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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 97.8 98.7 99.9 101.8 102.7 101.2 99.9
Weighted Avg. Price 98.2 98.6 100.2 102.4 103.6 101.6 102.7
Avg. Price Bottom 5 Trades 97.1 96.4 95.0 101.2 101.7 100.3 96.8
2nd Quartile Price 97.2 98.9 100.0 102.0 102.5 100.0 100.0
3rd Quartile Price 97.5 98.9 100.3 102.2 102.9 101.4 101.5
4th Quartile Price 98.5 99.1 101.0 102.6 103.6 104.0 104.0
Avg. Price Top 5 Trades 98.8 99.6 101.5 102.7 103.6 102.4 104.0
Standard Deviation 0.8 0.8 1.8 1.6 1.0 1.7 5.1
     VOLUME OF TRADES (000'S) 13,362.9 78,298.8 156,578.1 5,201.3 3,052.7 1,684.9 371.8
     NUMBER OF TRADES 20 61 55 12 14 10 13
FHLMC
AVERAGE PRICE 97.3 99.2 100.5 102.1 101.7 100.3 101.1
Weighted Avg. Price 97.7 99.4 101.4 103.1 102.4 101.8 102.3
Avg. Price Bottom 5 Trades 96.5 98.6 100.1 101.4 100.5 100.3 101.1
2nd Quartile Price 97.1 98.7 100.2 102.0 101.3 * *
3rd Quartile Price 97.7 99.1 100.3 102.5 101.6 * *
4th Quartile Price 98.3 99.8 101.1 103.1 103.1 * *
Avg. Price Top 5 Trades 98.2 100.1 101.6 102.9 103.2 100.3 101.1
Standard Deviation 1.0 0.6 0.6 1.2 1.3 0.9 1.1
     VOLUME OF TRADES (000'S) 1,775.2 27,242.6 43,892.6 10,932.6 775.0 230.8 424.9
     NUMBER OF TRADES 11 43 43 13 14 15 6
GNMA
AVERAGE PRICE * * 0.0 0.0 103.2 * *
Weighted Avg. Price * * 0.0 0.0 103.2 * *
Avg. Price Bottom 5 Trades * * 0.0 0.0 103.2 * *
2nd Quartile Price * * 0.0 0.0 103.1 * *
3rd Quartile Price * * 0.0 0.0 103.5 * *
4th Quartile Price * * 0.0 0.0 103.8 * *
Avg. Price Top 5 Trades * * 0.0 0.0 103.3 * *
Standard Deviation * * 0.0 0.0 0.4 * *
     VOLUME OF TRADES (000'S) * * 0.0 0.0 522.8 * *
     NUMBER OF TRADES * * 0 0 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 * 96.0 99.2 102.0 103.6 102.8 104.1
Weighted Avg. Price * 96.6 99.2 102.2 105.0 106.5 115.2
Avg. Price Bottom 5 Trades * 95.9 97.6 100.9 102.5 99.4 91.1
2nd Quartile Price * 95.7 98.9 101.6 103.5 100.0 100.0
3rd Quartile Price * 95.7 99.0 101.9 103.5 104.8 105.7
4th Quartile Price * 96.5 99.8 102.5 103.6 105.5 109.0
Avg. Price Top 5 Trades * 96.8 100.1 103.3 105.3 106.5 114.4
Standard Deviation * 0.5 0.8 0.7 0.9 3.8 6.9
     VOLUME OF TRADES (000'S) * 47,003.4 212,970.1 361,907.7 27,504.4 23,698.6 47,756.0
     NUMBER OF TRADES * 25 109 76 67 49 71
FHLMC
AVERAGE PRICE * 96.2 99.2 101.9 104.3 103.9 102.5
Weighted Avg. Price * 96.5 100.2 102.2 104.8 106.5 111.4
Avg. Price Bottom 5 Trades * 96.0 98.7 100.8 104.2 102.8 97.9
2nd Quartile Price * 96.1 98.8 101.5 103.8 103.6 100.0
3rd Quartile Price * 96.1 98.8 101.6 104.4 104.4 100.3
4th Quartile Price * 96.5 99.3 102.3 104.9 105.3 111.6
Avg. Price Top 5 Trades * 96.8 101.2 103.6 105.0 105.2 112.9
Standard Deviation * 0.5 0.8 0.7 0.6 2.0 7.9
     VOLUME OF TRADES (000'S) * 21,804.2 82,699.8 1,284,945.8 36,080.5 10,045.4 250.8
     NUMBER OF TRADES * 27 68 81 18 12 18
GNMA
AVERAGE PRICE 0.0 97.4 99.4 101.8 103.2 104.4 100.1
Weighted Avg. Price 0.0 97.4 100.1 102.5 104.1 105.0 105.2
Avg. Price Bottom 5 Trades 0.0 97.0 96.4 100.1 102.5 101.7 88.5
2nd Quartile Price 0.0 97.4 99.5 100.5 103.2 104.0 98.0
3rd Quartile Price 0.0 97.4 100.1 102.5 103.9 104.7 100.0
4th Quartile Price 0.0 97.6 100.2 102.7 104.3 105.5 105.3
Avg. Price Top 5 Trades 0.0 97.7 100.7 103.0 104.1 105.9 109.8
Standard Deviation 0.0 0.8 1.8 1.4 1.2 1.9 6.4
     VOLUME OF TRADES (000'S) 0.0 118,940.5 46,129.3 29,404.8 71,906.9 77,680.2 7,760.7
     NUMBER OF TRADES 0 11 25 18 10 27 185
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 97.2 0.0 * * 0.0
Weighted Avg. Price 101.7 0.0 * * 0.0
Avg. Price Bottom 5 Trades 88.5 0.0 * * 0.0
2nd Quartile Price 92.0 0.0 * * 0.0
3rd Quartile Price 102.3 0.0 * * 0.0
4th Quartile Price 102.5 0.0 * * 0.0
Avg. Price Top 5 Trades 102.4 0.0 * * 0.0
Standard Deviation 6.9 0.0 * * 0.0
     VOLUME OF TRADES (000'S) 221.6 0.0 * * 0.0
     NUMBER OF TRADES 18 0 * * 0
FHLMC
AVERAGE PRICE 104.1 0.0 100.0 0.0 0.0
Weighted Avg. Price 104.4 0.0 100.0 0.0 0.0
Avg. Price Bottom 5 Trades 102.7 0.0 100.0 0.0 0.0
2nd Quartile Price 102.5 0.0 * 0.0 0.0
3rd Quartile Price 105.4 0.0 * 0.0 0.0
4th Quartile Price 105.4 0.0 * 0.0 0.0
Avg. Price Top 5 Trades 104.2 0.0 100.0 0.0 0.0
Standard Deviation 1.6 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 6,272.9 0.0 16,524.7 0.0 0.0
     NUMBER OF TRADES 22 0 5 0 0
GNMA
AVERAGE PRICE 100.9 * * 0.0 0.0
Weighted Avg. Price 102.3 * * 0.0 0.0
Avg. Price Bottom 5 Trades 94.6 * * 0.0 0.0
2nd Quartile Price 102.1 * * 0.0 0.0
3rd Quartile Price 102.3 * * 0.0 0.0
4th Quartile Price 102.5 * * 0.0 0.0
Avg. Price Top 5 Trades 102.4 * * 0.0 0.0
Standard Deviation 4.0 * * 0.0 0.0
     VOLUME OF TRADES (000'S) 1,184.3 * * 0.0 0.0
     NUMBER OF TRADES 27 * * 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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