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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
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 98.2 100.0 101.6 102.5 101.3 104.0 105.6
Weighted Avg. Price 98.1 99.9 101.8 103.3 103.4 103.8 109.0
Avg. Price Bottom 5 Trades 97.8 98.6 100.2 100.1 72.8 103.4 102.1
2nd Quartile Price 97.9 99.8 101.6 102.7 101.7 103.6 103.0
3rd Quartile Price 97.9 99.9 101.7 102.7 103.5 104.0 105.6
4th Quartile Price 98.8 100.2 101.8 102.9 103.5 104.3 108.1
Avg. Price Top 5 Trades 99.3 101.0 102.3 103.4 104.1 104.7 110.0
Standard Deviation 0.6 0.5 0.6 1.0 5.8 0.8 3.1
     VOLUME OF TRADES (000'S) 200,976.9 1,256,053.1 214,308.6 51,038.5 1,464.5 717.7 98,797.9
     NUMBER OF TRADES 35 121 85 96 173 22 24
FNMA
AVERAGE PRICE - * 100.8 * 106.6 108.6 -
Weighted Avg. Price - * 100.8 * 106.4 107.4 -
Avg. Price Bottom 5 Trades - * 100.3 * 106.6 108.6 -
2nd Quartile Price - * 100.4 * * * -
3rd Quartile Price - * 101.1 * * * -
4th Quartile Price - * 101.4 * * * -
Avg. Price Top 5 Trades - * 101.4 * 106.6 108.6 -
Standard Deviation - * 0.5 * 1.4 1.3 -
     VOLUME OF TRADES (000'S) - * 34,341.3 * 36,570.0 16,366.0 -
     NUMBER OF TRADES - * 14 * 6 5 -
FHLMC
AVERAGE PRICE - * 101.2 102.2 103.2 104.1 102.0
Weighted Avg. Price - * 101.1 102.5 103.7 104.1 105.2
Avg. Price Bottom 5 Trades - * 100.8 101.3 102.9 104.1 102.0
2nd Quartile Price - * 101.3 101.3 103.5 104.3 *
3rd Quartile Price - * 101.6 102.7 103.5 104.3 *
4th Quartile Price - * 101.8 102.9 103.7 104.3 *
Avg. Price Top 5 Trades - * 101.6 102.9 103.7 104.2 102.0
Standard Deviation - * 0.8 0.9 0.9 0.4 2.1
     VOLUME OF TRADES (000'S) - * 8,224.4 493.8 424.9 755.9 79.0
     NUMBER OF TRADES - * 9 22 33 19 8
GNMA
AVERAGE PRICE 101.5 99.7 101.6 101.9 101.6 * *
Weighted Avg. Price 101.5 99.7 101.7 102.0 101.5 * *
Avg. Price Bottom 5 Trades 101.5 99.7 101.5 101.7 101.6 * *
2nd Quartile Price * * 101.5 101.5 * * *
3rd Quartile Price * * 101.5 101.5 * * *
4th Quartile Price * * 101.8 102.6 * * *
Avg. Price Top 5 Trades 101.5 99.7 101.6 103.0 101.6 * *
Standard Deviation - 0.3 0.2 0.7 0.2 * *
     VOLUME OF TRADES (000'S) 5,275.7 5,237.0 12,194.4 6,776.7 3,052.6 * *
     NUMBER OF TRADES 5 5 11 19 11 * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 94.3 97.0 99.4 101.3 101.5 103.0 105.0
Weighted Avg. Price 94.4 96.8 99.5 102.3 104.1 106.3 110.8
Avg. Price Bottom 5 Trades 93.5 95.0 96.9 87.3 75.2 68.8 66.1
2nd Quartile Price 93.6 96.5 99.0 101.3 101.6 103.3 105.8
3rd Quartile Price 93.9 96.8 99.1 101.5 103.5 105.1 106.2
4th Quartile Price 94.9 97.8 99.7 102.3 103.8 105.5 108.1
Avg. Price Top 5 Trades 95.5 98.9 101.8 104.1 106.0 108.2 114.1
