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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 99.7 101.5 102.8 102.1 98.8 102.1 101.3
Weighted Avg. Price 100.4 102.2 103.4 105.4 104.2 103.7 106.0
Avg. Price Bottom 5 Trades 97.9 98.9 100.3 99.1 81.1 99.9 91.2
2nd Quartile Price 99.5 101.1 102.3 101.1 101.5 100.6 99.7
3rd Quartile Price 100.0 101.9 103.3 102.5 103.0 102.0 101.3
4th Quartile Price 100.1 102.1 103.4 103.8 104.3 104.3 105.3
Avg. Price Top 5 Trades 100.8 102.4 104.1 105.7 105.2 105.5 107.7
Standard Deviation 0.7 0.9 1.0 2.3 19.2 2.1 5.7
     VOLUME OF TRADES (000'S) 624,909.7 330,918.4 171,115.4 16,196.7 6,423.0 6,526.9 14,615.3
     NUMBER OF TRADES 103 115 111 43 29 31 39
FHLMC
AVERAGE PRICE 99.8 101.6 103.2 102.5 102.3 102.7 103.1
Weighted Avg. Price 100.2 102.1 103.7 104.3 103.2 103.9 105.5
Avg. Price Bottom 5 Trades 98.1 99.6 100.4 100.3 100.1 100.8 95.2
2nd Quartile Price 99.5 101.3 103.4 102.0 101.4 102.0 103.0
3rd Quartile Price 100.0 102.0 103.5 103.1 102.1 102.7 105.4
4th Quartile Price 100.6 102.2 103.5 104.0 104.0 104.7 109.6
Avg. Price Top 5 Trades 100.8 102.5 104.0 104.3 104.9 104.5 108.4
Standard Deviation 1.2 0.9 1.0 1.8 1.8 1.6 7.8
     VOLUME OF TRADES (000'S) 219,579.5 380,930.0 219,521.8 35,095.7 1,095.3 1,380.5 2,563.8
     NUMBER OF TRADES 41 50 68 21 26 17 21
GNMA
AVERAGE PRICE * 102.3 103.4 103.1 103.4 103.8 108.5
Weighted Avg. Price * 102.5 103.8 104.1 103.9 105.5 111.4
Avg. Price Bottom 5 Trades * 102.1 103.1 102.9 102.1 101.6 104.3
2nd Quartile Price * 102.3 103.4 103.7 101.9 101.8 107.3
3rd Quartile Price * 102.4 103.4 104.7 105.0 105.3 109.8
4th Quartile Price * 102.5 103.8 104.7 105.0 105.7 112.5
Avg. Price Top 5 Trades * 102.5 103.9 104.5 104.4 106.0 111.4
Standard Deviation * 0.3 0.6 2.9 1.8 2.2 5.6
     VOLUME OF TRADES (000'S) * 5,572.9 102,504.7 1,664.2 1,633.0 4,414.0 1,012.6
     NUMBER OF TRADES * 8 29 10 9 20 13
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 98.4 99.8 102.0 104.7 106.0 104.2 93.4
Weighted Avg. Price 99.9 100.2 102.8 105.4 107.6 107.8 111.5
Avg. Price Bottom 5 Trades 96.8 97.9 94.7 101.1 98.6 98.3 14.1
2nd Quartile Price 97.1 99.3 101.9 104.3 105.9 101.0 92.0
3rd Quartile Price 100.0 100.0 102.6 104.6 106.3 106.6 100.0
4th Quartile Price 100.0 100.1 102.8 105.5 106.5 107.8 108.9
Avg. Price Top 5 Trades 98.7 102.1 104.0 106.4 108.9 109.1 114.7
Standard Deviation 1.9 1.0 1.8 1.0 2.1 4.0 27.2
     VOLUME OF TRADES (000'S) 13,606.6 593,172.4 1,404,848.7 1,177,901.1 124,216.9 5,325.6 28,232.3
     NUMBER OF TRADES 10 138 215 201 163 64 250
FHLMC
AVERAGE PRICE 0.0 99.6 102.3 104.5 107.3 104.3 105.5
