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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 89.0 90.7 91.5 96.9 98.0 99.4 95.3
Weighted Avg. Price 93.4 93.9 95.8 97.0 98.4 99.8 101.4
Avg. Price Bottom 5 Trades 78.1 84.2 85.9 96.5 97.4 99.0 90.1
2nd Quartile Price 87.0 90.3 93.1 96.6 98.1 99.3 99.5
3rd Quartile Price 89.0 90.3 94.3 97.0 98.4 99.5 100.8
4th Quartile Price 91.7 92.0 94.9 97.1 98.4 99.7 101.8
Avg. Price Top 5 Trades 95.5 96.5 95.6 97.3 98.4 100.0 101.3
Standard Deviation 4.6 2.2 5.8 0.8 0.9 0.4 12.0
     VOLUME OF TRADES (000'S) 95,872.5 5,945.1 5,146.9 3,697.2 93,235.5 41,395.7 3,741.3
     NUMBER OF TRADES 86 187 38 10 28 38 11
FNMA
AVERAGE PRICE 86.1 92.6 92.3 94.8 97.5 100.9 *
Weighted Avg. Price 80.9 92.0 92.1 96.3 97.7 100.6 *
Avg. Price Bottom 5 Trades 78.6 92.6 90.5 93.3 96.9 100.7 *
2nd Quartile Price 80.3 * 91.4 93.4 97.1 100.7 *
3rd Quartile Price 94.3 * 91.7 95.3 97.9 102.1 *
4th Quartile Price 95.0 * 93.9 97.0 98.1 102.1 *
Avg. Price Top 5 Trades 93.6 92.6 94.8 96.3 98.1 101.2 *
Standard Deviation 8.3 2.0 2.1 1.8 0.6 1.0 *
     VOLUME OF TRADES (000'S) 17,038.1 3,543.1 30,805.2 60,899.0 38,608.5 129,273.9 *
     NUMBER OF TRADES 10 6 16 10 11 6 *
FHLMC
AVERAGE PRICE 87.5 88.3 * * * * 0.0
Weighted Avg. Price 85.7 88.1 * * * * 0.0
Avg. Price Bottom 5 Trades 86.2 86.5 * * * * 0.0
2nd Quartile Price 84.7 90.6 * * * * 0.0
3rd Quartile Price 88.8 90.6 * * * * 0.0
4th Quartile Price 95.3 91.8 * * * * 0.0
Avg. Price Top 5 Trades 88.1 92.5 * * * * 0.0
Standard Deviation 4.2 7.9 * * * * 0.0
     VOLUME OF TRADES (000'S) 973.1 49,892.2 * * * * 0.0
     NUMBER OF TRADES 7 32 * * * * 0
GNMA
AVERAGE PRICE 87.3 0.0 0.0 0.0 0.0 * *
Weighted Avg. Price 90.1 0.0 0.0 0.0 0.0 * *
Avg. Price Bottom 5 Trades 87.3 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 87.3 0.0 0.0 0.0 0.0 * *
Standard Deviation 3.3 0.0 0.0 0.0 0.0 * *
     VOLUME OF TRADES (000'S) 3,101.4 0.0 0.0 0.0 0.0 * *
     NUMBER OF TRADES 6 0 0 0 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 80.5 86.3 88.8 91.7 95.1 97.7 100.9
Weighted Avg. Price 79.6 88.2 90.9 93.9 95.2 97.8 101.1
Avg. Price Bottom 5 Trades 71.8 74.4 57.5 82.7 92.4 96.0 87.9
2nd Quartile Price 79.4 86.0 89.1 91.9 94.9 97.2 99.4
3rd Quartile Price 80.3 86.4 89.5 92.0 95.0 97.3 101.2
4th Quartile Price 83.0 86.5 89.8 92.5 95.1 97.6 102.9
Avg. Price Top 5 Trades 88.9 89.8 92.7 94.8 97.3 100.5 104.8
Standard Deviation 3.1 2.2 6.1 2.7 1.0 1.1 3.3
     VOLUME OF TRADES (000'S) 2,438,346.1 228,094.1 411,121.2 308,076.7 895,467.0 2,499,226.2 3,306,132.3
