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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 90.9 90.5 96.0 98.5 99.8 100.3 100.9
Weighted Avg. Price 93.0 96.1 96.7 98.9 100.0 100.8 101.7
Avg. Price Bottom 5 Trades 81.2 40.7 92.4 98.1 99.5 99.1 100.0
2nd Quartile Price 88.8 91.0 96.3 98.1 99.9 100.5 101.4
3rd Quartile Price 91.3 93.3 97.1 98.8 99.9 100.8 101.6
4th Quartile Price 93.8 93.3 97.2 98.9 100.0 100.8 101.7
Avg. Price Top 5 Trades 97.1 96.8 97.9 98.9 100.0 100.8 102.0
Standard Deviation 3.7 9.3 2.7 0.6 0.4 1.9 2.2
     VOLUME OF TRADES (000'S) 171,296.2 1,858.3 21,221.2 5,583.6 93,814.7 116,346.2 2,271.4
     NUMBER OF TRADES 168 205 32 19 26 50 18
FNMA
AVERAGE PRICE 91.8 * * * 101.4 102.7 *
Weighted Avg. Price 92.2 * * * 101.2 103.0 *
Avg. Price Bottom 5 Trades 90.4 * * * 101.0 102.2 *
2nd Quartile Price 92.1 * * * 101.5 102.3 *
3rd Quartile Price 92.3 * * * 101.8 103.3 *
4th Quartile Price 94.4 * * * 101.9 103.4 *
Avg. Price Top 5 Trades 94.4 * * * 101.8 103.4 *
Standard Deviation 3.6 * * * 0.7 0.8 *
     VOLUME OF TRADES (000'S) 169,960.9 * * * 42,129.6 44,480.8 *
     NUMBER OF TRADES 13 * * * 9 9 *
FHLMC
AVERAGE PRICE 92.8 90.7 93.4 98.8 * * *
Weighted Avg. Price 94.7 97.5 97.5 98.9 * * *
Avg. Price Bottom 5 Trades 90.8 89.9 92.4 98.8 * * *
2nd Quartile Price 90.0 90.5 97.2 * * * *
3rd Quartile Price 93.8 93.7 97.5 * * * *
4th Quartile Price 94.9 93.7 99.0 * * * *
Avg. Price Top 5 Trades 95.4 93.7 97.9 98.8 * * *
Standard Deviation 2.6 6.6 7.8 0.5 * * *
     VOLUME OF TRADES (000'S) 4,830.7 1,462.8 67.4 55,000.0 * * *
     NUMBER OF TRADES 16 20 7 7 * * *
GNMA
AVERAGE PRICE * 0.0 * * 0.0 * 106.8
Weighted Avg. Price * 0.0 * * 0.0 * 109.7
Avg. Price Bottom 5 Trades * 0.0 * * 0.0 * 106.8
2nd Quartile Price * 0.0 * * 0.0 * *
3rd Quartile Price * 0.0 * * 0.0 * *
4th Quartile Price * 0.0 * * 0.0 * *
Avg. Price Top 5 Trades * 0.0 * * 0.0 * 106.8
Standard Deviation * 0.0 * * 0.0 * 6.3
     VOLUME OF TRADES (000'S) * 0.0 * * 0.0 * 251.5
     NUMBER OF TRADES * 0 * * 0 * 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 88.0 89.6 93.1 97.6 99.2 101.6
Weighted Avg. Price 84.5 92.0 93.5 95.9 98.5 99.8 101.8
Avg. Price Bottom 5 Trades 74.1 64.0 44.7 65.0 85.0 86.3 87.0
2nd Quartile Price 82.8 86.9 88.0 94.8 97.4 99.5 101.1
3rd Quartile Price 83.2 89.7 92.4 95.3 97.8 99.7 102.0
4th Quartile Price 86.3 89.9 92.8 95.6 98.1 99.9 102.9
Avg. Price Top 5 Trades 91.4 95.6 96.2 98.1 100.6 102.0 105.2
Standard Deviation 2.6 4.5 7.2 6.9 3.1 2.8 3.0
     VOLUME OF TRADES (000'S) 715,763.3 418,779.7 171,020.6 345,151.2 290,001.7 1,323,791.7 2,357,624.3
