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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 90.5 90.0 94.9 97.6 99.3 100.0 101.1
Weighted Avg. Price 90.8 95.4 98.1 98.5 99.7 100.8 102.0
Avg. Price Bottom 5 Trades 82.9 65.1 89.2 96.4 97.6 97.5 99.7
2nd Quartile Price 88.7 87.9 95.6 96.7 99.2 99.9 100.4
3rd Quartile Price 90.8 92.5 96.1 98.3 99.5 100.4 101.4
4th Quartile Price 91.9 95.0 96.7 98.4 99.8 100.7 101.8
Avg. Price Top 5 Trades 96.1 96.4 97.6 98.9 100.2 101.2 102.1
Standard Deviation 2.7 8.0 3.2 1.1 0.8 1.3 1.1
     VOLUME OF TRADES (000'S) 153,034.6 4,359.9 3,951.4 11,875.2 92,737.5 30,437.2 30,681.8
     NUMBER OF TRADES 322 84 26 21 63 55 21
FNMA
AVERAGE PRICE 91.1 92.8 94.6 98.1 99.4 102.9 *
Weighted Avg. Price 89.5 94.5 95.1 98.6 99.6 103.1 *
Avg. Price Bottom 5 Trades 89.9 90.5 93.2 97.5 99.2 101.9 *
2nd Quartile Price 90.9 92.0 93.5 97.8 99.1 102.3 *
3rd Quartile Price 93.8 94.5 95.8 98.5 99.5 103.3 *
4th Quartile Price 97.1 96.1 96.7 99.0 100.2 103.7 *
Avg. Price Top 5 Trades 92.9 94.9 95.8 98.7 99.4 103.9 *
Standard Deviation 5.1 3.0 1.7 0.9 0.5 0.9 *
     VOLUME OF TRADES (000'S) 12,858.0 27,474.0 11,504.8 8,200.0 18,688.6 241,187.3 *
     NUMBER OF TRADES 6 9 9 9 6 16 *
FHLMC
AVERAGE PRICE 94.0 94.1 * 97.2 99.4 - *
Weighted Avg. Price 94.4 95.7 * 97.8 99.8 - *
Avg. Price Bottom 5 Trades 92.6 93.7 * 96.8 99.1 - *
2nd Quartile Price 94.1 92.9 * 96.9 99.0 - *
3rd Quartile Price 94.1 95.0 * 97.9 99.8 - *
4th Quartile Price 94.9 95.9 * 99.2 100.0 - *
Avg. Price Top 5 Trades 95.3 94.8 * 97.6 99.7 - *
Standard Deviation 1.1 1.8 * 1.4 0.5 - *
     VOLUME OF TRADES (000'S) 11,336.5 27,257.8 * 19,705.6 61,235.0 - *
     NUMBER OF TRADES 30 10 * 6 10 - *
GNMA
AVERAGE PRICE * - * 97.7 * 101.0 101.3
Weighted Avg. Price * - * 98.2 * 101.4 101.5
Avg. Price Bottom 5 Trades * - * 97.7 * 100.7 101.0
2nd Quartile Price * - * * * 100.7 101.3
3rd Quartile Price * - * * * 100.8 101.5
4th Quartile Price * - * * * 101.3 101.6
Avg. Price Top 5 Trades * - * 97.7 * 101.2 101.6
Standard Deviation * - * 0.7 * 0.7 1.0
     VOLUME OF TRADES (000'S) * - * 462.2 * 5,938.9 2,150.1
     NUMBER OF TRADES * - * 5 * 8 8
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 83.7 88.5 90.7 91.9 97.6 99.1 101.3
Weighted Avg. Price 83.2 92.3 95.1 96.1 98.0 99.6 101.8
Avg. Price Bottom 5 Trades 73.6 72.5 60.5 40.2 95.5 76.5 74.5
2nd Quartile Price 82.8 88.0 91.0 93.8 97.2 99.2 100.9
3rd Quartile Price 82.8 89.3 92.2 95.2 97.6 99.5 102.1
4th Quartile Price 86.0 89.7 93.1 95.5 97.9 99.6 103.3
Avg. Price Top 5 Trades 91.7 94.6 96.1 98.0 99.5 101.2 105.2
Standard Deviation 2.7 2.9 5.9 9.8 0.9 3.0 7.7
     VOLUME OF TRADES (000'S) 2,478,022.5 122,801.2 348,837.6 125,298.0 270,047.3 2,908,037.9 1,766,063.1
     NUMBER OF TRADES 1,148 389 325 293 220 373 208
FNMA
