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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 90.5 90.9 96.3 96.8 99.1 100.2 102.0
Weighted Avg. Price 90.5 95.4 96.6 98.3 99.7 100.8 102.0
Avg. Price Bottom 5 Trades 81.8 74.9 91.5 94.0 97.1 98.9 101.8
2nd Quartile Price 88.7 89.1 96.1 97.9 99.3 100.5 101.9
3rd Quartile Price 90.9 94.2 96.4 98.0 99.7 100.6 102.0
4th Quartile Price 92.5 95.9 98.8 98.3 100.0 101.0 102.1
Avg. Price Top 5 Trades 95.9 97.8 98.7 98.5 100.0 101.1 102.1
Standard Deviation 3.3 6.8 2.9 3.4 1.1 1.5 0.3
     VOLUME OF TRADES (000'S) 239,040.3 45,866.1 29,900.5 27,245.8 67,493.0 24,875.5 13,834.3
     NUMBER OF TRADES 163 57 30 21 47 29 11
FNMA
AVERAGE PRICE 91.9 95.3 * 98.0 99.0 * 102.4
Weighted Avg. Price 93.0 96.4 * 97.7 99.5 * 102.8
Avg. Price Bottom 5 Trades 88.2 93.7 * 97.0 97.7 * 102.4
2nd Quartile Price 90.1 94.0 * 97.6 98.6 * 102.4
3rd Quartile Price 93.1 96.0 * 98.1 99.4 * 102.7
4th Quartile Price 95.0 96.7 * 98.6 100.0 * 102.9
Avg. Price Top 5 Trades 95.1 97.0 * 99.0 100.2 * 102.7
Standard Deviation 3.3 1.7 * 0.8 1.1 * 0.4
     VOLUME OF TRADES (000'S) 65,626.0 38,758.3 * 53,132.1 58,398.0 * 56,692.0
     NUMBER OF TRADES 18 13 * 20 27 * 7
FHLMC
AVERAGE PRICE 92.6 92.8 97.7 98.4 99.4 0.0 0.0
Weighted Avg. Price 93.3 97.6 95.7 98.0 99.6 0.0 0.0
Avg. Price Bottom 5 Trades 89.0 88.4 96.3 96.5 99.3 0.0 0.0
2nd Quartile Price 90.0 94.8 97.3 97.8 99.4 0.0 0.0
3rd Quartile Price 95.0 95.0 98.3 98.7 99.7 0.0 0.0
4th Quartile Price 95.9 97.6 99.1 99.4 99.7 0.0 0.0
Avg. Price Top 5 Trades 96.1 96.8 98.9 99.6 99.5 0.0 0.0
Standard Deviation 3.5 5.9 1.4 1.0 0.5 0.0 0.0
     VOLUME OF TRADES (000'S) 4,678.1 1,210.6 91,249.8 234,386.6 39,000.0 0.0 0.0
     NUMBER OF TRADES 15 13 21 35 9 0 0
GNMA
AVERAGE PRICE * 0.0 96.2 * 99.6 100.5 *
Weighted Avg. Price * 0.0 97.0 * 99.7 101.3 *
Avg. Price Bottom 5 Trades * 0.0 96.2 * 99.6 100.5 *
2nd Quartile Price * 0.0 * * * * *
3rd Quartile Price * 0.0 * * * * *
4th Quartile Price * 0.0 * * * * *
Avg. Price Top 5 Trades * 0.0 96.2 * 99.6 100.5 *
Standard Deviation * 0.0 1.9 * 0.2 0.5 *
     VOLUME OF TRADES (000'S) * 0.0 417.0 * 16,595.4 2,114.3 *
     NUMBER OF TRADES * 0 5 * 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 82.9 88.0 90.5 94.3 96.9 97.9 101.6
Weighted Avg. Price 82.2 89.9 92.1 94.9 97.0 99.2 102.0
Avg. Price Bottom 5 Trades 74.7 75.3 64.5 80.9 91.5 59.7 76.1
2nd Quartile Price 82.2 87.0 90.3 94.5 96.9 98.8 100.6
3rd Quartile Price 82.2 88.9 91.6 94.5 97.1 99.0 101.9
4th Quartile Price 85.4 88.9 92.0 94.6 97.1 99.4 104.0
Avg. Price Top 5 Trades 93.2 95.2 96.4 98.6 99.6 101.0 106.2
Standard Deviation 2.5 2.6 3.9 2.2 0.9 6.9 3.9
     VOLUME OF TRADES (000'S) 1,226,419.2 281,609.6 666,951.1 1,172,750.2 1,703,484.5 1,943,179.8 5,078,388.1
     NUMBER OF TRADES 1,702 842 649 719 658 285 403
FNMA
AVERAGE PRICE 80.7 91.8 91.7 96.5 0.0 * 83.0
Weighted Avg. Price 78.1 92.1 93.0 95.5 0.0 * 98.5
