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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 102.1 104.1 105.3 104.8 103.4 103.4 103.7
Weighted Avg. Price 102.5 104.7 106.4 108.1 106.8 102.7 104.5
Avg. Price Bottom 5 Trades 99.3 101.0 101.9 101.2 101.2 102.5 101.7
2nd Quartile Price 101.4 103.5 104.5 103.4 102.2 102.5 102.5
3rd Quartile Price 102.7 104.4 105.4 105.0 103.0 103.1 104.3
4th Quartile Price 103.2 104.9 106.2 106.9 104.2 104.5 105.0
Avg. Price Top 5 Trades 103.6 106.0 108.4 108.6 107.2 104.9 106.5
Standard Deviation 1.3 1.3 1.6 2.5 2.8 1.3 2.0
     VOLUME OF TRADES (000'S) 646,999.0 84,848.1 68,339.2 13,942.7 1,753.3 3,585.3 1,013.8
     NUMBER OF TRADES 87 73 107 33 21 17 33
FHLMC
AVERAGE PRICE 102.5 104.0 104.5 * 102.3 102.4 105.3
Weighted Avg. Price 103.2 104.6 106.0 * 102.7 102.3 103.4
Avg. Price Bottom 5 Trades 100.2 101.3 103.0 * 99.7 101.3 100.0
2nd Quartile Price 101.4 103.2 104.3 * 100.6 101.5 101.9
3rd Quartile Price 103.2 104.8 104.6 * 103.5 102.8 104.6
4th Quartile Price 103.3 104.9 105.3 * 104.0 103.4 106.7
Avg. Price Top 5 Trades 103.6 105.3 105.9 * 104.7 103.2 111.7
Standard Deviation 1.3 1.3 1.1 * 2.1 1.2 5.0
     VOLUME OF TRADES (000'S) 315,388.6 177,022.2 1,619.9 * 943.7 558.2 2,496.3
     NUMBER OF TRADES 42 47 22 * 27 12 36
GNMA
AVERAGE PRICE 103.3 105.2 * 105.4 105.4 104.9 111.4
Weighted Avg. Price 103.5 105.3 * 105.2 107.4 105.9 110.8
Avg. Price Bottom 5 Trades 101.0 105.1 * 105.2 101.4 102.5 104.6
2nd Quartile Price 103.6 105.3 * 105.1 106.5 102.7 109.3
3rd Quartile Price 103.7 105.4 * 105.7 107.4 107.0 113.5
4th Quartile Price 103.7 105.4 * 106.0 107.6 107.9 115.5
Avg. Price Top 5 Trades 104.0 105.4 * 105.6 107.5 107.3 115.8
Standard Deviation 1.0 0.4 * 0.6 4.7 2.9 4.8
     VOLUME OF TRADES (000'S) 38,721.8 8,523.8 * 367.5 6,517.0 1,397.3 2,714.3
     NUMBER OF TRADES 36 11 * 7 15 10 23
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 100.8 103.3 105.1 106.8 108.5 110.6 111.5
Weighted Avg. Price 100.6 103.3 105.8 107.9 109.6 112.0 114.5
Avg. Price Bottom 5 Trades 100.5 100.3 102.3 104.4 104.0 103.2 59.6
2nd Quartile Price 100.5 102.8 104.8 106.4 108.3 110.8 111.9
3rd Quartile Price 101.0 103.5 105.3 107.0 108.9 110.8 112.9
4th Quartile Price 101.9 103.7 105.7 107.3 109.3 110.9 114.6
Avg. Price Top 5 Trades 100.9 105.2 107.8 108.7 111.6 113.5 117.7
Standard Deviation 0.6 0.9 1.2 1.1 1.6 1.5 7.7
     VOLUME OF TRADES (000'S) 16,047.0 785,470.6 215,750.7 81,998.0 415,181.0 46,636.5 16,374.9
     NUMBER OF TRADES 6 157 161 102 179 361 463
FHLMC
AVERAGE PRICE 101.9 103.5 105.0 106.8 109.1 108.2 113.3
Weighted Avg. Price 101.0 103.1 106.1 108.1 109.9 109.9 111.6
