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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 100.1 102.6 102.6 102.6 104.3 101.7 102.9
Weighted Avg. Price 100.6 102.7 104.9 103.7 106.2 108.2 105.9
Avg. Price Bottom 5 Trades 96.6 96.3 94.5 99.9 103.0 99.0 102.1
2nd Quartile Price 99.6 102.8 102.2 102.8 103.1 99.5 101.3
3rd Quartile Price 100.5 103.1 103.5 102.8 104.1 100.3 104.0
4th Quartile Price 101.0 103.1 104.4 102.8 106.5 106.7 105.8
Avg. Price Top 5 Trades 102.0 103.6 105.2 104.9 106.9 103.8 104.4
Standard Deviation 1.2 1.2 2.8 1.3 1.9 4.1 2.2
     VOLUME OF TRADES (000'S) 228,700.7 618,481.0 357,388.2 19,169.5 1,821.6 1,129.1 485.3
     NUMBER OF TRADES 134 336 77 69 21 11 15
FHLMC
AVERAGE PRICE 99.8 102.1 103.9 104.1 101.5 100.6 104.9
Weighted Avg. Price 100.2 103.0 104.4 105.4 107.7 103.5 105.8
Avg. Price Bottom 5 Trades 97.7 100.1 103.2 103.0 97.2 98.0 104.1
2nd Quartile Price 99.6 101.6 103.2 102.2 101.0 99.5 105.0
3rd Quartile Price 100.3 102.7 104.3 105.3 102.5 102.7 105.9
4th Quartile Price 100.7 103.0 104.4 105.6 105.3 104.7 106.8
Avg. Price Top 5 Trades 101.3 103.4 104.4 105.5 106.1 104.4 105.9
Standard Deviation 1.2 1.1 0.6 1.7 4.9 4.3 2.1
     VOLUME OF TRADES (000'S) 117,605.3 215,817.5 32,436.2 1,854.5 11,660.2 218.6 383.2
     NUMBER OF TRADES 38 66 45 11 23 14 10
GNMA
AVERAGE PRICE 101.6 103.5 104.1 * 0.0 * *
Weighted Avg. Price 101.8 103.5 104.3 * 0.0 * *
Avg. Price Bottom 5 Trades 101.5 103.4 104.1 * 0.0 * *
2nd Quartile Price 101.7 103.5 * * 0.0 * *
3rd Quartile Price 101.8 103.6 * * 0.0 * *
4th Quartile Price 101.8 103.7 * * 0.0 * *
Avg. Price Top 5 Trades 101.8 103.6 104.1 * 0.0 * *
Standard Deviation 0.2 0.3 0.3 * 0.0 * *
     VOLUME OF TRADES (000'S) 24,043.0 6,327.2 2,180.3 * 0.0 * *
     NUMBER OF TRADES 10 6 5 * 0 * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE * 99.9 102.6 105.2 107.2 107.1 107.7
Weighted Avg. Price * 99.9 103.1 105.7 108.1 109.5 112.1
Avg. Price Bottom 5 Trades * 98.7 100.2 102.1 103.1 100.5 98.4
2nd Quartile Price * 99.6 102.0 105.0 107.2 104.0 103.0
3rd Quartile Price * 100.0 102.7 105.2 107.2 109.2 109.2
4th Quartile Price * 100.0 103.1 105.5 107.8 110.1 111.6
Avg. Price Top 5 Trades * 103.0 105.1 107.1 108.9 111.4 114.8
Standard Deviation * 0.9 1.0 0.9 1.1 4.0 5.2
     VOLUME OF TRADES (000'S) * 1,612,020.6 787,631.0 368,355.0 92,447.7 1,779.0 5,446.0
     NUMBER OF TRADES * 206 185 237 111 71 189
FHLMC
AVERAGE PRICE * 99.4 102.4 104.8 106.7 105.4 105.2
Weighted Avg. Price * 99.5 102.8 105.2 108.0 109.2 111.3
Avg. Price Bottom 5 Trades * 98.0 101.4 103.8 104.1 100.0 96.8
