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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO
Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.0 102.3 102.4 103.1 103.7 103.5 102.6
Weighted Avg. Price 100.6 102.7 104.1 105.6 104.7 103.6 104.0
Avg. Price Bottom 5 Trades 97.6 101.1 96.8 101.0 102.3 100.7 97.2
2nd Quartile Price 99.3 102.3 102.2 102.3 103.5 103.6 101.3
3rd Quartile Price 100.1 102.4 102.9 103.3 104.0 103.6 102.5
4th Quartile Price 100.9 102.6 103.4 104.1 104.4 103.6 104.5
Avg. Price Top 5 Trades 101.6 103.0 104.5 104.7 105.0 103.5 108.6
Standard Deviation 1.2 0.5 2.0 1.3 1.6 0.7 5.3
     VOLUME OF TRADES (000'S) 281,687.7 241,053.8 65,924.3 36,710.5 5,470.5 22,699.8 3,304.5
     NUMBER OF TRADES 55 62 90 35 15 127 22
FNMA
AVERAGE PRICE 100.3 102.8 105.4 108.0 109.0 0.0 0.0
Weighted Avg. Price 99.6 103.4 105.8 108.6 110.9 0.0 0.0
Avg. Price Bottom 5 Trades 99.2 101.2 103.2 107.2 109.0 0.0 0.0
2nd Quartile Price 99.5 101.8 105.3 107.3 * 0.0 0.0
3rd Quartile Price 100.1 103.6 106.1 108.0 * 0.0 0.0
4th Quartile Price 101.5 104.0 107.0 108.9 * 0.0 0.0
Avg. Price Top 5 Trades 101.2 104.3 106.9 109.3 109.0 0.0 0.0
Standard Deviation 1.0 1.5 1.6 1.1 3.3 0.0 0.0
     VOLUME OF TRADES (000'S) 58,963.5 19,445.7 40,685.3 26,065.4 10,924.1 0.0 0.0
     NUMBER OF TRADES 16 14 17 17 5 0 0
FHLMC
AVERAGE PRICE 100.6 101.8 101.0 104.0 102.9 102.6 102.5
Weighted Avg. Price 100.9 101.2 103.7 104.1 104.1 103.4 103.3
Avg. Price Bottom 5 Trades 100.4 100.8 97.5 104.0 102.1 102.6 101.9
2nd Quartile Price 100.1 101.3 102.0 * 103.0 * 101.9
3rd Quartile Price 100.9 102.1 102.4 * 103.7 * 103.1
4th Quartile Price 102.3 102.3 102.9 * 104.0 * 103.4
Avg. Price Top 5 Trades 100.9 102.8 103.3 104.0 104.1 102.6 103.3
Standard Deviation 0.9 0.8 3.4 0.3 1.6 1.3 1.3
     VOLUME OF TRADES (000'S) 1,025.8 22,397.1 21,277.1 18,579.6 1,963.6 1,853.9 2,529.3
     NUMBER OF TRADES 7 21 29 18 13 5 8
GNMA
AVERAGE PRICE * 102.8 103.3 0.0 * 0.0 *
Weighted Avg. Price * 102.9 103.5 0.0 * 0.0 *
Avg. Price Bottom 5 Trades * 102.6 102.8 0.0 * 0.0 *
2nd Quartile Price * 102.8 103.5 0.0 * 0.0 *
3rd Quartile Price * 102.9 103.6 0.0 * 0.0 *
4th Quartile Price * 103.0 104.1 0.0 * 0.0 *
Avg. Price Top 5 Trades * 103.0 103.8 0.0 * 0.0 *
Standard Deviation * 0.2 1.0 0.0 * 0.0 *
     VOLUME OF TRADES (000'S) * 13,807.6 17,232.0 0.0 * 0.0 *
     NUMBER OF TRADES * 12 8 0 * 0 *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 98.9 101.5 103.8 104.3 106.4 108.1 104.8
Weighted Avg. Price 99.1 101.4 103.6 104.7 105.9 107.5 112.5
Avg. Price Bottom 5 Trades 96.7 100.6 100.9 101.9 103.1 105.3 98.5
2nd Quartile Price 99.0 101.2 102.6 103.9 105.5 106.6 100.0
3rd Quartile Price 99.1 101.3 103.9 104.3 106.6 107.8 102.8
4th Quartile Price 99.8 102.0 105.0 104.3 106.6 110.1 112.1
Avg. Price Top 5 Trades 100.2 103.1 105.4 107.6 109.4 111.3 114.2
Standard Deviation 1.2 0.7 1.3 1.1 1.4 2.2 6.0
     VOLUME OF TRADES (000'S) 575,058.3 2,168,570.8 868,832.6 796,489.3 654,483.7 84,741.3 6,109.2
     NUMBER OF TRADES 44 112 337 261 255 40 60
FNMA
AVERAGE PRICE 98.4 100.5 104.2 104.9 * * 100.3