Weighted Avg. Price 0.0 100.2 102.9 105.1 107.7 107.9 110.6
Avg. Price Bottom 5 Trades 0.0 97.5 99.6 102.5 103.4 103.0 71.1
2nd Quartile Price 0.0 99.1 102.3 104.3 106.3 100.0 106.0
3rd Quartile Price 0.0 99.7 102.6 104.6 107.0 106.8 109.6
4th Quartile Price 0.0 100.2 102.8 104.9 109.4 107.8 109.7
Avg. Price Top 5 Trades 0.0 101.8 104.2 106.2 109.3 107.6 112.2
Standard Deviation 0.0 1.2 1.1 0.9 1.7 4.0 13.4
     VOLUME OF TRADES (000'S) 0.0 320,807.7 3,946,679.0 2,717,855.0 575,086.5 1,708.8 24,916.1
     NUMBER OF TRADES 0 85 150 135 109 12 229
GNMA
AVERAGE PRICE * 100.7 103.0 106.5 108.1 105.2 106.6
Weighted Avg. Price * 100.7 103.5 106.1 108.4 107.6 111.5
Avg. Price Bottom 5 Trades * 99.4 102.3 103.3 101.0 98.6 80.0
2nd Quartile Price * 100.7 102.4 106.0 107.4 102.6 100.0
3rd Quartile Price * 100.9 102.8 107.1 109.2 106.5 109.3
4th Quartile Price * 101.0 103.6 107.1 109.2 107.8 116.6
Avg. Price Top 5 Trades * 101.2 103.9 107.2 109.2 110.9 116.6
Standard Deviation * 0.6 0.7 1.0 2.1 4.6 10.3
     VOLUME OF TRADES (000'S) * 1,013,640.2 1,765,982.9 919,035.3 367,813.1 38,149.3 23,132.8
     NUMBER OF TRADES * 45 96 238 143 61 1,173
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 100.3 * 102.3 102.6 *
Weighted Avg. Price 105.0 * 103.5 104.0 *
Avg. Price Bottom 5 Trades 98.3 * 101.7 101.5 *
2nd Quartile Price 93.5 * 101.8 102.1 *
3rd Quartile Price 102.0 * 101.8 102.2 *
4th Quartile Price 104.4 * 102.3 106.0 *
Avg. Price Top 5 Trades 105.2 * 103.6 103.4 *
Standard Deviation 5.2 * 1.3 2.0 *
     VOLUME OF TRADES (000'S) 18,054.8 * 40,507.0 79,042.2 *
     NUMBER OF TRADES 103 * 17 9 *
FHLMC
AVERAGE PRICE 100.4 0.0 * 102.2 101.1
Weighted Avg. Price 104.9 0.0 * 101.8 100.7
Avg. Price Bottom 5 Trades 98.8 0.0 * 102.2 100.6
2nd Quartile Price 102.0 0.0 * * 100.7
3rd Quartile Price 102.0 0.0 * * 100.8
4th Quartile Price 104.1 0.0 * * 102.0
Avg. Price Top 5 Trades 105.4 0.0 * 102.2 101.2
Standard Deviation 4.8 0.0 * 0.5 0.7
     VOLUME OF TRADES (000'S) 13,160.6 0.0 * 21,752.9 15,740.6
     NUMBER OF TRADES 59 0 * 5 8
GNMA
AVERAGE PRICE 101.6 100.5 100.5 0.0 0.0
Weighted Avg. Price 102.7 99.3 100.2 0.0 0.0
Avg. Price Bottom 5 Trades 101.5 99.2 99.3 0.0 0.0
2nd Quartile Price 102.0 99.9 100.0 0.0 0.0
3rd Quartile Price 102.0 100.0 100.5 0.0 0.0
4th Quartile Price 102.0 102.0 102.0 0.0 0.0
Avg. Price Top 5 Trades 102.1 101.1 101.7 0.0 0.0
Standard Deviation 2.2 1.4 1.3 0.0 0.0
     VOLUME OF TRADES (000'S) 3,337.8 10,432.4 6,641.1 0.0 0.0
     NUMBER OF TRADES 79 12 11 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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