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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/CDO 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 91.5 94.1 95.9 99.3 100.4 100.9 102.0
Weighted Avg. Price 92.4 96.6 97.9 99.5 100.5 102.0 102.5
Avg. Price Bottom 5 Trades 83.9 63.1 90.4 98.4 97.6 97.3 101.6
2nd Quartile Price 89.7 94.6 95.5 99.2 100.5 101.0 101.9
3rd Quartile Price 91.0 94.6 95.8 99.5 100.5 101.3 102.2
4th Quartile Price 94.2 96.4 97.9 99.9 100.5 101.6 102.6
Avg. Price Top 5 Trades 97.8 97.6 98.8 100.0 100.6 101.6 102.4
Standard Deviation 3.4 8.0 2.9 0.7 0.5 1.4 0.6
     VOLUME OF TRADES (000'S) 454,431.0 29,359.2 19,496.0 66,667.5 5,209.9 33,790.7 30,038.5
     NUMBER OF TRADES 199 171 32 32 271 64 12
FNMA
AVERAGE PRICE 88.8 96.9 97.5 99.6 100.5 * *
Weighted Avg. Price 74.8 97.3 97.4 99.7 100.3 * *
Avg. Price Bottom 5 Trades 75.1 96.6 97.3 98.9 100.0 * *
2nd Quartile Price 90.3 96.3 97.2 99.2 100.2 * *
3rd Quartile Price 91.0 97.5 97.8 99.9 100.4 * *
4th Quartile Price 97.5 97.5 98.0 100.2 101.4 * *
Avg. Price Top 5 Trades 97.6 97.2 97.8 100.1 101.4 * *
Standard Deviation 9.2 0.8 0.5 0.6 0.8 * *
     VOLUME OF TRADES (000'S) 285,180.5 42,086.5 10,051.4 253,573.3 303,965.7 * *
     NUMBER OF TRADES 19 7 8 13 15 * *
FHLMC
AVERAGE PRICE 96.4 92.7 94.9 98.2 0.0 0.0 0.0
Weighted Avg. Price 97.0 96.4 97.2 98.9 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 94.3 91.8 91.3 96.9 0.0 0.0 0.0
2nd Quartile Price 96.4 94.9 92.0 97.1 0.0 0.0 0.0
3rd Quartile Price 97.0 96.4 95.4 98.9 0.0 0.0 0.0
4th Quartile Price 97.8 96.4 98.1 99.1 0.0 0.0 0.0
Avg. Price Top 5 Trades 98.1 96.1 98.3 99.2 0.0 0.0 0.0
Standard Deviation 2.6 10.3 3.1 1.2 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 965.2 18.8 94,285.7 195,456.3 0.0 0.0 0.0
     NUMBER OF TRADES 16 14 16 12 0 0 0
GNMA
AVERAGE PRICE 91.1 0.0 * * 0.0 * *
Weighted Avg. Price 88.8 0.0 * * 0.0 * *
Avg. Price Bottom 5 Trades 88.9 0.0 * * 0.0 * *
2nd Quartile Price 88.9 0.0 * * 0.0 * *
3rd Quartile Price 90.1 0.0 * * 0.0 * *
4th Quartile Price 93.6 0.0 * * 0.0 * *
Avg. Price Top 5 Trades 92.7 0.0 * * 0.0 * *
Standard Deviation 3.3 0.0 * * 0.0 * *
     VOLUME OF TRADES (000'S) 5,082.6 0.0 * * 0.0 * *
     NUMBER OF TRADES 8 0 * * 0 * *
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 86.0 91.2 92.9 95.9 98.6 99.9 101.8
Weighted Avg. Price 84.9 92.0 95.1 97.0 99.0 100.6 102.5
Avg. Price Bottom 5 Trades 71.7 66.7 59.3 75.8 94.3 91.3 92.8
2nd Quartile Price 84.6 91.3 93.7 96.3 98.5 100.1 101.5
3rd Quartile Price 87.9 91.3 94.0 96.4 98.5 100.3 101.6
4th Quartile Price 87.9 91.3 95.0 97.1 99.1 100.7 102.7
Avg. Price Top 5 Trades 95.2 96.7 98.0 99.3 101.0 101.9 105.2
Standard Deviation 2.5 1.3 5.3 3.2 1.0 2.6 2.4
     VOLUME OF TRADES (000'S) 909,032.1 327,992.3 669,452.9 604,435.7 1,655,127.8 1,223,185.6 996,334.0
