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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 89.1 91.6 93.9 96.0 97.8 99.0 100.3
Weighted Avg. Price 89.8 94.3 94.9 96.8 98.5 99.7 100.9
Avg. Price Bottom 5 Trades 82.6 86.6 92.2 93.6 94.1 96.6 98.6
2nd Quartile Price 87.0 90.0 93.0 95.9 97.8 98.7 99.8
3rd Quartile Price 89.5 92.9 94.5 96.8 98.2 99.1 100.6
4th Quartile Price 91.4 93.8 94.9 96.9 98.4 99.5 100.9
Avg. Price Top 5 Trades 95.0 95.7 95.1 97.0 98.7 100.0 101.6
Standard Deviation 3.2 3.5 1.4 1.8 1.3 0.9 1.3
     VOLUME OF TRADES (000'S) 76,183.4 3,727.5 1,070.6 10,083.7 83,965.0 26,966.2 7,673.0
     NUMBER OF TRADES 117 39 28 32 63 69 22
FNMA
AVERAGE PRICE 0.0 0.0 * * 98.4 100.9 *
Weighted Avg. Price 0.0 0.0 * * 98.4 100.5 *
Avg. Price Bottom 5 Trades 0.0 0.0 * * 98.3 100.7 *
2nd Quartile Price 0.0 0.0 * * 98.3 100.3 *
3rd Quartile Price 0.0 0.0 * * 98.4 102.2 *
4th Quartile Price 0.0 0.0 * * 98.8 102.3 *
Avg. Price Top 5 Trades 0.0 0.0 * * 98.6 101.2 *
Standard Deviation 0.0 0.0 * * 0.3 1.1 *
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 11,300.0 42,503.9 *
     NUMBER OF TRADES 0 0 * * 8 6 *
FHLMC
AVERAGE PRICE 93.3 93.6 * * * * 0.0
Weighted Avg. Price 93.7 95.8 * * * * 0.0
Avg. Price Bottom 5 Trades 91.7 90.5 * * * * 0.0
2nd Quartile Price 92.8 93.8 * * * * 0.0
3rd Quartile Price 93.6 94.9 * * * * 0.0
4th Quartile Price 95.1 96.0 * * * * 0.0
Avg. Price Top 5 Trades 94.9 96.0 * * * * 0.0
Standard Deviation 1.8 3.7 * * * * 0.0
     VOLUME OF TRADES (000'S) 375.4 1,249.8 * * * * 0.0
     NUMBER OF TRADES 14 15 * * * * 0
GNMA
AVERAGE PRICE * * 0.0 0.0 * * *
Weighted Avg. Price * * 0.0 0.0 * * *
Avg. Price Bottom 5 Trades * * 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 * * 0.0 0.0 * * *
Standard Deviation * * 0.0 0.0 * * *
     VOLUME OF TRADES (000'S) * * 0.0 0.0 * * *
     NUMBER OF TRADES * * 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 81.8 85.5 88.8 91.7 95.2 97.3 99.5
Weighted Avg. Price 81.6 87.8 90.7 92.6 95.2 97.6 100.5
Avg. Price Bottom 5 Trades 72.9 73.1 82.5 85.8 92.3 88.9 81.7
2nd Quartile Price 79.7 85.6 88.7 91.5 94.8 97.2 99.4
3rd Quartile Price 82.7 86.3 89.3 92.3 95.0 97.4 100.0
4th Quartile Price 85.1 86.6 89.7 92.5 95.2 97.9 101.3
Avg. Price Top 5 Trades 90.4 90.9 94.0 96.4 98.0 99.3 104.2
Standard Deviation 3.5 3.2 2.3 2.7 1.0 1.8 6.9
     VOLUME OF TRADES (000'S) 742,029.9 460,242.1 295,964.2 207,951.2 607,282.6 983,295.0 1,466,010.9
     NUMBER OF TRADES 931 441 313 210 197 260 262
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 99.6
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 100.5
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 97.8
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 100.4
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 100.5
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 101.2
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 100.9
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 2.8
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 25,255.3
     NUMBER OF TRADES 0 0 0 0 0 0 12
FHLMC
AVERAGE PRICE 82.3 84.1 91.2 88.5 * * 97.5
Weighted Avg. Price 79.3 90.2 93.4 94.1 * * 99.1
Avg. Price Bottom 5 Trades 80.5 81.9 89.9 85.2 * * 95.4
2nd Quartile Price 81.0 81.0 89.4 90.0 * * 98.4
3rd Quartile Price 82.9 86.2 89.4 90.3 * * 99.4
4th Quartile Price 84.3 86.3 94.0 91.5 * * 101.5
Avg. Price Top 5 Trades 84.5 88.3 94.4 93.3 * * 100.9
Standard Deviation 1.9 3.5 2.2 7.0 * * 4.6
     VOLUME OF TRADES (000'S) 7,415.5 300.5 17,613.9 54.4 * * 5,539.8
     NUMBER OF TRADES 29 30 20 25 * * 11
GNMA
AVERAGE PRICE 84.0 86.7 89.6 92.5 91.9 97.0 100.4
Weighted Avg. Price 85.0 89.5 91.1 93.5 96.0 98.2 102.0
Avg. Price Bottom 5 Trades 81.1 85.8 85.1 87.9 89.7 89.5 85.6
2nd Quartile Price 82.6 87.1 88.0 90.1 90.0 97.5 100.9
3rd Quartile Price 84.9 88.4 91.1 93.3 91.1 98.5 101.8
4th Quartile Price 85.6 88.6 91.1 93.8 94.0 99.3 102.7
Avg. Price Top 5 Trades 86.2 88.4 92.3 98.6 97.8 101.2 106.4
Standard Deviation 2.0 3.2 4.0 3.7 2.9 4.3 7.6
     VOLUME OF TRADES (000'S) 117,537.7 2,566.8 79,380.7 157,278.6 102,564.1 937,663.2 5,507,356.8
     NUMBER OF TRADES 37 8 16 34 155 226 809
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 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 * 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
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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