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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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.3 93.2 94.9 98.1 100.4 101.3 102.8
Weighted Avg. Price 93.1 96.7 98.5 99.2 100.7 101.6 102.9
Avg. Price Bottom 5 Trades 87.9 71.8 91.1 95.9 96.7 97.5 100.3
2nd Quartile Price 90.9 93.0 94.1 96.5 100.6 101.5 102.9
3rd Quartile Price 92.9 93.0 97.6 99.1 100.6 101.7 102.9
4th Quartile Price 93.4 96.2 98.4 99.2 100.6 101.7 102.9
Avg. Price Top 5 Trades 97.1 97.4 98.6 99.3 101.0 101.7 102.9
Standard Deviation 1.7 5.4 5.3 1.7 0.8 1.0 0.4
     VOLUME OF TRADES (000'S) 219,932.0 1,756.2 2,176.5 222,016.9 65,804.7 38,104.4 66,641.4
     NUMBER OF TRADES 391 189 15 20 212 273 387
FNMA
AVERAGE PRICE 88.2 * - 98.8 101.5 * -
Weighted Avg. Price 86.3 * - 99.4 101.7 * -
Avg. Price Bottom 5 Trades 86.3 * - 98.3 101.5 * -
2nd Quartile Price 86.3 * - 98.8 * * -
3rd Quartile Price 87.0 * - 99.5 * * -
4th Quartile Price 97.7 * - 99.8 * * -
Avg. Price Top 5 Trades 88.7 * - 99.4 101.5 * -
Standard Deviation 4.7 * - 1.3 1.0 * -
     VOLUME OF TRADES (000'S) 12,461.3 * - 5,650.0 100,716.0 * -
     NUMBER OF TRADES 6 * - 10 7 * -
FHLMC
AVERAGE PRICE 94.7 94.1 * 99.4 - - -
Weighted Avg. Price 95.3 96.4 * 99.5 - - -
Avg. Price Bottom 5 Trades 93.6 92.9 * 99.0 - - -
2nd Quartile Price 94.0 94.7 * 99.1 - - -
3rd Quartile Price 94.0 96.2 * 99.5 - - -
4th Quartile Price 96.6 96.7 * 99.8 - - -
Avg. Price Top 5 Trades 96.4 96.9 * 99.9 - - -
Standard Deviation 1.5 5.5 * 0.6 - - -
     VOLUME OF TRADES (000'S) 1,384.8 110,006.0 * 260,004.5 - - -
     NUMBER OF TRADES 13 15 * 17 - - -
GNMA
AVERAGE PRICE 92.3 * * - - - *
Weighted Avg. Price 92.6 * * - - - *
Avg. Price Bottom 5 Trades 92.3 * * - - - *
2nd Quartile Price * * * - - - *
3rd Quartile Price * * * - - - *
4th Quartile Price * * * - - - *
Avg. Price Top 5 Trades 92.3 * * - - - *
Standard Deviation 4.9 * * - - - *
     VOLUME OF TRADES (000'S) 1,301.9 * * - - - *
     NUMBER OF TRADES 6 * * - - - *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.3 89.5 91.6 94.4 97.4 99.4 101.9
Weighted Avg. Price 85.5 90.3 94.0 95.7 98.1 99.8 102.1
Avg. Price Bottom 5 Trades 75.5 80.1 57.8 76.5 91.7 88.4 88.9
2nd Quartile Price 82.9 89.4 91.8 94.9 97.1 99.5 101.5
3rd Quartile Price 84.1 89.9 92.3 95.3 97.7 99.7 102.1
4th Quartile Price 86.5 90.2 93.0 95.6 97.9 100.0 102.9
Avg. Price Top 5 Trades 94.3 96.5 96.6 97.4 99.8 101.6 105.5
Standard Deviation 3.0 1.9 5.2 3.3 1.3 2.0 2.3
     VOLUME OF TRADES (000'S) 1,568,688.4 354,780.6 324,238.6 338,385.7 766,977.0 1,899,092.1 1,888,550.7
     NUMBER OF TRADES 944 546 385 305 307 316 332
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 85.4 89.1 91.5 94.5 93.9 * 91.7
Weighted Avg. Price 74.4 91.0 93.8 95.9 99.2 * 104.4
Avg. Price Bottom 5 Trades 73.4 83.1 86.0 92.9 93.9 * 87.4
2nd Quartile Price 85.5 89.5 92.2 93.5 * * 83.3
3rd Quartile Price 86.4 89.5 92.2 95.6 * * 99.9
4th Quartile Price 87.4 90.4 92.2 95.7 * * 100.0
Avg. Price Top 5 Trades 92.5 91.8 94.3 95.8 93.9 * 99.9
Standard Deviation 4.5 2.8 3.1 1.5 3.8 * 9.1
     VOLUME OF TRADES (000'S) 81,671.1 4,331.2 1,256.6 371.3 931.5 * 144.0
     NUMBER OF TRADES 64 69 63 21 10 * 10
GNMA
AVERAGE PRICE 85.1 91.0 93.1 95.8 98.5 99.9 100.6
Weighted Avg. Price 84.1 91.3 93.4 97.2 98.3 100.1 102.0
Avg. Price Bottom 5 Trades 80.0 88.3 90.1 90.5 95.8 91.3 70.8
2nd Quartile Price 85.1 90.2 92.6 95.8 98.1 99.9 100.3
3rd Quartile Price 85.5 91.3 93.3 95.8 99.1 100.2 101.5
4th Quartile Price 85.5 92.7 94.7 95.8 99.5 100.4 102.8
Avg. Price Top 5 Trades 89.2 93.1 95.9 98.9 100.2 102.5 107.0
Standard Deviation 1.8 2.0 2.0 1.1 1.3 3.1 6.1
     VOLUME OF TRADES (000'S) 185,271.2 24,398.7 19,882.7 21,783.0 202,357.1 1,051,177.6 215,630.9
     NUMBER OF TRADES 240 20 30 222 87 162 483
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 100.7 - * 101.3 -
Weighted Avg. Price 103.7 - * 100.7 -
Avg. Price Bottom 5 Trades 92.0 - * 101.3 -
2nd Quartile Price 101.5 - * * -
3rd Quartile Price 103.8 - * * -
4th Quartile Price 103.8 - * * -
Avg. Price Top 5 Trades 101.8 - * 101.3 -
Standard Deviation 5.3 - * 0.7 -
     VOLUME OF TRADES (000'S) 6,126.1 - * 21,561.9 -
     NUMBER OF TRADES 24 - * 5 -
FHLMC
AVERAGE PRICE 102.5 - * * *
Weighted Avg. Price 103.8 - * * *
Avg. Price Bottom 5 Trades 102.5 - * * *
2nd Quartile Price * - * * *
3rd Quartile Price * - * * *
4th Quartile Price * - * * *
Avg. Price Top 5 Trades 102.5 - * * *
Standard Deviation 3.1 - * * *
     VOLUME OF TRADES (000'S) 3,971.8 - * * *
     NUMBER OF TRADES 18 - * * *
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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