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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 Daily CMBS Weekly CMBS CBO/CDO/CLO
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 92.2 91.9 92.7 99.1 100.1 101.0 101.3
Weighted Avg. Price 91.3 98.2 99.4 100.1 100.9 102.0 103.8
Avg. Price Bottom 5 Trades 87.5 84.6 70.3 96.7 98.3 99.3 99.0
2nd Quartile Price 90.7 87.3 95.3 98.7 99.4 100.7 100.6
3rd Quartile Price 91.9 94.4 97.5 99.8 100.4 101.0 102.0
4th Quartile Price 94.4 98.3 99.3 100.1 101.1 101.7 102.5
Avg. Price Top 5 Trades 97.8 98.6 99.4 100.5 101.4 102.0 103.4
Standard Deviation 2.9 6.6 17.3 1.3 1.2 1.0 1.8
     VOLUME OF TRADES (000'S) 214,183.2 4,002.1 9,991.4 58,514.0 17,643.3 10,131.1 23,650.2
     NUMBER OF TRADES 116 25 34 34 37 42 23
FNMA
AVERAGE PRICE 94.6 96.4 * 98.1 * - -
Weighted Avg. Price 94.6 97.3 * 98.8 * - -
Avg. Price Bottom 5 Trades 85.9 93.8 * 97.4 * - -
2nd Quartile Price 93.1 95.7 * 97.4 * - -
3rd Quartile Price 95.6 98.4 * 97.7 * - -
4th Quartile Price 97.0 98.5 * 99.6 * - -
Avg. Price Top 5 Trades 97.9 98.6 * 98.6 * - -
Standard Deviation 3.7 3.4 * 1.2 * - -
     VOLUME OF TRADES (000'S) 376,711.5 62,279.3 * 8,400.0 * - -
     NUMBER OF TRADES 54 11 * 8 * - -
FHLMC
AVERAGE PRICE 92.1 91.8 98.9 99.3 - - -
Weighted Avg. Price 91.0 96.9 99.5 99.7 - - -
Avg. Price Bottom 5 Trades 81.6 78.3 98.7 98.2 - - -
2nd Quartile Price 88.1 88.7 99.1 99.4 - - -
3rd Quartile Price 95.7 97.0 99.2 100.0 - - -
4th Quartile Price 97.2 97.3 99.7 100.1 - - -
Avg. Price Top 5 Trades 97.7 98.3 99.1 100.1 - - -
Standard Deviation 6.3 8.5 0.7 1.3 - - -
     VOLUME OF TRADES (000'S) 7,375.7 80,415.5 3,366.3 55,080.0 - - -
     NUMBER OF TRADES 26 26 7 13 - - -
GNMA
AVERAGE PRICE 96.1 - * * * * *
Weighted Avg. Price 95.6 - * * * * *
Avg. Price Bottom 5 Trades 95.1 - * * * * *
2nd Quartile Price 94.9 - * * * * *
3rd Quartile Price 97.4 - * * * * *
4th Quartile Price 97.8 - * * * * *
Avg. Price Top 5 Trades 97.6 - * * * * *
Standard Deviation 2.2 - * * * * *
     VOLUME OF TRADES (000'S) 3,875.4 - * * * * *
     NUMBER OF TRADES 8 - * * * * *
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 85.9 90.5 93.7 96.6 98.3 100.4 102.5
Weighted Avg. Price 86.2 92.3 94.8 97.2 99.2 100.8 102.3
Avg. Price Bottom 5 Trades 76.7 78.8 82.5 87.4 74.7 97.9 95.3
2nd Quartile Price 84.1 89.8 93.9 96.4 98.5 100.3 101.9
3rd Quartile Price 87.1 91.0 94.1 96.8 99.0 100.4 102.1
4th Quartile Price 88.3 91.6 94.7 97.2 99.2 100.8 103.3
Avg. Price Top 5 Trades 96.7 97.4 98.9 99.1 100.6 102.0 105.8
Standard Deviation 3.3 3.0 2.7 2.6 5.7 0.7 1.9
     VOLUME OF TRADES (000'S) 2,135,332.0 379,229.3 1,209,439.4 249,326.6 1,097,426.0 1,540,095.2 2,449,336.9
     NUMBER OF TRADES 855 297 351 167 247 294 224
FNMA
