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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 98.0 98.0 100.6 101.0 102.3 99.8 101.2
Weighted Avg. Price 98.0 98.5 98.7 102.1 103.8 101.8 105.2
Avg. Price Bottom 5 Trades 97.3 91.7 97.3 98.7 102.3 99.8 99.6
2nd Quartile Price 97.6 97.5 99.7 101.0 * * 100.0
3rd Quartile Price 97.8 99.5 101.6 102.0 * * 100.0
4th Quartile Price 98.5 99.9 102.0 103.1 * * 104.6
Avg. Price Top 5 Trades 99.1 100.4 102.2 102.9 102.3 99.8 105.2
Standard Deviation 0.7 3.3 1.8 2.8 1.3 0.8 2.8
     VOLUME OF TRADES (000'S) 115,810.1 165,253.0 364,958.5 1,671.2 7,529.7 540.4 705.6
     NUMBER OF TRADES 28 56 45 18 5 26 24
FHLMC
AVERAGE PRICE 98.2 97.9 100.8 102.4 * * 102.0
Weighted Avg. Price 98.7 99.7 101.8 102.8 * * 103.4
Avg. Price Bottom 5 Trades 97.9 93.6 98.9 102.1 * * 100.7
2nd Quartile Price 97.9 97.0 100.7 102.0 * * 100.0
3rd Quartile Price 98.0 99.7 101.5 102.8 * * 102.7
4th Quartile Price 99.1 99.8 101.9 102.9 * * 104.1
Avg. Price Top 5 Trades 99.0 100.1 102.2 102.7 * * 103.8
Standard Deviation 0.6 2.9 1.3 0.6 * * 2.0
     VOLUME OF TRADES (000'S) 4,677.0 290,469.7 35,062.0 2,097.8 * * 449.1
     NUMBER OF TRADES 15 32 30 10 * * 15
GNMA
AVERAGE PRICE * * 101.8 * 102.4 103.2 106.3
Weighted Avg. Price * * 102.6 * 103.1 104.1 106.7
Avg. Price Bottom 5 Trades * * 101.7 * 102.2 102.8 105.7
2nd Quartile Price * * 101.9 * 102.4 103.1 106.1
3rd Quartile Price * * 102.4 * 103.3 104.1 106.3
4th Quartile Price * * 102.7 * 103.7 104.3 109.0
Avg. Price Top 5 Trades * * 102.1 * 102.9 104.0 106.8
Standard Deviation * * 0.9 * 1.3 1.4 1.3
     VOLUME OF TRADES (000'S) * * 17,263.9 * 508.2 1,264.8 772.8
     NUMBER OF TRADES * * 7 * 7 8 7
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 93.0 97.2 99.9 102.2 103.9 104.5 100.9
Weighted Avg. Price 93.7 97.4 100.2 102.6 104.9 107.1 110.4
Avg. Price Bottom 5 Trades 93.0 96.0 97.0 100.1 99.5 99.1 70.9
2nd Quartile Price * 96.6 99.7 102.0 104.0 102.7 98.0
3rd Quartile Price * 97.0 99.9 102.1 104.4 106.3 101.6
4th Quartile Price * 97.9 100.2 102.7 104.7 106.6 107.8
Avg. Price Top 5 Trades 93.0 99.3 101.8 104.1 105.8 107.7 115.6
Standard Deviation 1.5 1.0 0.9 0.9 1.7 3.2 9.8
     VOLUME OF TRADES (000'S) 62.3 437,045.7 2,149,107.4 1,352,133.2 500,966.2 46,178.7 2,984.0
     NUMBER OF TRADES 6 68 210 241 140 86 118
FHLMC
AVERAGE PRICE * 97.0 99.9 101.9 104.7 104.2 101.5
Weighted Avg. Price * 97.5 100.7 102.6 105.1 107.1 108.8
Avg. Price Bottom 5 Trades * 95.6 96.9 98.2 102.8 101.6 87.4
