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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 101.1 102.4 104.8 105.4 104.7 104.5 103.9
Weighted Avg. Price 102.1 102.9 105.4 106.4 107.2 108.7 107.0
Avg. Price Bottom 5 Trades 98.6 99.0 103.1 103.4 102.2 98.6 98.1
2nd Quartile Price 100.0 101.2 104.3 104.4 103.9 103.4 100.4
3rd Quartile Price 101.2 103.0 105.2 105.5 105.0 106.1 104.6
4th Quartile Price 102.5 103.8 105.5 106.4 106.6 107.1 107.5
Avg. Price Top 5 Trades 103.0 104.2 106.0 107.5 107.7 109.6 109.7
Standard Deviation 1.4 1.5 1.0 1.6 2.4 4.4 4.2
     VOLUME OF TRADES (000'S) 159,941.3 145,910.8 26,749.0 37,141.2 4,168.8 4,205.3 2,758.5
     NUMBER OF TRADES 59 81 46 32 29 36 36
FHLMC
AVERAGE PRICE 101.4 102.6 101.8 104.7 107.1 103.8 106.0
Weighted Avg. Price 101.3 103.6 105.6 105.0 108.0 106.0 107.5
Avg. Price Bottom 5 Trades 101.0 102.2 101.8 102.7 105.9 101.7 105.6
2nd Quartile Price 101.1 102.1 * 103.0 106.4 102.0 107.3
3rd Quartile Price 101.2 103.5 * 105.7 107.3 103.8 107.9
4th Quartile Price 102.5 103.7 * 106.2 108.0 105.5 108.0
Avg. Price Top 5 Trades 101.7 103.5 101.8 106.7 107.9 106.9 107.2
Standard Deviation 0.8 1.1 2.1 1.9 1.2 2.1 3.2
     VOLUME OF TRADES (000'S) 6,620.0 5,527.5 1,222.0 50,498.5 17,153.9 517.1 567.1
     NUMBER OF TRADES 8 10 10 33 12 25 6
GNMA
AVERAGE PRICE 0.0 * 105.7 * 105.8 103.5 100.0
Weighted Avg. Price 0.0 * 106.0 * 107.3 105.3 100.0
Avg. Price Bottom 5 Trades 0.0 * 105.2 * 105.8 103.2 100.0
2nd Quartile Price 0.0 * 105.6 * * 102.2 *
3rd Quartile Price 0.0 * 105.8 * * 105.5 *
4th Quartile Price 0.0 * 106.3 * * 105.5 *
Avg. Price Top 5 Trades 0.0 * 106.5 * 105.8 104.2 100.0
Standard Deviation 0.0 * 0.9 * 2.0 2.7 0.3
     VOLUME OF TRADES (000'S) 0.0 * 4,740.8 * 449.1 281.2 3.1
     NUMBER OF TRADES 0 * 12 * 5 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 0.0 100.1 103.2 105.9 107.4 107.0 107.6
Weighted Avg. Price 0.0 101.1 103.2 106.6 110.3 110.2 111.0
Avg. Price Bottom 5 Trades 0.0 99.1 100.5 104.1 103.3 90.0 82.6
2nd Quartile Price 0.0 99.3 103.2 105.7 107.7 108.1 106.0
3rd Quartile Price 0.0 99.7 103.3 106.0 107.8 109.4 110.1
4th Quartile Price 0.0 101.6 103.5 106.5 108.0 109.4 112.5
Avg. Price Top 5 Trades 0.0 101.8 104.8 107.0 109.9 110.5 114.0
Standard Deviation 0.0 1.2 0.8 0.9 1.6 8.2 7.2
     VOLUME OF TRADES (000'S) 0.0 310,032.6 1,032,025.3 201,173.6 180,562.1 2,999.4 13,891.6
     NUMBER OF TRADES 0 41 173 64 90 90 147
FHLMC
