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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 88.6 92.3 92.7 93.2 97.0 98.2 90.7
Weighted Avg. Price 88.8 93.1 93.6 96.4 99.0 98.3 100.6
Avg. Price Bottom 5 Trades 87.5 90.7 86.3 83.2 94.9 97.1 82.2
2nd Quartile Price 88.5 91.7 92.8 93.8 96.6 98.2 82.0
3rd Quartile Price 88.6 91.8 93.1 94.3 97.1 98.4 95.0
4th Quartile Price 88.7 93.3 93.5 94.3 98.1 98.4 99.3
Avg. Price Top 5 Trades 89.4 94.6 94.9 97.2 99.0 98.9 100.6
Standard Deviation 0.6 1.3 2.1 3.6 1.6 0.8 8.4
     VOLUME OF TRADES (000'S) 238,107.3 21,949.7 28,192.3 30,010.7 267,552.4 270,620.1 15,080.5
     NUMBER OF TRADES 45 67 103 102 40 31 43
FNMA
AVERAGE PRICE 0.0 84.0 92.5 90.8 92.8 0.0 0.0
Weighted Avg. Price 0.0 82.3 93.0 92.6 95.7 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 82.0 88.4 88.0 92.1 0.0 0.0
2nd Quartile Price 0.0 82.1 92.9 89.8 93.1 0.0 0.0
3rd Quartile Price 0.0 82.3 94.4 92.2 96.0 0.0 0.0
4th Quartile Price 0.0 95.4 95.3 94.5 96.1 0.0 0.0
Avg. Price Top 5 Trades 0.0 84.9 95.7 93.7 94.3 0.0 0.0
Standard Deviation 0.0 5.0 4.3 4.0 4.3 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 18,636.7 96,006.6 23,481.4 32,491.3 0.0 0.0
     NUMBER OF TRADES 0 7 14 10 6 0 0
FHLMC
AVERAGE PRICE * 92.8 88.7 90.2 93.1 96.4 92.2
Weighted Avg. Price * 93.6 95.4 87.4 91.9 96.8 103.4
Avg. Price Bottom 5 Trades * 92.8 88.7 81.5 87.1 96.3 92.2
2nd Quartile Price * * * 86.6 91.7 96.4 *
3rd Quartile Price * * * 93.6 95.7 97.1 *
4th Quartile Price * * * 94.2 97.1 97.2 *
Avg. Price Top 5 Trades * 92.8 88.7 94.3 96.1 96.7 92.2
Standard Deviation * 1.3 6.7 5.7 5.0 0.9 8.4
     VOLUME OF TRADES (000'S) * 374.4 228.0 42,731.1 184,503.3 101,990.1 219.7
     NUMBER OF TRADES * 10 10 32 19 7 7
GNMA
AVERAGE PRICE * * * * 96.9 * *
Weighted Avg. Price * * * * 96.5 * *
Avg. Price Bottom 5 Trades * * * * 96.9 * *
2nd Quartile Price * * * * * * *
3rd Quartile Price * * * * * * *
4th Quartile Price * * * * * * *
Avg. Price Top 5 Trades * * * * 96.9 * *
Standard Deviation * * * * 1.0 * *
     VOLUME OF TRADES (000'S) * * * * 4,095.5 * *
     NUMBER OF TRADES * * * * 6 * *
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 80.7 83.7 86.7 89.5 92.8 95.2 98.9
Weighted Avg. Price 81.0 84.0 87.6 91.0 93.4 95.7 98.8
Avg. Price Bottom 5 Trades 79.3 81.5 79.2 79.3 81.8 81.4 85.3
2nd Quartile Price 80.3 83.5 86.6 89.4 92.4 95.3 97.8
3rd Quartile Price 80.8 83.7 86.8 89.8 93.0 95.6 99.0
4th Quartile Price 81.0 84.0 87.5 90.6 93.8 96.1 100.2
Avg. Price Top 5 Trades 82.8 85.8 91.4 93.8 96.2 99.4 104.8
Standard Deviation 0.9 0.7 2.0 2.3 2.2 2.9 2.8
     VOLUME OF TRADES (000'S) 982,240.4 1,970,270.7 269,464.4 1,183,294.0 1,818,381.4 3,964,227.8 2,787,303.3
     NUMBER OF TRADES 92 320 395 438 532 440 596
FNMA
AVERAGE PRICE * * 84.2 91.4 * 93.1 99.2
Weighted Avg. Price * * 85.5 89.9 * 93.1 99.0
