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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 88.8 89.7 92.6 94.5 97.9 95.7 100.5
Weighted Avg. Price 88.2 93.3 95.1 96.7 98.2 99.6 100.6
Avg. Price Bottom 5 Trades 83.4 82.8 85.3 91.3 97.2 89.5 100.5
2nd Quartile Price 87.3 89.2 91.2 94.2 98.1 99.5 *
3rd Quartile Price 89.3 91.2 94.3 95.3 98.2 99.6 *
4th Quartile Price 90.4 92.7 95.2 96.0 98.3 100.0 *
Avg. Price Top 5 Trades 93.7 93.6 95.4 96.5 98.3 100.6 100.5
Standard Deviation 2.6 4.2 3.8 2.2 0.7 20.4 0.4
     VOLUME OF TRADES (000'S) 48,588.3 205.9 1,124.5 3,610.0 22,471.7 124,308.4 5,059.0
     NUMBER OF TRADES 95 45 36 20 14 24 7
FNMA
AVERAGE PRICE 86.7 * * 95.8 97.2 - -
Weighted Avg. Price 88.4 * * 95.9 96.8 - -
Avg. Price Bottom 5 Trades 82.4 * * 94.8 96.7 - -
2nd Quartile Price 80.9 * * 95.7 96.7 - -
3rd Quartile Price 91.8 * * 95.8 97.2 - -
4th Quartile Price 93.7 * * 96.1 98.2 - -
Avg. Price Top 5 Trades 91.0 * * 96.8 97.7 - -
Standard Deviation 7.3 * * 1.0 0.8 - -
     VOLUME OF TRADES (000'S) 379,508.9 * * 191,610.0 82,014.8 - -
     NUMBER OF TRADES 8 * * 17 8 - -
FHLMC
AVERAGE PRICE 89.4 89.9 * 93.7 * * -
Weighted Avg. Price 93.8 81.4 * 93.4 * * -
Avg. Price Bottom 5 Trades 85.3 87.0 * 92.6 * * -
2nd Quartile Price 87.4 90.6 * 93.8 * * -
3rd Quartile Price 90.4 93.1 * 94.0 * * -
4th Quartile Price 90.9 93.5 * 95.7 * * -
Avg. Price Top 5 Trades 92.0 93.3 * 95.3 * * -
Standard Deviation 2.8 5.1 * 2.1 * * -
     VOLUME OF TRADES (000'S) 149.9 1,708.8 * 458,594.6 * * -
     NUMBER OF TRADES 28 9 * 13 * * -
GNMA
AVERAGE PRICE - - * - 98.5 * *
Weighted Avg. Price - - * - 98.5 * *
Avg. Price Bottom 5 Trades - - * - 98.5 * *
2nd Quartile Price - - * - * * *
3rd Quartile Price - - * - * * *
4th Quartile Price - - * - * * *
Avg. Price Top 5 Trades - - * - 98.5 * *
Standard Deviation - - * - 0.3 * *
     VOLUME OF TRADES (000'S) - - * - 5,633.7 * *
     NUMBER OF TRADES - - * - 5 * *
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 82.3 87.5 90.6 93.6 96.0 98.1 100.8
Weighted Avg. Price 80.5 88.3 91.3 93.8 96.4 98.4 100.7
Avg. Price Bottom 5 Trades 76.5 82.9 86.2 90.2 93.7 94.0 89.6
2nd Quartile Price 81.3 87.9 90.9 93.7 95.8 97.9 99.9
3rd Quartile Price 81.8 88.1 90.9 93.8 96.0 98.0 101.0
4th Quartile Price 84.5 88.1 91.0 93.8 96.3 98.6 101.8
Avg. Price Top 5 Trades 87.6 90.3 93.6 94.9 98.4 100.5 105.2
Standard Deviation 2.3 1.6 1.6 0.8 0.7 1.1 2.2
     VOLUME OF TRADES (000'S) 953,878.6 1,807,962.4 500,723.8 772,900.1 2,032,478.4 3,450,103.2 5,910,967.2
     NUMBER OF TRADES 528 310 270 224 151 224 357
FNMA
AVERAGE PRICE - - - - - 99.2 95.8
Weighted Avg. Price - - - - - 99.2 98.5
Avg. Price Bottom 5 Trades - - - - - 99.2 95.8
2nd Quartile Price - - - - - * *
3rd Quartile Price - - - - - * *
4th Quartile Price - - - - - * *
Avg. Price Top 5 Trades - - - - - 99.2 95.8
Standard Deviation - - - - - 1.0 4.0
     VOLUME OF TRADES (000'S) - - - - - 3,149.0 21.8
     NUMBER OF TRADES - - - - - 5 6
FHLMC
AVERAGE PRICE 84.5 88.0 91.0 92.1 92.5 * 99.9
Weighted Avg. Price 87.6 89.8 92.6 90.2 99.4 * 102.4
Avg. Price Bottom 5 Trades 84.2 87.8 88.6 89.9 92.5 * 92.1
2nd Quartile Price 84.9 87.9 91.0 92.2 * * 99.4
3rd Quartile Price 84.9 87.9 91.0 93.6 * * 101.7
4th Quartile Price 84.9 87.9 91.0 93.7 * * 102.4
Avg. Price Top 5 Trades 86.8 88.7 93.0 93.6 92.5 * 103.2
Standard Deviation 1.9 0.6 1.1 2.2 7.2 * 4.4
     VOLUME OF TRADES (000'S) 484.9 495.6 1,306.2 69,603.1 41,232.2 * 9,934.5
     NUMBER OF TRADES 36 61 81 18 5 * 41
GNMA
AVERAGE PRICE 84.9 89.9 91.3 93.8 96.5 98.2 99.8
Weighted Avg. Price 84.3 90.6 92.4 94.4 96.4 98.6 100.4
Avg. Price Bottom 5 Trades 82.0 87.5 85.4 85.3 94.2 86.7 72.7
2nd Quartile Price 83.6 88.3 90.2 94.1 95.6 97.0 99.5
3rd Quartile Price 84.1 89.6 92.1 94.4 96.4 99.0 100.7
4th Quartile Price 86.9 90.7 93.1 97.6 97.3 99.0 101.7
Avg. Price Top 5 Trades 87.5 93.1 95.2 98.1 99.3 100.9 110.8
Standard Deviation 2.0 3.3 4.2 5.1 1.3 2.1 5.4
     VOLUME OF TRADES (000'S) 533,021.0 4,446.5 26,457.1 93,224.0 301,048.9 703,524.5 2,286,742.3
     NUMBER OF TRADES 57 22 36 39 129 354 402
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 * - 97.2 * -
Weighted Avg. Price * - 95.8 * -
Avg. Price Bottom 5 Trades * - 97.2 * -
2nd Quartile Price * - * * -
3rd Quartile Price * - * * -
4th Quartile Price * - * * -
Avg. Price Top 5 Trades * - 97.2 * -
Standard Deviation * - 1.5 * -
     VOLUME OF TRADES (000'S) * - 51,917.8 * -
     NUMBER OF TRADES * - 5 * -
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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