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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
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 99.0 100.7 102.0 103.7 103.8 103.3 107.0
Weighted Avg. Price 99.5 100.8 102.7 104.2 104.9 103.9 110.2
Avg. Price Bottom 5 Trades 97.9 99.5 100.2 101.7 101.3 102.1 103.8
2nd Quartile Price 98.6 100.4 101.8 103.6 103.4 102.0 103.9
3rd Quartile Price 98.9 100.8 102.3 103.8 104.3 103.3 110.0
4th Quartile Price 100.0 101.0 102.5 103.9 104.3 104.5 111.9
Avg. Price Top 5 Trades 100.1 101.9 103.1 105.3 105.7 104.9 110.9
Standard Deviation 1.0 0.7 0.9 0.9 1.0 1.6 4.2
     VOLUME OF TRADES (000'S) 370,094.8 645,139.6 413,538.0 59,373.7 26,485.2 101.5 186.4
     NUMBER OF TRADES 47 102 73 91 137 20 11
FNMA
AVERAGE PRICE * 98.6 100.7 103.5 106.5 * 0.0
Weighted Avg. Price * 98.5 100.4 101.6 106.1 * 0.0
Avg. Price Bottom 5 Trades * 97.6 99.3 103.5 106.5 * 0.0
2nd Quartile Price * 98.2 100.1 * * * 0.0
3rd Quartile Price * 98.6 100.6 * * * 0.0
4th Quartile Price * 99.4 101.3 * * * 0.0
Avg. Price Top 5 Trades * 99.5 102.1 103.5 106.5 * 0.0
Standard Deviation * 0.9 1.3 1.2 0.8 * 0.0
     VOLUME OF TRADES (000'S) * 310,340.0 109,193.3 1,029.7 23,381.0 * 0.0
     NUMBER OF TRADES * 22 16 6 6 * 0
FHLMC
AVERAGE PRICE 0.0 * 101.5 103.6 104.2 103.7 95.8
Weighted Avg. Price 0.0 * 102.5 104.1 103.9 104.2 103.2
Avg. Price Bottom 5 Trades 0.0 * 101.5 103.6 104.2 103.7 95.8
2nd Quartile Price 0.0 * * 103.3 * * *
3rd Quartile Price 0.0 * * 103.8 * * *
4th Quartile Price 0.0 * * 103.8 * * *
Avg. Price Top 5 Trades 0.0 * 101.5 103.8 104.2 103.7 95.8
Standard Deviation 0.0 * 1.0 0.4 0.3 0.7 5.9
     VOLUME OF TRADES (000'S) 0.0 * 169,296.5 18,108.7 64.8 65.3 102.0
     NUMBER OF TRADES 0 * 6 12 18 9 14
GNMA
AVERAGE PRICE * 100.3 102.1 * 102.7 * 106.3
Weighted Avg. Price * 100.4 102.6 * 103.5 * 116.3
Avg. Price Bottom 5 Trades * 100.2 101.3 * 102.7 * 101.5
2nd Quartile Price * 100.2 102.4 * * * 100.3
3rd Quartile Price * 100.6 102.7 * * * 108.0
4th Quartile Price * 100.8 102.9 * * * 116.0
Avg. Price Top 5 Trades * 100.5 102.9 * 102.7 * 109.8
Standard Deviation * 0.4 1.2 * 1.2 * 7.3
     VOLUME OF TRADES (000'S) * 6,042.6 4,437.7 * 3,316.7 * 799.3
     NUMBER OF TRADES * 7 11 * 6 * 11
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 95.4 98.1 100.5 102.8 104.4 105.4 106.1
Weighted Avg. Price 95.3 98.0 100.6 103.2 105.4 105.9 108.8
Avg. Price Bottom 5 Trades 94.6 96.5 98.2 99.2 100.5 102.0 95.1
2nd Quartile Price 94.5 97.5 100.0 102.3 104.0 105.0 106.0
3rd Quartile Price 96.2 97.9 100.2 103.0 104.5 105.8 106.3
4th Quartile Price 96.2 99.1 100.9 103.5 105.0 105.8 107.7
Avg. Price Top 5 Trades 96.2 99.9 103.1 104.0 106.9 108.3 111.2
Standard Deviation 0.9 0.9 1.1 1.1 1.1 1.4 3.4
     VOLUME OF TRADES (000'S) 355,868.6 2,382,239.6 3,444,011.1 1,088,599.2 146,097.6 982,578.4 10,805.9
     NUMBER OF TRADES 26 231 271 402 281 249 285
FNMA
