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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 101.3 103.0 103.9 105.1 104.9 104.1 105.4
Weighted Avg. Price 101.8 103.5 105.2 104.7 107.4 107.9 106.9
Avg. Price Bottom 5 Trades 98.7 102.0 99.7 101.1 101.0 100.7 101.0
2nd Quartile Price 100.7 102.5 103.4 104.1 104.3 103.0 104.5
3rd Quartile Price 101.5 103.0 104.7 105.6 104.8 104.0 104.5
4th Quartile Price 102.2 103.6 105.1 106.4 107.0 105.9 107.5
Avg. Price Top 5 Trades 102.4 104.1 105.7 107.1 108.0 108.2 110.7
Standard Deviation 1.0 0.7 2.0 1.8 2.4 2.5 2.5
     VOLUME OF TRADES (000'S) 257,221.8 358,329.0 302,611.5 52,423.9 11,008.9 6,830.3 8,995.8
     NUMBER OF TRADES 83 74 87 61 38 33 95
FHLMC
AVERAGE PRICE 101.5 102.6 103.8 104.6 105.5 105.8 105.0
Weighted Avg. Price 101.5 103.5 105.2 106.2 105.4 106.4 109.2
Avg. Price Bottom 5 Trades 101.0 100.3 102.0 103.2 103.5 102.5 99.7
2nd Quartile Price 101.3 103.4 101.8 103.8 104.1 104.0 102.8
3rd Quartile Price 101.5 103.5 105.1 105.8 106.2 106.7 104.3
4th Quartile Price 101.9 103.7 105.3 106.0 107.0 107.9 108.0
Avg. Price Top 5 Trades 102.0 103.8 105.6 106.2 107.6 108.5 110.5
Standard Deviation 0.4 2.1 2.0 1.6 1.6 2.5 3.5
     VOLUME OF TRADES (000'S) 49,803.0 126,974.3 138,236.9 1,011.1 286.8 2,356.2 2,597.7
     NUMBER OF TRADES 25 33 23 13 27 26 39
GNMA
AVERAGE PRICE 100.9 104.4 105.2 * 104.7 101.2 103.2
Weighted Avg. Price 101.2 104.6 105.4 * 106.7 102.8 105.4
Avg. Price Bottom 5 Trades 100.6 104.3 104.9 * 102.9 101.2 103.2
2nd Quartile Price 99.9 104.5 105.3 * 102.1 * *
3rd Quartile Price 102.3 104.6 105.4 * 106.4 * *
4th Quartile Price 102.4 104.7 105.4 * 106.8 * *
Avg. Price Top 5 Trades 101.1 104.6 105.4 * 107.0 101.2 103.2
Standard Deviation 1.2 0.5 0.6 * 3.2 1.5 4.5
     VOLUME OF TRADES (000'S) 3,563.4 11,156.6 17,227.7 * 31,054.0 187.5 21.4
     NUMBER OF TRADES 6 6 10 * 12 7 10
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE * 100.1 103.3 105.7 107.0 107.4 109.5
Weighted Avg. Price * 101.5 103.6 106.1 108.7 110.3 114.3
Avg. Price Bottom 5 Trades * 98.6 101.5 103.2 99.0 99.0 97.8
2nd Quartile Price * 99.5 103.1 105.5 106.3 106.0 106.6
3rd Quartile Price * 100.3 103.4 105.6 107.7 109.3 111.3
4th Quartile Price * 101.6 103.7 106.3 107.9 110.0 113.0
Avg. Price Top 5 Trades * 102.7 105.4 107.5 109.3 110.7 118.5
Standard Deviation * 1.5 0.8 0.9 1.9 3.8 5.6
     VOLUME OF TRADES (000'S) * 136,559.5 1,000,970.9 189,818.8 86,333.5 12,338.0 22,913.5
     NUMBER OF TRADES * 35 168 163 191 75 214
FHLMC
AVERAGE PRICE * 100.1 103.1 105.4 107.1 107.0 109.8
Weighted Avg. Price * 100.2 103.3 105.6 108.4 110.3 113.9
