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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 96.2 98.1 99.8 101.2 101.2 101.1 96.2
Weighted Avg. Price 96.4 98.3 100.0 101.8 102.9 103.0 102.8
Avg. Price Bottom 5 Trades 95.3 95.6 98.0 97.9 96.4 97.7 89.3
2nd Quartile Price 95.8 98.0 99.7 101.3 101.2 101.5 85.0
3rd Quartile Price 95.9 98.2 99.9 101.5 101.8 102.6 101.0
4th Quartile Price 97.0 98.6 100.3 101.7 102.2 103.0 103.1
Avg. Price Top 5 Trades 97.5 99.3 100.9 102.5 103.0 103.0 105.6
Standard Deviation 0.8 1.0 0.8 1.1 1.8 3.0 9.0
     VOLUME OF TRADES (000'S) 55,803.3 243,784.8 176,714.0 559,211.6 2,995.3 1,245.5 248.1
     NUMBER OF TRADES 29 55 82 118 137 18 27
FNMA
AVERAGE PRICE - 95.2 * 101.2 * - -
Weighted Avg. Price - 94.2 * 101.4 * - -
Avg. Price Bottom 5 Trades - 94.8 * 100.6 * - -
2nd Quartile Price - 94.9 * 101.1 * - -
3rd Quartile Price - 95.8 * 101.6 * - -
4th Quartile Price - 96.1 * 101.8 * - -
Avg. Price Top 5 Trades - 95.6 * 101.6 * - -
Standard Deviation - 1.0 * 0.7 * - -
     VOLUME OF TRADES (000'S) - 23,154.1 * 212,597.9 * - -
     NUMBER OF TRADES - 7 * 10 * - -
FHLMC
AVERAGE PRICE - - 99.7 100.2 101.5 * 98.9
Weighted Avg. Price - - 99.7 101.8 102.2 * 100.3
Avg. Price Bottom 5 Trades - - 99.5 98.2 100.1 * 98.0
2nd Quartile Price - - 99.5 99.7 101.2 * 99.5
3rd Quartile Price - - 99.8 100.4 101.8 * 100.0
4th Quartile Price - - 99.9 101.6 102.2 * 101.0
Avg. Price Top 5 Trades - - 99.9 101.6 102.0 * 100.3
Standard Deviation - - 0.3 1.7 1.0 * 2.5
     VOLUME OF TRADES (000'S) - - 62,644.7 16,887.3 212.7 * 14.5
     NUMBER OF TRADES - - 10 21 24 * 11
GNMA
AVERAGE PRICE * * * * * * 106.3
Weighted Avg. Price * * * * * * 111.9
Avg. Price Bottom 5 Trades * * * * * * 103.0
2nd Quartile Price * * * * * * 98.0
3rd Quartile Price * * * * * * 111.0
4th Quartile Price * * * * * * 113.0
Avg. Price Top 5 Trades * * * * * * 108.2
Standard Deviation * * * * * * 7.4
     VOLUME OF TRADES (000'S) * * * * * * 165.8
     NUMBER OF TRADES * * * * * * 12
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 92.1 94.2 96.9 99.2 101.1 102.8 103.2
Weighted Avg. Price 91.9 94.3 97.0 99.6 101.8 103.9 106.6
Avg. Price Bottom 5 Trades 91.7 93.0 95.8 96.2 96.8 99.0 86.6
2nd Quartile Price 91.1 94.0 96.6 98.9 100.9 103.0 104.2
3rd Quartile Price 92.8 94.2 96.8 99.2 101.1 103.1 104.9
4th Quartile Price 93.1 94.3 97.0 99.7 101.3 103.1 104.9
Avg. Price Top 5 Trades 92.5 96.3 99.1 101.5 103.5 104.8 110.1
Standard Deviation 1.0 0.8 0.7 0.9 1.1 1.3 5.6
     VOLUME OF TRADES (000'S) 2,324.5 769,479.8 1,318,581.1 2,962,305.0 1,787,491.7 178,487.7 130,568.2
     NUMBER OF TRADES 7 130 156 372 420 305 311
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 - - * 98.6 101.0 102.9 103.9
Weighted Avg. Price - - * 99.1 101.3 104.3 110.3
Avg. Price Bottom 5 Trades - - * 96.9 99.9 101.5 95.4
2nd Quartile Price - - * 98.9 100.9 102.8 104.2
3rd Quartile Price - - * 98.9 101.0 103.0 104.2
4th Quartile Price - - * 99.0 101.5 103.3 107.0
Avg. Price Top 5 Trades - - * 100.0 101.8 103.5 110.6
Standard Deviation - - * 1.3 0.9 0.8 5.2
     VOLUME OF TRADES (000'S) - - * 551,528.3 101,191.9 1,565.5 4,625.3
     NUMBER OF TRADES - - * 38 22 53 45
GNMA
AVERAGE PRICE * 95.7 98.5 100.0 101.6 104.3 105.3
Weighted Avg. Price * 95.9 98.7 100.2 101.8 104.9 105.0
Avg. Price Bottom 5 Trades * 94.5 96.0 98.5 100.0 101.4 85.7
2nd Quartile Price * 95.9 98.1 99.6 101.7 104.1 103.1
3rd Quartile Price * 96.0 98.3 100.0 101.9 104.6 107.0
4th Quartile Price * 96.1 98.5 100.2 102.3 104.6 109.9
Avg. Price Top 5 Trades * 96.1 100.0 100.9 102.8 106.3 117.1
Standard Deviation * 0.8 1.6 0.6 1.2 1.5 7.8
     VOLUME OF TRADES (000'S) * 122,282.6 388,994.2 708,345.8 892,397.8 260,134.0 27,796.5
     NUMBER OF TRADES * 25 45 88 57 68 173
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 * - * * *
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 - - - * -
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 - - * - -
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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