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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 100.6 102.5 103.7 103.1 104.2 0.0 105.4
Weighted Avg. Price 100.7 102.7 104.2 106.3 106.3 0.0 102.8
Avg. Price Bottom 5 Trades 98.8 101.4 102.5 99.0 104.2 0.0 102.7
2nd Quartile Price 100.7 102.3 103.6 102.9 * 0.0 104.3
3rd Quartile Price 100.8 102.5 103.8 104.3 * 0.0 106.0
4th Quartile Price 101.1 102.7 104.1 104.3 * 0.0 107.7
Avg. Price Top 5 Trades 101.6 103.2 104.7 106.2 104.2 0.0 106.8
Standard Deviation 0.8 0.4 0.6 3.0 1.6 0.0 2.1
     VOLUME OF TRADES (000'S) 1,239,903.7 419,823.8 88,241.8 85,104.7 13,278.0 0.0 619.0
     NUMBER OF TRADES 109 102 59 29 6 0 25
FNMA
AVERAGE PRICE 100.5 102.3 104.9 108.2 0.0 0.0 0.0
Weighted Avg. Price 100.5 102.5 105.1 108.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 99.7 100.5 103.7 108.2 0.0 0.0 0.0
2nd Quartile Price 99.9 101.6 104.5 * 0.0 0.0 0.0
3rd Quartile Price 100.8 102.3 105.6 * 0.0 0.0 0.0
4th Quartile Price 101.1 103.0 106.3 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 101.2 104.5 106.3 108.2 0.0 0.0 0.0
Standard Deviation 0.8 1.3 1.7 0.6 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 80,148.1 51,317.9 62,528.7 2,608.4 0.0 0.0 0.0
     NUMBER OF TRADES 14 27 11 5 0 0 0
FHLMC
AVERAGE PRICE 101.0 102.0 103.3 103.8 0.0 * 103.3
Weighted Avg. Price 101.0 101.6 103.7 104.3 0.0 * 103.1
Avg. Price Bottom 5 Trades 101.0 101.1 102.5 103.5 0.0 * 103.3
2nd Quartile Price * 101.6 103.3 104.1 0.0 * *
3rd Quartile Price * 102.4 103.6 104.3 0.0 * *
4th Quartile Price * 102.6 103.7 104.7 0.0 * *
Avg. Price Top 5 Trades 101.0 102.5 103.8 104.3 0.0 * 103.3
Standard Deviation 0.1 0.6 0.7 1.2 0.0 * 4.6
     VOLUME OF TRADES (000'S) 1,729.1 263,988.2 8,775.4 2,551.3 0.0 * 1.5
     NUMBER OF TRADES 5 22 22 7 0 * 8
GNMA
AVERAGE PRICE 101.1 102.8 0.0 * 0.0 98.0 *
Weighted Avg. Price 101.1 102.9 0.0 * 0.0 103.8 *
Avg. Price Bottom 5 Trades 101.0 102.7 0.0 * 0.0 98.0 *
2nd Quartile Price 101.0 102.7 0.0 * 0.0 * *
3rd Quartile Price 101.1 102.8 0.0 * 0.0 * *
4th Quartile Price 101.2 103.1 0.0 * 0.0 * *
Avg. Price Top 5 Trades 101.1 103.1 0.0 * 0.0 98.0 *
Standard Deviation 0.1 0.2 0.0 * 0.0 3.4 *
     VOLUME OF TRADES (000'S) 15,577.0 30,071.0 0.0 * 0.0 64.5 *
     NUMBER OF TRADES 8 16 0 * 0 5 *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 99.5 101.8 103.6 105.1 105.8 106.5 105.5
Weighted Avg. Price 98.8 101.5 103.3 105.2 106.1 107.6 109.0
Avg. Price Bottom 5 Trades 98.6 98.3 101.4 103.1 101.0 100.1 97.4
2nd Quartile Price 98.8 101.3 102.9 104.0 105.1 106.0 103.2
3rd Quartile Price 99.9 101.9 103.3 104.5 105.7 107.1 106.0
4th Quartile Price 100.1 102.2 104.2 106.1 107.0 108.6 108.0
Avg. Price Top 5 Trades 100.5 103.3 106.2 108.6 109.7 110.0 111.7
Standard Deviation 0.7 1.1 1.0 1.5 1.8 2.9 4.0
     VOLUME OF TRADES (000'S) 3,221,911.7 11,549,047.8 2,021,694.2 1,275,976.4 703,104.2 387,376.0 810.2
     NUMBER OF TRADES 81 301 281 309 200 103 107
FNMA