2nd Quartile Price * 96.5 99.7 101.9 104.4 100.1 100.0
3rd Quartile Price * 96.8 99.8 102.3 104.7 106.5 103.2
4th Quartile Price * 97.3 100.3 102.5 105.0 106.5 106.7
Avg. Price Top 5 Trades * 98.9 101.6 103.9 105.6 106.7 111.9
Standard Deviation * 0.9 1.2 1.7 0.7 3.2 8.5
     VOLUME OF TRADES (000'S) * 139,318.2 1,078,067.8 356,808.9 275,689.6 1,573.2 2,074.8
     NUMBER OF TRADES * 78 148 112 90 16 52
GNMA
AVERAGE PRICE 94.5 98.2 100.6 102.8 102.2 104.4 106.3
Weighted Avg. Price 94.5 98.0 100.6 102.8 104.5 105.2 107.5
Avg. Price Bottom 5 Trades 94.5 97.8 97.9 100.6 80.7 97.4 72.7
2nd Quartile Price * 97.9 100.6 102.7 104.1 104.0 103.5
3rd Quartile Price * 98.0 100.7 102.8 104.3 105.1 108.0
4th Quartile Price * 98.1 100.8 103.2 105.2 106.1 109.5
Avg. Price Top 5 Trades 94.5 99.2 101.9 103.9 105.9 108.2 111.8
Standard Deviation 0.3 0.5 1.0 0.9 11.9 2.9 5.5
     VOLUME OF TRADES (000'S) 2,482,507.3 1,762,710.3 1,780,556.1 1,116,624.6 243,845.6 215,419.8 32,067.2
     NUMBER OF TRADES 24 35 108 76 73 124 798
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 102.3 0.0 101.1 100.5 100.4
Weighted Avg. Price 103.7 0.0 101.3 100.5 100.2
Avg. Price Bottom 5 Trades 100.9 0.0 101.1 100.1 98.8
2nd Quartile Price 102.9 0.0 * 100.2 99.7
3rd Quartile Price 103.4 0.0 * 100.5 100.7
4th Quartile Price 104.5 0.0 * 100.7 100.9
Avg. Price Top 5 Trades 104.0 0.0 101.1 101.0 101.7
Standard Deviation 3.5 0.0 1.0 0.4 1.3
     VOLUME OF TRADES (000'S) 1,653.5 0.0 12,882.6 37,116.3 21,611.7
     NUMBER OF TRADES 12 0 5 27 22
FHLMC
AVERAGE PRICE 103.6 * * 100.4 102.3
Weighted Avg. Price 103.5 * * 101.1 101.7
Avg. Price Bottom 5 Trades 102.9 * * 99.5 102.3
2nd Quartile Price 102.6 * * 99.9 *
3rd Quartile Price 103.3 * * 100.3 *
4th Quartile Price 105.4 * * 100.7 *
Avg. Price Top 5 Trades 104.2 * * 101.6 102.3
Standard Deviation 1.2 * * 0.8 1.1
     VOLUME OF TRADES (000'S) 2,348.4 * * 18,076.3 1,632.6
     NUMBER OF TRADES 11 * * 35 5
GNMA
AVERAGE PRICE 102.0 99.4 * 0.0 0.0
Weighted Avg. Price 102.6 99.2 * 0.0 0.0
Avg. Price Bottom 5 Trades 101.8 99.3 * 0.0 0.0
2nd Quartile Price 101.4 99.2 * 0.0 0.0
3rd Quartile Price 102.4 99.6 * 0.0 0.0
4th Quartile Price 102.8 99.8 * 0.0 0.0
Avg. Price Top 5 Trades 102.4 99.6 * 0.0 0.0
Standard Deviation 0.9 0.4 * 0.0 0.0
     VOLUME OF TRADES (000'S) 353.9 7,696.8 * 0.0 0.0
     NUMBER OF TRADES 8 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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