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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 90.9 93.3 94.6 95.3 98.6 98.7 100.3
Weighted Avg. Price 91.5 96.3 96.4 98.0 99.5 100.4 101.9
Avg. Price Bottom 5 Trades 82.9 87.2 88.3 90.2 96.7 95.7 99.2
2nd Quartile Price 88.8 93.6 94.0 93.0 98.0 98.1 99.3
3rd Quartile Price 90.8 93.6 95.8 95.9 98.8 99.3 101.1
4th Quartile Price 92.8 95.0 96.8 97.9 99.5 100.3 102.1
Avg. Price Top 5 Trades 96.0 96.4 97.4 98.3 99.9 100.7 102.1
Standard Deviation 3.3 2.2 3.1 3.3 1.1 1.7 1.7
     VOLUME OF TRADES (000'S) 414,258.9 45,444.8 47,472.8 6,231.0 34,179.2 33,899.5 7,462.7
     NUMBER OF TRADES 137 130 55 40 47 52 17
FNMA
AVERAGE PRICE 93.6 96.2 * - * * *
Weighted Avg. Price 95.3 96.8 * - * * *
Avg. Price Bottom 5 Trades 91.3 96.0 * - * * *
2nd Quartile Price 93.3 96.6 * - * * *
3rd Quartile Price 93.8 96.6 * - * * *
4th Quartile Price 97.0 97.1 * - * * *
Avg. Price Top 5 Trades 96.3 96.7 * - * * *
Standard Deviation 4.4 1.2 * - * * *
     VOLUME OF TRADES (000'S) 112,318.6 54,247.1 * - * * *
     NUMBER OF TRADES 12 7 * - * * *
FHLMC
AVERAGE PRICE 91.4 93.0 * 98.9 100.0 - -
Weighted Avg. Price 94.1 93.6 * 96.2 100.6 - -
Avg. Price Bottom 5 Trades 87.1 92.1 * 98.9 100.0 - -
2nd Quartile Price 90.1 93.0 * * * - -
3rd Quartile Price 92.7 93.8 * * * - -
4th Quartile Price 95.2 93.8 * * * - -
Avg. Price Top 5 Trades 95.9 93.9 * 98.9 100.0 - -
Standard Deviation 4.1 1.8 * 1.4 1.2 - -
     VOLUME OF TRADES (000'S) 3,146.6 16.1 * 34,303.9 15,245.0 - -
     NUMBER OF TRADES 18 25 * 7 6 - -
GNMA
AVERAGE PRICE - * 85.0 - 99.8 - *
Weighted Avg. Price - * 87.4 - 99.8 - *
Avg. Price Bottom 5 Trades - * 85.0 - 99.8 - *
2nd Quartile Price - * * - * - *
3rd Quartile Price - * * - * - *
4th Quartile Price - * * - * - *
Avg. Price Top 5 Trades - * 85.0 - 99.8 - *
Standard Deviation - * 3.3 - 0.2 - *
     VOLUME OF TRADES (000'S) - * 4.1 - 6,628.2 - *
     NUMBER OF TRADES - * 6 - 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 83.9 88.8 91.5 93.2 96.0 97.8 99.9
Weighted Avg. Price 84.9 89.5 92.8 95.1 97.4 99.3 101.4
Avg. Price Bottom 5 Trades 76.6 81.7 81.4 64.3 70.1 71.8 41.9
2nd Quartile Price 82.2 89.0 91.5 94.3 96.1 98.7 100.7
3rd Quartile Price 83.9 89.1 91.8 94.8 97.1 99.2 102.3
4th Quartile Price 85.7 89.1 93.2 94.8 97.3 99.4 103.5
Avg. Price Top 5 Trades 92.6 93.6 96.2 97.5 99.6 100.9 105.3
Standard Deviation 2.8 1.7 2.9 9.8 6.8 5.8 9.2
     VOLUME OF TRADES (000'S) 390,612.6 237,326.3 105,063.8 93,659.6 643,206.9 968,584.1 2,797,637.5
     NUMBER OF TRADES 637 430 306 183 249 205 417
FNMA
AVERAGE PRICE 77.7 * - - - * 97.1
Weighted Avg. Price 81.2 * - - - * 100.5
Avg. Price Bottom 5 Trades 77.7 * - - - * 92.5
2nd Quartile Price * * - - - * 97.0
3rd Quartile Price * * - - - * 98.8
4th Quartile Price * * - - - * 101.1
Avg. Price Top 5 Trades 77.7 * - - - * 101.0
Standard Deviation 7.4 * - - - * 5.2
     VOLUME OF TRADES (000'S) 8.5 * - - - * 29,885.8
     NUMBER OF TRADES 6 * - - - * 16
FHLMC
AVERAGE PRICE 87.6 86.8 91.7 91.8 94.6 91.8 87.9
Weighted Avg. Price 92.8 90.2 93.8 96.8 96.9 99.8 102.1
Avg. Price Bottom 5 Trades 85.4 81.1 87.8 89.2 94.1 91.8 83.7
2nd Quartile Price 86.0 85.2 91.8 91.4 94.0 * 85.0
3rd Quartile Price 86.0 89.0 91.8 92.0 94.0 * 85.0
4th Quartile Price 87.8 89.0 93.2 96.7 96.7 * 95.5
Avg. Price Top 5 Trades 94.1 89.5 94.8 94.5 95.3 91.8 100.3
Standard Deviation 3.4 5.0 2.3 6.3 2.1 4.5 8.2
     VOLUME OF TRADES (000'S) 25,704.2 67.9 230.5 469.7 8.2 6.0 916.4
     NUMBER OF TRADES 41 30 53 16 10 7 33
GNMA
AVERAGE PRICE 87.9 90.1 92.4 95.8 97.7 98.6 100.8
Weighted Avg. Price 84.1 89.9 93.2 95.7 97.9 99.5 102.0
Avg. Price Bottom 5 Trades 80.7 88.6 87.4 90.4 88.1 82.2 68.4
2nd Quartile Price 84.8 89.3 93.0 95.3 97.0 98.0 100.0
3rd Quartile Price 87.8 89.8 93.2 95.5 97.8 99.4 101.6
4th Quartile Price 93.5 90.9 95.4 99.0 99.4 100.3 102.9
Avg. Price Top 5 Trades 92.7 91.8 96.2 99.6 101.3 104.2 109.8
Standard Deviation 4.3 1.3 4.7 3.1 2.7 3.5 6.9
     VOLUME OF TRADES (000'S) 278,413.3 18,547.8 72,817.4 440,138.6 443,073.0 574,213.7 807,656.8
     NUMBER OF TRADES 76 21 18 47 157 207 550
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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