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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
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 102.1 103.5 105.3 105.9 105.4 104.5 105.9
Weighted Avg. Price 102.2 103.9 105.7 107.0 107.9 107.0 107.6
Avg. Price Bottom 5 Trades 99.3 100.4 102.3 102.8 101.9 102.0 100.3
2nd Quartile Price 102.1 102.8 104.9 105.3 103.7 103.8 102.0
3rd Quartile Price 102.4 104.4 105.6 106.6 104.6 104.0 104.8
4th Quartile Price 102.9 104.6 106.0 107.3 108.1 106.0 115.7
Avg. Price Top 5 Trades 103.4 104.9 106.6 107.7 110.0 108.7 112.0
Standard Deviation 1.1 1.5 1.1 1.7 2.6 3.4 6.3
     VOLUME OF TRADES (000'S) 599,757.3 261,613.8 105,423.7 29,197.1 66,233.3 2,321.5 39,796.6
     NUMBER OF TRADES 115 67 76 33 58 19 19
FHLMC
AVERAGE PRICE 101.8 104.0 104.9 106.9 104.7 101.8 106.1
Weighted Avg. Price 102.2 104.6 106.0 107.2 105.2 105.8 109.5
Avg. Price Bottom 5 Trades 99.3 103.4 103.7 106.3 103.5 100.9 103.7
2nd Quartile Price 101.9 103.8 105.1 106.6 104.1 103.0 105.4
3rd Quartile Price 102.2 104.3 105.6 106.6 104.6 103.7 107.0
4th Quartile Price 102.5 104.5 105.9 107.2 106.0 104.0 108.9
Avg. Price Top 5 Trades 102.7 104.8 106.2 108.7 106.2 103.7 108.9
Standard Deviation 1.1 0.9 1.4 1.3 1.2 5.1 3.6
     VOLUME OF TRADES (000'S) 105,796.0 62,624.4 13,022.8 23,015.3 5,195.3 783.7 3,729.3
     NUMBER OF TRADES 42 43 30 27 18 17 13
GNMA
AVERAGE PRICE 102.4 104.3 106.3 * 103.8 106.0 100.0
Weighted Avg. Price 101.6 104.6 106.3 * 107.3 108.4 107.8
Avg. Price Bottom 5 Trades 101.5 103.2 106.1 * 101.0 106.0 98.2
2nd Quartile Price 102.7 104.4 106.1 * 102.3 * 102.9
3rd Quartile Price 102.8 104.8 106.3 * 105.2 * 108.2
4th Quartile Price 102.9 104.9 106.6 * 105.9 * 108.6
Avg. Price Top 5 Trades 103.0 104.9 106.5 * 106.0 106.0 104.0
Standard Deviation 1.0 0.8 0.3 * 2.8 4.1 10.9
     VOLUME OF TRADES (000'S) 15,514.4 31,061.3 13,763.3 * 1,626.5 1,208.5 121.7
     NUMBER OF TRADES 18 21 10 * 13 7 6
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 98.1 101.6 104.4 106.8 108.7 108.4 110.1
Weighted Avg. Price 98.0 101.5 104.7 107.2 109.4 111.8 114.2
Avg. Price Bottom 5 Trades 98.1 100.4 102.0 103.6 101.8 97.7 94.4
2nd Quartile Price * 101.1 104.1 106.4 108.8 107.0 109.0
3rd Quartile Price * 101.5 104.6 107.0 109.0 110.5 112.1
4th Quartile Price * 101.7 104.8 107.7 109.0 110.5 113.1
Avg. Price Top 5 Trades 98.1 103.7 106.0 108.6 111.0 112.1 117.0
Standard Deviation 0.2 0.9 0.8 1.2 1.2 4.0 5.2
     VOLUME OF TRADES (000'S) 642.7 1,035,429.7 2,443,516.8 2,570,208.6 1,358,187.1 26,039.0 62,937.6
     NUMBER OF TRADES 13 66 195 169 645 99 188
FHLMC
AVERAGE PRICE 0.0 101.5 104.0 106.5 107.9 107.6 109.4