Avg. Price Bottom 5 Trades * * 83.8 89.7 * 92.1 98.6
2nd Quartile Price * * 83.0 89.5 * 92.4 98.8
3rd Quartile Price * * 84.8 93.1 * 93.4 99.0
4th Quartile Price * * 86.7 93.7 * 93.8 99.5
Avg. Price Top 5 Trades * * 84.5 93.0 * 94.7 100.3
Standard Deviation * * 1.4 2.3 * 1.4 1.4
     VOLUME OF TRADES (000'S) * * 585.2 4,024.1 * 17,559.6 28,073.4
     NUMBER OF TRADES * * 7 11 * 22 12
FHLMC
AVERAGE PRICE * * 86.7 90.5 93.0 94.8 99.8
Weighted Avg. Price * * 89.8 93.1 95.0 97.8 98.7
Avg. Price Bottom 5 Trades * * 82.2 89.2 92.1 84.1 98.3
2nd Quartile Price * * 86.8 89.6 92.0 95.0 98.5
3rd Quartile Price * * 86.8 90.7 93.0 95.8 100.0
4th Quartile Price * * 87.8 91.4 93.4 96.9 101.0
Avg. Price Top 5 Trades * * 89.7 93.6 95.8 97.9 102.0
Standard Deviation * * 2.0 1.7 1.5 4.3 1.6
     VOLUME OF TRADES (000'S) * * 27,315.5 5,933.6 5,460.7 6,965.0 8,510.9
     NUMBER OF TRADES * * 51 56 86 55 34
GNMA
AVERAGE PRICE 83.6 85.5 88.0 90.8 93.8 95.2 98.9
Weighted Avg. Price 83.8 86.6 88.5 90.8 93.6 95.9 99.4
Avg. Price Bottom 5 Trades 83.4 83.1 85.0 86.9 91.1 92.8 84.0
2nd Quartile Price 83.4 85.9 87.8 90.8 93.5 94.5 98.3
3rd Quartile Price 83.8 86.0 87.8 91.1 93.6 94.7 99.3
4th Quartile Price 83.9 86.3 88.9 91.5 94.1 96.1 100.8
Avg. Price Top 5 Trades 83.8 86.5 90.3 92.9 96.6 99.6 108.1
Standard Deviation 0.3 1.5 1.4 1.5 1.9 1.3 4.0
     VOLUME OF TRADES (000'S) 353,427.0 352,361.1 686,384.7 504,593.1 515,523.4 1,289,418.4 2,612,640.3
     NUMBER OF TRADES 11 29 78 69 47 146 511
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 97.3 94.3 94.9
Weighted Avg. Price 99.0 0.0 97.2 94.3 96.3
Avg. Price Bottom 5 Trades 96.6 0.0 93.3 89.7 90.7
2nd Quartile Price 96.8 0.0 97.0 90.1 93.0
3rd Quartile Price 98.8 0.0 99.0 96.1 96.6
4th Quartile Price 99.4 0.0 99.3 99.3 99.0
Avg. Price Top 5 Trades 99.3 0.0 99.4 98.4 98.4
Standard Deviation 1.5 0.0 2.9 4.3 4.2
     VOLUME OF TRADES (000'S) 3,249.4 0.0 34,073.2 14,893.1 12,801.3
     NUMBER OF TRADES 14 0 18 12 12
FHLMC
AVERAGE PRICE * 0.0 * 94.6 92.5
Weighted Avg. Price * 0.0 * 94.1 92.4
Avg. Price Bottom 5 Trades * 0.0 * 89.0 92.5
2nd Quartile Price * 0.0 * 89.3 *
3rd Quartile Price * 0.0 * 98.3 *
4th Quartile Price * 0.0 * 99.5 *
Avg. Price Top 5 Trades * 0.0 * 99.8 92.5
Standard Deviation * 0.0 * 5.5 3.8
     VOLUME OF TRADES (000'S) * 0.0 * 13,792.0 5,040.5
     NUMBER OF TRADES * 0 * 13 5
GNMA
AVERAGE PRICE 95.6 95.0 * 0.0 0.0
Weighted Avg. Price 95.7 95.0 * 0.0 0.0
Avg. Price Bottom 5 Trades 94.8 94.6 * 0.0 0.0
2nd Quartile Price 94.9 94.6 * 0.0 0.0
3rd Quartile Price 95.0 95.4 * 0.0 0.0
4th Quartile Price 97.0 95.4 * 0.0 0.0
Avg. Price Top 5 Trades 97.1 95.4 * 0.0 0.0
Standard Deviation 1.1 1.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 3,367.9 9,319.8 * 0.0 0.0
     NUMBER OF TRADES 18 9 * 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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