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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 97.1 99.2 100.4 102.1 * 100.5 99.4
Weighted Avg. Price 94.7 98.9 99.4 101.8 * 103.3 101.8
Avg. Price Bottom 5 Trades 94.9 95.4 95.9 100.5 * 100.5 97.8
2nd Quartile Price 96.9 99.4 100.3 101.5 * * 100.0
3rd Quartile Price 97.4 99.4 100.9 102.3 * * 101.6
4th Quartile Price 97.7 99.5 101.0 102.8 * * 104.2
Avg. Price Top 5 Trades 98.3 100.1 101.3 103.2 * 100.5 101.7
Standard Deviation 1.1 0.9 1.3 0.8 * 2.0 6.7
     VOLUME OF TRADES (000'S) 54,107.3 386,673.2 390,914.7 60,886.1 * 4,658.6 45.5
     NUMBER OF TRADES 40 134 94 43 * 8 11
FHLMC
AVERAGE PRICE 96.5 99.0 100.7 102.5 * 98.3 101.3
Weighted Avg. Price 97.1 99.4 101.0 102.7 * 100.7 103.6
Avg. Price Bottom 5 Trades 95.8 98.2 99.9 102.4 * 95.1 97.3
2nd Quartile Price 96.5 98.4 100.3 102.3 * 97.1 97.7
3rd Quartile Price 97.0 99.2 100.9 102.6 * 100.0 101.0
4th Quartile Price 97.1 99.7 101.0 102.6 * 101.0 105.7
Avg. Price Top 5 Trades 97.4 100.0 101.2 102.5 * 99.9 104.2
Standard Deviation 1.1 0.7 0.5 0.2 * 3.3 4.1
     VOLUME OF TRADES (000'S) 192,831.2 279,285.7 255,165.1 12,127.8 * 57.4 989.1
     NUMBER OF TRADES 12 40 53 8 * 12 12
GNMA
AVERAGE PRICE * 100.0 101.9 102.6 102.2 100.6 107.2
Weighted Avg. Price * 99.9 102.3 103.4 103.2 102.4 110.3
Avg. Price Bottom 5 Trades * 100.0 100.1 101.5 102.2 99.6 96.7
2nd Quartile Price * * 102.4 103.0 * 100.0 107.9
3rd Quartile Price * * 102.5 103.4 * 100.6 110.8
4th Quartile Price * * 102.5 103.5 * 103.1 110.8
Avg. Price Top 5 Trades * 100.0 102.6 103.5 102.2 101.7 109.9
Standard Deviation * 0.2 1.4 1.3 1.6 1.8 6.6
     VOLUME OF TRADES (000'S) * 7,856.7 23,201.2 7,074.3 3,048.5 93.6 1,927.9
     NUMBER OF TRADES * 6 27 14 6 11 34
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE * 96.8 99.3 101.7 104.0 104.4 106.8
Weighted Avg. Price * 96.9 99.5 101.7 104.0 106.7 108.8
Avg. Price Bottom 5 Trades * 96.0 97.9 99.1 102.7 100.7 98.8
2nd Quartile Price * 96.6 99.1 101.4 103.1 104.1 105.3
3rd Quartile Price * 96.7 99.3 101.7 104.1 104.7 108.1
4th Quartile Price * 97.2 99.5 102.0 104.4 106.6 109.5
Avg. Price Top 5 Trades * 98.1 100.3 102.9 105.2 107.0 111.1
Standard Deviation * 0.6 0.4 0.7 0.7 2.6 4.4
     VOLUME OF TRADES (000'S) * 289,940.0 457,794.6 1,152,258.0 225,585.6 55,611.5 26,738.5
     NUMBER OF TRADES * 124 216 252 177 60 157
FHLMC
AVERAGE PRICE 0.0 96.5 99.3 101.6 103.9 104.3 104.4
Weighted Avg. Price 0.0 96.7 99.4 102.0 104.4 105.8 108.2
