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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 93.2 95.6 99.4 99.3 100.9 101.7 102.2
Weighted Avg. Price 94.2 97.5 99.6 100.4 101.8 102.1 104.5
Avg. Price Bottom 5 Trades 81.5 82.4 98.9 97.8 98.9 99.7 101.4
2nd Quartile Price 91.4 96.2 99.3 98.5 101.2 101.2 102.1
3rd Quartile Price 93.8 98.0 99.5 100.2 101.3 102.1 103.1
4th Quartile Price 95.0 98.0 99.6 100.4 101.6 102.2 104.6
Avg. Price Top 5 Trades 98.5 98.9 99.8 100.4 101.9 102.4 103.3
Standard Deviation 3.4 5.5 0.3 1.4 1.4 1.0 2.0
     VOLUME OF TRADES (000'S) 90,021.1 8,317.8 83,975.5 41,429.0 11,349.6 61,497.5 2,562.8
     NUMBER OF TRADES 227 69 21 20 31 52 7
FNMA
AVERAGE PRICE 90.3 96.6 96.4 100.1 101.3 * *
Weighted Avg. Price 87.8 97.4 97.4 100.2 102.9 * *
Avg. Price Bottom 5 Trades 83.3 94.1 95.5 99.9 100.6 * *
2nd Quartile Price 86.5 95.8 95.3 100.1 100.9 * *
3rd Quartile Price 89.5 97.3 96.8 100.2 101.4 * *
4th Quartile Price 95.7 98.2 99.1 100.4 101.5 * *
Avg. Price Top 5 Trades 98.1 98.4 97.0 100.3 102.0 * *
Standard Deviation 4.9 1.8 1.8 0.4 0.9 * *
     VOLUME OF TRADES (000'S) 127,404.4 55,984.9 3,694.5 58,488.6 88,114.0 * *
     NUMBER OF TRADES 42 22 7 8 12 * *
FHLMC
AVERAGE PRICE 94.8 97.0 * 96.1 0.0 0.0 *
Weighted Avg. Price 98.2 97.9 * 99.9 0.0 0.0 *
Avg. Price Bottom 5 Trades 86.0 97.0 * 94.5 0.0 0.0 *
2nd Quartile Price 95.0 * * 98.3 0.0 0.0 *
3rd Quartile Price 95.4 * * 99.5 0.0 0.0 *
4th Quartile Price 98.2 * * 100.8 0.0 0.0 *
Avg. Price Top 5 Trades 98.3 97.0 * 99.5 0.0 0.0 *
Standard Deviation 4.4 0.9 * 5.9 0.0 0.0 *
     VOLUME OF TRADES (000'S) 9,804.9 54.9 * 16,422.5 0.0 0.0 *
     NUMBER OF TRADES 49 12 * 7 0 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 *
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 87.6 93.3 96.1 97.8 99.7 101.3 102.2
Weighted Avg. Price 88.1 94.2 96.7 98.7 100.1 101.4 103.5
Avg. Price Bottom 5 Trades 79.2 86.7 91.3 84.8 93.1 95.4 79.3
2nd Quartile Price 86.4 93.1 96.1 98.0 99.8 101.1 102.2
3rd Quartile Price 87.1 93.4 96.1 98.2 99.9 101.3 102.9
4th Quartile Price 90.0 93.4 96.3 98.4 100.1 101.7 104.0
Avg. Price Top 5 Trades 96.6 97.8 98.9 100.6 102.2 103.8 106.3
Standard Deviation 2.6 1.5 1.1 2.0 1.3 1.4 5.6
     VOLUME OF TRADES (000'S) 1,126,479.9 464,301.8 400,020.6 853,049.9 2,477,067.4 4,367,095.9 3,627,524.8
     NUMBER OF TRADES 1,337 597 427 428 563 323 348
FNMA
AVERAGE PRICE 91.1 93.0 * * * * 100.9
Weighted Avg. Price 92.3 92.1 * * * * 101.9
Avg. Price Bottom 5 Trades 91.1 93.0 * * * * 96.7
2nd Quartile Price * * * * * * 97.8
3rd Quartile Price * * * * * * 102.5
4th Quartile Price * * * * * * 104.6
Avg. Price Top 5 Trades 91.1 93.0 * * * * 104.6
