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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
Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 102.6 104.4 105.8 106.7 105.9 105.5 104.8
Weighted Avg. Price 103.2 105.4 107.8 108.3 107.5 106.7 110.0
Avg. Price Bottom 5 Trades 99.3 101.4 103.9 105.4 103.2 103.2 97.3
2nd Quartile Price 102.5 104.4 105.4 106.4 105.4 104.5 102.1
3rd Quartile Price 103.1 104.6 105.9 106.7 106.4 106.2 105.5
4th Quartile Price 103.5 105.4 106.3 106.9 106.9 107.2 107.8
Avg. Price Top 5 Trades 104.8 105.9 107.9 108.7 109.2 107.9 111.8
Standard Deviation 1.4 1.5 1.5 1.9 2.5 1.8 4.7
     VOLUME OF TRADES (000'S) 586,282.6 250,184.2 17,222.0 11,928.3 7,205.4 10,780.7 6,270.7
     NUMBER OF TRADES 87 48 27 27 32 51 77
FHLMC
AVERAGE PRICE 102.8 105.5 103.1 105.2 106.1 104.8 106.0
Weighted Avg. Price 103.0 105.2 106.4 106.0 106.1 107.5 106.8
Avg. Price Bottom 5 Trades 101.1 105.0 102.2 104.5 105.8 103.0 102.3
2nd Quartile Price 102.4 105.1 99.0 106.0 105.8 103.3 103.0
3rd Quartile Price 103.0 105.3 105.0 106.1 106.2 104.9 106.5
4th Quartile Price 103.4 106.2 105.5 106.1 106.6 106.3 107.4
Avg. Price Top 5 Trades 104.2 106.2 105.6 106.1 106.5 107.0 111.9
Standard Deviation 0.9 0.7 3.4 1.5 0.4 1.6 4.9
     VOLUME OF TRADES (000'S) 348,251.6 89,723.5 4,656.5 2,072.3 11,098.6 14,953.2 2,770.4
     NUMBER OF TRADES 74 12 11 14 14 47 22
GNMA
AVERAGE PRICE 104.0 104.4 * * * * 103.6
Weighted Avg. Price 103.8 104.2 * * * * 111.3
Avg. Price Bottom 5 Trades 103.8 104.4 * * * * 99.6
2nd Quartile Price 103.8 * * * * * 99.0
3rd Quartile Price 104.1 * * * * * 100.5
4th Quartile Price 104.4 * * * * * 110.6
Avg. Price Top 5 Trades 104.4 104.4 * * * * 113.6
Standard Deviation 0.3 1.1 * * * * 6.2
     VOLUME OF TRADES (000'S) 78,418.4 7,610.1 * * * * 1,970.1
     NUMBER OF TRADES 19 6 * * * * 26
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 102.2 102.2 104.6 106.1 106.2 106.4 107.5
Weighted Avg. Price 103.0 102.5 105.2 108.8 108.1 108.2 110.9
Avg. Price Bottom 5 Trades 102.2 99.9 100.7 96.7 101.6 99.5 96.2
2nd Quartile Price * 102.0 104.8 105.3 105.5 105.6 106.0
3rd Quartile Price * 102.3 104.9 106.3 106.7 106.9 108.3
4th Quartile Price * 102.8 105.3 107.4 107.2 108.1 109.8
Avg. Price Top 5 Trades 102.2 103.8 106.4 108.9 109.4 109.1 121.5
Standard Deviation 1.1 0.9 1.3 2.9 2.0 2.3 4.8
     VOLUME OF TRADES (000'S) 65,742.9 543,009.4 1,048,267.1 1,757,101.7 117,039.3 45,462.1 106,490.6
     NUMBER OF TRADES 5 112 159 208 88 144 334
FHLMC
AVERAGE PRICE * 102.3 104.8 106.1 106.3 106.4 106.2
Weighted Avg. Price * 103.0 105.5 107.7 107.9 107.6 110.6
Avg. Price Bottom 5 Trades * 101.4 103.1 105.5 101.9 104.0 97.6
2nd Quartile Price * 101.3 104.7 105.6 105.5 105.3 100.0
3rd Quartile Price * 102.1 104.7 105.9 106.4 106.9 107.1
4th Quartile Price * 102.5 105.4 105.9 108.7 107.8 110.5
Avg. Price Top 5 Trades * 104.5 106.2 108.6 108.5 108.8 120.1
Standard Deviation * 1.0 0.9 0.9 2.1 2.2 7.5
     VOLUME OF TRADES (000'S) * 427,883.8 357,859.9 301,180.0 107,772.2 7,109.6 15,837.4
     NUMBER OF TRADES * 69 66 117 73 35 152
GNMA
AVERAGE PRICE 99.7 104.2 106.5 107.7 107.1 107.8 109.2
Weighted Avg. Price 99.5 104.0 106.4 108.1 108.8 110.2 112.9
Avg. Price Bottom 5 Trades 99.7 103.3 104.9 105.6 101.6 101.9 93.7
2nd Quartile Price * 103.9 106.5 107.6 106.0 106.0 104.9
3rd Quartile Price * 104.0 106.7 108.1 107.6 107.5 109.5
4th Quartile Price * 104.6 107.3 108.3 109.0 108.6 113.0
Avg. Price Top 5 Trades 99.7 105.2 107.4 108.8 109.5 112.7 123.4
Standard Deviation 1.1 0.7 0.9 1.4 2.6 2.7 7.4
     VOLUME OF TRADES (000'S) 3,163.9 310,136.9 1,406,386.6 230,367.6 170,410.4 37,120.2 111,354.7
     NUMBER OF TRADES 6 57 61 40 62 96 454
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 95.9 - 103.6 104.1 *
Weighted Avg. Price 102.4 - 102.8 103.4 *
Avg. Price Bottom 5 Trades 73.0 - 103.0 103.4 *
2nd Quartile Price 100.5 - 103.5 103.7 *
3rd Quartile Price 102.6 - 103.8 104.0 *
4th Quartile Price 105.8 - 104.1 105.0 *
Avg. Price Top 5 Trades 105.4 - 104.1 104.9 *
Standard Deviation 14.0 - 0.7 0.7 *
     VOLUME OF TRADES (000'S) 6,948.1 - 38,431.4 103,087.2 *
     NUMBER OF TRADES 33 - 12 13 *
FHLMC
AVERAGE PRICE 105.0 * * * 103.5
Weighted Avg. Price 105.9 * * * 104.5
Avg. Price Bottom 5 Trades 104.9 * * * 102.9
2nd Quartile Price 105.8 * * * 104.3
3rd Quartile Price 105.9 * * * 104.6
4th Quartile Price 106.0 * * * 105.3
Avg. Price Top 5 Trades 105.5 * * * 104.7
Standard Deviation 1.9 * * * 2.1
     VOLUME OF TRADES (000'S) 3,411.2 * * * 1,016.2
     NUMBER OF TRADES 19 * * * 7
GNMA
AVERAGE PRICE 102.1 104.4 106.0 * -
Weighted Avg. Price 103.8 104.5 106.0 * -
Avg. Price Bottom 5 Trades 101.6 104.4 105.7 * -
2nd Quartile Price 101.0 * 105.5 * -
3rd Quartile Price 102.1 * 107.0 * -
4th Quartile Price 102.3 * 107.3 * -
Avg. Price Top 5 Trades 104.5 104.4 106.1 * -
Standard Deviation 1.2 0.2 0.9 * -
     VOLUME OF TRADES (000'S) 6,108.2 63,538.6 9,628.2 * -
     NUMBER OF TRADES 83 8 6 * -
* 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 [email protected].

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