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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
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 90.0 90.8 95.4 94.4 99.2 99.8 101.6
Weighted Avg. Price 89.1 96.1 97.1 98.8 100.2 101.1 103.1
Avg. Price Bottom 5 Trades 80.9 79.5 88.5 75.0 96.5 97.3 99.2
2nd Quartile Price 88.0 90.0 94.0 95.7 98.9 98.5 101.3
3rd Quartile Price 90.3 93.2 96.6 98.2 99.8 100.4 102.4
4th Quartile Price 92.0 93.2 97.2 98.9 100.1 100.8 102.4
Avg. Price Top 5 Trades 97.4 96.9 98.1 99.2 100.4 101.2 102.3
Standard Deviation 3.4 4.6 3.1 10.6 1.2 1.4 1.6
     VOLUME OF TRADES (000'S) 140,592.3 1,297.6 188,160.7 23,953.5 101,668.8 4,078.2 46,658.1
     NUMBER OF TRADES 148 198 58 42 72 58 22
FNMA
AVERAGE PRICE 85.9 * 97.0 98.6 100.6 * -
Weighted Avg. Price 75.0 * 96.4 98.4 100.7 * -
Avg. Price Bottom 5 Trades 81.3 * 96.8 97.7 100.3 * -
2nd Quartile Price 81.0 * 96.1 98.5 100.0 * -
3rd Quartile Price 90.0 * 97.5 98.8 101.2 * -
4th Quartile Price 97.5 * 97.9 99.4 101.6 * -
Avg. Price Top 5 Trades 90.4 * 97.6 99.5 101.1 * -
Standard Deviation 9.6 * 0.9 1.1 0.8 * -
     VOLUME OF TRADES (000'S) 199,955.1 * 26,115.0 265,017.0 133,960.0 * -
     NUMBER OF TRADES 7 * 8 17 10 * -
FHLMC
AVERAGE PRICE 87.8 86.7 - * - - -
Weighted Avg. Price 95.2 89.4 - * - - -
Avg. Price Bottom 5 Trades 77.3 75.3 - * - - -
2nd Quartile Price 81.0 82.0 - * - - -
3rd Quartile Price 91.7 92.3 - * - - -
4th Quartile Price 95.6 93.6 - * - - -
Avg. Price Top 5 Trades 96.3 93.6 - * - - -
Standard Deviation 9.0 9.2 - * - - -
     VOLUME OF TRADES (000'S) 1,561.9 11.9 - * - - -
     NUMBER OF TRADES 16 28 - * - - -
GNMA
AVERAGE PRICE * - - * 99.8 - 111.8
Weighted Avg. Price * - - * 100.1 - 113.7
Avg. Price Bottom 5 Trades * - - * 99.8 - 111.8
2nd Quartile Price * - - * * - *
3rd Quartile Price * - - * * - *
4th Quartile Price * - - * * - *
Avg. Price Top 5 Trades * - - * 99.8 - 111.8
Standard Deviation * - - * 0.3 - 6.2
     VOLUME OF TRADES (000'S) * - - * 10,285.4 - 1,703.6
     NUMBER OF TRADES * - - * 5 - 12
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 84.7 89.0 91.3 95.3 97.5 99.4 101.4
Weighted Avg. Price 87.4 90.7 96.2 95.7 97.8 99.7 101.6
Avg. Price Bottom 5 Trades 76.6 79.2 80.1 92.7 94.0 92.8 96.0
2nd Quartile Price 82.9 88.5 90.4 94.9 97.4 99.3 101.0
3rd Quartile Price 84.5 89.7 92.5 95.3 97.6 99.5 101.1
4th Quartile Price 86.6 90.0 93.0 95.7 97.8 100.0 102.2
Avg. Price Top 5 Trades 92.2 94.9 97.6 98.1 100.3 101.6 105.3
Standard Deviation 2.7 3.0 3.6 1.0 0.9 1.5 1.7
     VOLUME OF TRADES (000'S) 995,312.8 160,163.4 401,893.3 687,288.1 1,855,805.3 1,676,181.7 2,303,091.1