AVERAGE PRICE 0.0 98.2 100.2 102.4 104.7 * 109.9
Weighted Avg. Price 0.0 97.9 100.2 102.6 105.9 * 114.7
Avg. Price Bottom 5 Trades 0.0 97.7 99.7 101.9 102.4 * 109.9
2nd Quartile Price 0.0 97.8 100.1 101.8 104.9 * *
3rd Quartile Price 0.0 98.2 100.3 101.8 105.8 * *
4th Quartile Price 0.0 99.1 100.4 102.8 106.0 * *
Avg. Price Top 5 Trades 0.0 98.6 100.7 103.4 106.9 * 109.9
Standard Deviation 0.0 0.6 0.3 0.8 2.8 * 4.4
     VOLUME OF TRADES (000'S) 0.0 236,080.1 349,304.1 52,803.3 32,897.6 * 24,755.5
     NUMBER OF TRADES 0 13 25 28 14 * 6
FHLMC
AVERAGE PRICE 0.0 * 100.2 102.2 104.4 105.4 106.4
Weighted Avg. Price 0.0 * 100.2 102.0 104.9 107.0 107.1
Avg. Price Bottom 5 Trades 0.0 * 99.9 101.9 104.1 103.3 101.5
2nd Quartile Price 0.0 * 99.9 101.8 104.0 105.8 106.0
3rd Quartile Price 0.0 * 100.0 102.3 104.5 105.8 106.3
4th Quartile Price 0.0 * 100.2 102.3 105.0 105.8 107.0
Avg. Price Top 5 Trades 0.0 * 100.4 103.6 105.4 107.3 110.2
Standard Deviation 0.0 * 0.7 0.8 0.8 1.2 2.4
     VOLUME OF TRADES (000'S) 0.0 * 354,426.7 49,263.6 4,481.3 2,640.9 87.8
     NUMBER OF TRADES 0 * 8 67 63 74 50
GNMA
AVERAGE PRICE * 98.8 101.0 102.8 104.1 105.6 107.5
Weighted Avg. Price * 98.7 100.9 102.7 104.2 105.4 107.2
Avg. Price Bottom 5 Trades * 97.9 100.1 101.4 101.0 104.1 97.3
2nd Quartile Price * 98.7 100.8 102.5 104.0 105.4 104.8
3rd Quartile Price * 98.9 100.9 102.7 104.4 105.6 108.2
4th Quartile Price * 99.0 101.3 103.4 104.6 106.0 110.3
Avg. Price Top 5 Trades * 99.5 101.8 105.4 105.9 106.7 117.4
Standard Deviation * 0.4 0.5 0.8 1.3 0.7 4.9
     VOLUME OF TRADES (000'S) * 1,077,230.6 2,678,609.9 2,448,672.6 540,530.7 243,177.9 207,221.2
     NUMBER OF TRADES * 68 159 171 75 46 277
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 101.2 0.0 * * 0.0
Weighted Avg. Price 105.0 0.0 * * 0.0
Avg. Price Bottom 5 Trades 101.2 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 101.2 0.0 * * 0.0
Standard Deviation 3.8 0.0 * * 0.0
     VOLUME OF TRADES (000'S) 2,275.9 0.0 * * 0.0
     NUMBER OF TRADES 6 0 * * 0
FHLMC
AVERAGE PRICE 101.1 0.0 0.0 * *
Weighted Avg. Price 101.2 0.0 0.0 * *
Avg. Price Bottom 5 Trades 101.1 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 101.1 0.0 0.0 * *
Standard Deviation 1.5 0.0 0.0 * *
     VOLUME OF TRADES (000'S) 159.4 0.0 0.0 * *
     NUMBER OF TRADES 6 0 0 * *
GNMA
AVERAGE PRICE 100.7 0.0 0.0 0.0 0.0
Weighted Avg. Price 102.1 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 98.5 0.0 0.0 0.0 0.0
2nd Quartile Price 100.0 0.0 0.0 0.0 0.0
3rd Quartile Price 102.3 0.0 0.0 0.0 0.0
4th Quartile Price 102.6 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 102.3 0.0 0.0 0.0 0.0
Standard Deviation 2.3 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 476.6 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 14 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 tracedataservices@finra.org.

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