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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 99.7 101.9 102.7 103.5 103.8 * 104.6
Weighted Avg. Price 100.8 102.1 102.4 104.8 105.7 * 104.8
Avg. Price Bottom 5 Trades 94.4 97.6 98.5 101.5 101.0 * 101.4
2nd Quartile Price 99.4 101.8 102.1 103.0 101.4 * 103.5
3rd Quartile Price 99.9 102.3 103.0 103.5 104.6 * 104.6
4th Quartile Price 100.9 102.6 103.3 104.4 105.6 * 106.8
Avg. Price Top 5 Trades 101.7 103.1 105.2 105.7 106.6 * 108.9
Standard Deviation 1.8 1.3 1.5 1.5 2.2 * 3.0
     VOLUME OF TRADES (000'S) 102,960.8 165,208.6 174,961.3 8,558.7 9,293.7 * 3,182.4
     NUMBER OF TRADES 94 106 134 32 25 * 30
FHLMC
AVERAGE PRICE 99.7 102.5 104.4 104.4 103.4 * 107.2
Weighted Avg. Price 100.2 102.7 104.8 105.5 106.4 * 107.6
Avg. Price Bottom 5 Trades 98.3 101.8 103.2 103.8 100.8 * 102.5
2nd Quartile Price 98.9 102.2 103.7 104.5 101.1 * 103.5
3rd Quartile Price 100.0 102.7 104.8 105.3 102.7 * 106.5
4th Quartile Price 100.3 102.8 104.9 105.5 106.6 * 109.0
Avg. Price Top 5 Trades 101.4 103.0 104.9 105.4 106.4 * 111.8
Standard Deviation 1.0 0.4 0.8 1.5 2.5 * 5.5
     VOLUME OF TRADES (000'S) 164,342.5 242,625.8 67,626.6 10,221.9 5,249.4 * 1,288.8
     NUMBER OF TRADES 34 162 96 8 20 * 16
GNMA
AVERAGE PRICE * 102.7 * * * * 108.7
Weighted Avg. Price * 103.2 * * * * 106.1
Avg. Price Bottom 5 Trades * 102.5 * * * * 103.9
2nd Quartile Price * 102.9 * * * * 102.9
3rd Quartile Price * 103.2 * * * * 112.8
4th Quartile Price * 103.2 * * * * 114.5
Avg. Price Top 5 Trades * 103.0 * * * * 111.6
Standard Deviation * 1.0 * * * * 5.7
     VOLUME OF TRADES (000'S) * 6,245.8 * * * * 630.7
     NUMBER OF TRADES * 6 * * * * 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 97.3 99.4 102.1 104.4 106.6 107.1 109.9
Weighted Avg. Price 97.7 100.0 102.8 105.5 107.7 109.1 112.7
Avg. Price Bottom 5 Trades 97.3 97.1 100.0 100.6 103.4 99.9 86.7
2nd Quartile Price * 98.7 101.4 104.1 106.1 107.1 109.9
3rd Quartile Price * 99.3 102.2 104.3 106.7 108.6 110.8
4th Quartile Price * 99.6 102.5 105.0 107.7 109.3 113.5
Avg. Price Top 5 Trades 97.3 101.8 104.1 106.8 108.2 110.3 120.0
Standard Deviation 1.8 1.3 1.0 1.2 1.3 3.5 6.6
     VOLUME OF TRADES (000'S) 107,987.8 399,856.1 1,266,184.6 1,171,450.4 280,854.1 3,591.4 27,095.2
     NUMBER OF TRADES 7 116 206 229 203 62 263
FHLMC
AVERAGE PRICE * 99.2 102.3 104.5 106.2 109.0 110.2
Weighted Avg. Price * 100.8 102.2 105.0 107.8 109.8 111.7
Avg. Price Bottom 5 Trades * 97.4 100.2 102.5 105.1 103.5 101.0
2nd Quartile Price * 98.3 101.9 104.2 105.7 109.8 110.0
3rd Quartile Price * 98.8 102.5 104.4 106.2 109.8 111.2
4th Quartile Price * 101.0 102.7 104.9 106.8 109.8 113.5
Avg. Price Top 5 Trades * 101.8 104.0 106.3 107.6 109.7 115.6
Standard Deviation * 1.4 0.7 0.8 0.8 2.2 4.6
     VOLUME OF TRADES (000'S) * 493,499.0 1,731,048.1 1,985,187.5 34,538.3 39,290.0 3,839.3
     NUMBER OF TRADES * 106 294 175 42 75 55
GNMA
AVERAGE PRICE * 101.4 102.6 105.5 106.9 108.4 110.0
Weighted Avg. Price * 100.8 103.5 105.5 107.1 110.0 112.2
Avg. Price Bottom 5 Trades * 100.7 97.5 103.5 104.2 99.3 76.9
2nd Quartile Price * 100.8 103.4 105.5 106.4 108.0 111.0
3rd Quartile Price * 100.8 103.5 105.8 108.3 109.8 112.0
4th Quartile Price * 102.3 103.8 105.9 108.4 110.8 112.5
Avg. Price Top 5 Trades * 102.3 104.0 106.2 108.7 110.5 114.9
Standard Deviation * 0.9 2.2 1.2 2.3 3.3 6.0
     VOLUME OF TRADES (000'S) * 392,090.2 1,469,292.3 367,590.1 19,077.8 95,362.0 273,252.3
     NUMBER OF TRADES * 24 44 29 17 116 877
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 105.0 0.0 103.1 103.8 104.2
Weighted Avg. Price 105.2 0.0 104.4 104.1 102.7
Avg. Price Bottom 5 Trades 97.4 0.0 102.4 102.0 98.5
2nd Quartile Price 104.9 0.0 102.3 104.1 102.7
3rd Quartile Price 105.3 0.0 102.7 104.3 105.8
4th Quartile Price 105.8 0.0 103.7 104.7 105.8
Avg. Price Top 5 Trades 105.7 0.0 104.6 105.0 105.5
Standard Deviation 1.4 0.0 1.3 1.6 2.6
     VOLUME OF TRADES (000'S) 87,850.4 0.0 163,909.3 49,384.3 46,377.1
     NUMBER OF TRADES 286 0 26 25 50
FHLMC
AVERAGE PRICE 105.4 0.0 * * 100.3
Weighted Avg. Price 105.9 0.0 * * 101.2
Avg. Price Bottom 5 Trades 105.3 0.0 * * 100.3
2nd Quartile Price 105.2 0.0 * * *
3rd Quartile Price 105.9 0.0 * * *
4th Quartile Price 105.9 0.0 * * *
Avg. Price Top 5 Trades 105.5 0.0 * * 100.3
Standard Deviation 0.4 0.0 * * 1.7
     VOLUME OF TRADES (000'S) 37,055.8 0.0 * * 10,608.9
     NUMBER OF TRADES 6 0 * * 6
GNMA
AVERAGE PRICE 99.9 0.0 0.0 0.0 0.0
Weighted Avg. Price 102.9 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 99.1 0.0 0.0 0.0 0.0
2nd Quartile Price 101.0 0.0 0.0 0.0 0.0
3rd Quartile Price 102.0 0.0 0.0 0.0 0.0
4th Quartile Price 102.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 101.6 0.0 0.0 0.0 0.0
Standard Deviation 6.3 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 745.6 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 33 0 0 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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