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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 91.7 93.3 96.4 97.6 98.7 96.7 97.9
Weighted Avg. Price 91.9 95.9 96.8 98.3 99.7 100.9 101.1
Avg. Price Bottom 5 Trades 86.7 83.5 95.1 94.6 97.0 92.3 95.6
2nd Quartile Price 90.4 92.6 96.4 98.0 97.6 94.7 95.6
3rd Quartile Price 91.9 95.1 96.7 98.2 99.4 97.8 99.2
4th Quartile Price 93.9 95.1 97.3 98.4 99.9 98.5 100.9
Avg. Price Top 5 Trades 97.3 97.0 97.9 99.0 100.2 101.1 100.5
Standard Deviation 2.8 3.9 2.3 2.2 1.3 3.2 3.2
     VOLUME OF TRADES (000'S) 269,091.3 125,670.0 113,022.0 55,978.8 61,758.7 7,794.5 144.7
     NUMBER OF TRADES 126 135 28 28 54 54 15
FNMA
AVERAGE PRICE 84.1 95.3 * 96.9 100.0 * -
Weighted Avg. Price 82.2 97.6 * 97.7 99.6 * -
Avg. Price Bottom 5 Trades 78.2 95.3 * 95.8 99.6 * -
2nd Quartile Price 80.1 * * 96.5 99.8 * -
3rd Quartile Price 83.9 * * 97.1 100.1 * -
4th Quartile Price 89.3 * * 97.7 100.8 * -
Avg. Price Top 5 Trades 91.4 95.3 * 98.0 100.5 * -
Standard Deviation 6.1 3.3 * 1.0 0.5 * -
     VOLUME OF TRADES (000'S) 26,156.1 13,890.0 * 48,120.0 26,919.0 * -
     NUMBER OF TRADES 16 5 * 16 14 * -
FHLMC
AVERAGE PRICE 87.3 92.9 92.2 97.2 * * -
Weighted Avg. Price 95.0 95.9 97.2 97.5 * * -
Avg. Price Bottom 5 Trades 74.1 91.8 91.5 97.2 * * -
2nd Quartile Price 83.3 92.6 86.0 * * * -
3rd Quartile Price 88.2 92.6 94.8 * * * -
4th Quartile Price 94.3 95.1 97.0 * * * -
Avg. Price Top 5 Trades 95.4 93.6 94.4 97.2 * * -
Standard Deviation 10.1 2.2 5.4 3.1 * * -
     VOLUME OF TRADES (000'S) 697.7 100.9 6,635.2 8,000.2 * * -
     NUMBER OF TRADES 32 23 8 7 * * -
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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.6 88.9 91.0 94.6 97.2 99.3 101.4
Weighted Avg. Price 82.6 90.5 92.6 95.2 97.4 99.4 102.3
Avg. Price Bottom 5 Trades 73.1 82.4 78.3 83.6 88.3 93.8 79.7
2nd Quartile Price 82.5 88.8 90.9 94.8 97.0 99.1 100.9
3rd Quartile Price 82.9 89.5 92.2 94.9 97.4 99.3 102.0
4th Quartile Price 86.1 89.5 92.5 95.1 97.7 99.7 103.4
Avg. Price Top 5 Trades 90.4 93.0 96.9 97.2 100.8 101.6 105.9
Standard Deviation 2.7 1.7 3.3 2.9 1.6 1.8 3.9
     VOLUME OF TRADES (000'S) 1,121,393.6 128,489.3 111,292.1 1,100,711.4 2,834,799.6 3,617,352.3 2,454,111.8
     NUMBER OF TRADES 898 520 369 355 433 303 295
FNMA
AVERAGE PRICE - * - - - * 101.2
Weighted Avg. Price - * - - - * 101.3
Avg. Price Bottom 5 Trades - * - - - * 101.2
2nd Quartile Price - * - - - * *
3rd Quartile Price - * - - - * *
4th Quartile Price - * - - - * *
Avg. Price Top 5 Trades - * - - - * 101.2
Standard Deviation - * - - - * 0.3
     VOLUME OF TRADES (000'S) - * - - - * 171,760.8
     NUMBER OF TRADES - * - - - * 25
FHLMC
AVERAGE PRICE 86.2 89.2 91.6 91.8 98.5 99.9 102.8
Weighted Avg. Price 89.4 91.5 95.0 97.9 99.5 100.5 102.6
Avg. Price Bottom 5 Trades 85.5 85.8 83.6 77.5 95.1 94.9 98.1
2nd Quartile Price 86.1 89.4 92.5 94.9 98.0 100.0 101.7
3rd Quartile Price 86.1 89.4 92.5 94.9 98.5 100.8 102.8
4th Quartile Price 86.1 90.8 93.5 95.1 100.7 101.4 104.0
Avg. Price Top 5 Trades 89.0 91.1 95.8 95.2 101.0 101.7 106.7
Standard Deviation 2.1 1.7 4.3 9.0 3.5 3.6 2.3
     VOLUME OF TRADES (000'S) 1,570.7 13,513.8 200.1 372.3 7,758.6 10,271.4 30,117.2
     NUMBER OF TRADES 26 47 34 37 24 42 71
GNMA
AVERAGE PRICE 85.1 90.5 93.3 95.0 97.5 99.0 98.3
Weighted Avg. Price 87.3 90.3 93.0 95.2 97.6 99.6 101.0
Avg. Price Bottom 5 Trades 81.9 88.9 92.4 91.8 88.5 82.6 72.3
2nd Quartile Price 83.8 90.1 92.8 94.6 97.4 99.0 99.8
3rd Quartile Price 85.0 90.4 92.8 95.3 97.7 99.6 101.3
4th Quartile Price 87.4 91.0 94.0 95.8 98.7 100.0 102.0
Avg. Price Top 5 Trades 88.1 92.0 95.0 97.7 99.9 102.8 109.8
Standard Deviation 2.2 1.1 1.1 1.5 2.6 3.7 9.1
     VOLUME OF TRADES (000'S) 66,947.9 85,127.7 309,063.3 771,607.5 850,287.1 1,433,918.6 801,943.3
     NUMBER OF TRADES 34 28 30 79 149 181 359
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 *
Weighted Avg. Price - - * 99.8 *
Avg. Price Bottom 5 Trades - - * 99.7 *
2nd Quartile Price - - * 99.7 *
3rd Quartile Price - - * 102.1 *
4th Quartile Price - - * 102.1 *
Avg. Price Top 5 Trades - - * 101.0 *
Standard Deviation - - * 1.4 *
     VOLUME OF TRADES (000'S) - - * 20,008.3 *
     NUMBER OF TRADES - - * 9 *
FHLMC
AVERAGE PRICE 102.1 - * 101.3 -
Weighted Avg. Price 102.1 - * 99.3 -
Avg. Price Bottom 5 Trades 102.1 - * 101.3 -
2nd Quartile Price * - * * -
3rd Quartile Price * - * * -
4th Quartile Price * - * * -
Avg. Price Top 5 Trades 102.1 - * 101.3 -
Standard Deviation - - * 1.4 -
     VOLUME OF TRADES (000'S) 27.3 - * 19,865.8 -
     NUMBER OF TRADES 5 - * 7 -
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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