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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 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 103.1 104.5 104.9 105.1 105.0 107.9 102.6
Weighted Avg. Price 102.8 104.9 105.8 106.8 109.0 110.3 104.6
Avg. Price Bottom 5 Trades 101.9 100.4 101.5 103.9 101.7 107.9 100.1
2nd Quartile Price 102.2 104.2 104.1 104.3 104.2 * 100.6
3rd Quartile Price 103.7 104.8 104.8 104.9 104.9 * 102.6
4th Quartile Price 103.9 105.4 106.2 105.6 106.4 * 102.8
Avg. Price Top 5 Trades 104.4 106.3 107.1 107.8 107.7 107.9 104.8
Standard Deviation 0.9 1.5 1.4 1.0 2.1 2.4 4.2
     VOLUME OF TRADES (000'S) 697,442.6 243,969.6 207,718.3 12,397.6 63,058.0 27,945.4 126.2
     NUMBER OF TRADES 104 99 81 94 46 10 26
FNMA
AVERAGE PRICE * 105.2 * * 116.7 * 0.0
Weighted Avg. Price * 106.2 * * 117.2 * 0.0
Avg. Price Bottom 5 Trades * 102.4 * * 115.9 * 0.0
2nd Quartile Price * 102.8 * * 115.0 * 0.0
3rd Quartile Price * 104.6 * * 117.8 * 0.0
4th Quartile Price * 109.8 * * 120.4 * 0.0
Avg. Price Top 5 Trades * 107.7 * * 117.1 * 0.0
Standard Deviation * 4.3 * * 2.3 * 0.0
     VOLUME OF TRADES (000'S) * 16,415.7 * * 3,323.6 * 0.0
     NUMBER OF TRADES * 8 * * 6 * 0
FHLMC
AVERAGE PRICE 0.0 * 104.8 105.1 102.4 106.7 105.0
Weighted Avg. Price 0.0 * 105.8 105.4 106.1 109.8 111.3
Avg. Price Bottom 5 Trades 0.0 * 103.9 104.6 101.4 105.2 105.0
2nd Quartile Price 0.0 * 104.3 105.0 105.7 104.6 *
3rd Quartile Price 0.0 * 104.7 105.3 105.9 107.1 *
4th Quartile Price 0.0 * 105.2 105.6 108.4 110.3 *
Avg. Price Top 5 Trades 0.0 * 106.4 105.4 104.5 107.3 105.0
Standard Deviation 0.0 * 1.1 0.5 7.0 2.6 6.8
     VOLUME OF TRADES (000'S) 0.0 * 56,006.0 529.4 503.8 10,707.0 7,950.2
     NUMBER OF TRADES 0 * 22 15 7 10 14
GNMA
AVERAGE PRICE 103.9 105.5 0.0 * 105.1 * *
Weighted Avg. Price 103.7 105.5 0.0 * 105.8 * *
Avg. Price Bottom 5 Trades 103.6 105.5 0.0 * 104.8 * *
2nd Quartile Price 103.9 105.5 0.0 * 105.0 * *
3rd Quartile Price 104.0 105.5 0.0 * 106.2 * *
4th Quartile Price 104.9 105.8 0.0 * 106.5 * *
Avg. Price Top 5 Trades 104.2 105.5 0.0 * 105.9 * *
Standard Deviation 0.6 0.1 0.0 * 1.6 * *
     VOLUME OF TRADES (000'S) 8,468.2 5,214.4 0.0 * 1,067.6 * *
     NUMBER OF TRADES 7 6 0 * 7 * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 103.1 105.3 105.6 105.5 107.5 108.4 107.5
Weighted Avg. Price 103.1 105.5 107.1 106.6 111.7 110.3 111.3
Avg. Price Bottom 5 Trades 101.1 103.5 102.8 103.7 103.9 100.8 91.8
2nd Quartile Price 103.1 104.8 104.4 104.6 106.3 107.4 104.0
3rd Quartile Price 103.2 105.1 105.3 105.1 106.7 108.3 110.7
4th Quartile Price 103.4 105.9 106.9 106.5 108.8 110.3 111.3