AVERAGE PRICE * 92.6 * - - - 101.7
Weighted Avg. Price * 93.4 * - - - 101.6
Avg. Price Bottom 5 Trades * 91.2 * - - - 101.7
2nd Quartile Price * 92.2 * - - - *
3rd Quartile Price * 92.7 * - - - *
4th Quartile Price * 92.8 * - - - *
Avg. Price Top 5 Trades * 93.7 * - - - 101.7
Standard Deviation * 1.8 * - - - 0.2
     VOLUME OF TRADES (000'S) * 4,540.8 * - - - 16,057.0
     NUMBER OF TRADES * 17 * - - - 6
FHLMC
AVERAGE PRICE 90.6 91.7 95.1 94.8 98.1 99.5 102.4
Weighted Avg. Price 89.9 90.0 96.3 97.5 97.1 99.3 102.4
Avg. Price Bottom 5 Trades 85.3 91.2 92.9 93.6 98.1 99.5 100.4
2nd Quartile Price 89.9 91.7 94.8 92.0 * * 101.0
3rd Quartile Price 91.0 91.7 96.3 96.8 * * 102.2
4th Quartile Price 94.8 92.3 97.8 98.0 * * 104.4
Avg. Price Top 5 Trades 95.0 92.2 98.1 97.3 98.1 99.5 105.1
Standard Deviation 3.9 1.3 3.0 3.5 1.3 0.9 1.8
     VOLUME OF TRADES (000'S) 14,243.6 2,610.2 929.3 101.1 504.7 1,550.2 8,488.2
     NUMBER OF TRADES 20 9 18 11 5 5 33
GNMA
AVERAGE PRICE 86.6 93.6 94.8 96.7 99.0 100.8 102.2
Weighted Avg. Price 83.8 93.3 95.0 97.2 99.4 100.7 102.5
Avg. Price Bottom 5 Trades 82.9 92.7 94.1 94.3 96.0 98.6 81.9
2nd Quartile Price 86.1 93.2 94.9 96.6 98.9 100.5 101.8
3rd Quartile Price 86.1 93.2 95.0 96.6 99.3 100.8 102.8
4th Quartile Price 87.7 94.1 95.2 97.2 99.5 101.1 103.6
Avg. Price Top 5 Trades 90.2 94.5 95.1 97.8 100.6 103.0 107.8
Standard Deviation 2.3 1.2 0.7 1.0 1.7 0.9 4.0
     VOLUME OF TRADES (000'S) 609,996.2 114,091.5 42,983.4 129,119.4 688,100.7 1,143,013.3 2,427,704.1
     NUMBER OF TRADES 94 31 19 75 42 123 321
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 * - - 100.8 -
Weighted Avg. Price * - - 101.5 -
Avg. Price Bottom 5 Trades * - - 99.3 -
2nd Quartile Price * - - 100.5 -
3rd Quartile Price * - - 101.8 -
4th Quartile Price * - - 102.3 -
Avg. Price Top 5 Trades * - - 102.0 -
Standard Deviation * - - 2.3 -
     VOLUME OF TRADES (000'S) * - - 63,349.5 -
     NUMBER OF TRADES * - - 11 -
FHLMC
AVERAGE PRICE * - - - -
Weighted Avg. Price * - - - -
Avg. Price Bottom 5 Trades * - - - -
2nd Quartile Price * - - - -
3rd Quartile Price * - - - -
4th Quartile Price * - - - -
Avg. Price Top 5 Trades * - - - -
Standard Deviation * - - - -
     VOLUME OF TRADES (000'S) * - - - -
     NUMBER OF TRADES * - - - -
GNMA
AVERAGE PRICE - - * - -
Weighted Avg. Price - - * - -
Avg. Price Bottom 5 Trades - - * - -
2nd Quartile Price - - * - -
3rd Quartile Price - - * - -
4th Quartile Price - - * - -
Avg. Price Top 5 Trades - - * - -
Standard Deviation - - * - -
     VOLUME OF TRADES (000'S) - - * - -
     NUMBER OF TRADES - - * - -
* 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 List or 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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