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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 93.5 93.5 97.9 100.4 101.5 102.5 -
Weighted Avg. Price 93.2 98.5 100.0 101.1 102.3 103.3 -
Avg. Price Bottom 5 Trades 84.9 81.6 77.7 97.6 99.6 100.7 -
2nd Quartile Price 91.4 94.4 99.7 100.3 101.0 102.3 -
3rd Quartile Price 93.4 97.5 99.9 100.7 101.9 102.8 -
4th Quartile Price 96.6 98.3 99.9 101.1 102.3 103.3 -
Avg. Price Top 5 Trades 98.5 98.8 100.5 101.6 103.0 103.4 -
Standard Deviation 3.2 17.8 12.0 1.1 1.0 1.1 -
     VOLUME OF TRADES (000'S) 266,621.5 47,403.1 203,547.2 85,213.3 49,404.5 52,612.8 -
     NUMBER OF TRADES 165 30 71 71 78 43 -
FNMA
AVERAGE PRICE 89.7 96.6 100.0 101.8 * * *
Weighted Avg. Price 88.3 96.9 100.9 101.7 * * *
Avg. Price Bottom 5 Trades 85.9 96.6 99.1 101.8 * * *
2nd Quartile Price 86.9 * 99.2 * * * *
3rd Quartile Price 88.0 * 99.8 * * * *
4th Quartile Price 94.1 * 101.3 * * * *
Avg. Price Top 5 Trades 95.2 96.6 101.0 101.8 * * *
Standard Deviation 3.9 1.0 1.0 0.2 * * *
     VOLUME OF TRADES (000'S) 116,933.8 2,798.9 98,978.2 50,081.0 * * *
     NUMBER OF TRADES 21 7 12 5 * * *
FHLMC
AVERAGE PRICE 87.8 98.1 91.9 * - - -
Weighted Avg. Price 81.0 99.4 100.7 * - - -
Avg. Price Bottom 5 Trades 79.7 94.6 87.4 * - - -
2nd Quartile Price 82.0 99.2 99.7 * - - -
3rd Quartile Price 90.0 99.6 100.2 * - - -
4th Quartile Price 95.9 99.7 100.8 * - - -
Avg. Price Top 5 Trades 95.2 99.8 100.4 * - - -
Standard Deviation 7.8 2.8 28.9 * - - -
     VOLUME OF TRADES (000'S) 82,346.6 281,271.0 29,581.0 * - - -
     NUMBER OF TRADES 13 17 12 * - - -
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 * - * * * - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.5 93.4 97.0 98.5 100.3 102.4 104.5
Weighted Avg. Price 85.6 94.5 96.6 99.4 101.4 103.1 104.8
Avg. Price Bottom 5 Trades 72.5 84.4 88.5 95.1 89.7 96.7 102.9
2nd Quartile Price 83.5 92.5 96.2 98.5 100.4 102.3 103.9
3rd Quartile Price 86.6 93.4 96.5 98.7 100.7 102.5 104.5
4th Quartile Price 90.1 95.3 99.3 99.0 101.0 103.1 105.2
Avg. Price Top 5 Trades 96.8 97.7 99.3 101.1 103.2 104.7 106.9
Standard Deviation 4.4 2.6 2.6 1.1 2.5 2.0 1.0
     VOLUME OF TRADES (000'S) 1,305,649.9 280,314.0 1,225,994.3 1,573,195.9 7,338,641.8 10,855,327.4 3,612,137.5
     NUMBER OF TRADES 1,130 328 287 283 341 241 141
FNMA
AVERAGE PRICE 87.7 * * * - - -
Weighted Avg. Price 85.8 * * * - - -
Avg. Price Bottom 5 Trades 86.6 * * * - - -
2nd Quartile Price 81.2 * * * - - -
3rd Quartile Price 91.0 * * * - - -
4th Quartile Price 93.3 * * * - - -
Avg. Price Top 5 Trades 89.1 * * * - - -
Standard Deviation 6.8 * * * - - -
     VOLUME OF TRADES (000'S) 8,680.7 * * * - - -
     NUMBER OF TRADES 8 * * * - - -
FHLMC
AVERAGE PRICE 90.4 95.0 97.3 * 101.9 * *
Weighted Avg. Price 92.6 98.1 99.9 * 103.7 * *
Avg. Price Bottom 5 Trades 86.8 89.7 95.5 * 101.9 * *
2nd Quartile Price 89.1 94.3 96.2 * * * *
3rd Quartile Price 90.2 95.3 99.3 * * * *
4th Quartile Price 92.2 95.3 99.9 * * * *
Avg. Price Top 5 Trades 96.9 96.0 99.0 * 101.9 * *
Standard Deviation 2.6 2.2 3.1 * 2.7 * *
     VOLUME OF TRADES (000'S) 19,401.7 8,665.6 1,157.2 * 212.3 * *
     NUMBER OF TRADES 106 82 15 * 12 * *
GNMA
AVERAGE PRICE 88.0 93.5 95.9 98.1 99.6 101.2 103.3
Weighted Avg. Price 87.9 93.8 96.4 98.9 100.8 102.2 103.5
Avg. Price Bottom 5 Trades 80.9 91.3 94.3 90.5 78.9 60.1 94.4
2nd Quartile Price 85.3 92.9 95.8 98.0 99.7 101.5 102.6
3rd Quartile Price 88.7 93.7 96.3 99.0 100.8 102.3 103.6
4th Quartile Price 91.3 94.4 96.5 99.3 101.4 103.2 105.0
Avg. Price Top 5 Trades 92.4 95.1 97.2 102.6 103.4 104.2 105.7
Standard Deviation 3.5 1.5 1.2 3.2 4.5 8.3 2.2
     VOLUME OF TRADES (000'S) 422,539.1 69,395.4 156,466.4 682,353.9 1,272,519.3 999,618.1 847,915.9
     NUMBER OF TRADES 171 62 39 185 193 195 322
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 - - 100.0 - -
Weighted Avg. Price - - 99.9 - -
Avg. Price Bottom 5 Trades - - 99.8 - -
2nd Quartile Price - - 99.9 - -
3rd Quartile Price - - 100.0 - -
4th Quartile Price - - 100.8 - -
Avg. Price Top 5 Trades - - 100.2 - -
Standard Deviation - - 0.7 - -
     VOLUME OF TRADES (000'S) - - 25,895.4 - -
     NUMBER OF TRADES - - 7 - -
* 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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