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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 96.1 97.9 100.0 101.0 102.2 103.1 *
Weighted Avg. Price 94.1 98.5 99.9 101.2 102.2 103.2 *
Avg. Price Bottom 5 Trades 85.5 94.8 99.7 100.3 102.0 103.0 *
2nd Quartile Price 95.7 98.1 99.9 101.0 102.1 103.1 *
3rd Quartile Price 96.8 98.5 99.9 101.1 102.1 103.1 *
4th Quartile Price 97.9 98.6 100.4 101.1 102.2 103.1 *
Avg. Price Top 5 Trades 98.5 99.0 100.4 101.4 102.9 103.2 *
Standard Deviation 2.6 2.9 0.3 0.5 0.4 0.3 *
     VOLUME OF TRADES (000'S) 107,753.0 22,849.5 79,792.9 145,271.2 176,643.4 9,797.0 *
     NUMBER OF TRADES 321 30 25 52 55 26 *
FNMA
AVERAGE PRICE 94.5 98.6 100.5 102.1 * - -
Weighted Avg. Price 94.8 99.1 100.6 102.1 * - -
Avg. Price Bottom 5 Trades 92.0 97.8 100.0 101.9 * - -
2nd Quartile Price 93.3 98.5 100.4 102.0 * - -
3rd Quartile Price 94.0 99.2 100.7 102.1 * - -
4th Quartile Price 97.0 99.3 100.8 102.4 * - -
Avg. Price Top 5 Trades 97.6 99.3 101.0 102.4 * - -
Standard Deviation 2.4 1.6 0.5 0.3 * - -
     VOLUME OF TRADES (000'S) 25,545.0 6,803.5 498,041.0 99,206.0 * - -
     NUMBER OF TRADES 16 12 13 12 * - -
FHLMC
AVERAGE PRICE 95.8 * 100.4 * - - -
Weighted Avg. Price 97.8 * 99.8 * - - -
Avg. Price Bottom 5 Trades 90.7 * 98.9 * - - -
2nd Quartile Price 96.1 * 99.9 * - - -
3rd Quartile Price 98.1 * 100.9 * - - -
4th Quartile Price 98.4 * 100.9 * - - -
Avg. Price Top 5 Trades 98.9 * 101.3 * - - -
Standard Deviation 6.0 * 1.1 * - - -
     VOLUME OF TRADES (000'S) 13,759.0 * 147,100.0 * - - -
     NUMBER OF TRADES 25 * 26 * - - -
GNMA
AVERAGE PRICE * * 100.1 * * - -
Weighted Avg. Price * * 100.1 * * - -
Avg. Price Bottom 5 Trades * * 100.1 * * - -
2nd Quartile Price * * * * * - -
3rd Quartile Price * * * * * - -
4th Quartile Price * * * * * - -
Avg. Price Top 5 Trades * * 100.1 * * - -
Standard Deviation * * 0.2 * * - -
     VOLUME OF TRADES (000'S) * * 10,954.5 * * - -
     NUMBER OF TRADES * * 5 * * - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.9 94.6 97.0 98.7 100.1 102.1 101.3
Weighted Avg. Price 86.9 95.1 98.0 100.0 101.5 102.5 104.0
Avg. Price Bottom 5 Trades 72.5 84.8 90.8 84.8 68.9 94.0 75.2
2nd Quartile Price 84.7 94.3 96.7 99.2 100.8 102.3 103.7
3rd Quartile Price 88.3 94.6 97.5 99.5 101.2 102.3 104.7
4th Quartile Price 91.5 95.4 98.1 99.9 101.5 102.7 104.7
Avg. Price Top 5 Trades 96.2 100.4 100.2 101.6 102.7 105.2 106.0
Standard Deviation 4.5 2.3 2.1 4.1 5.6 2.1 9.6
     VOLUME OF TRADES (000'S) 749,289.3 509,657.2 237,913.6 396,092.8 2,292,988.0 2,525,866.9 1,250,640.9
     NUMBER OF TRADES 864 316 269 256 313 288 181
FNMA
AVERAGE PRICE * - - * - * 98.6
Weighted Avg. Price * - - * - * 104.7
Avg. Price Bottom 5 Trades * - - * - * 98.6
2nd Quartile Price * - - * - * *
3rd Quartile Price * - - * - * *
4th Quartile Price * - - * - * *
Avg. Price Top 5 Trades * - - * - * 98.6
Standard Deviation * - - * - * 5.9
     VOLUME OF TRADES (000'S) * - - * - * 811.4
     NUMBER OF TRADES * - - * - * 6
FHLMC
AVERAGE PRICE 89.7 94.6 95.8 95.5 96.3 94.7 82.2
Weighted Avg. Price 77.7 97.2 102.4 98.1 100.1 105.2 101.2
Avg. Price Bottom 5 Trades 85.4 94.4 94.1 95.5 94.8 94.7 82.2
2nd Quartile Price 87.8 94.3 94.6 * 95.9 * *
3rd Quartile Price 91.0 94.3 96.3 * 96.1 * *
4th Quartile Price 91.5 94.3 102.2 * 100.8 * *
Avg. Price Top 5 Trades 94.2 96.4 101.3 95.5 97.9 94.7 82.2
Standard Deviation 4.0 0.8 5.0 4.4 3.5 4.2 21.7
     VOLUME OF TRADES (000'S) 7,284.7 814.5 30,069.8 0.5 2.5 397.6 1,062.6
     NUMBER OF TRADES 53 37 15 10 16 9 10
GNMA
AVERAGE PRICE 88.1 94.7 97.3 99.8 101.6 102.0 102.7
Weighted Avg. Price 87.9 95.5 97.6 99.8 101.3 102.1 103.9
Avg. Price Bottom 5 Trades 82.5 92.8 95.8 95.9 98.5 89.5 82.1
2nd Quartile Price 85.8 94.4 96.8 99.7 101.1 101.7 102.7
3rd Quartile Price 89.5 95.0 97.5 99.8 101.7 102.2 102.7
4th Quartile Price 91.7 95.6 97.6 100.2 102.0 103.5 104.1
Avg. Price Top 5 Trades 93.4 96.3 98.9 103.8 104.6 107.9 110.9
Standard Deviation 3.5 1.4 1.1 1.7 1.1 3.5 3.7
     VOLUME OF TRADES (000'S) 443,997.4 58,321.9 585,094.2 1,179,875.0 1,791,050.8 853,165.4 618,156.9
     NUMBER OF TRADES 95 23 48 92 237 162 373
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 103.6 - - 101.0 -
Weighted Avg. Price 103.6 - - 100.6 -
Avg. Price Bottom 5 Trades 103.6 - - 100.6 -
2nd Quartile Price * - - 100.6 -
3rd Quartile Price * - - 101.2 -
4th Quartile Price * - - 101.6 -
Avg. Price Top 5 Trades 103.6 - - 101.4 -
Standard Deviation - - - 0.7 -
     VOLUME OF TRADES (000'S) 2,973.7 - - 60,739.1 -
     NUMBER OF TRADES 11 - - 8 -
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 * * 100.5 - -
Weighted Avg. Price * * 101.0 - -
Avg. Price Bottom 5 Trades * * 100.1 - -
2nd Quartile Price * * 100.2 - -
3rd Quartile Price * * 100.8 - -
4th Quartile Price * * 101.0 - -
Avg. Price Top 5 Trades * * 101.0 - -
Standard Deviation * * 0.9 - -
     VOLUME OF TRADES (000'S) * * 32,105.6 - -
     NUMBER OF TRADES * * 8 - -
* 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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