Standard Deviation 3.2 1.6 * * * * 3.8
     VOLUME OF TRADES (000'S) 4,153.2 834.7 * * * * 5,510.5
     NUMBER OF TRADES 5 6 * * * * 15
FHLMC
AVERAGE PRICE 90.2 93.7 96.3 97.1 101.2 102.4 101.7
Weighted Avg. Price 92.0 94.8 98.1 100.1 101.8 101.8 104.4
Avg. Price Bottom 5 Trades 83.9 91.1 96.0 96.1 101.2 102.4 93.8
2nd Quartile Price 90.1 93.4 96.1 98.2 * * 102.3
3rd Quartile Price 90.1 93.4 96.1 99.3 * * 104.4
4th Quartile Price 91.4 94.3 96.1 100.0 * * 105.3
Avg. Price Top 5 Trades 92.5 95.7 98.5 99.2 101.2 102.4 106.4
Standard Deviation 2.2 1.4 1.1 5.6 0.7 1.1 7.4
     VOLUME OF TRADES (000'S) 4,737.6 6,668.9 5,065.8 355.4 123.4 24.4 44,051.2
     NUMBER OF TRADES 68 81 75 20 9 7 21
GNMA
AVERAGE PRICE 88.3 93.7 96.4 98.4 97.7 99.6 100.4
Weighted Avg. Price 88.7 93.8 96.9 98.9 100.3 101.5 103.6
Avg. Price Bottom 5 Trades 82.0 90.7 93.8 81.1 79.0 75.9 42.3
2nd Quartile Price 86.6 93.1 96.8 98.8 98.0 100.5 100.7
3rd Quartile Price 88.1 93.1 97.1 99.1 100.1 101.1 102.1
4th Quartile Price 91.1 94.9 97.5 99.8 100.3 102.5 103.5
Avg. Price Top 5 Trades 93.5 96.4 98.0 100.7 102.5 105.8 115.3
Standard Deviation 3.3 1.4 3.0 4.4 6.1 6.7 10.5
     VOLUME OF TRADES (000'S) 844,421.7 48,408.4 125,775.3 1,497,531.9 524,942.2 618,776.0 666,384.4
     NUMBER OF TRADES 213 108 43 105 126 165 413
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 * 101.7 99.0
Weighted Avg. Price * 0.0 * 101.6 98.6
Avg. Price Bottom 5 Trades * 0.0 * 101.4 98.4
2nd Quartile Price * 0.0 * 101.5 98.8
3rd Quartile Price * 0.0 * 101.8 99.5
4th Quartile Price * 0.0 * 102.5 102.7
Avg. Price Top 5 Trades * 0.0 * 102.1 99.6
Standard Deviation * 0.0 * 0.5 3.0
     VOLUME OF TRADES (000'S) * 0.0 * 2,755.3 13,932.7
     NUMBER OF TRADES * 0 * 10 8
FHLMC
AVERAGE PRICE * 0.0 102.3 100.5 98.3
Weighted Avg. Price * 0.0 102.2 99.1 97.3
Avg. Price Bottom 5 Trades * 0.0 102.3 99.9 97.6
2nd Quartile Price * 0.0 * 100.0 97.8
3rd Quartile Price * 0.0 * 101.5 102.0
4th Quartile Price * 0.0 * 102.2 102.1
Avg. Price Top 5 Trades * 0.0 102.3 101.4 99.2
Standard Deviation * 0.0 0.6 1.7 3.6
     VOLUME OF TRADES (000'S) * 0.0 2,978.2 6,047.9 12,751.8
     NUMBER OF TRADES * 0 5 7 6
GNMA
AVERAGE PRICE * 0.0 * 0.0 0.0
Weighted Avg. Price * 0.0 * 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 * 0.0 0.0
2nd Quartile Price * 0.0 * 0.0 0.0
3rd Quartile Price * 0.0 * 0.0 0.0
4th Quartile Price * 0.0 * 0.0 0.0
Avg. Price Top 5 Trades * 0.0 * 0.0 0.0
Standard Deviation * 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) * 0.0 * 0.0 0.0
     NUMBER OF TRADES * 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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