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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 98.0 100.1 101.2 101.8 101.6 101.3 103.6
Weighted Avg. Price 99.0 99.7 101.8 104.8 103.0 102.9 104.5
Avg. Price Bottom 5 Trades 95.7 97.7 99.2 99.6 99.7 101.0 103.6
2nd Quartile Price 97.1 99.6 100.4 101.2 101.3 100.3 *
3rd Quartile Price 98.4 100.4 101.1 102.0 102.4 101.6 *
4th Quartile Price 98.7 101.0 102.0 102.6 103.0 103.1 *
Avg. Price Top 5 Trades 100.1 101.3 103.0 104.3 103.0 101.8 103.6
Standard Deviation 1.2 1.0 1.1 1.4 1.6 1.3 2.0
     VOLUME OF TRADES (000'S) 109,946.8 712,172.4 649,122.0 11,062.1 275.6 4,065.5 995.0
     NUMBER OF TRADES 64 138 86 51 15 7 5
FHLMC
AVERAGE PRICE 98.7 100.6 102.1 102.3 102.1 * 103.6
Weighted Avg. Price 99.2 101.1 102.9 103.7 104.0 * 104.9
Avg. Price Bottom 5 Trades 97.7 99.7 100.4 101.3 100.3 * 103.0
2nd Quartile Price 98.0 100.1 101.8 101.9 102.1 * 104.8
3rd Quartile Price 99.1 100.9 101.9 102.2 103.3 * 105.6
4th Quartile Price 99.6 101.2 102.9 103.3 103.5 * 105.7
Avg. Price Top 5 Trades 99.7 101.5 102.9 103.6 103.7 * 105.2
Standard Deviation 1.0 0.6 0.9 1.0 2.4 * 3.2
     VOLUME OF TRADES (000'S) 53,887.5 175,826.6 233,582.5 2,304.0 277.7 * 2,071.7
     NUMBER OF TRADES 17 66 48 21 16 * 9
GNMA
AVERAGE PRICE * 101.4 103.5 104.0 103.9 * 107.8
Weighted Avg. Price * 101.4 103.2 104.0 104.1 * 114.0
Avg. Price Bottom 5 Trades * 101.4 103.2 104.0 103.7 * 100.6
2nd Quartile Price * * 103.2 * 103.9 * 100.0
3rd Quartile Price * * 103.3 * 104.0 * 112.4
4th Quartile Price * * 103.6 * 105.0 * 116.0
Avg. Price Top 5 Trades * 101.4 103.8 104.0 104.1 * 114.7
Standard Deviation * 0.1 0.8 0.2 0.7 * 7.7
     VOLUME OF TRADES (000'S) * 3,199.3 3,139.2 975.6 299.2 * 2,169.0
     NUMBER OF TRADES * 5 8 12 7 * 17
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 94.4 98.7 101.4 103.9 105.0 106.3 105.9
Weighted Avg. Price 95.3 98.9 101.4 104.1 106.4 108.2 111.9
Avg. Price Bottom 5 Trades 94.4 96.6 99.6 99.9 102.0 105.1 96.6
2nd Quartile Price * 98.1 101.0 103.7 104.7 105.1 100.0
3rd Quartile Price * 98.7 101.5 104.4 105.2 106.3 107.1
4th Quartile Price * 99.2 101.7 104.5 106.1 108.0 112.0
Avg. Price Top 5 Trades 94.4 100.8 103.2 105.1 106.7 107.7 113.7
Standard Deviation 1.9 1.2 0.8 1.0 1.4 1.5 5.9
     VOLUME OF TRADES (000'S) 840.8 487,615.2 1,105,047.8 1,574,724.9 364,841.6 19,370.0 12,698.7
     NUMBER OF TRADES 9 125 207 398 164 32 185
FHLMC
AVERAGE PRICE 0.0 99.0 101.5 103.6 105.5 106.6 107.2
Weighted Avg. Price 0.0 98.5 101.9 103.9 106.0 108.4 111.1