Avg. Price Bottom 5 Trades 76.2 91.8 91.7 96.5 0.0 * 83.0
2nd Quartile Price 76.5 * * * 0.0 * *
3rd Quartile Price 83.9 * * * 0.0 * *
4th Quartile Price 84.1 * * * 0.0 * *
Avg. Price Top 5 Trades 81.5 91.8 91.7 96.5 0.0 * 83.0
Standard Deviation 3.9 0.7 1.9 0.8 0.0 * 9.8
     VOLUME OF TRADES (000'S) 9,205.1 12,119.2 505.3 745.6 0.0 * 12.5
     NUMBER OF TRADES 21 7 6 9 0 * 5
FHLMC
AVERAGE PRICE 83.7 88.5 90.9 89.9 * * 91.5
Weighted Avg. Price 83.0 94.7 94.9 95.7 * * 100.9
Avg. Price Bottom 5 Trades 75.6 80.2 83.9 85.0 * * 84.0
2nd Quartile Price 83.0 88.7 90.7 89.0 * * 100.0
3rd Quartile Price 85.4 88.7 91.9 92.0 * * 100.2
4th Quartile Price 86.0 90.2 91.9 94.5 * * 101.0
Avg. Price Top 5 Trades 89.8 95.4 96.1 94.6 * * 100.8
Standard Deviation 4.6 4.1 3.3 5.5 * * 17.9
     VOLUME OF TRADES (000'S) 9,209.7 10,347.9 2,732.3 69.0 * * 20,315.8
     NUMBER OF TRADES 65 83 83 22 * * 9
GNMA
AVERAGE PRICE 84.6 89.3 93.4 95.3 98.1 98.8 101.0
Weighted Avg. Price 86.6 90.3 92.7 95.2 97.6 99.6 101.7
Avg. Price Bottom 5 Trades 79.5 85.4 90.3 90.8 83.8 76.6 70.0
2nd Quartile Price 83.0 89.3 92.4 95.0 97.5 99.5 100.5
3rd Quartile Price 84.2 89.8 92.5 95.2 99.2 99.7 101.8
4th Quartile Price 87.0 90.4 92.9 95.6 100.4 99.8 103.1
Avg. Price Top 5 Trades 89.2 91.9 98.5 98.6 100.4 102.1 116.1
Standard Deviation 2.5 2.5 3.0 2.0 3.7 4.0 5.7
     VOLUME OF TRADES (000'S) 395,105.7 158,168.8 142,242.3 720,644.5 847,536.8 1,366,515.7 912,321.3
     NUMBER OF TRADES 126 75 67 132 193 278 777
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 103.8 0.0 * 99.8 98.8
Weighted Avg. Price 103.8 0.0 * 100.0 99.5
Avg. Price Bottom 5 Trades 103.8 0.0 * 99.5 98.8
2nd Quartile Price * 0.0 * 99.9 *
3rd Quartile Price * 0.0 * 100.0 *
4th Quartile Price * 0.0 * 101.0 *
Avg. Price Top 5 Trades 103.8 0.0 * 100.2 98.8
Standard Deviation 0.0 0.0 * 1.0 3.2
     VOLUME OF TRADES (000'S) 2,021.1 0.0 * 113,869.6 18,292.1
     NUMBER OF TRADES 11 0 * 6 5
FHLMC
AVERAGE PRICE * 0.0 0.0 98.5 97.6
Weighted Avg. Price * 0.0 0.0 99.3 96.5
Avg. Price Bottom 5 Trades * 0.0 0.0 98.2 97.6
2nd Quartile Price * 0.0 0.0 97.5 *
3rd Quartile Price * 0.0 0.0 97.7 *
4th Quartile Price * 0.0 0.0 100.7 *
Avg. Price Top 5 Trades * 0.0 0.0 99.2 97.6
Standard Deviation * 0.0 0.0 1.5 1.8
     VOLUME OF TRADES (000'S) * 0.0 0.0 13,444.6 1,612.9
     NUMBER OF TRADES * 0 0 8 7
GNMA
AVERAGE PRICE 0.0 0.0 98.5 0.0 0.0
Weighted Avg. Price 0.0 0.0 98.5 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 98.2 0.0 0.0
2nd Quartile Price 0.0 0.0 98.4 0.0 0.0
3rd Quartile Price 0.0 0.0 99.2 0.0 0.0
4th Quartile Price 0.0 0.0 100.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 98.9 0.0 0.0
Standard Deviation 0.0 0.0 1.3 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 7,817.0 0.0 0.0
     NUMBER OF TRADES 0 0 6 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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