottom 5 Trades 78.8 87.1 82.3 82.7 90.8 60.8 42.7
2nd Quartile Price 77.5 90.4 93.8 95.3 100.0 101.3 101.3
3rd Quartile Price 81.3 93.0 95.6 97.9 100.2 101.9 102.3
4th Quartile Price 87.5 94.3 96.4 98.4 101.8 104.0 104.4
Avg. Price Top 5 Trades 91.3 94.5 97.5 101.0 104.4 104.8 106.3
Standard Deviation 4.8 4.8 6.1 7.1 4.3 10.9 14.2
     VOLUME OF TRADES (000'S) 445,286.5 15,026.4 37,820.3 141,645.3 860,991.5 203,779.7 210,433.4
     NUMBER OF TRADES 121 18 22 88 69 145 167
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 101.2 - * - -
Weighted Avg. Price 99.9 - * - -
Avg. Price Bottom 5 Trades 101.2 - * - -
2nd Quartile Price * - * - -
3rd Quartile Price * - * - -
4th Quartile Price * - * - -
Avg. Price Top 5 Trades 101.2 - * - -
Standard Deviation 1.8 - * - -
     VOLUME OF TRADES (000'S) 5,120.8 - * - -
     NUMBER OF TRADES 8 - * - -
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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