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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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.6 92.7 97.4 98.7 99.9 101.2 0.0
Weighted Avg. Price 93.0 96.3 97.8 98.7 99.9 101.2 0.0
Avg. Price Bottom 5 Trades 87.0 87.8 97.4 98.6 99.6 101.2 0.0
2nd Quartile Price 89.7 92.6 * 98.7 99.9 101.2 0.0
3rd Quartile Price 91.8 93.8 * 98.7 100.0 101.2 0.0
4th Quartile Price 93.7 93.8 * 98.8 100.1 101.3 0.0
Avg. Price Top 5 Trades 96.1 95.6 97.4 98.8 100.2 101.3 0.0
Standard Deviation 2.6 2.6 0.3 0.1 0.3 0.1 0.0
     VOLUME OF TRADES (000'S) 41,653.7 7,524.1 5,472.8 12,561.9 47,357.9 5,636.8 0.0
     NUMBER OF TRADES 79 68 5 10 14 8 0
FNMA
AVERAGE PRICE 89.5 * * * 0.0 0.0 *
Weighted Avg. Price 86.7 * * * 0.0 0.0 *
Avg. Price Bottom 5 Trades 88.2 * * * 0.0 0.0 *
2nd Quartile Price 89.2 * * * 0.0 0.0 *
3rd Quartile Price 94.7 * * * 0.0 0.0 *
4th Quartile Price 96.3 * * * 0.0 0.0 *
Avg. Price Top 5 Trades 92.0 * * * 0.0 0.0 *
Standard Deviation 7.1 * * * 0.0 0.0 *
     VOLUME OF TRADES (000'S) 15,322.5 * * * 0.0 0.0 *
     NUMBER OF TRADES 6 * * * 0 0 *
FHLMC
AVERAGE PRICE 92.9 * 0.0 * * 0.0 0.0
Weighted Avg. Price 94.9 * 0.0 * * 0.0 0.0
Avg. Price Bottom 5 Trades 89.6 * 0.0 * * 0.0 0.0
2nd Quartile Price 92.1 * 0.0 * * 0.0 0.0
3rd Quartile Price 94.4 * 0.0 * * 0.0 0.0
4th Quartile Price 94.8 * 0.0 * * 0.0 0.0
Avg. Price Top 5 Trades 95.3 * 0.0 * * 0.0 0.0
Standard Deviation 2.8 * 0.0 * * 0.0 0.0
     VOLUME OF TRADES (000'S) 2,600.7 * 0.0 * * 0.0 0.0
     NUMBER OF TRADES 18 * 0 * * 0 0
GNMA
AVERAGE PRICE 0.0 * * * * * *
Weighted Avg. Price 0.0 * * * * * *
Avg. Price Bottom 5 Trades 0.0 * * * * * *
2nd Quartile Price 0.0 * * * * * *
3rd Quartile Price 0.0 * * * * * *
4th Quartile Price 0.0 * * * * * *
Avg. Price Top 5 Trades 0.0 * * * * * *
Standard Deviation 0.0 * * * * * *
     VOLUME OF TRADES (000'S) 0.0 * * * * * *
     NUMBER OF TRADES 0 * * * * * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 85.8 91.3 93.1 97.1 98.4 100.0 102.0
Weighted Avg. Price 84.3 92.0 94.8 96.8 98.6 100.2 102.0
Avg. Price Bottom 5 Trades 78.4 85.9 82.1 93.7 94.1 97.4 98.8
2nd Quartile Price 84.8 91.2 93.4 96.4 98.2 99.8 101.3
3rd Quartile Price 85.2 91.2 93.9 96.6 98.4 100.0 101.6
4th Quartile Price 88.0 92.0 94.3 98.1 98.8 100.3 102.7
Avg. Price Top 5 Trades 91.1 94.4 96.0 98.7 100.5 101.8 104.4
Standard Deviation 2.3 1.4 3.0 1.1 1.2 0.7 1.1
     VOLUME OF TRADES (000'S) 1,369,699.4 152,569.5 319,389.4 736,437.4 3,822,536.1 3,826,530.6 3,759,796.5