Standard Deviation 0.8 0.7 0.9 2.3 5.4 6.6 8.1
     VOLUME OF TRADES (000'S) 213,843.8 4,898,885.7 5,494,882.1 3,728,826.7 401,394.1 180,583.6 47,337.7
     NUMBER OF TRADES 32 336 344 410 353 312 386
FNMA
AVERAGE PRICE - 95.7 98.7 101.7 104.5 106.4 95.5
Weighted Avg. Price - 96.2 98.8 102.9 104.7 106.2 108.2
Avg. Price Bottom 5 Trades - 95.7 98.5 101.4 104.2 105.9 83.9
2nd Quartile Price - * 98.5 101.5 104.0 106.4 94.6
3rd Quartile Price - * 98.6 101.6 105.0 106.5 99.0
4th Quartile Price - * 98.8 103.2 105.3 106.8 107.6
Avg. Price Top 5 Trades - 95.7 98.9 101.9 104.8 106.7 105.7
Standard Deviation - 1.0 0.2 0.7 0.6 0.4 13.3
     VOLUME OF TRADES (000'S) - 19,975.8 149,533.3 140,597.7 13,150.6 16,918.3 490.0
     NUMBER OF TRADES - 5 12 7 7 17 12
FHLMC
AVERAGE PRICE * * 98.6 100.9 103.3 102.8 105.5
Weighted Avg. Price * * 98.7 103.2 104.5 106.4 111.3
Avg. Price Bottom 5 Trades * * 98.5 96.0 98.2 72.7 91.0
2nd Quartile Price * * 98.5 101.3 103.5 105.1 106.0
3rd Quartile Price * * 98.7 101.3 103.6 105.1 106.7
4th Quartile Price * * 98.8 101.4 104.4 105.6 108.5
Avg. Price Top 5 Trades * * 98.6 104.1 105.5 106.5 111.7
Standard Deviation * * 0.1 2.8 1.8 7.8 6.7
     VOLUME OF TRADES (000'S) * * 41,482.2 1,986.3 3,778.1 2,820.6 3,904.1
     NUMBER OF TRADES * * 7 56 90 91 64
GNMA
AVERAGE PRICE * 97.7 100.0 101.6 103.6 103.9 104.9
Weighted Avg. Price * 97.9 99.9 101.8 103.6 104.9 109.8
Avg. Price Bottom 5 Trades * 96.8 99.5 99.7 100.3 101.8 78.0
2nd Quartile Price * 97.8 99.9 101.7 103.3 104.6 100.6
3rd Quartile Price * 97.9 100.0 101.8 103.4 104.7 107.4
4th Quartile Price * 98.0 100.2 101.9 104.6 104.9 110.8
Avg. Price Top 5 Trades * 98.1 100.2 102.7 105.3 105.3 115.4
Standard Deviation * 0.5 0.3 1.0 1.9 2.9 8.2
     VOLUME OF TRADES (000'S) * 1,159,884.3 2,288,689.2 1,637,119.0 239,773.7 87,077.9 15,560.7
     NUMBER OF TRADES * 37 70 116 61 33 259
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 * - 99.9 * *
Weighted Avg. Price * - 99.9 * *
Avg. Price Bottom 5 Trades * - 99.6 * *
2nd Quartile Price * - 99.6 * *
3rd Quartile Price * - 99.9 * *
4th Quartile Price * - 100.0 * *
Avg. Price Top 5 Trades * - 100.3 * *
Standard Deviation * - 0.5 * *
     VOLUME OF TRADES (000'S) * - 32,751.3 * *
     NUMBER OF TRADES * - 17 * *
FHLMC
AVERAGE PRICE - - * 102.8 -
Weighted Avg. Price - - * 102.8 -
Avg. Price Bottom 5 Trades - - * 102.8 -
2nd Quartile Price - - * * -
3rd Quartile Price - - * * -
4th Quartile Price - - * * -
Avg. Price Top 5 Trades - - * 102.8 -
Standard Deviation - - * - -
     VOLUME OF TRADES (000'S) - - * 1,338.6 -
     NUMBER OF TRADES - - * 6 -
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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