Weighted Avg. Price 0.0 101.4 104.4 107.2 109.2 110.9 113.0
Avg. Price Bottom 5 Trades 0.0 100.3 100.5 103.3 102.8 102.1 100.5
2nd Quartile Price 0.0 101.2 103.9 106.4 107.9 106.6 108.1
3rd Quartile Price 0.0 101.4 104.3 106.4 108.0 109.9 112.0
4th Quartile Price 0.0 101.7 104.5 107.3 108.8 110.3 113.6
Avg. Price Top 5 Trades 0.0 103.8 106.1 108.0 110.4 110.9 115.2
Standard Deviation 0.0 1.2 1.3 1.0 1.8 5.2 5.4
     VOLUME OF TRADES (000'S) 0.0 797,639.3 685,983.9 734,653.2 97,987.5 5,234.8 11,685.2
     NUMBER OF TRADES 0 45 98 139 75 30 54
GNMA
AVERAGE PRICE * 102.2 104.6 106.5 106.7 106.7 103.5
Weighted Avg. Price * 102.2 104.6 106.5 108.5 109.4 111.6
Avg. Price Bottom 5 Trades * 101.2 102.5 102.3 102.3 101.4 82.5
2nd Quartile Price * 102.2 104.7 106.5 104.9 104.6 100.0
3rd Quartile Price * 102.3 104.8 106.8 106.4 106.8 104.4
4th Quartile Price * 102.4 104.9 107.1 109.0 108.2 106.7
Avg. Price Top 5 Trades * 103.4 105.5 107.6 109.1 114.2 117.8
Standard Deviation * 0.6 0.7 1.1 2.4 3.1 6.2
     VOLUME OF TRADES (000'S) * 812,288.9 1,047,624.4 1,114,112.5 137,888.9 36,072.4 32,177.4
     NUMBER OF TRADES * 73 110 125 69 67 425
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 105.7 0.0 104.6 103.8 103.1
Weighted Avg. Price 106.1 0.0 104.2 102.7 103.7
Avg. Price Bottom 5 Trades 97.9 0.0 102.9 102.6 99.0
2nd Quartile Price 106.2 0.0 103.1 102.5 102.5
3rd Quartile Price 106.2 0.0 105.8 103.4 105.2
4th Quartile Price 106.2 0.0 106.2 106.1 106.2
Avg. Price Top 5 Trades 107.1 0.0 106.2 105.1 106.1
Standard Deviation 1.6 0.0 1.6 1.6 3.5
     VOLUME OF TRADES (000'S) 69,323.8 0.0 97,745.5 130,924.3 32,525.3
     NUMBER OF TRADES 277 0 19 12 15
FHLMC
AVERAGE PRICE 104.0 0.0 104.8 103.9 *
Weighted Avg. Price 106.8 0.0 104.1 103.0 *
Avg. Price Bottom 5 Trades 96.3 0.0 103.2 102.9 *
2nd Quartile Price 104.6 0.0 103.0 103.0 *
3rd Quartile Price 106.8 0.0 105.6 103.3 *
4th Quartile Price 107.0 0.0 106.9 107.0 *
Avg. Price Top 5 Trades 107.0 0.0 106.9 104.8 *
Standard Deviation 4.5 0.0 1.8 1.8 *
     VOLUME OF TRADES (000'S) 12,368.6 0.0 105,259.6 154,710.2 *
     NUMBER OF TRADES 27 0 17 9 *
GNMA
AVERAGE PRICE 99.8 102.5 103.8 0.0 0.0
Weighted Avg. Price 103.6 102.4 103.8 0.0 0.0
Avg. Price Bottom 5 Trades 97.5 102.3 103.2 0.0 0.0
2nd Quartile Price 97.8 102.6 103.6 0.0 0.0
3rd Quartile Price 98.5 102.6 103.9 0.0 0.0
4th Quartile Price 103.3 102.9 104.2 0.0 0.0
Avg. Price Top 5 Trades 103.8 102.7 104.4 0.0 0.0
Standard Deviation 3.5 0.5 0.6 0.0 0.0
     VOLUME OF TRADES (000'S) 8,316.1 15,596.8 71,181.2 0.0 0.0
     NUMBER OF TRADES 28 7 22 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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