AVERAGE PRICE * 88.9 92.4 95.7 * * 89.0
Weighted Avg. Price * 88.0 91.7 95.3 * * 100.9
Avg. Price Bottom 5 Trades * 88.4 92.4 95.7 * * 80.8
2nd Quartile Price * 87.6 * * * * 100.0
3rd Quartile Price * 90.6 * * * * 100.9
4th Quartile Price * 91.0 * * * * 101.3
Avg. Price Top 5 Trades * 89.2 92.4 95.7 * * 101.1
Standard Deviation * 1.7 1.1 0.8 * * 31.5
     VOLUME OF TRADES (000'S) * 280,344.7 218,032.2 308,739.2 * * 5,659.7
     NUMBER OF TRADES * 10 5 5 * * 10
FHLMC
AVERAGE PRICE 84.4 84.9 87.1 89.4 96.1 * 101.6
Weighted Avg. Price 86.7 90.7 86.3 97.1 98.7 * 104.5
Avg. Price Bottom 5 Trades 76.6 65.3 64.5 78.1 95.1 * 95.6
2nd Quartile Price 83.2 84.8 84.6 93.5 95.0 * 100.5
3rd Quartile Price 86.0 88.1 90.5 93.8 97.7 * 104.6
4th Quartile Price 86.2 88.1 91.7 97.0 99.4 * 104.6
Avg. Price Top 5 Trades 87.6 91.1 93.8 96.7 97.0 * 104.6
Standard Deviation 3.5 7.2 7.6 11.3 3.3 * 4.8
     VOLUME OF TRADES (000'S) 2,097.0 2,838.7 876.5 46.3 12.5 * 2,865.0
     NUMBER OF TRADES 47 58 80 17 8 * 27
GNMA
AVERAGE PRICE 86.5 90.3 93.7 95.7 98.0 99.0 101.4
Weighted Avg. Price 85.1 91.3 94.0 96.2 98.3 99.9 101.7
Avg. Price Bottom 5 Trades 80.8 89.0 86.5 93.6 94.4 88.8 79.9
2nd Quartile Price 85.3 88.3 93.7 96.0 97.5 98.6 100.7
3rd Quartile Price 87.1 91.2 93.8 96.2 98.3 99.9 101.8
4th Quartile Price 88.5 91.4 98.5 96.2 98.4 100.0 103.0
Avg. Price Top 5 Trades 89.6 91.8 98.5 96.8 102.7 102.8 108.8
Standard Deviation 2.5 1.9 5.0 1.3 1.8 2.8 3.5
     VOLUME OF TRADES (000'S) 702,824.8 506,803.2 550,697.2 481,755.2 891,701.9 1,282,195.5 2,888,739.6
     NUMBER OF TRADES 82 32 41 46 134 248 688
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 101.6 - * * *
Weighted Avg. Price 101.5 - * * *
Avg. Price Bottom 5 Trades 101.6 - * * *
2nd Quartile Price * - * * *
3rd Quartile Price * - * * *
4th Quartile Price * - * * *
Avg. Price Top 5 Trades 101.6 - * * *
Standard Deviation 0.3 - * * *
     VOLUME OF TRADES (000'S) 537.4 - * * *
     NUMBER OF TRADES 16 - * * *
FHLMC
AVERAGE PRICE 101.3 - * 97.8 *
Weighted Avg. Price 100.0 - * 97.6 *
Avg. Price Bottom 5 Trades 101.3 - * 96.0 *
2nd Quartile Price * - * 98.0 *
3rd Quartile Price * - * 98.7 *
4th Quartile Price * - * 101.6 *
Avg. Price Top 5 Trades 101.3 - * 99.9 *
Standard Deviation 0.4 - * 3.5 *
     VOLUME OF TRADES (000'S) 49,469.0 - * 14,227.1 *
     NUMBER OF TRADES 14 - * 8 *
GNMA
AVERAGE PRICE - - 97.5 - -
Weighted Avg. Price - - 97.9 - -
Avg. Price Bottom 5 Trades - - 97.5 - -
2nd Quartile Price - - * - -
3rd Quartile Price - - * - -
4th Quartile Price - - * - -
Avg. Price Top 5 Trades - - 97.5 - -
Standard Deviation - - 1.9 - -
     VOLUME OF TRADES (000'S) - - 3,166.7 - -
     NUMBER OF TRADES - - 5 - -
* 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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