AVERAGE PRICE 0.0 99.9 102.8 105.8 107.2 107.7 108.0
Weighted Avg. Price 0.0 100.3 103.0 106.6 108.9 109.8 111.0
Avg. Price Bottom 5 Trades 0.0 98.9 102.3 105.0 106.7 107.5 101.5
2nd Quartile Price 0.0 99.3 102.5 105.5 107.6 107.1 109.1
3rd Quartile Price 0.0 99.5 102.7 105.7 107.6 109.1 110.0
4th Quartile Price 0.0 101.5 103.0 106.3 107.9 109.3 111.5
Avg. Price Top 5 Trades 0.0 101.3 104.0 106.8 108.4 108.7 111.5
Standard Deviation 0.0 1.1 0.6 0.6 2.3 2.6 4.5
     VOLUME OF TRADES (000'S) 0.0 176,385.0 215,341.3 983,115.6 6,957.6 201.9 238.4
     NUMBER OF TRADES 0 21 52 48 32 11 21
GNMA
AVERAGE PRICE 0.0 101.3 103.8 106.0 108.0 108.1 104.3
Weighted Avg. Price 0.0 101.0 103.9 106.9 108.4 108.7 112.4
Avg. Price Bottom 5 Trades 0.0 99.6 102.9 103.0 105.3 102.7 73.2
2nd Quartile Price 0.0 100.9 103.7 105.6 107.4 106.8 100.0
3rd Quartile Price 0.0 101.2 103.9 106.1 108.1 108.9 101.4
4th Quartile Price 0.0 101.8 104.1 107.3 108.9 109.9 110.2
Avg. Price Top 5 Trades 0.0 102.7 104.5 107.9 109.6 111.4 118.3
Standard Deviation 0.0 1.1 0.5 2.0 1.4 2.5 8.6
     VOLUME OF TRADES (000'S) 0.0 238,251.9 284,436.1 80,202.0 53,486.0 70,125.6 168,406.8
     NUMBER OF TRADES 0 29 36 24 38 58 313
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 103.9 0.0 * * 101.2
Weighted Avg. Price 105.8 0.0 * * 101.7
Avg. Price Bottom 5 Trades 100.9 0.0 * * 101.2
2nd Quartile Price 104.8 0.0 * * *
3rd Quartile Price 104.8 0.0 * * *
4th Quartile Price 104.9 0.0 * * *
Avg. Price Top 5 Trades 105.0 0.0 * * 101.2
Standard Deviation 2.1 0.0 * * 1.2
     VOLUME OF TRADES (000'S) 7,080.7 0.0 * * 9,256.5
     NUMBER OF TRADES 18 0 * * 5
FHLMC
AVERAGE PRICE * 0.0 * * *
Weighted Avg. Price * 0.0 * * *
Avg. Price Bottom 5 Trades * 0.0 * * *
2nd Quartile Price * 0.0 * * *
3rd Quartile Price * 0.0 * * *
4th Quartile Price * 0.0 * * *
Avg. Price Top 5 Trades * 0.0 * * *
Standard Deviation * 0.0 * * *
     VOLUME OF TRADES (000'S) * 0.0 * * *
     NUMBER OF TRADES * 0 * * *
GNMA
AVERAGE PRICE 104.0 * 100.6 0.0 0.0
Weighted Avg. Price 104.2 * 100.7 0.0 0.0
Avg. Price Bottom 5 Trades 104.0 * 100.6 0.0 0.0
2nd Quartile Price 103.9 * * 0.0 0.0
3rd Quartile Price 104.0 * * 0.0 0.0
4th Quartile Price 104.0 * * 0.0 0.0
Avg. Price Top 5 Trades 104.3 * 100.6 0.0 0.0
Standard Deviation 0.2 * 0.9 0.0 0.0
     VOLUME OF TRADES (000'S) 35,284.5 * 1,898.6 0.0 0.0
     NUMBER OF TRADES 33 * 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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