Avg. Price Bottom 5 Trades * 98.0 101.1 103.0 103.3 103.7 99.8
2nd Quartile Price * 100.2 103.0 105.4 107.1 105.0 108.8
3rd Quartile Price * 100.2 103.0 105.5 107.7 108.4 111.5
4th Quartile Price * 100.2 103.5 105.8 108.2 109.9 112.9
Avg. Price Top 5 Trades * 102.2 104.5 106.5 109.6 110.5 115.2
Standard Deviation * 0.8 0.7 1.0 2.5 3.5 5.0
     VOLUME OF TRADES (000'S) * 255,349.8 1,246,233.3 367,715.8 56,997.9 10,581.2 8,154.9
     NUMBER OF TRADES * 85 109 98 52 23 79
GNMA
AVERAGE PRICE * 101.6 104.7 106.9 105.9 106.9 105.1
Weighted Avg. Price * 101.4 104.2 106.4 107.4 107.7 112.8
Avg. Price Bottom 5 Trades * 100.8 102.4 104.9 101.7 101.6 74.1
2nd Quartile Price * 101.4 104.1 106.2 104.8 105.0 100.0
3rd Quartile Price * 101.5 104.2 106.5 107.3 108.0 104.1
4th Quartile Price * 102.1 106.5 106.9 107.6 108.7 112.0
Avg. Price Top 5 Trades * 102.5 106.6 110.6 108.4 111.9 122.1
Standard Deviation * 0.7 1.3 1.6 2.8 2.9 9.7
     VOLUME OF TRADES (000'S) * 148,684.2 875,951.2 228,147.5 151,452.9 35,084.7 51,659.4
     NUMBER OF TRADES * 20 72 69 51 81 528
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 103.5 0.0 103.8 104.8 103.1
Weighted Avg. Price 104.9 0.0 103.6 103.7 105.7
Avg. Price Bottom 5 Trades 89.8 0.0 102.5 104.8 103.1
2nd Quartile Price 103.6 0.0 102.4 * *
3rd Quartile Price 106.0 0.0 102.4 * *
4th Quartile Price 106.0 0.0 106.0 * *
Avg. Price Top 5 Trades 106.0 0.0 105.9 104.8 103.1
Standard Deviation 4.6 0.0 1.7 2.0 4.2
     VOLUME OF TRADES (000'S) 60,213.5 0.0 129,967.2 12,152.8 944.5
     NUMBER OF TRADES 93 0 29 7 7
FHLMC
AVERAGE PRICE 103.2 0.0 104.4 102.2 0.0
Weighted Avg. Price 104.4 0.0 104.5 103.1 0.0
Avg. Price Bottom 5 Trades 96.4 0.0 103.4 102.2 0.0
2nd Quartile Price 102.1 0.0 103.6 * 0.0
3rd Quartile Price 105.0 0.0 105.0 * 0.0
4th Quartile Price 105.3 0.0 105.8 * 0.0
Avg. Price Top 5 Trades 105.4 0.0 105.4 102.2 0.0
Standard Deviation 3.5 0.0 1.2 3.5 0.0
     VOLUME OF TRADES (000'S) 9,668.3 0.0 42,141.6 596.8 0.0
     NUMBER OF TRADES 36 0 10 5 0
GNMA
AVERAGE PRICE 98.5 101.2 102.8 0.0 0.0
Weighted Avg. Price 103.0 101.4 103.0 0.0 0.0
Avg. Price Bottom 5 Trades 86.3 100.3 102.3 0.0 0.0
2nd Quartile Price 95.0 101.0 102.5 0.0 0.0
3rd Quartile Price 101.7 101.1 102.7 0.0 0.0
4th Quartile Price 104.2 101.8 103.2 0.0 0.0
Avg. Price Top 5 Trades 104.5 102.0 103.4 0.0 0.0
Standard Deviation 6.7 0.7 0.4 0.0 0.0
     VOLUME OF TRADES (000'S) 3,673.3 47,427.5 16,527.9 0.0 0.0
     NUMBER OF TRADES 33 21 19 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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