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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 101.3 103.7 104.5 105.5 104.8 106.8 103.1
Weighted Avg. Price 101.8 102.0 105.2 106.2 107.3 107.1 102.0
Avg. Price Bottom 5 Trades 99.3 98.1 102.4 103.6 101.9 105.1 100.2
2nd Quartile Price 100.7 104.2 104.0 104.9 102.9 105.4 100.3
3rd Quartile Price 101.1 104.2 105.0 106.0 105.7 106.4 103.3
4th Quartile Price 102.2 104.2 105.4 106.7 107.5 109.3 106.3
Avg. Price Top 5 Trades 103.0 104.4 106.0 107.0 107.8 108.5 104.6
Standard Deviation 1.0 1.2 1.2 1.4 2.8 1.9 3.5
     VOLUME OF TRADES (000'S) 110,863.7 548,566.2 64,593.1 26,767.7 2,490.8 2,328.7 3,725.2
     NUMBER OF TRADES 85 276 75 25 16 13 12
FHLMC
AVERAGE PRICE 101.5 103.5 105.6 105.5 106.2 105.3 101.3
Weighted Avg. Price 101.7 103.7 105.6 106.3 107.3 105.9 105.3
Avg. Price Bottom 5 Trades 100.2 103.0 105.1 104.8 104.9 104.8 99.0
2nd Quartile Price 101.0 103.4 105.4 105.3 105.0 104.8 97.5
3rd Quartile Price 101.7 103.7 105.5 105.8 107.3 106.0 102.4
4th Quartile Price 102.1 103.8 105.8 106.4 107.5 107.9 104.6
Avg. Price Top 5 Trades 102.6 104.2 106.1 106.4 107.4 105.6 107.1
Standard Deviation 0.9 0.6 0.5 0.8 1.4 1.5 5.2
     VOLUME OF TRADES (000'S) 129,221.1 472,411.7 46,359.2 11,179.6 7,116.4 273.2 388.1
     NUMBER OF TRADES 38 42 28 16 11 6 19
GNMA
AVERAGE PRICE * 104.3 105.3 107.8 * 105.0 105.3
Weighted Avg. Price * 104.4 105.3 108.0 * 107.3 107.5
Avg. Price Bottom 5 Trades * 104.2 105.2 107.8 * 102.7 100.9
2nd Quartile Price * 104.3 105.3 * * 105.6 102.0
3rd Quartile Price * 104.3 105.4 * * 106.6 108.2
4th Quartile Price * 104.4 105.7 * * 108.1 108.2
Avg. Price Top 5 Trades * 104.4 105.6 107.8 * 107.3 109.0
Standard Deviation * 0.1 0.4 1.8 * 3.9 4.6
     VOLUME OF TRADES (000'S) * 87,390.6 2,295.1 621.9 * 954.0 1,073.8
     NUMBER OF TRADES * 10 11 5 * 13 33
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 97.5 100.6 103.6 106.3 107.8 107.4 111.1
Weighted Avg. Price 99.8 100.8 104.0 106.9 109.1 111.7 113.3
Avg. Price Bottom 5 Trades 97.2 98.1 101.6 103.0 102.5 95.5 100.3
2nd Quartile Price 95.0 99.7 103.6 106.1 107.8 106.5 109.2
3rd Quartile Price 99.8 100.7 103.8 106.5 108.2 109.4 113.1
4th Quartile Price 99.9 102.1 104.1 107.0 108.5 110.3 113.4
Avg. Price Top 5 Trades 99.4 103.0 105.1 108.0 110.7 112.6 116.5
Standard Deviation 2.4 1.6 0.9 1.2 1.7 5.5 3.7
     VOLUME OF TRADES (000'S) 12,011.6 364,252.6 4,736,988.2 2,694,214.1 1,237,335.5 93,308.1 39,224.0
     NUMBER OF TRADES 9 59 131 195 259 67 262
FHLMC
AVERAGE PRICE 98.2 100.6 103.4 106.1 108.4 106.6 110.3