Avg. Price Bottom 5 Trades 0.0 97.6 99.8 100.5 103.2 101.4 96.2
2nd Quartile Price 0.0 98.6 101.0 103.3 105.0 106.4 100.0
3rd Quartile Price 0.0 99.3 101.6 103.8 105.6 108.2 110.3
4th Quartile Price 0.0 99.3 102.0 103.8 106.5 108.2 112.0
Avg. Price Top 5 Trades 0.0 101.0 102.9 105.1 106.5 108.4 112.4
Standard Deviation 0.0 0.7 0.7 0.8 1.1 2.8 5.9
     VOLUME OF TRADES (000'S) 0.0 583,540.5 1,285,740.8 817,873.2 177,025.7 16,271.6 5,568.9
     NUMBER OF TRADES 0 165 204 166 76 56 104
GNMA
AVERAGE PRICE * 99.6 102.6 104.3 104.3 105.6 103.2
Weighted Avg. Price * 99.9 102.5 104.2 104.6 105.9 108.0
Avg. Price Bottom 5 Trades * 98.9 101.0 103.2 102.8 101.1 78.6
2nd Quartile Price * 99.6 102.5 104.2 103.8 104.5 100.0
3rd Quartile Price * 99.8 102.5 104.3 104.5 106.0 104.2
4th Quartile Price * 99.8 102.7 104.8 105.0 106.8 107.8
Avg. Price Top 5 Trades * 99.9 103.6 105.2 105.8 108.8 114.6
Standard Deviation * 0.3 0.6 0.6 1.0 2.0 6.4
     VOLUME OF TRADES (000'S) * 733,419.1 1,003,583.7 649,165.0 1,009,345.3 69,397.4 20,700.9
     NUMBER OF TRADES * 43 83 41 55 77 330
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 104.6 * 101.3 101.3 *
Weighted Avg. Price 105.7 * 100.8 101.2 *
Avg. Price Bottom 5 Trades 103.9 * 100.5 100.7 *
2nd Quartile Price 104.0 * 100.6 101.1 *
3rd Quartile Price 104.0 * 101.0 101.4 *
4th Quartile Price 105.4 * 101.8 101.9 *
Avg. Price Top 5 Trades 106.0 * 102.7 101.9 *
Standard Deviation 1.2 * 1.1 0.7 *
     VOLUME OF TRADES (000'S) 180,756.6 * 75,459.0 63,019.6 *
     NUMBER OF TRADES 51 * 23 12 *
FHLMC
AVERAGE PRICE 105.1 0.0 * * 0.0
Weighted Avg. Price 105.1 0.0 * * 0.0
Avg. Price Bottom 5 Trades 105.1 0.0 * * 0.0
2nd Quartile Price * 0.0 * * 0.0
3rd Quartile Price * 0.0 * * 0.0
4th Quartile Price * 0.0 * * 0.0
Avg. Price Top 5 Trades 105.1 0.0 * * 0.0
Standard Deviation 0.4 0.0 * * 0.0
     VOLUME OF TRADES (000'S) 25,339.2 0.0 * * 0.0
     NUMBER OF TRADES 7 0 * * 0
GNMA
AVERAGE PRICE 103.0 99.8 101.1 0.0 0.0
Weighted Avg. Price 103.3 99.6 100.5 0.0 0.0
Avg. Price Bottom 5 Trades 102.9 99.5 100.9 0.0 0.0
2nd Quartile Price 103.3 99.5 101.3 0.0 0.0
3rd Quartile Price 103.3 100.2 102.3 0.0 0.0
4th Quartile Price 103.3 100.3 102.3 0.0 0.0
Avg. Price Top 5 Trades 103.4 100.3 101.4 0.0 0.0
Standard Deviation 1.0 0.5 1.2 0.0 0.0
     VOLUME OF TRADES (000'S) 20,094.6 25,231.9 12,967.8 0.0 0.0
     NUMBER OF TRADES 25 10 6 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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