     NUMBER OF TRADES 723 343 292 183 179 218 388
FNMA
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 * *
FHLMC
AVERAGE PRICE 79.9 86.5 87.7 89.5 * * 91.9
Weighted Avg. Price 71.5 89.1 94.3 90.3 * * 99.4
Avg. Price Bottom 5 Trades 71.2 86.0 74.3 89.5 * * 88.4
2nd Quartile Price 81.0 86.0 89.2 * * * 81.0
3rd Quartile Price 82.9 86.0 89.2 * * * 95.5
4th Quartile Price 82.9 86.2 89.2 * * * 99.8
Avg. Price Top 5 Trades 82.9 89.5 91.0 89.5 * * 99.7
Standard Deviation 5.1 1.3 6.8 2.1 * * 9.2
     VOLUME OF TRADES (000'S) 8,406.3 588.1 945.5 10,301.5 * * 3,798.5
     NUMBER OF TRADES 29 38 45 6 * * 11
GNMA
AVERAGE PRICE 84.1 88.2 91.5 94.6 95.9 98.0 98.4
Weighted Avg. Price 84.5 88.4 91.8 94.4 96.2 98.4 101.7
Avg. Price Bottom 5 Trades 79.1 87.4 89.4 90.4 84.0 87.0 50.1
2nd Quartile Price 82.2 88.2 90.7 92.0 96.0 98.1 98.6
3rd Quartile Price 83.0 88.4 90.9 93.4 96.7 98.5 101.5
4th Quartile Price 85.3 88.4 91.9 98.6 98.5 98.8 102.5
Avg. Price Top 5 Trades 94.1 89.0 95.9 99.2 98.6 99.9 106.2
Standard Deviation 3.9 1.0 3.4 3.8 4.8 2.5 10.8
     VOLUME OF TRADES (000'S) 175,379.2 267,944.8 21,128.7 29,725.1 561,855.0 709,321.3 1,277,720.3
     NUMBER OF TRADES 61 21 21 50 207 260 446
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 * 0.0 0.0 97.1 *
Weighted Avg. Price * 0.0 0.0 94.2 *
Avg. Price Bottom 5 Trades * 0.0 0.0 93.4 *
2nd Quartile Price * 0.0 0.0 94.6 *
3rd Quartile Price * 0.0 0.0 99.5 *
4th Quartile Price * 0.0 0.0 99.5 *
Avg. Price Top 5 Trades * 0.0 0.0 99.5 *
Standard Deviation * 0.0 0.0 2.9 *
     VOLUME OF TRADES (000'S) * 0.0 0.0 113,573.9 *
     NUMBER OF TRADES * 0 0 18 *
FHLMC
AVERAGE PRICE * 0.0 * 97.1 99.3
Weighted Avg. Price * 0.0 * 95.8 99.2
Avg. Price Bottom 5 Trades * 0.0 * 95.4 99.3
2nd Quartile Price * 0.0 * 95.0 *
3rd Quartile Price * 0.0 * 98.3 *
4th Quartile Price * 0.0 * 99.5 *
Avg. Price Top 5 Trades * 0.0 * 97.9 99.3
Standard Deviation * 0.0 * 2.4 0.3
     VOLUME OF TRADES (000'S) * 0.0 * 122,213.9 3,198.7
     NUMBER OF TRADES * 0 * 9 6
GNMA
AVERAGE PRICE 0.0 0.0 97.6 0.0 0.0
Weighted Avg. Price 0.0 0.0 96.8 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 96.0 0.0 0.0
2nd Quartile Price 0.0 0.0 96.8 0.0 0.0
3rd Quartile Price 0.0 0.0 98.8 0.0 0.0
4th Quartile Price 0.0 0.0 99.9 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 99.4 0.0 0.0
Standard Deviation 0.0 0.0 2.3 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 50,867.0 0.0 0.0
     NUMBER OF TRADES 0 0 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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