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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 90.4 89.9 91.2 94.4 97.7 98.5 99.3
Weighted Avg. Price 91.1 94.1 95.1 97.1 98.6 99.8 101.6
Avg. Price Bottom 5 Trades 82.4 72.2 80.6 89.4 95.0 95.2 96.9
2nd Quartile Price 88.0 90.2 92.0 94.9 97.2 97.9 97.8
3rd Quartile Price 89.4 90.2 92.6 96.3 98.2 99.2 100.1
4th Quartile Price 92.7 90.3 94.3 97.0 98.4 99.7 100.6
Avg. Price Top 5 Trades 97.2 95.3 95.0 97.2 99.1 100.1 101.3
Standard Deviation 3.9 4.8 5.7 3.3 1.4 1.6 2.3
     VOLUME OF TRADES (000'S) 222,957.7 2,804.5 1,333.8 10,054.8 182,190.2 31,429.7 17,610.9
     NUMBER OF TRADES 190 127 34 18 45 70 16
FNMA
AVERAGE PRICE 79.8 92.0 * * 97.9 101.3 0.0
Weighted Avg. Price 78.8 88.6 * * 98.5 102.0 0.0
Avg. Price Bottom 5 Trades 70.6 91.1 * * 97.6 100.4 0.0
2nd Quartile Price 75.9 93.9 * * 97.3 100.6 0.0
3rd Quartile Price 78.3 94.1 * * 98.6 101.3 0.0
4th Quartile Price 82.0 96.4 * * 99.0 102.2 0.0
Avg. Price Top 5 Trades 96.9 93.1 * * 98.5 102.1 0.0
Standard Deviation 7.2 4.2 * * 1.4 0.9 0.0
     VOLUME OF TRADES (000'S) 167,316.6 12,937.0 * * 146,044.0 210,903.0 0.0
     NUMBER OF TRADES 47 6 * * 8 15 0
FHLMC
AVERAGE PRICE 89.7 90.8 93.8 * 98.1 * 0.0
Weighted Avg. Price 85.0 95.7 88.3 * 98.2 * 0.0
Avg. Price Bottom 5 Trades 82.7 87.3 93.8 * 97.0 * 0.0
2nd Quartile Price 87.2 90.3 * * 97.9 * 0.0
3rd Quartile Price 89.8 90.4 * * 98.5 * 0.0
4th Quartile Price 94.5 93.1 * * 98.7 * 0.0
Avg. Price Top 5 Trades 95.9 94.4 93.8 * 98.9 * 0.0
Standard Deviation 4.2 2.6 3.5 * 0.8 * 0.0
     VOLUME OF TRADES (000'S) 7,752.5 545.2 544.1 * 293,889.5 * 0.0
     NUMBER OF TRADES 42 26 5 * 20 * 0
GNMA
AVERAGE PRICE 92.8 * * 95.3 97.4 99.5 100.7
Weighted Avg. Price 95.6 * * 96.7 98.9 99.5 100.8
Avg. Price Bottom 5 Trades 92.8 * * 95.3 97.4 99.5 100.4
2nd Quartile Price * * * * * * 100.4
3rd Quartile Price * * * * * * 100.4
4th Quartile Price * * * * * * 102.5
Avg. Price Top 5 Trades 92.8 * * 95.3 97.4 99.5 100.8
Standard Deviation 2.5 * * 1.8 1.8 0.1 0.8
     VOLUME OF TRADES (000'S) 345.2 * * 90.2 1,290.2 1,179.4 2,588.0
     NUMBER OF TRADES 5 * * 7 5 5 7
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 81.2 86.3 89.4 93.0 95.2 97.1 98.8
Weighted Avg. Price 81.0 88.1 91.1 93.7 95.5 97.8 100.2
Avg. Price Bottom 5 Trades 72.2 68.5 73.3 88.4 89.4 78.7 56.0
2nd Quartile Price 79.8 86.2 89.4 92.5 94.9 97.4 99.5
3rd Quartile Price 80.9 86.7 90.1 92.8 95.3 97.6 99.8
4th Quartile Price 83.2 87.2 90.5 93.5 95.5 97.8 101.5