     NUMBER OF TRADES 868 425 247 284 200 184 192
FNMA
AVERAGE PRICE * 0.0 0.0 0.0 0.0 * *
Weighted Avg. Price * 0.0 0.0 0.0 0.0 * *
Avg. Price Bottom 5 Trades * 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 * 0.0 0.0 0.0 0.0 * *
Standard Deviation * 0.0 0.0 0.0 0.0 * *
     VOLUME OF TRADES (000'S) * 0.0 0.0 0.0 0.0 * *
     NUMBER OF TRADES * 0 0 0 0 * *
FHLMC
AVERAGE PRICE 87.6 91.7 94.5 98.2 100.3 101.9 98.9
Weighted Avg. Price 89.3 92.7 95.5 98.4 100.9 102.4 102.8
Avg. Price Bottom 5 Trades 84.3 90.9 94.2 97.7 100.3 101.7 97.1
2nd Quartile Price 88.2 90.5 94.0 98.1 * 100.7 97.8
3rd Quartile Price 88.2 92.3 94.0 98.7 * 102.5 102.3
4th Quartile Price 88.9 92.9 95.2 98.7 * 103.0 103.8
Avg. Price Top 5 Trades 89.8 92.9 95.7 98.4 100.3 102.2 100.9
Standard Deviation 2.6 1.2 0.9 0.7 1.3 1.3 4.7
     VOLUME OF TRADES (000'S) 5,967.8 2,599.8 1,734.7 1,341.8 3,301.5 1,233.0 1,712.1
     NUMBER OF TRADES 38 42 24 21 9 8 7
GNMA
AVERAGE PRICE 88.2 92.4 95.6 97.1 98.5 98.9 101.9
Weighted Avg. Price 87.9 93.7 95.7 96.9 98.6 100.1 102.0
Avg. Price Bottom 5 Trades 85.4 91.3 92.5 94.9 95.9 90.7 88.1
2nd Quartile Price 86.9 92.4 95.1 96.9 98.0 99.0 101.2
3rd Quartile Price 88.9 92.5 96.2 97.0 98.6 100.0 102.3
4th Quartile Price 89.7 92.9 96.5 97.5 98.8 100.1 102.9
Avg. Price Top 5 Trades 90.4 93.8 96.9 98.2 100.6 101.5 109.6
Standard Deviation 1.7 1.2 2.5 1.0 1.2 3.9 3.8
     VOLUME OF TRADES (000'S) 490,362.4 77,358.1 73,367.4 116,481.0 722,079.8 1,052,035.8 1,166,400.5
     NUMBER OF TRADES 62 27 39 42 72 82 272
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 100.2 0.0 * * 0.0
Weighted Avg. Price 99.9 0.0 * * 0.0
Avg. Price Bottom 5 Trades 100.2 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 100.2 0.0 * * 0.0
Standard Deviation 0.4 0.0 * * 0.0
     VOLUME OF TRADES (000'S) 1,118.7 0.0 * * 0.0
     NUMBER OF TRADES 5 0 * * 0
FHLMC
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
GNMA
AVERAGE PRICE 95.8 0.0 97.2 0.0 0.0
Weighted Avg. Price 95.6 0.0 97.6 0.0 0.0
Avg. Price Bottom 5 Trades 95.8 0.0 96.8 0.0 0.0
2nd Quartile Price * 0.0 97.2 0.0 0.0
3rd Quartile Price * 0.0 98.7 0.0 0.0
4th Quartile Price * 0.0 98.7 0.0 0.0
Avg. Price Top 5 Trades 95.8 0.0 97.5 0.0 0.0
Standard Deviation 0.7 0.0 1.4 0.0 0.0
     VOLUME OF TRADES (000'S) 617.1 0.0 10,612.7 0.0 0.0
     NUMBER OF TRADES 17 0 6 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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