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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 99.7 101.4 102.5 102.6 102.6 * 103.4
Weighted Avg. Price 99.8 102.1 104.0 105.4 103.8 * 112.5
Avg. Price Bottom 5 Trades 97.1 97.4 100.7 99.8 101.5 * 99.7
2nd Quartile Price 99.1 100.6 101.9 101.5 102.0 * 101.5
3rd Quartile Price 100.0 101.9 102.3 102.5 103.1 * 105.3
4th Quartile Price 100.4 102.1 103.4 104.1 104.4 * 107.0
Avg. Price Top 5 Trades 100.8 102.4 104.4 105.9 104.0 * 107.8
Standard Deviation 0.9 1.2 1.0 1.9 1.6 * 5.6
     VOLUME OF TRADES (000'S) 457,329.6 1,032,276.9 130,661.1 45,624.3 576.6 * 3,480.5
     NUMBER OF TRADES 112 161 121 57 11 * 11
FHLMC
AVERAGE PRICE 99.6 101.3 102.6 103.2 103.5 104.4 109.4
Weighted Avg. Price 99.8 102.3 103.7 104.5 104.9 104.9 118.8
Avg. Price Bottom 5 Trades 97.9 99.1 100.6 102.9 103.5 104.4 105.3
2nd Quartile Price 99.1 100.8 102.4 102.6 * * 105.0
3rd Quartile Price 100.0 101.4 102.4 104.1 * * 106.2
4th Quartile Price 100.2 102.1 103.5 104.3 * * 118.6
Avg. Price Top 5 Trades 100.5 102.6 104.0 104.1 103.5 104.4 112.2
Standard Deviation 0.9 1.0 1.0 1.0 1.7 0.8 7.2
     VOLUME OF TRADES (000'S) 167,478.2 218,301.5 149,093.7 2,743.1 1,435.3 367.7 7,093.1
     NUMBER OF TRADES 39 71 54 10 5 5 8
GNMA
AVERAGE PRICE 100.3 102.1 103.9 104.9 103.9 * 107.2
Weighted Avg. Price 100.3 102.0 103.8 104.0 104.0 * 112.6
Avg. Price Bottom 5 Trades 99.5 102.1 103.6 102.6 103.7 * 107.2
2nd Quartile Price 100.4 102.0 103.8 103.6 103.8 * *
3rd Quartile Price 100.5 102.1 103.8 106.0 104.0 * *
4th Quartile Price 101.2 102.3 104.1 108.3 104.1 * *
Avg. Price Top 5 Trades 101.0 102.2 104.4 106.0 104.0 * 107.2
Standard Deviation 1.5 0.2 0.7 2.4 0.4 * 3.5
     VOLUME OF TRADES (000'S) 10,727.2 32,140.8 9,994.8 366.6 357.7 * 1,631.0
     NUMBER OF TRADES 11 8 14 11 8 * 5
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 96.8 99.4 102.4 104.3 106.5 105.0 108.9
Weighted Avg. Price 97.6 100.1 103.0 104.9 107.0 108.0 111.7
Avg. Price Bottom 5 Trades 96.4 96.9 99.2 101.4 102.3 96.4 90.8
2nd Quartile Price 96.4 98.7 102.0 104.0 106.4 100.0 108.2
3rd Quartile Price 96.4 99.9 102.8 104.7 106.9 107.8 111.0
4th Quartile Price 96.6 100.4 103.0 104.9 106.9 107.9 112.5
Avg. Price Top 5 Trades 98.6 101.5 104.0 106.5 108.4 108.9 114.3
Standard Deviation 0.9 1.3 1.0 1.2 1.1 4.2 7.1
     VOLUME OF TRADES (000'S) 235,714.0 496,132.5 811,265.9 1,271,770.7 943,195.2 48,515.5 30,399.9
     NUMBER OF TRADES 29 99 190 230 418 76 151
FHLMC
AVERAGE PRICE * 99.7 102.4 104.4 105.9 106.4 112.8