     NUMBER OF TRADES 5,552 3,462 411 332 389 230 219
FNMA
AVERAGE PRICE * * * * * 0.0 100.9
Weighted Avg. Price * * * * * 0.0 102.1
Avg. Price Bottom 5 Trades * * * * * 0.0 100.9
2nd Quartile Price * * * * * 0.0 *
3rd Quartile Price * * * * * 0.0 *
4th Quartile Price * * * * * 0.0 *
Avg. Price Top 5 Trades * * * * * 0.0 100.9
Standard Deviation * * * * * 0.0 0.7
     VOLUME OF TRADES (000'S) * * * * * 0.0 36,496.9
     NUMBER OF TRADES * * * * * 0 12
FHLMC
AVERAGE PRICE 87.7 91.5 93.4 95.7 * * 102.0
Weighted Avg. Price 92.3 93.9 95.0 95.2 * * 101.4
Avg. Price Bottom 5 Trades 83.0 89.5 90.7 91.9 * * 101.1
2nd Quartile Price 87.0 91.0 92.0 95.0 * * 100.8
3rd Quartile Price 87.6 91.1 94.0 97.1 * * 101.7
4th Quartile Price 88.8 92.1 95.1 97.1 * * 102.0
Avg. Price Top 5 Trades 95.2 94.5 95.6 97.4 * * 103.1
Standard Deviation 4.1 2.1 1.8 2.4 * * 1.4
     VOLUME OF TRADES (000'S) 690.6 3,734.6 79.0 16,008.9 * * 486,096.5
     NUMBER OF TRADES 33 23 23 24 * * 36
GNMA
AVERAGE PRICE 86.2 90.9 93.9 96.7 98.9 99.3 101.5
Weighted Avg. Price 84.4 92.1 94.7 96.9 99.9 100.5 102.5
Avg. Price Bottom 5 Trades 81.9 87.3 91.2 94.5 94.6 86.1 82.6
2nd Quartile Price 84.7 89.3 94.0 96.9 98.7 100.0 101.3
3rd Quartile Price 86.1 92.0 94.6 97.0 99.1 100.4 102.0
4th Quartile Price 88.3 92.5 95.0 97.2 99.3 101.1 103.0
Avg. Price Top 5 Trades 90.6 93.1 95.3 97.6 101.1 102.0 113.1
Standard Deviation 2.4 2.3 2.2 1.3 1.7 4.6 4.5
     VOLUME OF TRADES (000'S) 6,241,178.5 467,275.6 152,437.4 398,251.5 563,572.6 1,017,700.7 1,113,892.5
     NUMBER OF TRADES 143 38 27 37 99 136 351
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 * 0.0 * 100.2 *
Weighted Avg. Price * 0.0 * 99.9 *
Avg. Price Bottom 5 Trades * 0.0 * 99.4 *
2nd Quartile Price * 0.0 * 100.1 *
3rd Quartile Price * 0.0 * 100.4 *
4th Quartile Price * 0.0 * 100.8 *
Avg. Price Top 5 Trades * 0.0 * 100.9 *
Standard Deviation * 0.0 * 0.8 *
     VOLUME OF TRADES (000'S) * 0.0 * 61,968.5 *
     NUMBER OF TRADES * 0 * 13 *
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 * 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 0.0
     NUMBER OF TRADES 0 0 0 * 0
GNMA
AVERAGE PRICE 0.0 * 99.4 0.0 0.0
Weighted Avg. Price 0.0 * 99.3 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 98.8 0.0 0.0
2nd Quartile Price 0.0 * 98.9 0.0 0.0
3rd Quartile Price 0.0 * 100.0 0.0 0.0
4th Quartile Price 0.0 * 101.1 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 100.0 0.0 0.0
Standard Deviation 0.0 * 1.3 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 7,544.4 0.0 0.0
     NUMBER OF TRADES 0 * 7 0 0
* 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 Listor 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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