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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 88.0 87.5 93.4 93.6 96.4 99.2 *
Weighted Avg. Price 87.4 93.5 94.4 96.0 97.6 99.3 *
Avg. Price Bottom 5 Trades 83.2 79.0 91.8 92.7 96.4 99.2 *
2nd Quartile Price 85.8 88.9 93.3 93.5 * * *
3rd Quartile Price 87.9 88.9 94.4 95.7 * * *
4th Quartile Price 90.5 88.9 94.5 96.0 * * *
Avg. Price Top 5 Trades 93.8 92.7 94.9 96.2 96.4 99.2 *
Standard Deviation 2.8 4.6 2.6 3.7 1.6 0.1 *
     VOLUME OF TRADES (000'S) 28,748.6 7,123.3 104.2 1,141.0 9,660.9 68,009.9 *
     NUMBER OF TRADES 135 106 13 10 9 6 *
FNMA
AVERAGE PRICE * * * * 97.0 * *
Weighted Avg. Price * * * * 97.3 * *
Avg. Price Bottom 5 Trades * * * * 96.7 * *
2nd Quartile Price * * * * 97.2 * *
3rd Quartile Price * * * * 98.4 * *
4th Quartile Price * * * * 98.5 * *
Avg. Price Top 5 Trades * * * * 97.4 * *
Standard Deviation * * * * 1.4 * *
     VOLUME OF TRADES (000'S) * * * * 94,108.0 * *
     NUMBER OF TRADES * * * * 6 * *
FHLMC
AVERAGE PRICE 91.7 89.6 95.7 * * - -
Weighted Avg. Price 91.4 96.5 95.3 * * - -
Avg. Price Bottom 5 Trades 91.7 87.7 95.7 * * - -
2nd Quartile Price * 88.9 * * * - -
3rd Quartile Price * 93.4 * * * - -
4th Quartile Price * 93.7 * * * - -
Avg. Price Top 5 Trades 91.7 94.3 95.7 * * - -
Standard Deviation 0.9 7.7 1.7 * * - -
     VOLUME OF TRADES (000'S) 1,720.7 223.5 31.9 * * - -
     NUMBER OF TRADES 15 17 5 * * - -
GNMA
AVERAGE PRICE - - - - * * 101.0
Weighted Avg. Price - - - - * * 100.7
Avg. Price Bottom 5 Trades - - - - * * 100.4
2nd Quartile Price - - - - * * 100.4
3rd Quartile Price - - - - * * 101.4
4th Quartile Price - - - - * * 101.8
Avg. Price Top 5 Trades - - - - * * 101.5
Standard Deviation - - - - * * 0.7
     VOLUME OF TRADES (000'S) - - - - * * 7,135.3
     NUMBER OF TRADES - - - - * * 13
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 80.5 85.9 88.5 91.6 94.4 94.4 96.7
Weighted Avg. Price 79.0 87.7 90.6 92.2 94.6 97.1 100.0
Avg. Price Bottom 5 Trades 71.9 75.9 82.8 85.1 92.3 69.6 46.7
2nd Quartile Price 79.2 85.9 88.9 91.9 94.4 96.5 99.0
3rd Quartile Price 80.4 86.4 89.3 92.1 94.6 96.6 99.6
4th Quartile Price 82.8 86.4 89.3 92.1 94.7 96.9 100.9
Avg. Price Top 5 Trades 86.3 91.7 94.2 93.7 95.5 97.9 104.0
Standard Deviation 2.8 2.5 2.6 2.2 0.7 12.5 18.0
     VOLUME OF TRADES (000'S) 1,026,340.2 953,603.6 175,897.3 83,802.4 735,288.9 362,806.7 1,096,612.6
     NUMBER OF TRADES 745 358 272 128 126 131 152
FNMA
AVERAGE PRICE * - - - * * 101.2
Weighted Avg. Price * - - - * * 101.1
Avg. Price Bottom 5 Trades * - - - * * 99.5
2nd Quartile Price * - - - * * 100.2
3rd Quartile Price * - - - * * 101.0
4th Quartile Price * - - - * * 102.8
Avg. Price Top 5 Trades * - - - * * 103.7
Standard Deviation * - - - * * 1.5
     VOLUME OF TRADES (000'S) * - - - * * 62,338.2
     NUMBER OF TRADES * - - - * * 26
FHLMC
AVERAGE PRICE 82.3 85.0 87.7 90.0 - * 80.7
Weighted Avg. Price 83.8 87.8 89.5 94.6 - * 100.9
Avg. Price Bottom 5 Trades 81.7 78.7 83.0 90.0 - * 72.6
2nd Quartile Price 82.8 85.9 88.9 * - * 86.0
3rd Quartile Price 82.8 85.9 88.9 * - * 100.9
4th Quartile Price 82.8 86.1 88.9 * - * 101.0
Avg. Price Top 5 Trades 85.0 87.9 88.9 90.0 - * 97.1
Standard Deviation 3.5 3.9 2.9 4.2 - * 36.6
     VOLUME OF TRADES (000'S) 186.5 1,657.2 1,384.6 94.2 - * 8,719.0
     NUMBER OF TRADES 32 61 51 15 - * 7
GNMA
AVERAGE PRICE 83.7 88.1 89.8 92.5 95.3 97.5 86.6
Weighted Avg. Price 84.2 88.4 90.5 93.1 95.0 97.5 99.9
Avg. Price Bottom 5 Trades 78.2 87.1 89.4 90.7 94.0 94.7 14.5
2nd Quartile Price 81.9 88.0 90.0 92.4 94.8 97.0 96.4
3rd Quartile Price 84.7 88.0 90.2 92.5 95.0 97.3 101.1
4th Quartile Price 84.9 88.0 90.6 93.4 95.8 98.1 104.3
Avg. Price Top 5 Trades 89.9 91.8 90.6 95.6 98.0 100.5 104.9
Standard Deviation 3.1 1.6 1.7 3.1 1.9 1.5 32.3
     VOLUME OF TRADES (000'S) 41,910.0 515,732.9 2,812.8 27,674.1 610,686.4 51,543.1 125,952.5
     NUMBER OF TRADES 98 93 21 27 35 84 246
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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