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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 90.5 92.9 99.5 99.7 101.3 102.3 -
Weighted Avg. Price 92.6 98.5 99.8 101.1 102.3 103.3 -
Avg. Price Bottom 5 Trades 73.7 82.2 98.7 95.7 97.6 100.6 -
2nd Quartile Price 89.8 87.5 99.7 99.8 101.4 101.5 -
3rd Quartile Price 91.8 96.2 99.7 100.8 101.9 102.5 -
4th Quartile Price 94.7 98.2 99.8 101.1 102.2 103.3 -
Avg. Price Top 5 Trades 98.5 99.5 100.1 101.4 102.7 104.2 -
Standard Deviation 7.1 6.8 0.7 2.4 1.8 1.7 -
     VOLUME OF TRADES (000'S) 60,010.8 4,942.1 144,759.0 62,846.0 43,429.2 6,545.7 -
     NUMBER OF TRADES 189 41 28 71 72 41 -
FNMA
AVERAGE PRICE 94.5 97.8 99.3 102.1 * - -
Weighted Avg. Price 93.1 98.9 99.8 101.9 * - -
Avg. Price Bottom 5 Trades 85.8 96.4 98.5 101.7 * - -
2nd Quartile Price 94.4 98.0 99.5 101.9 * - -
3rd Quartile Price 96.7 99.2 99.5 102.4 * - -
4th Quartile Price 97.8 99.6 99.9 102.7 * - -
Avg. Price Top 5 Trades 98.4 99.5 99.9 102.6 * - -
Standard Deviation 4.6 2.4 0.8 0.5 * - -
     VOLUME OF TRADES (000'S) 190,172.9 11,927.9 64,444.6 49,385.9 * - -
     NUMBER OF TRADES 39 11 14 11 * - -
FHLMC
AVERAGE PRICE 92.0 97.9 99.0 - - - -
Weighted Avg. Price 95.8 99.7 100.8 - - - -
Avg. Price Bottom 5 Trades 80.3 96.7 97.6 - - - -
2nd Quartile Price 91.8 99.5 98.8 - - - -
3rd Quartile Price 95.1 99.7 100.7 - - - -
4th Quartile Price 96.2 99.9 100.8 - - - -
Avg. Price Top 5 Trades 96.7 99.8 101.0 - - - -
Standard Deviation 8.1 3.1 3.4 - - - -
     VOLUME OF TRADES (000'S) 40,181.3 220,070.0 82,751.5 - - - -
     NUMBER OF TRADES 39 11 15 - - - -
GNMA
AVERAGE PRICE 95.5 - - - * - -
Weighted Avg. Price 93.3 - - - * - -
Avg. Price Bottom 5 Trades 94.2 - - - * - -
2nd Quartile Price 93.2 - - - * - -
3rd Quartile Price 96.8 - - - * - -
4th Quartile Price 98.3 - - - * - -
Avg. Price Top 5 Trades 96.2 - - - * - -
Standard Deviation 2.3 - - - * - -
     VOLUME OF TRADES (000'S) 3,599.2 - - - * - -
     NUMBER OF TRADES 9 - - - * - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.7 91.7 94.1 98.2 99.8 101.7 104.4
Weighted Avg. Price 84.5 94.1 96.8 98.9 101.1 102.7 105.2
Avg. Price Bottom 5 Trades 68.8 80.7 82.3 90.7 75.2 74.7 98.2
2nd Quartile Price 83.1 90.1 93.3 98.5 100.5 102.2 104.0
3rd Quartile Price 86.5 92.9 96.0 98.7 100.8 102.4 104.5
4th Quartile Price 88.6 93.5 96.6 99.0 101.2 102.9 105.4
Avg. Price Top 5 Trades 97.8 99.3 100.1 100.7 102.4 104.1 106.5
Standard Deviation 4.0 3.1 6.3 2.1 6.4 5.1 1.9
     VOLUME OF TRADES (000'S) 1,470,810.9 235,226.8 238,795.8 597,373.9 2,715,009.1 1,844,760.1 693,289.7
     NUMBER OF TRADES 1,175 423 251 220 340 256 149
FNMA
AVERAGE PRICE 80.0 * * * * * -
Weighted Avg. Price 81.2 * * * * * -
Avg. Price Bottom 5 Trades 74.0 * * * * * -
2nd Quartile Price 72.0 * * * * * -
3rd Quartile Price 81.0 * * * * * -
4th Quartile Price 93.0 * * * * * -
Avg. Price Top 5 Trades 90.9 * * * * * -
Standard Deviation 9.1 * * * * * -
     VOLUME OF TRADES (000'S) 8,018.8 * * * * * -
     NUMBER OF TRADES 14 * * * * * -
FHLMC
AVERAGE PRICE 87.5 89.2 93.7 98.6 97.1 * *
Weighted Avg. Price 86.1 94.8 97.4 94.0 101.5 * *
Avg. Price Bottom 5 Trades 77.5 84.8 90.5 98.1 97.1 * *
2nd Quartile Price 83.6 84.9 90.2 98.9 * * *
3rd Quartile Price 88.3 88.5 94.0 100.2 * * *
4th Quartile Price 92.6 94.3 98.6 100.8 * * *
Avg. Price Top 5 Trades 98.0 94.9 98.7 99.6 97.1 * *
Standard Deviation 7.0 4.6 4.7 2.8 5.7 * *
     VOLUME OF TRADES (000'S) 7,569.4 2,696.4 92.0 59,975.1 3,582.2 * *
     NUMBER OF TRADES 67 38 17 6 6 * *
GNMA
AVERAGE PRICE 87.8 92.9 96.0 98.7 98.2 99.6 100.7
Weighted Avg. Price 88.7 93.6 96.5 99.0 100.8 102.2 103.8
Avg. Price Bottom 5 Trades 81.0 91.2 92.6 88.6 79.7 79.1 64.5
2nd Quartile Price 85.2 92.9 95.7 98.9 99.5 100.0 102.1
3rd Quartile Price 88.8 93.2 96.3 99.0 100.4 102.3 103.0
4th Quartile Price 91.9 93.8 96.9 99.4 100.9 102.5 103.0
Avg. Price Top 5 Trades 93.1 94.1 98.4 101.6 104.5 103.9 106.8
Standard Deviation 3.8 1.3 1.6 3.2 6.4 7.9 9.1
     VOLUME OF TRADES (000'S) 157,488.0 19,144.8 296,269.4 455,815.5 366,524.7 1,628,778.0 530,676.7
     NUMBER OF TRADES 150 30 64 147 102 237 249
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 * - 101.2 * *
Weighted Avg. Price * - 101.3 * *
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 * - 0.3 * *
     VOLUME OF TRADES (000'S) * - 9,347.9 * *
     NUMBER OF TRADES * - 5 * *
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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