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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 99.7 101.4 103.2 103.6 102.5 101.7 103.3
Weighted Avg. Price 100.9 102.9 104.4 105.4 104.5 102.6 117.0
Avg. Price Bottom 5 Trades 96.8 99.2 101.4 101.5 98.0 97.5 97.9
2nd Quartile Price 99.3 100.9 102.2 102.8 101.0 101.0 100.0
3rd Quartile Price 99.9 101.5 103.4 103.9 104.9 103.3 104.6
4th Quartile Price 100.9 101.9 104.0 104.2 105.2 104.8 105.9
Avg. Price Top 5 Trades 101.7 103.2 104.9 105.8 105.9 105.5 110.7
Standard Deviation 1.4 1.1 1.1 1.3 3.7 4.0 4.6
     VOLUME OF TRADES (000'S) 252,411.0 117,723.6 75,876.9 7,357.4 2,612.0 3,008.9 6,980.6
     NUMBER OF TRADES 87 64 54 38 34 25 40
FHLMC
AVERAGE PRICE 100.4 101.9 103.0 103.3 103.8 99.7 103.1
Weighted Avg. Price 100.6 102.8 104.9 105.4 105.1 104.8 105.6
Avg. Price Bottom 5 Trades 99.3 101.3 102.0 101.8 101.0 98.3 95.8
2nd Quartile Price 99.8 101.3 102.2 102.8 102.5 98.0 104.0
3rd Quartile Price 100.9 101.8 102.7 103.9 104.8 98.0 105.0
4th Quartile Price 100.9 102.3 104.3 104.4 105.2 102.6 105.8
Avg. Price Top 5 Trades 101.5 102.8 104.6 104.7 105.8 104.2 106.2
Standard Deviation 0.8 0.6 1.1 1.7 2.0 3.0 4.5
     VOLUME OF TRADES (000'S) 61,960.0 4,412.6 24,345.9 2,186.3 3,252.4 1,590.8 2,541.0
     NUMBER OF TRADES 46 41 25 15 24 21 23
GNMA
AVERAGE PRICE * 0.0 * 105.7 104.6 0.0 105.8
Weighted Avg. Price * 0.0 * 105.6 106.0 0.0 106.4
Avg. Price Bottom 5 Trades * 0.0 * 105.3 101.2 0.0 101.3
2nd Quartile Price * 0.0 * 105.5 104.5 0.0 104.5
3rd Quartile Price * 0.0 * 105.7 106.5 0.0 108.5
4th Quartile Price * 0.0 * 106.3 106.5 0.0 110.5
Avg. Price Top 5 Trades * 0.0 * 106.1 106.2 0.0 109.1
Standard Deviation * 0.0 * 0.5 2.8 0.0 5.0
     VOLUME OF TRADES (000'S) * 0.0 * 2,343.3 1,298.5 0.0 440.7
     NUMBER OF TRADES * 0 * 13 21 0 14
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 97.4 99.9 102.6 104.9 106.8 107.6 104.0
Weighted Avg. Price 99.2 101.8 102.8 105.5 107.6 109.6 109.6
Avg. Price Bottom 5 Trades 97.4 98.3 99.9 103.0 104.1 101.9 84.0
2nd Quartile Price * 99.4 102.3 104.6 106.5 107.2 100.0
3rd Quartile Price * 99.6 102.6 104.9 106.9 108.4 105.6
4th Quartile Price * 100.2 102.9 105.4 107.4 109.1 109.0
Avg. Price Top 5 Trades 97.4 102.2 104.2 106.6 108.6 110.0 117.9
Standard Deviation 1.3 1.1 0.8 0.8 1.1 2.9 7.2
     VOLUME OF TRADES (000'S) 2,211.9 74,117.6 2,341,746.8 1,552,812.1 238,201.8 8,598.2 10,327.8
     NUMBER OF TRADES 9 90 214 189 174 48 205
FHLMC
AVERAGE PRICE 0.0 99.8 102.6 104.9 106.9 104.2 104.4
Weighted Avg. Price 0.0 100.1 103.0 104.5 107.4 108.8 111.4
