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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 87.4 89.9 92.0 93.3 95.1 97.5 99.3
Weighted Avg. Price 88.4 93.6 94.5 94.8 96.3 98.2 99.6
Avg. Price Bottom 5 Trades 77.4 75.7 88.8 84.8 93.3 96.1 97.3
2nd Quartile Price 84.7 88.2 90.3 94.1 95.6 97.8 99.5
3rd Quartile Price 87.0 90.9 93.0 94.8 96.2 98.1 99.6
4th Quartile Price 89.2 94.2 94.4 94.8 96.3 98.3 99.9
Avg. Price Top 5 Trades 96.6 96.9 94.8 94.8 96.5 99.0 100.1
Standard Deviation 3.6 6.4 2.5 3.4 2.2 1.7 1.3
     VOLUME OF TRADES (000'S) 414,676.6 112,808.6 6,962.5 112,709.3 31,031.1 85,928.5 63,158.6
     NUMBER OF TRADES 225 111 19 51 21 26 38
FNMA
AVERAGE PRICE 90.8 88.7 * 91.7 95.9 97.5 *
Weighted Avg. Price 93.0 89.9 * 91.3 94.7 96.9 *
Avg. Price Bottom 5 Trades 86.1 88.4 * 90.9 93.9 97.5 *
2nd Quartile Price 90.3 89.8 * 90.0 95.9 * *
3rd Quartile Price 94.3 89.9 * 95.3 96.6 * *
4th Quartile Price 97.4 90.0 * 95.4 97.5 * *
Avg. Price Top 5 Trades 95.6 89.2 * 92.1 97.3 97.5 *
Standard Deviation 7.0 1.8 * 2.9 1.7 1.9 *
     VOLUME OF TRADES (000'S) 39,138.0 15,296.8 * 183,124.0 173,303.8 9,300.0 *
     NUMBER OF TRADES 10 6 * 6 15 7 *
FHLMC
AVERAGE PRICE 90.2 89.2 87.1 93.2 * 96.7 -
Weighted Avg. Price 82.9 97.3 85.6 94.0 * 97.2 -
Avg. Price Bottom 5 Trades 84.1 84.0 85.3 93.2 * 96.4 -
2nd Quartile Price 91.0 89.8 86.3 * * 96.9 -
3rd Quartile Price 91.8 90.9 86.5 * * 97.1 -
4th Quartile Price 93.3 97.2 96.0 * * 97.3 -
Avg. Price Top 5 Trades 94.0 93.6 87.8 93.2 * 97.2 -
Standard Deviation 4.7 8.4 4.6 1.0 * 1.1 -
     VOLUME OF TRADES (000'S) 10,274.0 2,682.7 31,489.3 70,621.8 * 151,398.1 -
     NUMBER OF TRADES 22 13 6 6 * 8 -
GNMA
AVERAGE PRICE * - * - * * 99.7
Weighted Avg. Price * - * - * * 99.7
Avg. Price Bottom 5 Trades * - * - * * 99.6
2nd Quartile Price * - * - * * 99.5
3rd Quartile Price * - * - * * 100.0
4th Quartile Price * - * - * * 100.3
Avg. Price Top 5 Trades * - * - * * 99.8
Standard Deviation * - * - * * 0.3
     VOLUME OF TRADES (000'S) * - * - * * 3,239.5
     NUMBER OF TRADES * - * - * * 6
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 80.6 84.2 86.7 89.4 91.7 95.9 97.7
Weighted Avg. Price 77.7 84.8 86.9 90.3 92.5 95.6 99.1
Avg. Price Bottom 5 Trades 66.3 72.7 76.7 74.2 80.5 86.8 55.0
2nd Quartile Price 81.0 84.0 87.1 89.8 91.8 95.0 97.3
3rd Quartile Price 81.3 84.5 87.1 89.8 92.3 95.0 99.2
4th Quartile Price 81.3 84.5 87.1 89.8 92.5 95.0 100.0
Avg. Price Top 5 Trades 91.7 95.4 92.2 95.6 95.7 101.1 102.0
Standard Deviation 1.7 0.8 1.6 2.7 2.8 2.7 6.7
     VOLUME OF TRADES (000'S) 1,988,192.0 625,879.8 330,299.7 155,940.8 574,761.3 713,394.9 3,825,247.7
     NUMBER OF TRADES 16,467 10,330 1,740 942 165 905 325
FNMA
AVERAGE PRICE * * 89.1 - - - 97.1
Weighted Avg. Price * * 89.6 - - - 94.5
Avg. Price Bottom 5 Trades * * 88.5 - - - 97.1
2nd Quartile Price * * 89.6 - - - *
3rd Quartile Price * * 89.8 - - - *
4th Quartile Price * * 90.0 - - - *
Avg. Price Top 5 Trades * * 89.9 - - - 97.1
Standard Deviation * * 1.5 - - - 3.1
     VOLUME OF TRADES (000'S) * * 117,517.2 - - - 2,210.4
     NUMBER OF TRADES * * 10 - - - 5
FHLMC
AVERAGE PRICE 81.1 83.8 85.4 88.0 95.8 * 82.8
Weighted Avg. Price 81.2 75.9 88.8 88.8 95.8 * 103.4
Avg. Price Bottom 5 Trades 74.7 75.9 77.8 88.0 95.8 * 75.2
2nd Quartile Price 81.2 84.0 83.8 * * * 95.0
3rd Quartile Price 81.2 84.0 86.4 * * * 95.9
4th Quartile Price 81.2 84.0 87.8 * * * 103.9
Avg. Price Top 5 Trades 81.9 87.5 89.6 88.0 95.8 * 97.9
Standard Deviation 0.5 1.9 4.0 5.7 0.6 * 36.8
     VOLUME OF TRADES (000'S) 9,965.9 30,000.8 2,900.5 3.5 12.8 * 21.3
     NUMBER OF TRADES 3,005 189 101 19 5 * 7
GNMA
AVERAGE PRICE 80.7 84.6 87.4 91.3 91.9 95.7 98.8
Weighted Avg. Price 79.5 85.8 88.7 91.2 93.1 95.8 99.0
Avg. Price Bottom 5 Trades 72.7 77.6 81.6 89.1 72.8 86.9 64.7
2nd Quartile Price 79.5 84.0 86.4 90.4 92.9 95.4 97.8
3rd Quartile Price 80.5 85.8 88.2 90.6 93.1 95.6 99.5
4th Quartile Price 82.8 86.1 89.5 92.3 93.7 96.9 100.7
Avg. Price Top 5 Trades 87.0 88.3 92.7 94.7 96.9 98.9 105.9
Standard Deviation 3.2 3.4 3.8 2.0 6.0 3.1 4.9
     VOLUME OF TRADES (000'S) 328,717.4 55,323.2 71,477.6 145,509.5 740,996.3 723,231.6 4,770,444.7
     NUMBER OF TRADES 163 68 78 40 105 128 610
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 * - - - 98.5
Weighted Avg. Price * - - - 98.4
Avg. Price Bottom 5 Trades * - - - 98.1
2nd Quartile Price * - - - 98.9
3rd Quartile Price * - - - 99.9
4th Quartile Price * - - - 100.0
Avg. Price Top 5 Trades * - - - 99.1
Standard Deviation * - - - 2.1
     VOLUME OF TRADES (000'S) * - - - 135,359.0
     NUMBER OF TRADES * - - - 9
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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