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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
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 94.4 96.8 98.5 97.9 101.4 102.4 98.2
Weighted Avg. Price 94.7 97.3 98.9 101.0 101.7 103.4 101.3
Avg. Price Bottom 5 Trades 91.1 94.8 95.9 88.0 100.8 102.4 97.2
2nd Quartile Price 94.3 96.4 98.3 99.3 101.3 * 93.0
3rd Quartile Price 94.5 96.6 98.6 99.9 101.5 * 101.5
4th Quartile Price 94.9 97.7 99.3 100.5 101.8 * 104.4
Avg. Price Top 5 Trades 97.5 98.6 99.9 101.4 101.9 102.4 100.5
Standard Deviation 1.9 1.1 1.1 4.9 0.5 0.6 6.6
     VOLUME OF TRADES (000'S) 70,386.0 73,824.7 188,472.9 268,421.0 23,405.5 15,279.8 814.3
     NUMBER OF TRADES 54 53 72 100 24 12 9
FNMA
AVERAGE PRICE 0.0 * 96.7 100.3 * * *
Weighted Avg. Price 0.0 * 97.9 100.1 * * *
Avg. Price Bottom 5 Trades 0.0 * 93.7 100.1 * * *
2nd Quartile Price 0.0 * 96.0 100.0 * * *
3rd Quartile Price 0.0 * 99.5 100.9 * * *
4th Quartile Price 0.0 * 99.9 100.9 * * *
Avg. Price Top 5 Trades 0.0 * 99.7 100.4 * * *
Standard Deviation 0.0 * 4.4 0.7 * * *
     VOLUME OF TRADES (000'S) 0.0 * 38,086.4 31,069.5 * * *
     NUMBER OF TRADES 0 * 10 9 * * *
FHLMC
AVERAGE PRICE 0.0 * 98.7 99.3 * 102.1 *
Weighted Avg. Price 0.0 * 99.0 101.2 * 102.1 *
Avg. Price Bottom 5 Trades 0.0 * 98.7 99.3 * 102.1 *
2nd Quartile Price 0.0 * * * * * *
3rd Quartile Price 0.0 * * * * * *
4th Quartile Price 0.0 * * * * * *
Avg. Price Top 5 Trades 0.0 * 98.7 99.3 * 102.1 *
Standard Deviation 0.0 * 0.4 3.0 * 0.0 *
     VOLUME OF TRADES (000'S) 0.0 * 939.8 3,082.4 * 793.7 *
     NUMBER OF TRADES 0 * 5 11 * 15 *
GNMA
AVERAGE PRICE 94.2 0.0 * * * 0.0 106.3
Weighted Avg. Price 94.3 0.0 * * * 0.0 104.0
Avg. Price Bottom 5 Trades 94.0 0.0 * * * 0.0 102.9
2nd Quartile Price 93.9 0.0 * * * 0.0 103.5
3rd Quartile Price 94.3 0.0 * * * 0.0 105.9
4th Quartile Price 94.7 0.0 * * * 0.0 112.1
Avg. Price Top 5 Trades 94.3 0.0 * * * 0.0 107.3
Standard Deviation 0.4 0.0 * * * 0.0 5.1
     VOLUME OF TRADES (000'S) 6,561.2 0.0 * * * 0.0 1,631.6
     NUMBER OF TRADES 7 0 * * * 0 8
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 88.2 91.5 94.7 97.2 98.3 100.2 101.3
Weighted Avg. Price 88.4 91.9 95.7 98.6 101.3 101.8 104.0
Avg. Price Bottom 5 Trades 84.6 88.0 85.9 79.7 71.9 85.6 79.8
2nd Quartile Price 88.1 91.4 94.3 97.3 98.9 101.5 101.5
3rd Quartile Price 88.5 91.8 95.2 98.2 99.8 101.9 103.2
4th Quartile Price 89.0 91.9 95.3 98.5 100.7 101.9 104.5
Avg. Price Top 5 Trades 90.1 92.6 97.6 99.8 102.4 105.0 108.6
Standard Deviation 1.3 0.9 1.9 3.3 5.1 4.4 7.1
     VOLUME OF TRADES (000'S) 1,453,037.0 944,340.1 1,093,597.5 1,160,745.9 1,975,712.2 717,956.6 154,911.8
     NUMBER OF TRADES 139 178 227 280 315 221 138
FNMA
AVERAGE PRICE * 0.0 * 0.0 * 0.0 103.1