Avg. Price Top 5 Trades 104.0 107.3 109.6 109.5 113.4 112.8 116.0
Standard Deviation 0.7 0.9 1.7 1.3 2.3 2.1 6.3
     VOLUME OF TRADES (000'S) 1,740,101.0 2,648,621.5 737,939.7 622,746.0 454,096.2 242,299.2 194,658.0
     NUMBER OF TRADES 85 118 171 182 182 185 144
FNMA
AVERAGE PRICE * 103.9 105.4 107.1 0.0 0.0 *
Weighted Avg. Price * 103.3 105.6 112.7 0.0 0.0 *
Avg. Price Bottom 5 Trades * 102.9 101.3 103.8 0.0 0.0 *
2nd Quartile Price * 103.0 103.5 105.5 0.0 0.0 *
3rd Quartile Price * 103.2 104.2 105.9 0.0 0.0 *
4th Quartile Price * 105.5 108.4 111.6 0.0 0.0 *
Avg. Price Top 5 Trades * 105.6 109.9 112.5 0.0 0.0 *
Standard Deviation * 1.3 3.4 5.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) * 315,417.2 60,189.0 12,027.0 0.0 0.0 *
     NUMBER OF TRADES * 15 24 14 0 0 *
FHLMC
AVERAGE PRICE 102.0 103.7 104.2 105.7 107.5 109.7 110.9
Weighted Avg. Price 102.1 103.7 105.4 108.2 109.9 110.3 111.3
Avg. Price Bottom 5 Trades 101.6 102.9 101.2 103.3 105.3 106.3 105.2
2nd Quartile Price 102.0 102.9 104.1 105.0 106.3 108.9 111.3
3rd Quartile Price 102.1 103.3 104.3 105.1 106.9 110.3 111.3
4th Quartile Price 102.2 104.7 104.5 106.8 108.8 110.3 111.3
Avg. Price Top 5 Trades 102.4 104.5 106.8 109.7 111.5 111.5 113.4
Standard Deviation 0.5 1.3 1.4 1.6 1.8 1.5 1.9
     VOLUME OF TRADES (000'S) 413,596.2 434,769.9 33,775.5 27,398.3 16,569.3 88,326.9 74,071.7
     NUMBER OF TRADES 18 12 54 69 70 87 66
GNMA
AVERAGE PRICE 103.3 105.8 105.2 105.7 107.0 107.5 111.0
Weighted Avg. Price 103.4 105.4 105.2 106.6 106.9 108.7 111.4
Avg. Price Bottom 5 Trades 102.4 102.8 102.5 102.6 104.1 104.5 84.8
2nd Quartile Price 103.2 104.4 104.1 103.5 105.4 106.2 110.1
3rd Quartile Price 103.5 104.8 105.3 106.4 107.5 108.3 111.8
4th Quartile Price 103.6 107.8 105.6 106.6 107.7 108.8 113.8
Avg. Price Top 5 Trades 103.8 108.9 110.0 111.6 110.7 109.7 117.1
Standard Deviation 0.5 2.0 1.9 2.5 2.0 2.0 6.0
     VOLUME OF TRADES (000'S) 501,934.7 1,047,446.7 880,362.7 151,483.0 251,324.9 7,067.3 49,520.0
     NUMBER OF TRADES 27 92 80 56 37 20 495
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 * 104.1 *
Weighted Avg. Price * 0.0 * 104.3 *
Avg. Price Bottom 5 Trades * 0.0 * 103.8 *
2nd Quartile Price * 0.0 * 103.8 *
3rd Quartile Price * 0.0 * 104.4 *
4th Quartile Price * 0.0 * 104.6 *
Avg. Price Top 5 Trades * 0.0 * 104.3 *
Standard Deviation * 0.0 * 0.4 *
     VOLUME OF TRADES (000'S) * 0.0 * 20,571.7 *
     NUMBER OF TRADES * 0 * 10 *
FHLMC
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 * *
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 tracedataservices@finra.org.

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