Weighted Avg. Price 98.3 100.4 104.6 105.3 * * 109.0
Avg. Price Bottom 5 Trades 98.4 100.4 104.1 104.9 * * 99.3
2nd Quartile Price * 100.4 104.6 * * * 99.0
3rd Quartile Price * 100.5 104.6 * * * 99.8
4th Quartile Price * 100.5 104.7 * * * 100.0
Avg. Price Top 5 Trades 98.4 100.7 104.6 104.9 * * 100.8
Standard Deviation 0.2 0.3 1.1 2.5 * * 3.6
     VOLUME OF TRADES (000'S) 45,502.0 131,862.8 200,543.3 2,237.1 * * 10.1
     NUMBER OF TRADES 5 16 9 6 * * 13
FHLMC
AVERAGE PRICE 98.4 101.1 102.7 103.7 105.2 108.4 102.9
Weighted Avg. Price 98.3 101.6 102.5 104.1 108.8 107.6 111.9
Avg. Price Bottom 5 Trades 98.4 100.2 100.8 102.4 105.0 107.4 96.9
2nd Quartile Price * 100.5 101.7 103.2 104.7 107.2 100.0
3rd Quartile Price * 101.1 102.5 103.2 104.7 109.0 100.1
4th Quartile Price * 101.5 103.9 104.2 105.6 109.8 110.6
Avg. Price Top 5 Trades 98.4 102.6 105.3 105.7 105.3 109.9 112.1
Standard Deviation 0.3 0.7 1.5 1.1 1.3 1.4 5.9
     VOLUME OF TRADES (000'S) 10,628.5 61,211.2 286,744.5 85,959.5 8,350.6 22,038.0 359.6
     NUMBER OF TRADES 5 65 50 55 18 12 33
GNMA
AVERAGE PRICE 100.5 102.3 103.7 104.9 105.8 107.1 105.6
Weighted Avg. Price 99.9 102.4 103.8 104.3 105.1 107.5 109.1
Avg. Price Bottom 5 Trades 99.0 99.6 101.4 102.8 102.9 104.1 82.5
2nd Quartile Price 100.5 102.4 103.6 104.3 105.3 105.6 101.0
3rd Quartile Price 100.7 102.4 103.8 104.7 105.7 107.6 108.2
4th Quartile Price 101.4 102.6 104.5 105.6 106.6 108.6 110.4
Avg. Price Top 5 Trades 101.4 103.6 105.8 106.8 108.4 110.3 114.9
Standard Deviation 1.1 1.1 1.2 1.2 1.6 2.3 6.0
     VOLUME OF TRADES (000'S) 166,856.7 1,025,079.1 585,630.5 1,264,765.3 208,599.7 48,767.4 4,550.8
     NUMBER OF TRADES 23 58 91 60 40 26 450
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 104.8 0.0 * 101.8 103.3
Weighted Avg. Price 104.8 0.0 * 101.8 102.2
Avg. Price Bottom 5 Trades 104.8 0.0 * 101.4 102.8
2nd Quartile Price 104.8 0.0 * 101.5 101.8
3rd Quartile Price 104.8 0.0 * 101.7 104.7
4th Quartile Price 104.8 0.0 * 102.6 104.8
Avg. Price Top 5 Trades 104.8 0.0 * 102.2 103.7
Standard Deviation 0.3 0.0 * 0.5 1.7
     VOLUME OF TRADES (000'S) 23,755.9 0.0 * 26,107.1 25,637.9
     NUMBER OF TRADES 203 0 * 14 7
FHLMC
AVERAGE PRICE * 0.0 100.7 * 0.0
Weighted Avg. Price * 0.0 100.7 * 0.0
Avg. Price Bottom 5 Trades * 0.0 100.6 * 0.0
2nd Quartile Price * 0.0 100.7 * 0.0
3rd Quartile Price * 0.0 100.8 * 0.0
4th Quartile Price * 0.0 101.0 * 0.0
Avg. Price Top 5 Trades * 0.0 100.8 * 0.0
Standard Deviation * 0.0 0.3 * 0.0
     VOLUME OF TRADES (000'S) * 0.0 5,207.7 * 0.0
     NUMBER OF TRADES * 0 9 * 0
GNMA
AVERAGE PRICE 94.8 0.0 102.3 0.0 0.0
Weighted Avg. Price 95.2 0.0 102.3 0.0 0.0
Avg. Price Bottom 5 Trades 94.8 0.0 102.2 0.0 0.0
2nd Quartile Price * 0.0 102.2 0.0 0.0
3rd Quartile Price * 0.0 102.3 0.0 0.0
4th Quartile Price * 0.0 102.4 0.0 0.0
Avg. Price Top 5 Trades 94.8 0.0 102.4 0.0 0.0
Standard Deviation 0.9 0.0 0.2 0.0 0.0
     VOLUME OF TRADES (000'S) 64.1 0.0 38,032.8 0.0 0.0
     NUMBER OF TRADES 36 0 8 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 tracedataservices@finra.org.

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