Avg. Price Bottom 5 Trades 0.0 95.6 98.0 100.6 103.3 101.9 95.0
2nd Quartile Price 0.0 96.2 98.8 101.3 103.4 104.0 100.0
3rd Quartile Price 0.0 96.6 99.4 101.8 103.8 105.1 107.0
4th Quartile Price 0.0 96.9 99.7 101.9 104.6 106.9 109.1
Avg. Price Top 5 Trades 0.0 97.6 100.5 103.0 104.7 106.7 110.4
Standard Deviation 0.0 0.6 0.6 0.5 0.6 2.5 5.7
     VOLUME OF TRADES (000'S) 0.0 177,876.0 366,612.7 340,768.9 184,354.7 11,725.1 653.8
     NUMBER OF TRADES 0 79 154 120 67 19 30
GNMA
AVERAGE PRICE 0.0 97.8 100.3 102.4 104.3 104.1 108.6
Weighted Avg. Price 0.0 97.8 100.3 102.4 104.2 105.1 107.3
Avg. Price Bottom 5 Trades 0.0 97.4 96.6 101.1 101.2 95.8 82.4
2nd Quartile Price 0.0 97.8 100.3 102.4 104.1 103.5 108.3
3rd Quartile Price 0.0 97.9 100.4 102.5 104.5 104.9 110.8
4th Quartile Price 0.0 98.0 100.6 102.6 104.8 105.2 110.8
Avg. Price Top 5 Trades 0.0 98.2 102.7 103.3 105.4 107.4 111.1
Standard Deviation 0.0 0.5 1.7 0.4 0.9 2.5 5.0
     VOLUME OF TRADES (000'S) 0.0 305,421.6 763,499.1 3,167,595.2 1,171,201.3 261,988.1 59,665.6
     NUMBER OF TRADES 0 18 97 189 165 121 1,027
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 * 0.0 103.3 100.7 *
Weighted Avg. Price * 0.0 103.7 101.8 *
Avg. Price Bottom 5 Trades * 0.0 103.3 100.2 *
2nd Quartile Price * 0.0 * 99.5 *
3rd Quartile Price * 0.0 * 101.8 *
4th Quartile Price * 0.0 * 102.0 *
Avg. Price Top 5 Trades * 0.0 103.3 101.4 *
Standard Deviation * 0.0 1.2 1.4 *
     VOLUME OF TRADES (000'S) * 0.0 57,731.8 7,479.8 *
     NUMBER OF TRADES * 0 6 7 *
FHLMC
AVERAGE PRICE * 0.0 0.0 100.4 0.0
Weighted Avg. Price * 0.0 0.0 100.6 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 100.1 0.0
2nd Quartile Price * 0.0 0.0 100.3 0.0
3rd Quartile Price * 0.0 0.0 100.4 0.0
4th Quartile Price * 0.0 0.0 100.8 0.0
Avg. Price Top 5 Trades * 0.0 0.0 100.6 0.0
Standard Deviation * 0.0 0.0 0.4 0.0
     VOLUME OF TRADES (000'S) * 0.0 0.0 11,767.4 0.0
     NUMBER OF TRADES * 0 0 8 0
GNMA
AVERAGE PRICE 101.7 * 101.5 0.0 0.0
Weighted Avg. Price 102.0 * 101.4 0.0 0.0
Avg. Price Bottom 5 Trades 101.7 * 100.4 0.0 0.0
2nd Quartile Price * * 101.5 0.0 0.0
3rd Quartile Price * * 101.6 0.0 0.0
4th Quartile Price * * 102.7 0.0 0.0
Avg. Price Top 5 Trades 101.7 * 102.7 0.0 0.0
Standard Deviation 0.8 * 1.1 0.0 0.0
     VOLUME OF TRADES (000'S) 655.7 * 11,728.6 0.0 0.0
     NUMBER OF TRADES 14 * 14 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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