Weighted Avg. Price 98.3 101.6 103.9 106.8 110.2 110.5 113.3
Avg. Price Bottom 5 Trades 98.2 99.0 102.0 103.9 107.9 102.9 102.3
2nd Quartile Price * 99.9 103.3 105.9 108.0 104.2 105.0
3rd Quartile Price * 100.3 103.5 106.0 108.1 109.0 112.0
4th Quartile Price * 102.4 103.7 106.5 108.9 109.5 114.9
Avg. Price Top 5 Trades 98.2 103.0 105.0 107.6 109.9 109.7 117.8
Standard Deviation 1.9 1.5 0.8 1.0 0.8 3.5 5.8
     VOLUME OF TRADES (000'S) 2,534.6 257,612.6 770,610.8 536,388.2 95,574.4 1,540.3 18,009.0
     NUMBER OF TRADES 5 29 80 108 36 12 40
GNMA
AVERAGE PRICE * 101.3 104.4 106.5 107.9 108.2 107.1
Weighted Avg. Price * 101.4 104.4 106.6 107.7 107.4 111.9
Avg. Price Bottom 5 Trades * 100.0 102.5 104.0 103.7 100.3 92.4
2nd Quartile Price * 100.6 104.3 106.6 107.6 107.2 100.0
3rd Quartile Price * 101.6 104.4 106.7 108.0 108.6 108.9
4th Quartile Price * 101.6 104.5 106.8 108.7 110.3 113.5
Avg. Price Top 5 Trades * 102.7 106.6 107.8 110.2 112.3 116.9
Standard Deviation * 1.0 1.0 0.9 1.6 2.9 7.5
     VOLUME OF TRADES (000'S) * 121,828.8 1,052,532.8 2,182,929.3 138,526.5 206,588.0 81,122.5
     NUMBER OF TRADES * 33 79 150 78 91 228
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 104.1 0.0 104.5 103.8 99.2
Weighted Avg. Price 104.3 0.0 103.7 103.0 101.8
Avg. Price Bottom 5 Trades 103.7 0.0 104.4 102.5 97.6
2nd Quartile Price 103.6 0.0 104.6 102.5 96.0
3rd Quartile Price 104.5 0.0 104.8 105.4 100.0
4th Quartile Price 104.5 0.0 105.4 105.9 105.1
Avg. Price Top 5 Trades 104.5 0.0 104.8 105.2 101.6
Standard Deviation 0.8 0.0 0.8 1.7 4.0
     VOLUME OF TRADES (000'S) 3,854.0 0.0 19,123.8 84,910.1 12,004.6
     NUMBER OF TRADES 12 0 7 10 10
FHLMC
AVERAGE PRICE 99.5 0.0 0.0 * 0.0
Weighted Avg. Price 107.2 0.0 0.0 * 0.0
Avg. Price Bottom 5 Trades 99.5 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 99.5 0.0 0.0 * 0.0
Standard Deviation 5.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 2,281.9 0.0 0.0 * 0.0
     NUMBER OF TRADES 5 0 0 * 0
GNMA
AVERAGE PRICE 103.3 101.7 103.1 0.0 0.0
Weighted Avg. Price 102.8 101.4 103.2 0.0 0.0
Avg. Price Bottom 5 Trades 103.0 101.0 102.1 0.0 0.0
2nd Quartile Price 102.8 101.4 102.6 0.0 0.0
3rd Quartile Price 103.7 101.6 103.4 0.0 0.0
4th Quartile Price 104.2 102.7 103.6 0.0 0.0
Avg. Price Top 5 Trades 103.9 102.6 103.7 0.0 0.0
Standard Deviation 0.7 0.9 0.7 0.0 0.0
     VOLUME OF TRADES (000'S) 490,042.5 49,137.5 102,291.6 0.0 0.0
     NUMBER OF TRADES 10 12 23 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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