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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 89.2 89.1 87.8 94.4 98.6 99.6 100.0
Weighted Avg. Price 89.5 96.9 96.0 98.2 100.1 101.3 102.0
Avg. Price Bottom 5 Trades 82.0 81.5 63.2 83.9 96.1 96.8 97.1
2nd Quartile Price 87.0 84.0 88.6 93.1 98.0 98.3 98.8
3rd Quartile Price 89.5 89.9 92.0 95.9 99.2 100.1 100.8
4th Quartile Price 90.9 95.3 94.8 98.1 99.6 100.7 101.4
Avg. Price Top 5 Trades 94.2 97.0 96.1 98.7 100.1 101.3 102.1
Standard Deviation 3.2 6.3 17.2 5.8 1.3 1.5 1.7
     VOLUME OF TRADES (000'S) 113,058.4 54,169.5 8,088.9 56,995.7 14,435.6 16,635.2 1,478.2
     NUMBER OF TRADES 92 27 32 39 59 75 47
FNMA
AVERAGE PRICE 89.8 * * * 99.4 * -
Weighted Avg. Price 91.4 * * * 99.4 * -
Avg. Price Bottom 5 Trades 88.5 * * * 98.4 * -
2nd Quartile Price 91.3 * * * 99.2 * -
3rd Quartile Price 91.4 * * * 100.0 * -
4th Quartile Price 96.7 * * * 100.4 * -
Avg. Price Top 5 Trades 91.8 * * * 100.3 * -
Standard Deviation 5.4 * * * 1.2 * -
     VOLUME OF TRADES (000'S) 28,261.4 * * * 117,405.8 * -
     NUMBER OF TRADES 6 * * * 17 * -
FHLMC
AVERAGE PRICE 85.0 85.3 - * - - -
Weighted Avg. Price 90.8 97.5 - * - - -
Avg. Price Bottom 5 Trades 66.8 85.3 - * - - -
2nd Quartile Price 80.0 * - * - - -
3rd Quartile Price 90.3 * - * - - -
4th Quartile Price 92.4 * - * - - -
Avg. Price Top 5 Trades 93.8 85.3 - * - - -
Standard Deviation 12.5 7.0 - * - - -
     VOLUME OF TRADES (000'S) 60,056.9 14,377.2 - * - - -
     NUMBER OF TRADES 20 5 - * - - -
GNMA
AVERAGE PRICE 90.7 - * - - - *
Weighted Avg. Price 96.0 - * - - - *
Avg. Price Bottom 5 Trades 90.7 - * - - - *
2nd Quartile Price * - * - - - *
3rd Quartile Price * - * - - - *
4th Quartile Price * - * - - - *
Avg. Price Top 5 Trades 90.7 - * - - - *
Standard Deviation 4.5 - * - - - *
     VOLUME OF TRADES (000'S) 11,330.8 - * - - - *
     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 82.3 88.1 90.9 94.0 96.2 98.8 101.2
Weighted Avg. Price 82.7 90.3 92.7 95.1 97.2 99.1 101.2
Avg. Price Bottom 5 Trades 73.8 84.5 81.2 89.6 93.2 95.0 89.6
2nd Quartile Price 81.1 88.0 90.9 93.5 96.4 98.6 100.8
3rd Quartile Price 82.0 88.0 91.0 94.0 96.4 99.0 101.1
4th Quartile Price 84.7 88.3 91.6 94.7 96.8 99.1 102.7
Avg. Price Top 5 Trades 92.4 92.9 95.1 96.9 98.2 100.8 105.6
Standard Deviation 2.9 1.3 2.4 1.6 1.2 1.0 4.6
     VOLUME OF TRADES (000'S) 1,288,487.9 313,945.2 195,546.7 510,820.0 494,116.6 2,938,494.5 1,544,681.3
     NUMBER OF TRADES 723 324 250 236 235 223 170
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 84.5 88.8 90.3 93.7 - 88.2 98.9
Weighted Avg. Price 86.3 91.3 85.2 94.9 - 90.1 95.5
Avg. Price Bottom 5 Trades 84.1 88.4 88.2 92.4 - 88.2 97.5
2nd Quartile Price 83.4 88.1 90.5 93.2 - * 100.0
3rd Quartile Price 84.6 88.1 90.9 93.5 - * 100.3
4th Quartile Price 84.6 90.1 90.9 96.0 - * 100.7
Avg. Price Top 5 Trades 84.9 90.5 90.8 94.8 - 88.2 100.5
Standard Deviation 1.6 1.4 1.4 2.7 - 13.1 2.8
     VOLUME OF TRADES (000'S) 1,469.1 936.7 4,033.3 29.1 - 1.7 3.0
     NUMBER OF TRADES 21 18 25 16 - 10 9
GNMA
AVERAGE PRICE 84.3 88.8 90.8 94.1 97.5 96.7 100.8
Weighted Avg. Price 86.0 90.3 93.7 95.5 98.0 99.5 101.7
Avg. Price Bottom 5 Trades 80.1 85.4 82.6 90.8 92.3 52.1 38.9
2nd Quartile Price 82.1 88.9 92.1 93.6 97.3 99.4 101.1
3rd Quartile Price 84.2 89.6 92.4 94.6 97.8 99.6 102.0
4th Quartile Price 86.7 90.6 93.5 96.2 99.1 99.6 103.1
Avg. Price Top 5 Trades 87.9 90.9 94.1 96.5 99.4 102.0 114.0
Standard Deviation 2.5 2.5 9.1 2.9 2.6 11.9 10.2
     VOLUME OF TRADES (000'S) 93,395.2 48,556.1 100,872.1 67,307.2 109,892.0 285,284.3 1,250,114.7
     NUMBER OF TRADES 70 37 44 40 56 103 259
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 - - - 100.6 *
Weighted Avg. Price - - - 99.9 *
Avg. Price Bottom 5 Trades - - - 100.1 *
2nd Quartile Price - - - 100.6 *
3rd Quartile Price - - - 100.8 *
4th Quartile Price - - - 101.3 *
Avg. Price Top 5 Trades - - - 101.1 *
Standard Deviation - - - 0.9 *
     VOLUME OF TRADES (000'S) - - - 2,547.5 *
     NUMBER OF TRADES - - - 9 *
FHLMC
AVERAGE PRICE * - - 98.9 *
Weighted Avg. Price * - - 101.2 *
Avg. Price Bottom 5 Trades * - - 98.3 *
2nd Quartile Price * - - 99.8 *
3rd Quartile Price * - - 100.5 *
4th Quartile Price * - - 101.8 *
Avg. Price Top 5 Trades * - - 100.4 *
Standard Deviation * - - 3.6 *
     VOLUME OF TRADES (000'S) * - - 42,903.6 *
     NUMBER OF TRADES * - - 6 *
GNMA
AVERAGE PRICE 98.1 - - - -
Weighted Avg. Price 99.5 - - - -
Avg. Price Bottom 5 Trades 98.1 - - - -
2nd Quartile Price * - - - -
3rd Quartile Price * - - - -
4th Quartile Price * - - - -
Avg. Price Top 5 Trades 98.1 - - - -
Standard Deviation 0.5 - - - -
     VOLUME OF TRADES (000'S) 317.1 - - - -
     NUMBER OF TRADES 11 - - - -
* 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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