2nd Quartile Price * 98.7 101.5 104.6 106.6 101.4 100.0
3rd Quartile Price * 99.5 102.5 104.6 106.8 106.5 106.6
4th Quartile Price * 99.7 102.9 105.1 107.8 109.0 111.3
Avg. Price Top 5 Trades * 101.4 104.7 106.4 108.8 110.2 112.3
Standard Deviation * 0.9 0.9 0.6 1.8 4.2 5.4
     VOLUME OF TRADES (000'S) * 1,833,753.4 1,507,594.4 875,315.8 30,707.8 865.2 2,793.7
     NUMBER OF TRADES * 60 125 94 34 20 57
GNMA
AVERAGE PRICE 97.3 101.2 104.3 106.2 107.1 107.1 103.9
Weighted Avg. Price 97.3 101.2 104.3 106.0 107.3 106.1 110.3
Avg. Price Bottom 5 Trades 97.2 100.2 103.3 105.0 103.8 102.0 79.6
2nd Quartile Price 97.2 100.6 104.2 106.0 107.0 106.3 100.0
3rd Quartile Price 97.3 101.4 104.4 106.1 107.6 107.8 107.0
4th Quartile Price 97.4 101.6 104.5 106.4 107.6 109.2 109.5
Avg. Price Top 5 Trades 97.3 102.2 104.9 108.0 107.6 111.1 113.7
Standard Deviation 0.1 0.6 0.3 0.9 1.1 2.8 8.2
     VOLUME OF TRADES (000'S) 64,980.9 1,651,230.9 572,441.4 636,982.0 106,190.5 7,742.7 690.9
     NUMBER OF TRADES 8 82 140 58 90 53 151
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 104.3 0.0 104.5 101.9 100.2
Weighted Avg. Price 105.9 0.0 105.6 101.7 102.5
Avg. Price Bottom 5 Trades 103.6 0.0 103.2 101.8 99.8
2nd Quartile Price 103.0 0.0 103.9 101.6 97.0
3rd Quartile Price 105.2 0.0 104.5 102.5 102.3
4th Quartile Price 105.8 0.0 105.9 102.8 102.7
Avg. Price Top 5 Trades 105.7 0.0 106.0 102.2 102.0
Standard Deviation 1.4 0.0 1.3 0.7 2.8
     VOLUME OF TRADES (000'S) 25,809.5 0.0 212,173.2 67,279.0 9,818.1
     NUMBER OF TRADES 14 0 21 6 8
FHLMC
AVERAGE PRICE 105.3 0.0 104.6 * 0.0
Weighted Avg. Price 105.3 0.0 103.7 * 0.0
Avg. Price Bottom 5 Trades 105.3 0.0 103.5 * 0.0
2nd Quartile Price * 0.0 104.0 * 0.0
3rd Quartile Price * 0.0 105.3 * 0.0
4th Quartile Price * 0.0 105.3 * 0.0
Avg. Price Top 5 Trades 105.3 0.0 105.3 * 0.0
Standard Deviation 0.1 0.0 1.0 * 0.0
     VOLUME OF TRADES (000'S) 10,616.6 0.0 10,548.1 * 0.0
     NUMBER OF TRADES 19 0 13 * 0
GNMA
AVERAGE PRICE 103.0 100.2 102.4 0.0 0.0
Weighted Avg. Price 103.0 100.0 102.6 0.0 0.0
Avg. Price Bottom 5 Trades 102.9 99.4 102.1 0.0 0.0
2nd Quartile Price 102.9 100.5 102.3 0.0 0.0
3rd Quartile Price 103.1 100.5 103.1 0.0 0.0
4th Quartile Price 103.2 100.5 103.2 0.0 0.0
Avg. Price Top 5 Trades 103.2 100.7 102.9 0.0 0.0
Standard Deviation 0.4 0.6 0.9 0.0 0.0
     VOLUME OF TRADES (000'S) 15,615.8 71,635.2 4,953.0 0.0 0.0
     NUMBER OF TRADES 11 21 7 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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