Weighted Avg. Price * 0.0 * 0.0 * 0.0 106.4
Avg. Price Bottom 5 Trades * 0.0 * 0.0 * 0.0 103.1
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 * 0.0 103.1
Standard Deviation * 0.0 * 0.0 * 0.0 2.4
     VOLUME OF TRADES (000'S) * 0.0 * 0.0 * 0.0 580.8
     NUMBER OF TRADES * 0 * 0 * 0 5
FHLMC
AVERAGE PRICE 0.0 * 94.5 97.8 98.8 100.4 97.4
Weighted Avg. Price 0.0 * 95.3 98.4 100.1 102.5 106.5
Avg. Price Bottom 5 Trades 0.0 * 91.7 96.0 93.9 99.8 89.5
2nd Quartile Price 0.0 * 94.5 98.0 99.7 99.0 96.0
3rd Quartile Price 0.0 * 95.3 98.2 99.7 101.9 103.0
4th Quartile Price 0.0 * 95.3 98.5 99.7 101.9 104.4
Avg. Price Top 5 Trades 0.0 * 95.4 99.0 101.2 102.1 106.1
Standard Deviation 0.0 * 2.1 1.1 2.4 2.9 18.2
     VOLUME OF TRADES (000'S) 0.0 * 104.0 122.9 55,345.4 73.2 2,648.1
     NUMBER OF TRADES 0 * 41 37 82 25 34
GNMA
AVERAGE PRICE 90.6 93.0 96.1 98.5 100.9 101.3 102.4
Weighted Avg. Price 90.7 93.3 96.4 98.6 101.2 102.0 103.3
Avg. Price Bottom 5 Trades 90.6 91.0 94.2 97.2 98.8 95.1 41.1
2nd Quartile Price * 92.8 95.6 97.8 100.8 101.8 101.3
3rd Quartile Price * 93.4 96.2 98.3 101.0 102.0 103.5
4th Quartile Price * 93.5 96.4 99.0 101.2 102.2 105.8
Avg. Price Top 5 Trades 90.6 93.6 99.7 100.0 102.2 103.4 112.3
Standard Deviation 0.2 0.9 1.4 0.8 0.8 2.7 9.5
     VOLUME OF TRADES (000'S) 47,945.1 212,491.8 627,000.5 886,179.2 488,290.7 185,576.3 273,688.1
     NUMBER OF TRADES 9 39 85 103 80 53 387
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 97.9 0.0 99.6 97.7 98.7
Weighted Avg. Price 99.9 0.0 99.4 97.4 99.3
Avg. Price Bottom 5 Trades 97.6 0.0 99.4 96.5 95.7
2nd Quartile Price 96.0 0.0 99.6 96.4 97.6
3rd Quartile Price 98.4 0.0 99.6 98.6 100.3
4th Quartile Price 100.6 0.0 99.9 99.3 100.3
Avg. Price Top 5 Trades 100.0 0.0 99.8 99.4 99.5
Standard Deviation 2.2 0.0 0.7 1.5 2.5
     VOLUME OF TRADES (000'S) 191.9 0.0 66,894.2 135,316.6 46,938.0
     NUMBER OF TRADES 13 0 19 15 14
FHLMC
AVERAGE PRICE 98.8 0.0 * * *
Weighted Avg. Price 100.3 0.0 * * *
Avg. Price Bottom 5 Trades 98.8 0.0 * * *
2nd Quartile Price * 0.0 * * *
3rd Quartile Price * 0.0 * * *
4th Quartile Price * 0.0 * * *
Avg. Price Top 5 Trades 98.8 0.0 * * *
Standard Deviation 2.3 0.0 * * *
     VOLUME OF TRADES (000'S) 260.0 0.0 * * *
     NUMBER OF TRADES 13 0 * * *
GNMA
AVERAGE PRICE 89.4 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.5 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 89.4 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 89.4 0.0 0.0 0.0 0.0
Standard Deviation 19.3 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 545.2 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 15 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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