AVERAGE PRICE 99.6 100.9 104.0 * 0.0 * *
Weighted Avg. Price 100.0 100.6 103.2 * 0.0 * *
Avg. Price Bottom 5 Trades 99.3 100.5 101.8 * 0.0 * *
2nd Quartile Price 100.2 100.6 103.7 * 0.0 * *
3rd Quartile Price 100.3 100.6 104.7 * 0.0 * *
4th Quartile Price 100.8 101.0 105.0 * 0.0 * *
Avg. Price Top 5 Trades 99.9 101.9 105.3 * 0.0 * *
Standard Deviation 1.2 0.6 1.4 * 0.0 * *
     VOLUME OF TRADES (000'S) 33,449.1 262,271.5 157,586.3 * 0.0 * *
     NUMBER OF TRADES 6 25 30 * 0 * *
FHLMC
AVERAGE PRICE 98.9 102.0 104.2 105.6 106.7 107.5 96.2
Weighted Avg. Price 98.7 101.8 104.2 106.1 107.4 109.1 110.5
Avg. Price Bottom 5 Trades 98.4 100.1 101.8 102.7 103.3 100.2 85.1
2nd Quartile Price 98.7 101.6 103.7 104.7 105.7 108.3 92.0
3rd Quartile Price 98.8 102.2 104.2 105.3 106.7 109.0 102.0
4th Quartile Price 98.9 102.5 105.0 106.8 107.7 110.5 105.0
Avg. Price Top 5 Trades 99.9 103.2 106.1 108.7 110.5 112.0 110.2
Standard Deviation 0.7 0.7 1.1 1.7 1.8 5.2 13.8
     VOLUME OF TRADES (000'S) 1,427,067.2 3,825,033.1 1,531,047.8 487,547.1 169,233.5 40,493.5 2,094.8
     NUMBER OF TRADES 29 205 141 109 74 30 25
GNMA
AVERAGE PRICE 100.6 102.3 103.5 104.2 105.6 107.0 100.8
Weighted Avg. Price 100.5 102.6 103.6 104.3 105.5 106.9 106.6
Avg. Price Bottom 5 Trades 100.2 100.4 101.5 102.7 104.0 103.9 42.8
2nd Quartile Price 100.6 102.5 103.2 103.8 105.0 106.6 100.0
3rd Quartile Price 100.7 102.7 103.6 104.5 105.9 107.6 106.0
4th Quartile Price 100.7 102.9 104.1 104.6 106.3 107.8 108.6
Avg. Price Top 5 Trades 101.0 103.2 105.5 106.0 106.6 109.4 112.7
Standard Deviation 0.4 0.9 1.0 1.1 1.1 2.0 15.3
     VOLUME OF TRADES (000'S) 434,457.8 2,695,202.0 1,626,140.4 1,194,048.3 85,407.5 4,420.6 7,611.6
     NUMBER OF TRADES 24 68 90 39 24 41 165
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 0.0 100.0 * 101.3
Weighted Avg. Price 0.0 0.0 100.0 * 100.9
Avg. Price Bottom 5 Trades 0.0 0.0 100.0 * 100.5
2nd Quartile Price 0.0 0.0 * * 100.8
3rd Quartile Price 0.0 0.0 * * 102.0
4th Quartile Price 0.0 0.0 * * 102.1
Avg. Price Top 5 Trades 0.0 0.0 100.0 * 102.1
Standard Deviation 0.0 0.0 0.0 * 0.9
     VOLUME OF TRADES (000'S) 0.0 0.0 41,459.6 * 13,594.4
     NUMBER OF TRADES 0 0 5 * 10
FHLMC
AVERAGE PRICE * 0.0 0.0 102.1 *
Weighted Avg. Price * 0.0 0.0 101.6 *
Avg. Price Bottom 5 Trades * 0.0 0.0 101.7 *
2nd Quartile Price * 0.0 0.0 101.9 *
3rd Quartile Price * 0.0 0.0 102.5 *
4th Quartile Price * 0.0 0.0 102.5 *
Avg. Price Top 5 Trades * 0.0 0.0 102.2 *
Standard Deviation * 0.0 0.0 0.5 *
     VOLUME OF TRADES (000'S) * 0.0 0.0 84,659.5 *
     NUMBER OF TRADES * 0 0 11 *
GNMA
AVERAGE PRICE * * * 0.0 0.0
Weighted Avg. Price * * * 0.0 0.0
Avg. Price Bottom 5 Trades * * * 0.0 0.0
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
Standard Deviation * * * 0.0 0.0
     VOLUME OF TRADES (000'S) * * * 0.0 0.0
     NUMBER OF TRADES * * * 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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