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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 96.2 97.8 98.2 100.6 100.7 * 102.2
Weighted Avg. Price 96.4 98.3 97.1 100.8 102.4 * 102.3
Avg. Price Bottom 5 Trades 94.2 95.8 91.8 98.6 98.9 * 101.6
2nd Quartile Price 95.6 97.2 98.0 99.7 100.0 * 101.1
3rd Quartile Price 96.0 98.2 98.8 101.0 101.0 * 103.4
4th Quartile Price 97.3 98.6 99.5 101.7 102.0 * 103.7
Avg. Price Top 5 Trades 98.3 99.0 100.3 101.8 102.3 * 102.8
Standard Deviation 1.5 1.2 2.3 1.2 1.7 * 1.3
     VOLUME OF TRADES (000'S) 146,754.4 226,857.1 93,293.7 200,429.3 9,110.3 * 154.5
     NUMBER OF TRADES 25 33 68 40 16 * 7
FHLMC
AVERAGE PRICE 96.2 98.1 99.5 101.1 101.4 101.8 101.0
Weighted Avg. Price 96.2 98.2 99.9 101.5 103.0 102.8 101.2
Avg. Price Bottom 5 Trades 95.4 97.2 98.5 99.2 101.4 101.2 100.3
2nd Quartile Price 95.7 97.8 98.8 101.6 * 101.3 101.0
3rd Quartile Price 96.0 98.2 99.8 101.7 * 101.5 101.3
4th Quartile Price 97.1 98.2 100.3 102.0 * 102.8 102.5
Avg. Price Top 5 Trades 96.8 98.9 100.5 102.0 101.4 102.2 102.0
Standard Deviation 0.9 0.6 0.9 1.6 2.4 0.8 1.4
     VOLUME OF TRADES (000'S) 238,423.5 175,975.9 60,507.6 59,439.9 411.5 4,841.6 508.7
     NUMBER OF TRADES 15 31 26 17 5 10 9
GNMA
AVERAGE PRICE 0.0 * 100.7 * * * *
Weighted Avg. Price 0.0 * 100.8 * * * *
Avg. Price Bottom 5 Trades 0.0 * 100.7 * * * *
2nd Quartile Price 0.0 * 100.8 * * * *
3rd Quartile Price 0.0 * 100.8 * * * *
4th Quartile Price 0.0 * 100.8 * * * *
Avg. Price Top 5 Trades 0.0 * 100.7 * * * *
Standard Deviation 0.0 * 0.1 * * * *
     VOLUME OF TRADES (000'S) 0.0 * 123,130.2 * * * *
     NUMBER OF TRADES 0 * 10 * * * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE * 94.3 97.6 99.9 101.7 104.5 104.7
Weighted Avg. Price * 94.9 97.9 100.4 102.5 104.9 109.3
Avg. Price Bottom 5 Trades * 92.2 94.2 95.6 92.0 100.6 83.2
2nd Quartile Price * 94.0 97.1 99.6 101.6 104.3 100.1
3rd Quartile Price * 94.6 97.6 100.0 102.2 105.3 107.0
4th Quartile Price * 94.7 98.2 100.6 102.2 105.3 109.5
Avg. Price Top 5 Trades * 95.0 99.0 101.7 103.1 105.6 111.0
Standard Deviation * 0.9 1.0 1.1 2.0 1.6 6.6
     VOLUME OF TRADES (000'S) * 686,713.3 688,610.1 1,522,456.6 255,959.9 70,074.6 141,836.0
     NUMBER OF TRADES * 74 192 166 191 60 103
FHLMC
AVERAGE PRICE 0.0 94.5 97.4 99.7 102.2 104.7 103.8
Weighted Avg. Price 0.0 95.5 97.5 100.3 102.4 105.0 108.7
Avg. Price Bottom 5 Trades 0.0 93.6 95.7 96.0 101.0 103.5 86.4
2nd Quartile Price 0.0 94.3 97.3 99.6 102.3 104.4 105.0
3rd Quartile Price 0.0 94.4 97.5 99.9 102.3 105.3 108.5
4th Quartile Price 0.0 94.7 97.5 100.2 102.5 105.3 109.6
Avg. Price Top 5 Trades 0.0 96.9 99.5 101.2 103.1 105.4 108.9
Standard Deviation 0.0 0.8 0.5 1.1 0.8 1.0 10.3
     VOLUME OF TRADES (000'S) 0.0 49,975.5 1,034,890.8 361,640.8 381,530.6 39,311.0 23,730.8
     NUMBER OF TRADES 0 64 362 102 55 27 26
GNMA
AVERAGE PRICE 0.0 95.7 98.2 100.5 102.0 104.4 103.9
Weighted Avg. Price 0.0 95.7 98.3 100.5 102.5 103.9 107.7
Avg. Price Bottom 5 Trades 0.0 95.6 97.8 100.0 99.1 100.9 80.2
2nd Quartile Price 0.0 95.6 98.2 100.5 101.5 104.1 101.7
3rd Quartile Price 0.0 95.7 98.2 100.5 102.6 104.2 106.2
4th Quartile Price 0.0 95.9 98.4 100.6 102.7 105.5 109.1
Avg. Price Top 5 Trades 0.0 95.9 98.9 101.6 103.9 106.5 112.1
Standard Deviation 0.0 0.2 0.4 0.3 1.6 1.5 7.4
     VOLUME OF TRADES (000'S) 0.0 51,678.9 1,166,928.8 684,825.1 847,305.4 254,767.6 7,713.2
     NUMBER OF TRADES 0 11 51 127 64 58 154
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 103.5 * 101.0 * 100.3
Weighted Avg. Price 103.5 * 100.8 * 99.8
Avg. Price Bottom 5 Trades 103.5 * 100.5 * 99.3
2nd Quartile Price * * 99.9 * 99.9
3rd Quartile Price * * 103.5 * 100.0
4th Quartile Price * * 103.6 * 103.5
Avg. Price Top 5 Trades 103.5 * 101.3 * 101.2
Standard Deviation 0.1 * 2.0 * 2.0
     VOLUME OF TRADES (000'S) 5,923.7 * 6,851.3 * 14,161.6
     NUMBER OF TRADES 31 * 6 * 9
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 *
Weighted Avg. Price 0.0 0.0 * 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 *
2nd Quartile Price 0.0 0.0 * 0.0 *
3rd Quartile Price 0.0 0.0 * 0.0 *
4th Quartile Price 0.0 0.0 * 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 *
Standard Deviation 0.0 0.0 * 0.0 *
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 *
     NUMBER OF TRADES 0 0 * 0 *
GNMA
AVERAGE PRICE 99.3 0.0 100.1 0.0 0.0
Weighted Avg. Price 101.8 0.0 101.0 0.0 0.0
Avg. Price Bottom 5 Trades 99.3 0.0 99.5 0.0 0.0
2nd Quartile Price * 0.0 99.3 0.0 0.0
3rd Quartile Price * 0.0 99.8 0.0 0.0
4th Quartile Price * 0.0 101.9 0.0 0.0
Avg. Price Top 5 Trades 99.3 0.0 100.7 0.0 0.0
Standard Deviation 2.2 0.0 1.2 0.0 0.0
     VOLUME OF TRADES (000'S) 388.2 0.0 18,883.0 0.0 0.0
     NUMBER OF TRADES 5 0 8 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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