Weighted Avg. Price * 100.0 102.9 105.0 107.2 108.7 116.6
Avg. Price Bottom 5 Trades * 97.8 100.6 101.9 103.4 102.2 102.9
2nd Quartile Price * 99.4 101.7 104.3 105.1 107.1 109.0
3rd Quartile Price * 99.9 102.8 104.6 105.9 107.5 113.4
4th Quartile Price * 100.0 102.9 104.9 106.6 107.7 117.0
Avg. Price Top 5 Trades * 101.8 104.3 106.3 107.9 108.4 115.4
Standard Deviation * 1.0 0.9 0.9 1.4 2.6 4.6
     VOLUME OF TRADES (000'S) * 772,320.6 1,914,246.6 856,728.5 116,729.1 6,830.7 18,677.7
     NUMBER OF TRADES * 90 205 188 62 34 154
GNMA
AVERAGE PRICE * 100.7 103.6 104.3 105.1 107.3 106.7
Weighted Avg. Price * 100.9 103.8 104.8 105.9 108.9 110.3
Avg. Price Bottom 5 Trades * 98.7 101.6 99.8 101.1 99.0 84.9
2nd Quartile Price * 100.9 103.7 104.4 103.8 107.0 103.0
3rd Quartile Price * 100.9 103.8 105.0 106.0 107.6 108.4
4th Quartile Price * 101.0 103.8 105.1 106.3 109.5 111.0
Avg. Price Top 5 Trades * 101.4 104.3 105.5 107.1 110.9 115.3
Standard Deviation * 0.7 0.7 1.5 1.9 3.7 6.3
     VOLUME OF TRADES (000'S) * 1,587,126.1 2,087,950.3 2,396,770.8 163,355.9 46,826.3 10,066.2
     NUMBER OF TRADES * 63 129 99 53 49 209
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 101.9 0.0 101.7 102.4 *
Weighted Avg. Price 102.1 0.0 102.6 102.5 *
Avg. Price Bottom 5 Trades 99.7 0.0 101.7 101.8 *
2nd Quartile Price 100.0 0.0 * 102.1 *
3rd Quartile Price 102.9 0.0 * 102.5 *
4th Quartile Price 104.5 0.0 * 105.6 *
Avg. Price Top 5 Trades 105.0 0.0 101.7 102.8 *
Standard Deviation 2.6 0.0 1.2 1.7 *
     VOLUME OF TRADES (000'S) 17,380.1 0.0 16,548.2 27,229.6 *
     NUMBER OF TRADES 21 0 11 6 *
FHLMC
AVERAGE PRICE 101.8 0.0 101.9 99.2 *
Weighted Avg. Price 104.8 0.0 102.2 101.7 *
Avg. Price Bottom 5 Trades 101.8 0.0 101.9 96.6 *
2nd Quartile Price * 0.0 * 97.0 *
3rd Quartile Price * 0.0 * 101.5 *
4th Quartile Price * 0.0 * 102.0 *
Avg. Price Top 5 Trades 101.8 0.0 101.9 101.8 *
Standard Deviation 2.5 0.0 1.9 3.4 *
     VOLUME OF TRADES (000'S) 2,068.1 0.0 33,254.2 16,488.7 *
     NUMBER OF TRADES 10 0 5 10 *
GNMA
AVERAGE PRICE 103.7 99.9 100.7 0.0 0.0
Weighted Avg. Price 103.4 99.8 100.6 0.0 0.0
Avg. Price Bottom 5 Trades 103.7 99.8 100.3 0.0 0.0
2nd Quartile Price * 99.8 100.3 0.0 0.0
3rd Quartile Price * 99.8 100.5 0.0 0.0
4th Quartile Price * 100.1 101.9 0.0 0.0
Avg. Price Top 5 Trades 103.7 100.0 101.1 0.0 0.0
Standard Deviation 0.3 0.3 0.7 0.0 0.0
     VOLUME OF TRADES (000'S) 615.4 26,207.2 7,279.1 0.0 0.0
     NUMBER OF TRADES 15 9 10 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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