     NUMBER OF TRADES 1,005 503 428 304 421 280 328
FNMA
AVERAGE PRICE 81.0 88.1 - * 97.7 99.5 101.9
Weighted Avg. Price 75.1 89.9 - * 97.8 99.6 102.6
Avg. Price Bottom 5 Trades 79.8 88.1 - * 97.6 99.2 98.6
2nd Quartile Price 80.7 * - * 97.6 99.4 100.1
3rd Quartile Price 80.7 * - * 97.9 99.6 102.9
4th Quartile Price 81.3 * - * 98.4 100.1 104.6
Avg. Price Top 5 Trades 81.8 88.1 - * 97.9 99.9 104.6
Standard Deviation 2.9 1.4 - * 0.5 0.4 2.6
     VOLUME OF TRADES (000'S) 154,169.1 33,990.6 - * 28,150.5 18,078.8 74,605.3
     NUMBER OF TRADES 28 8 - * 7 11 19
FHLMC
AVERAGE PRICE 84.9 87.6 90.3 95.0 * 93.5 102.4
Weighted Avg. Price 82.1 92.5 95.6 95.6 * 99.5 102.5
Avg. Price Bottom 5 Trades 81.5 80.7 78.1 94.7 * 92.3 102.4
2nd Quartile Price 82.0 85.9 89.0 94.6 * 98.8 *
3rd Quartile Price 85.3 89.5 92.5 95.2 * 99.5 *
4th Quartile Price 86.4 89.5 92.8 95.6 * 100.3 *
Avg. Price Top 5 Trades 92.2 92.1 97.5 95.4 * 96.7 102.4
Standard Deviation 3.4 5.1 6.2 0.6 * 10.8 1.4
     VOLUME OF TRADES (000'S) 14,065.3 33,075.1 685.2 21,806.8 * 63,872.2 25,907.0
     NUMBER OF TRADES 59 88 97 13 * 7 5
GNMA
AVERAGE PRICE 85.3 90.9 94.0 97.3 96.5 99.6 101.1
Weighted Avg. Price 87.5 91.3 93.9 96.0 98.2 99.9 101.3
Avg. Price Bottom 5 Trades 80.1 90.5 93.4 94.9 86.8 86.7 66.7
2nd Quartile Price 84.4 90.9 93.5 95.8 97.2 99.8 100.0
3rd Quartile Price 85.2 90.9 93.8 96.4 98.0 100.0 100.2
4th Quartile Price 88.1 91.2 94.2 100.0 98.2 100.6 102.7
Avg. Price Top 5 Trades 88.9 91.7 95.2 100.1 101.2 104.4 115.3
Standard Deviation 2.6 0.6 1.3 2.4 5.1 3.6 6.1
     VOLUME OF TRADES (000'S) 135,925.5 83,696.4 220,632.0 231,391.1 481,275.1 943,256.8 1,304,141.9
     NUMBER OF TRADES 78 24 19 25 69 130 471
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 102.2 - * * -
Weighted Avg. Price 103.4 - * * -
Avg. Price Bottom 5 Trades 102.2 - * * -
2nd Quartile Price * - * * -
3rd Quartile Price * - * * -
4th Quartile Price * - * * -
Avg. Price Top 5 Trades 102.2 - * * -
Standard Deviation 2.2 - * * -
     VOLUME OF TRADES (000'S) 349.0 - * * -
     NUMBER OF TRADES 7 - * * -
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 99.0 - * - -
Weighted Avg. Price 99.0 - * - -
Avg. Price Bottom 5 Trades 99.0 - * - -
2nd Quartile Price * - * - -
3rd Quartile Price * - * - -
4th Quartile Price * - * - -
Avg. Price Top 5 Trades 99.0 - * - -
Standard Deviation - - * - -
     VOLUME OF TRADES (000'S) 84.4 - * - -
     NUMBER OF TRADES 16 - * - -
* 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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