Avg. Price Bottom 5 Trades 0.0 98.6 101.1 100.6 105.7 95.5 94.5
2nd Quartile Price 0.0 99.5 102.2 104.5 106.2 103.0 98.0
3rd Quartile Price 0.0 99.7 102.7 104.8 107.2 107.9 108.1
4th Quartile Price 0.0 100.0 103.2 105.3 107.8 108.5 110.4
Avg. Price Top 5 Trades 0.0 101.6 104.3 109.4 108.0 109.1 113.4
Standard Deviation 0.0 0.7 0.8 2.4 0.8 6.2 7.1
     VOLUME OF TRADES (000'S) 0.0 1,023,505.3 935,603.1 270,499.4 85,178.6 655.8 56,642.6
     NUMBER OF TRADES 0 79 132 133 53 22 79
GNMA
AVERAGE PRICE 98.0 101.1 103.8 105.6 105.1 106.7 103.4
Weighted Avg. Price 98.2 101.4 103.8 105.5 106.5 107.8 110.5
Avg. Price Bottom 5 Trades 98.0 100.2 102.6 103.2 100.8 100.8 90.9
2nd Quartile Price * 100.3 103.8 105.2 104.7 106.1 97.5
3rd Quartile Price * 101.3 103.9 105.5 105.4 107.6 100.1
4th Quartile Price * 101.5 103.9 106.1 106.5 108.4 110.3
Avg. Price Top 5 Trades 98.0 102.0 105.2 108.5 107.2 110.1 115.2
Standard Deviation 0.7 0.9 1.0 2.0 2.0 2.7 7.3
     VOLUME OF TRADES (000'S) 1,512.8 190,430.8 315,251.0 428,886.6 257,566.6 60,548.6 60,863.0
     NUMBER OF TRADES 5 20 44 39 39 90 339
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 101.7 0.0 105.1 * *
Weighted Avg. Price 104.6 0.0 105.1 * *
Avg. Price Bottom 5 Trades 101.3 0.0 104.6 * *
2nd Quartile Price 100.5 0.0 105.2 * *
3rd Quartile Price 102.0 0.0 105.3 * *
4th Quartile Price 102.0 0.0 106.2 * *
Avg. Price Top 5 Trades 105.3 0.0 105.7 * *
Standard Deviation 1.4 0.0 1.4 * *
     VOLUME OF TRADES (000'S) 8,607.4 0.0 19,961.2 * *
     NUMBER OF TRADES 62 0 8 * *
FHLMC
AVERAGE PRICE 103.6 0.0 102.5 * 102.2
Weighted Avg. Price 104.9 0.0 102.8 * 102.2
Avg. Price Bottom 5 Trades 101.0 0.0 102.0 * 102.2
2nd Quartile Price 102.1 0.0 102.1 * *
3rd Quartile Price 103.3 0.0 102.1 * *
4th Quartile Price 105.3 0.0 102.6 * *
Avg. Price Top 5 Trades 105.3 0.0 104.1 * 102.2
Standard Deviation 1.7 0.0 0.9 * 0.0
     VOLUME OF TRADES (000'S) 11,150.3 0.0 90,300.4 * 91,866.4
     NUMBER OF TRADES 35 0 33 * 24
GNMA
AVERAGE PRICE 103.2 99.6 101.2 0.0 0.0
Weighted Avg. Price 102.6 100.2 101.7 0.0 0.0
Avg. Price Bottom 5 Trades 101.6 99.1 100.8 0.0 0.0
2nd Quartile Price 103.3 99.3 100.9 0.0 0.0
3rd Quartile Price 103.7 99.6 101.1 0.0 0.0
4th Quartile Price 103.9 100.3 102.4 0.0 0.0
Avg. Price Top 5 Trades 103.7 100.3 101.7 0.0 0.0
Standard Deviation 1.0 0.7 0.7 0.0 0.0
     VOLUME OF TRADES (000'S) 25,371.9 18,763.0 21,174.7 0.0 0.0
     NUMBER OF TRADES 25 13 9 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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