     NUMBER OF TRADES 668 492 432 251 247 269 330
FNMA
AVERAGE PRICE * * * 0.0 0.0 * 96.0
Weighted Avg. Price * * * 0.0 0.0 * 101.8
Avg. Price Bottom 5 Trades * * * 0.0 0.0 * 96.0
2nd Quartile Price * * * 0.0 0.0 * *
3rd Quartile Price * * * 0.0 0.0 * *
4th Quartile Price * * * 0.0 0.0 * *
Avg. Price Top 5 Trades * * * 0.0 0.0 * 96.0
Standard Deviation * * * 0.0 0.0 * 5.6
     VOLUME OF TRADES (000'S) * * * 0.0 0.0 * 862.9
     NUMBER OF TRADES * * * 0 0 * 5
FHLMC
AVERAGE PRICE 85.1 89.0 88.1 95.6 99.4 99.5 100.7
Weighted Avg. Price 90.1 91.4 94.0 97.5 100.7 99.6 101.8
Avg. Price Bottom 5 Trades 71.1 84.1 59.1 74.8 99.4 99.5 98.3
2nd Quartile Price 85.3 89.0 87.0 98.0 * * 99.6
3rd Quartile Price 86.3 89.7 92.5 98.0 * * 101.4
4th Quartile Price 87.3 90.0 92.5 98.0 * * 101.8
Avg. Price Top 5 Trades 93.1 92.4 94.0 98.1 99.4 99.5 102.3
Standard Deviation 6.8 2.6 8.9 9.5 4.5 1.2 2.3
     VOLUME OF TRADES (000'S) 5,140.2 130,636.9 1,185.0 462.2 6,259.7 65,868.0 150,167.8
     NUMBER OF TRADES 57 51 77 61 38 5 20
GNMA
AVERAGE PRICE 85.0 90.9 93.7 95.1 97.0 99.9 100.2
Weighted Avg. Price 82.2 92.2 93.3 94.8 98.2 100.0 101.4
Avg. Price Bottom 5 Trades 79.8 90.6 92.3 93.7 91.8 92.2 50.8
2nd Quartile Price 84.8 91.0 93.0 94.4 95.3 99.8 100.3
3rd Quartile Price 85.1 91.0 93.8 95.3 98.1 100.1 102.2
4th Quartile Price 87.2 92.5 94.2 96.1 98.6 101.5 102.8
Avg. Price Top 5 Trades 88.0 91.2 95.0 96.4 99.6 102.4 109.7
Standard Deviation 2.8 1.4 1.6 1.7 2.5 3.5 7.4
     VOLUME OF TRADES (000'S) 297,499.2 472.3 5,098.4 9,481.8 64,607.9 175,165.8 1,181,238.8
     NUMBER OF TRADES 46 9 13 18 60 72 360
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 98.6 0.0 0.0 97.1 *
Weighted Avg. Price 100.6 0.0 0.0 97.1 *
Avg. Price Bottom 5 Trades 95.1 0.0 0.0 97.1 *
2nd Quartile Price 97.0 0.0 0.0 * *
3rd Quartile Price 99.8 0.0 0.0 * *
4th Quartile Price 100.9 0.0 0.0 * *
Avg. Price Top 5 Trades 100.9 0.0 0.0 97.1 *
Standard Deviation 2.6 0.0 0.0 2.2 *
     VOLUME OF TRADES (000'S) 2,959.1 0.0 0.0 1,201.0 *
     NUMBER OF TRADES 24 0 0 6 *
FHLMC
AVERAGE PRICE * 0.0 0.0 95.8 0.0
Weighted Avg. Price * 0.0 0.0 98.7 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 94.4 0.0
2nd Quartile Price * 0.0 0.0 95.8 0.0
3rd Quartile Price * 0.0 0.0 97.0 0.0
4th Quartile Price * 0.0 0.0 99.9 0.0
Avg. Price Top 5 Trades * 0.0 0.0 97.7 0.0
Standard Deviation * 0.0 0.0 3.5 0.0
     VOLUME OF TRADES (000'S) * 0.0 0.0 75,874.5 0.0
     NUMBER OF TRADES * 0 0 7 0
GNMA
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
* 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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