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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 91.7 95.6 98.9 100.2 101.5 102.4 103.7
Weighted Avg. Price 91.7 97.3 99.1 100.3 101.6 102.6 103.6
Avg. Price Bottom 5 Trades 81.5 93.8 97.7 98.2 99.5 100.3 103.7
2nd Quartile Price 91.0 97.1 98.8 100.3 101.5 102.6 *
3rd Quartile Price 92.5 97.2 98.9 100.3 101.5 102.6 *
4th Quartile Price 92.5 98.0 99.1 100.4 101.6 102.7 *
Avg. Price Top 5 Trades 98.6 97.6 99.7 100.8 102.5 103.2 103.7
Standard Deviation 4.1 4.3 1.3 0.6 0.6 0.7 0.2
     VOLUME OF TRADES (000'S) 234,058.5 6,898.3 152,433.8 643,320.8 324,017.4 386,234.9 13,362.0
     NUMBER OF TRADES 165 11 41 89 90 60 9
FNMA
AVERAGE PRICE 92.9 * 99.4 100.0 * * -
Weighted Avg. Price 89.7 * 99.5 100.4 * * -
Avg. Price Bottom 5 Trades 88.5 * 99.1 99.1 * * -
2nd Quartile Price 90.5 * 99.4 100.1 * * -
3rd Quartile Price 94.2 * 99.5 100.4 * * -
4th Quartile Price 96.4 * 99.9 101.0 * * -
Avg. Price Top 5 Trades 96.5 * 99.8 100.6 * * -
Standard Deviation 3.3 * 0.5 1.3 * * -
     VOLUME OF TRADES (000'S) 18,250.4 * 193,365.7 154,361.0 * * -
     NUMBER OF TRADES 18 * 12 11 * * -
FHLMC
AVERAGE PRICE 92.0 - 99.0 99.4 - - -
Weighted Avg. Price 94.2 - 98.4 98.4 - - -
Avg. Price Bottom 5 Trades 92.0 - 98.6 99.2 - - -
2nd Quartile Price * - 98.7 98.6 - - -
3rd Quartile Price * - 99.4 100.1 - - -
4th Quartile Price * - 99.7 101.1 - - -
Avg. Price Top 5 Trades 92.0 - 99.4 99.7 - - -
Standard Deviation 1.7 - 0.7 1.1 - - -
     VOLUME OF TRADES (000'S) 70.6 - 8,050.6 29,377.0 - - -
     NUMBER OF TRADES 6 - 8 7 - - -
GNMA
AVERAGE PRICE * * 98.8 100.4 101.6 * *
Weighted Avg. Price * * 98.9 100.4 101.7 * *
Avg. Price Bottom 5 Trades * * 98.8 100.4 101.6 * *
2nd Quartile Price * * * 100.4 101.6 * *
3rd Quartile Price * * * 100.4 101.7 * *
4th Quartile Price * * * 100.5 101.7 * *
Avg. Price Top 5 Trades * * 98.8 100.4 101.7 * *
Standard Deviation * * 0.2 0.1 0.1 * *
     VOLUME OF TRADES (000'S) * * 12,630.9 76,478.3 36,037.9 * *
     NUMBER OF TRADES * * 6 11 11 * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.3 91.5 94.4 97.2 98.8 101.5 104.1
Weighted Avg. Price 85.8 92.6 95.5 97.9 99.7 101.6 103.8
Avg. Price Bottom 5 Trades 73.8 82.0 84.9 91.4 88.1 84.5 102.0
2nd Quartile Price 82.0 91.4 94.1 97.0 99.1 101.5 103.3
3rd Quartile Price 85.5 92.2 94.8 97.4 99.5 101.5 104.1
4th Quartile Price 88.8 92.3 95.0 97.6 99.9 102.0 105.0
Avg. Price Top 5 Trades 94.9 97.8 98.8 99.9 100.8 103.0 105.5
Standard Deviation 4.2 3.1 2.3 1.3 2.8 2.5 1.0
     VOLUME OF TRADES (000'S) 752,774.4 257,663.9 379,047.1 516,998.9 1,508,052.5 2,574,599.5 676,633.9
     NUMBER OF TRADES 1,054 275 216 227 253 401 103
FNMA
AVERAGE PRICE 91.7 * - - - * *
Weighted Avg. Price 90.5 * - - - * *
Avg. Price Bottom 5 Trades 91.7 * - - - * *
2nd Quartile Price * * - - - * *
3rd Quartile Price * * - - - * *
4th Quartile Price * * - - - * *
Avg. Price Top 5 Trades 91.7 * - - - * *
Standard Deviation 1.9 * - - - * *
     VOLUME OF TRADES (000'S) 5,180.3 * - - - * *
     NUMBER OF TRADES 19 * - - - * *
FHLMC
AVERAGE PRICE 88.4 91.9 93.0 96.4 * 98.1 -
Weighted Avg. Price 80.3 95.1 97.8 91.6 * 99.0 -
Avg. Price Bottom 5 Trades 80.7 91.3 91.7 96.4 * 98.1 -
2nd Quartile Price 85.5 91.4 91.0 * * * -
3rd Quartile Price 89.3 91.4 94.3 * * * -
4th Quartile Price 89.9 92.3 98.0 * * * -
Avg. Price Top 5 Trades 93.7 97.7 94.0 96.4 * 98.1 -
Standard Deviation 4.2 2.2 3.4 2.4 * 2.8 -
     VOLUME OF TRADES (000'S) 5,659.0 478.0 80.7 25,374.9 * 3.0 -
     NUMBER OF TRADES 79 75 10 6 * 8 -
GNMA
AVERAGE PRICE 85.0 92.6 93.6 96.3 99.8 101.8 102.6
Weighted Avg. Price 87.2 92.5 94.8 97.5 99.8 101.7 104.4
Avg. Price Bottom 5 Trades 79.5 91.8 89.8 87.8 97.4 88.3 75.1
2nd Quartile Price 83.4 92.4 94.1 96.9 99.7 101.4 102.7
3rd Quartile Price 84.3 92.5 94.1 97.5 99.7 101.9 104.3
4th Quartile Price 87.4 93.0 95.0 97.6 99.9 102.7 105.2
Avg. Price Top 5 Trades 92.2 93.4 96.3 102.3 103.2 106.0 107.6
Standard Deviation 3.5 1.1 3.1 4.7 1.2 3.3 6.5
     VOLUME OF TRADES (000'S) 231,332.8 227,337.5 107,372.3 741,037.6 3,113,641.4 1,408,258.4 1,215,588.2
     NUMBER OF TRADES 65 17 33 63 152 196 295
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 - - 98.5 - -
Weighted Avg. Price - - 98.9 - -
Avg. Price Bottom 5 Trades - - 97.0 - -
2nd Quartile Price - - 98.7 - -
3rd Quartile Price - - 99.9 - -
4th Quartile Price - - 100.5 - -
Avg. Price Top 5 Trades - - 100.2 - -
Standard Deviation - - 2.3 - -
     VOLUME OF TRADES (000'S) - - 71,934.7 - -
     NUMBER OF TRADES - - 9 - -
* 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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