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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO
Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
FNMA
AVERAGE PRICE 104.8 106.2 106.1 105.6 104.5 106.8 106.7
Weighted Avg. Price 104.8 106.3 108.0 110.7 109.0 111.5 112.7
Avg. Price Bottom 5 Trades 101.7 104.6 102.9 99.3 97.2 101.9 101.7
2nd Quartile Price 104.3 106.1 106.5 102.0 102.0 104.0 102.0
3rd Quartile Price 105.0 106.1 106.5 107.7 105.0 107.3 108.0
4th Quartile Price 105.5 106.1 107.1 108.3 108.7 108.4 112.8
Avg. Price Top 5 Trades 106.7 108.9 108.4 112.2 109.8 113.8 111.4
Standard Deviation 1.1 0.7 2.1 4.1 4.6 3.9 5.2
     VOLUME OF TRADES (000'S) 1,230,474.0 970,191.0 6,071.1 152,488.3 60,395.9 2,159.3 3,875.4
     NUMBER OF TRADES 171 164 38 58 73 30 17
FHLMC
AVERAGE PRICE 104.5 105.8 106.2 105.6 104.8 108.0 98.6
Weighted Avg. Price 104.5 105.9 106.6 107.3 109.1 110.0 107.4
Avg. Price Bottom 5 Trades 103.1 105.6 105.6 102.0 100.9 106.6 98.6
2nd Quartile Price 104.1 105.9 106.1 106.7 101.0 106.0 *
3rd Quartile Price 104.4 106.0 106.4 107.3 106.5 108.1 *
4th Quartile Price 105.0 106.0 107.0 107.5 108.3 110.2 *
Avg. Price Top 5 Trades 105.7 106.0 107.1 107.8 108.9 110.4 98.6
Standard Deviation 0.7 0.3 1.1 3.5 4.7 1.8 10.6
     VOLUME OF TRADES (000'S) 860,484.5 130,731.1 3,551.9 3,007.1 23,853.6 5,556.0 79.1
     NUMBER OF TRADES 71 46 13 29 44 25 5
GNMA
AVERAGE PRICE 106.6 106.2 * 107.6 106.8 * 104.6
Weighted Avg. Price 106.5 107.4 * 108.2 108.1 * 115.7
Avg. Price Bottom 5 Trades 105.7 106.2 * 105.6 106.8 * 102.0
2nd Quartile Price 106.1 * * 108.1 * * 102.2
3rd Quartile Price 106.3 * * 108.1 * * 102.4
4th Quartile Price 107.4 * * 108.4 * * 110.6
Avg. Price Top 5 Trades 107.5 106.2 * 108.0 106.8 * 106.7
Standard Deviation 0.9 2.0 * 1.3 3.1 * 5.1
     VOLUME OF TRADES (000'S) 177,882.3 5,858.2 * 8,750.9 108.9 * 2,156.8
     NUMBER OF TRADES 20 5 * 21 5 * 9
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
FNMA
AVERAGE PRICE 103.9 105.6 106.6 107.2 108.1 108.1 107.4
Weighted Avg. Price 103.8 105.7 106.9 108.1 109.4 110.1 117.3
Avg. Price Bottom 5 Trades 102.1 102.7 95.5 100.7 97.8 93.9 93.2
2nd Quartile Price 103.8 105.5 106.7 107.3 108.6 108.9 103.0
3rd Quartile Price 103.8 105.5 106.7 107.6 108.6 109.9 110.5
4th Quartile Price 103.9 105.6 107.2 108.2 109.3 110.1 113.3
Avg. Price Top 5 Trades 105.6 108.0 109.4 111.0 110.5 111.2 121.9
Standard Deviation 0.4 0.6 2.6 2.3 2.5 4.4 11.5
     VOLUME OF TRADES (000'S) 8,149,356.3 11,491,728.2 3,622,310.2 1,517,643.4 1,199,487.1 469,168.0 114,115.0
     NUMBER OF TRADES 350 692 383 173 252 201 106
FHLMC
AVERAGE PRICE 103.8 105.1 106.1 107.6 107.6 109.4 106.0
Weighted Avg. Price 104.0 105.2 106.4 108.1 108.6 110.5 113.0
Avg. Price Bottom 5 Trades 103.0 98.1 104.3 104.4 102.0 104.2 94.6
2nd Quartile Price 103.5 105.2 105.9 107.4 108.3 109.8 99.0
3rd Quartile Price 103.7 105.3 106.2 107.9 108.5 109.9 109.1
4th Quartile Price 104.1 105.3 106.3 108.3 108.5 109.9 112.5
Avg. Price Top 5 Trades 105.0 106.9 108.3 109.4 109.3 111.5 119.3
Standard Deviation 0.7 2.0 1.1 1.6 2.4 2.1 9.0
     VOLUME OF TRADES (000'S) 694,961.6 2,337,778.9 1,264,026.6 147,232.4 169,853.4 151,208.8 3,358.7
     NUMBER OF TRADES 61 302 88 53 74 69 52
GNMA
AVERAGE PRICE 105.5 107.1 108.7 109.3 108.5 109.3 103.5
Weighted Avg. Price 105.2 107.8 109.1 110.7 111.7 112.9 114.6
Avg. Price Bottom 5 Trades 104.3 104.9 105.4 105.9 101.6 101.0 79.6
2nd Quartile Price 105.2 106.5 108.7 108.8 106.3 107.0 98.0
3rd Quartile Price 105.2 107.8 109.1 109.4 109.0 110.8 102.2
4th Quartile Price 105.5 107.9 109.3 110.5 111.0 112.6 110.9
Avg. Price Top 5 Trades 107.2 108.6 110.0 111.2 112.4 113.5 116.7
Standard Deviation 0.8 1.3 1.5 1.5 3.0 3.8 8.8
     VOLUME OF TRADES (000'S) 1,285,964.3 4,273,233.1 666,906.9 116,208.9 8,398.9 31,151.8 16,915.1
     NUMBER OF TRADES 43 46 53 59 68 117 253
Pricing Table: Agency Pass-Thru (Specified) - Adjustable/Hybrid

No Hybrid Type data found for this date.
* 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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