Avg. Price Top 5 Trades 91.3 91.7 93.8 96.7 98.3 100.0 104.0
Standard Deviation 2.9 2.9 3.2 1.4 1.9 3.0 8.0
     VOLUME OF TRADES (000'S) 1,175,373.9 604,323.8 772,105.9 384,571.3 406,884.3 2,380,734.9 5,699,999.2
     NUMBER OF TRADES 725 497 408 246 253 291 334
FNMA
AVERAGE PRICE * * * 0.0 0.0 * 89.5
Weighted Avg. Price * * * 0.0 0.0 * 100.6
Avg. Price Bottom 5 Trades * * * 0.0 0.0 * 82.3
2nd Quartile Price * * * 0.0 0.0 * 83.0
3rd Quartile Price * * * 0.0 0.0 * 90.0
4th Quartile Price * * * 0.0 0.0 * 98.4
Avg. Price Top 5 Trades * * * 0.0 0.0 * 98.9
Standard Deviation * * * 0.0 0.0 * 7.3
     VOLUME OF TRADES (000'S) * * * 0.0 0.0 * 9,740.0
     NUMBER OF TRADES * * * 0 0 * 19
FHLMC
AVERAGE PRICE 84.1 86.9 90.4 93.3 95.9 96.1 92.8
Weighted Avg. Price 77.4 88.3 91.9 95.0 98.0 99.5 100.8
Avg. Price Bottom 5 Trades 82.4 84.1 85.7 88.1 95.0 89.7 92.8
2nd Quartile Price 83.5 86.0 89.6 94.5 96.9 99.3 *
3rd Quartile Price 83.5 86.7 90.0 94.6 97.1 99.6 *
4th Quartile Price 85.3 88.5 92.0 95.1 97.9 99.6 *
Avg. Price Top 5 Trades 88.8 89.0 92.4 95.0 97.6 99.1 92.8
Standard Deviation 3.3 1.8 2.1 3.8 2.4 6.8 12.5
     VOLUME OF TRADES (000'S) 7,800.2 529.9 568.4 142,583.6 439.5 121.3 11.7
     NUMBER OF TRADES 35 57 59 25 13 14 5
GNMA
AVERAGE PRICE 82.6 88.5 90.9 94.1 96.0 96.4 100.5
Weighted Avg. Price 85.2 88.7 90.9 93.7 96.4 98.3 101.2
Avg. Price Bottom 5 Trades 79.0 85.7 88.5 92.8 87.0 81.6 78.6
2nd Quartile Price 79.7 88.3 90.8 93.5 95.8 96.6 100.3
3rd Quartile Price 82.4 88.5 91.1 93.7 96.2 98.2 101.8
4th Quartile Price 85.6 89.4 92.2 95.4 98.9 99.0 102.9
Avg. Price Top 5 Trades 86.1 89.9 91.9 95.2 100.1 102.5 108.9
Standard Deviation 2.6 1.4 1.5 1.1 4.4 6.7 5.9
     VOLUME OF TRADES (000'S) 342,503.4 25,191.1 40,578.4 1,122,342.0 259,529.2 659,426.3 1,738,392.2
     NUMBER OF TRADES 79 52 36 41 89 140 489
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 100.5 0.0 * 100.0 101.6
Weighted Avg. Price 102.0 0.0 * 100.0 101.0
Avg. Price Bottom 5 Trades 100.5 0.0 * 99.7 101.6
2nd Quartile Price * 0.0 * 99.9 *
3rd Quartile Price * 0.0 * 100.6 *
4th Quartile Price * 0.0 * 101.0 *
Avg. Price Top 5 Trades 100.5 0.0 * 100.5 101.6
Standard Deviation 8.7 0.0 * 1.0 0.7
     VOLUME OF TRADES (000'S) 4,461.4 0.0 * 134,871.2 20,438.9
     NUMBER OF TRADES 68 0 * 7 7
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 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
* 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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