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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 93.7 98.6 99.7 101.0 102.0 103.7 -
Weighted Avg. Price 93.9 98.5 99.9 101.1 102.5 104.3 -
Avg. Price Bottom 5 Trades 75.8 98.2 98.6 100.5 101.4 102.8 -
2nd Quartile Price 92.3 98.3 99.7 101.0 102.1 103.2 -
3rd Quartile Price 94.3 98.5 99.8 101.1 102.3 104.0 -
4th Quartile Price 97.0 98.6 100.0 101.2 102.5 104.4 -
Avg. Price Top 5 Trades 99.2 99.1 100.2 101.5 102.5 104.4 -
Standard Deviation 5.3 0.5 0.6 0.3 1.0 0.7 -
     VOLUME OF TRADES (000'S) 173,601.7 33,349.7 292,521.9 123,473.3 14,552.3 214,800.0 -
     NUMBER OF TRADES 324 23 54 59 42 38 -
FNMA
AVERAGE PRICE 91.4 98.3 99.7 100.9 * - -
Weighted Avg. Price 92.5 98.6 99.2 102.1 * - -
Avg. Price Bottom 5 Trades 87.5 96.6 98.9 100.3 * - -
2nd Quartile Price 87.9 98.1 99.5 100.0 * - -
3rd Quartile Price 93.2 98.7 100.0 101.2 * - -
4th Quartile Price 93.6 99.3 100.3 102.4 * - -
Avg. Price Top 5 Trades 95.1 99.6 100.3 101.3 * - -
Standard Deviation 3.7 1.4 0.8 1.1 * - -
     VOLUME OF TRADES (000'S) 62,033.0 96,610.0 73,211.0 35,147.7 * - -
     NUMBER OF TRADES 16 24 12 7 * - -
FHLMC
AVERAGE PRICE 95.3 99.5 99.6 99.8 * - -
Weighted Avg. Price 95.8 99.3 100.1 99.7 * - -
Avg. Price Bottom 5 Trades 72.6 99.2 98.6 99.8 * - -
2nd Quartile Price 96.6 99.3 99.0 * * - -
3rd Quartile Price 97.7 99.5 99.8 * * - -
4th Quartile Price 99.3 99.8 100.0 * * - -
Avg. Price Top 5 Trades 99.2 99.9 100.6 99.8 * - -
Standard Deviation 8.0 0.3 0.9 0.9 * - -
     VOLUME OF TRADES (000'S) 24,670.4 107,581.2 106,033.0 56,692.0 * - -
     NUMBER OF TRADES 75 15 16 5 * - -
GNMA
AVERAGE PRICE 97.6 * * * - - -
Weighted Avg. Price 97.2 * * * - - -
Avg. Price Bottom 5 Trades 95.0 * * * - - -
2nd Quartile Price 96.9 * * * - - -
3rd Quartile Price 99.3 * * * - - -
4th Quartile Price 99.3 * * * - - -
Avg. Price Top 5 Trades 99.1 * * * - - -
Standard Deviation 2.5 * * * - - -
     VOLUME OF TRADES (000'S) 7,105.2 * * * - - -
     NUMBER OF TRADES 16 * * * - - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.3 92.5 96.6 99.3 100.9 102.5 102.7
Weighted Avg. Price 89.5 95.2 97.8 99.7 101.4 103.4 104.7
Avg. Price Bottom 5 Trades 70.6 67.7 85.0 89.6 88.0 83.6 91.1
2nd Quartile Price 84.2 92.3 96.3 99.3 101.0 102.8 103.9
3rd Quartile Price 87.8 93.9 97.3 99.5 101.1 103.1 104.0
4th Quartile Price 91.1 94.5 97.6 100.0 101.5 104.0 104.7
Avg. Price Top 5 Trades 97.9 97.7 100.2 101.0 103.3 104.7 105.8
Standard Deviation 4.4 5.5 3.0 1.6 2.4 8.0 5.7
     VOLUME OF TRADES (000'S) 1,322,141.9 330,104.3 528,008.9 4,196,174.8 1,999,259.0 473,512.7 95,850.6
     NUMBER OF TRADES 1,612 394 293 454 276 175 65
FNMA
AVERAGE PRICE 88.0 * - * * * -
Weighted Avg. Price 88.9 * - * * * -
Avg. Price Bottom 5 Trades 85.7 * - * * * -
2nd Quartile Price 86.6 * - * * * -
3rd Quartile Price 90.2 * - * * * -
4th Quartile Price 92.3 * - * * * -
Avg. Price Top 5 Trades 90.0 * - * * * -
Standard Deviation 4.3 * - * * * -
     VOLUME OF TRADES (000'S) 6,047.8 * - * * * -
     NUMBER OF TRADES 8 * - * * * -
FHLMC
AVERAGE PRICE 91.6 94.8 96.9 100.5 92.4 - *
Weighted Avg. Price 91.8 97.9 99.2 101.1 103.4 - *
Avg. Price Bottom 5 Trades 86.4 93.1 94.1 100.5 89.1 - *
2nd Quartile Price 88.9 93.9 96.0 * 96.0 - *
3rd Quartile Price 91.2 94.5 99.1 * 97.0 - *
4th Quartile Price 93.7 96.9 99.1 * 103.7 - *
Avg. Price Top 5 Trades 97.8 98.7 99.2 100.5 96.0 - *
Standard Deviation 3.4 2.3 3.5 2.8 14.8 - *
     VOLUME OF TRADES (000'S) 23,624.3 2,467.1 449.4 109.8 66.2 - *
     NUMBER OF TRADES 78 43 15 9 9 - *
GNMA
AVERAGE PRICE 90.3 95.0 97.8 99.2 101.2 101.8 103.2
Weighted Avg. Price 89.3 94.1 97.7 99.6 101.2 102.2 105.0
Avg. Price Bottom 5 Trades 81.7 93.9 96.1 87.7 90.5 90.7 70.8
2nd Quartile Price 87.8 94.0 97.0 99.5 100.9 101.9 103.3
3rd Quartile Price 89.6 95.6 97.5 99.7 101.3 102.4 104.0
4th Quartile Price 94.5 95.6 98.4 100.6 102.2 103.5 106.4
Avg. Price Top 5 Trades 94.5 95.7 101.0 103.6 105.9 105.2 107.0
Standard Deviation 3.9 0.9 1.3 3.8 3.6 3.5 7.7
     VOLUME OF TRADES (000'S) 1,490,069.8 384,471.1 1,500,978.7 2,912,678.7 933,506.5 1,286,763.0 616,319.7
     NUMBER OF TRADES 238 43 102 211 220 195 260
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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