Avg. Price Bottom 5 Trades 100.6 102.1 103.2 103.6 107.4 106.0 77.8
2nd Quartile Price 100.9 103.0 104.5 106.5 108.6 108.7 112.0
3rd Quartile Price 102.3 103.5 104.8 106.8 109.2 109.5 115.8
4th Quartile Price 102.6 103.9 105.5 107.6 109.6 110.6 115.8
Avg. Price Top 5 Trades 102.9 105.2 106.8 109.5 111.2 110.3 115.8
Standard Deviation 0.9 0.9 1.0 1.3 1.3 3.0 8.1
     VOLUME OF TRADES (000'S) 106,651.4 1,538,633.1 152,267.2 281,993.2 16,915.4 2,485.3 12,497.0
     NUMBER OF TRADES 19 72 103 135 31 15 284
GNMA
AVERAGE PRICE 101.2 104.5 106.4 109.9 108.3 109.5 115.1
Weighted Avg. Price 101.4 104.1 106.3 107.9 108.7 108.7 115.8
Avg. Price Bottom 5 Trades 100.4 102.5 103.8 107.0 105.6 101.9 67.7
2nd Quartile Price 101.3 104.5 106.1 108.1 107.0 108.5 112.5
3rd Quartile Price 101.4 104.6 106.5 110.0 107.9 111.2 121.0
4th Quartile Price 101.5 104.7 107.2 111.9 110.6 111.7 121.1
Avg. Price Top 5 Trades 101.5 105.7 108.7 111.7 111.0 112.8 121.1
Standard Deviation 0.5 0.8 1.3 1.7 2.7 3.0 9.0
     VOLUME OF TRADES (000'S) 262,239.7 937,366.5 521,113.3 1,179,746.8 54,817.3 68,522.6 149,891.6
     NUMBER OF TRADES 23 64 90 146 40 105 652
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 101.4 0.0 103.9 103.4 100.0
Weighted Avg. Price 102.3 0.0 104.9 103.2 102.9
Avg. Price Bottom 5 Trades 99.8 0.0 102.5 102.7 99.0
2nd Quartile Price 100.3 0.0 103.0 102.8 98.3
3rd Quartile Price 102.8 0.0 103.6 103.5 100.0
4th Quartile Price 104.5 0.0 105.8 105.0 102.1
Avg. Price Top 5 Trades 103.0 0.0 105.6 104.2 102.1
Standard Deviation 2.4 0.0 1.4 1.0 2.1
     VOLUME OF TRADES (000'S) 340.1 0.0 108,871.9 99,582.6 21,328.5
     NUMBER OF TRADES 10 0 16 11 12
FHLMC
AVERAGE PRICE 103.8 0.0 105.4 101.7 0.0
Weighted Avg. Price 106.0 0.0 105.7 103.2 0.0
Avg. Price Bottom 5 Trades 103.3 0.0 105.3 101.7 0.0
2nd Quartile Price 104.3 0.0 105.6 * 0.0
3rd Quartile Price 105.9 0.0 105.9 * 0.0
4th Quartile Price 106.8 0.0 105.9 * 0.0
Avg. Price Top 5 Trades 105.3 0.0 105.6 101.7 0.0
Standard Deviation 3.9 0.0 0.8 2.5 0.0
     VOLUME OF TRADES (000'S) 13,164.7 0.0 22,430.9 6,388.6 0.0
     NUMBER OF TRADES 10 0 9 7 0
GNMA
AVERAGE PRICE 99.5 100.9 102.9 0.0 0.0
Weighted Avg. Price 103.0 100.9 102.9 0.0 0.0
Avg. Price Bottom 5 Trades 99.5 100.3 102.9 0.0 0.0
2nd Quartile Price * 100.3 * 0.0 0.0
3rd Quartile Price * 101.4 * 0.0 0.0
4th Quartile Price * 101.5 * 0.0 0.0
Avg. Price Top 5 Trades 99.5 101.5 102.9 0.0 0.0
Standard Deviation 3.1 0.7 0.4 0.0 0.0
     VOLUME OF TRADES (000'S) 393.5 8,240.4 2,204.7 0.0 0.0
     NUMBER OF TRADES 7 13 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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