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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 101.3 102.9 103.8 104.5 105.7 105.4 107.9
Weighted Avg. Price 101.3 103.2 104.9 105.7 107.4 106.7 113.3
Avg. Price Bottom 5 Trades 100.0 99.8 102.5 102.1 102.6 103.1 104.0
2nd Quartile Price 100.9 103.0 103.3 104.2 105.4 105.1 104.6
3rd Quartile Price 101.1 103.1 103.6 104.5 106.2 105.5 107.3
4th Quartile Price 102.0 103.4 104.5 105.0 106.2 106.0 110.5
Avg. Price Top 5 Trades 102.3 103.8 105.4 106.8 108.2 106.8 114.1
Standard Deviation 0.7 1.0 0.9 1.2 1.2 1.3 4.1
     VOLUME OF TRADES (000'S) 807,440.8 1,680,741.0 106,795.1 31,401.6 59,113.6 4,607.0 8,128.7
     NUMBER OF TRADES 76 110 65 75 102 33 20
FNMA
AVERAGE PRICE 99.6 * 104.4 104.4 111.4 * 121.1
Weighted Avg. Price 100.4 * 106.2 108.4 112.5 * 121.0
Avg. Price Bottom 5 Trades 98.0 * 104.4 104.4 108.6 * 121.0
2nd Quartile Price 98.2 * * * 111.1 * 121.0
3rd Quartile Price 100.2 * * * 112.4 * 121.1
4th Quartile Price 100.7 * * * 114.0 * 121.2
Avg. Price Top 5 Trades 101.0 * 104.4 104.4 113.4 * 121.1
Standard Deviation 1.3 * 1.6 5.4 3.5 * 0.1
     VOLUME OF TRADES (000'S) 49,616.0 * 12,316.4 14,517.3 100,639.5 * 31,825.0
     NUMBER OF TRADES 17 * 5 7 16 * 10
FHLMC
AVERAGE PRICE 0.0 * 103.2 104.2 105.6 105.6 102.4
Weighted Avg. Price 0.0 * 103.9 104.8 106.3 106.4 104.5
Avg. Price Bottom 5 Trades 0.0 * 102.4 103.2 104.2 105.0 100.6
2nd Quartile Price 0.0 * 102.6 104.3 105.3 105.7 101.2
3rd Quartile Price 0.0 * 103.6 104.5 106.0 105.7 102.0
4th Quartile Price 0.0 * 104.0 104.8 106.2 106.5 104.3
Avg. Price Top 5 Trades 0.0 * 103.9 104.8 106.2 106.6 104.9
Standard Deviation 0.0 * 0.8 0.9 0.8 1.1 2.1
     VOLUME OF TRADES (000'S) 0.0 * 1,256.5 1,520.7 3,282.9 3,124.1 1,766.5
     NUMBER OF TRADES 0 * 13 19 28 13 16
GNMA
AVERAGE PRICE 0.0 103.0 103.5 0.0 104.3 103.2 103.9
Weighted Avg. Price 0.0 103.2 104.4 0.0 105.1 104.8 111.1
Avg. Price Bottom 5 Trades 0.0 102.7 102.1 0.0 104.3 103.2 101.9
2nd Quartile Price 0.0 103.0 104.2 0.0 * * 102.0
3rd Quartile Price 0.0 103.3 104.5 0.0 * * 102.3
4th Quartile Price 0.0 104.0 104.7 0.0 * * 104.2
Avg. Price Top 5 Trades 0.0 103.4 104.7 0.0 104.3 103.2 108.1
Standard Deviation 0.0 0.9 1.9 0.0 1.3 1.5 4.0
     VOLUME OF TRADES (000'S) 0.0 4,024.3 28,685.4 0.0 590.9 189.0 811.2
     NUMBER OF TRADES 0 7 14 0 5 5 17
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 98.7 101.1 103.6 104.8 105.2 106.2 107.5
Weighted Avg. Price 98.8 100.9 103.8 105.7 107.3 107.9 110.9
Avg. Price Bottom 5 Trades 97.7 99.6 101.4 102.7 102.4 104.6 96.9
2nd Quartile Price 97.8 100.8 103.4 103.6 104.4 105.3 106.8
3rd Quartile Price 98.0 100.9 103.6 104.3 105.1 106.0 107.6
4th Quartile Price 99.8 101.5 104.0 105.8 105.8 106.9 108.5
Avg. Price Top 5 Trades 100.1 102.8 104.8 107.4 109.4 110.1 116.2
Standard Deviation 1.1 0.7 0.6 1.5 1.3 1.2 3.3
     VOLUME OF TRADES (000'S) 217,893.6 9,062,716.2 6,949,119.6 2,154,868.7 273,250.7 46,886.7 93,200.3
     NUMBER OF TRADES 25 211 264 267 301 225 314
FNMA
AVERAGE PRICE 0.0 100.2 102.9 103.4 112.2 * 102.6
Weighted Avg. Price 0.0 100.1 102.9 103.2 113.9 * 103.0
Avg. Price Bottom 5 Trades 0.0 99.9 102.3 102.9 112.2 * 102.6
2nd Quartile Price 0.0 99.9 102.5 103.0 * * *
3rd Quartile Price 0.0 100.1 102.7 103.2 * * *
4th Quartile Price 0.0 100.9 103.6 103.2 * * *
Avg. Price Top 5 Trades 0.0 100.6 103.6 106.0 112.2 * 102.6
Standard Deviation 0.0 0.4 0.6 1.0 4.3 * 2.9
     VOLUME OF TRADES (000'S) 0.0 188,214.7 350,591.8 174,021.0 24,291.1 * 2.2
     NUMBER OF TRADES 0 14 29 39 7 * 5
FHLMC
AVERAGE PRICE * 99.9 102.5 103.8 105.5 106.8 107.0
Weighted Avg. Price * 100.1 103.3 103.3 106.9 108.1 111.7
Avg. Price Bottom 5 Trades * 99.3 102.2 102.8 104.2 104.5 99.2
2nd Quartile Price * 99.8 102.5 103.2 105.0 106.0 105.8
3rd Quartile Price * 100.0 102.5 104.0 105.2 106.9 107.4
4th Quartile Price * 100.2 102.9 104.3 106.0 107.1 108.6
Avg. Price Top 5 Trades * 100.4 102.7 105.0 107.6 109.5 113.4
Standard Deviation * 0.6 0.5 0.7 1.0 1.2 3.9
     VOLUME OF TRADES (000'S) * 147,323.6 104,207.0 82,611.5 14,076.5 8,962.1 5,012.9
     NUMBER OF TRADES * 19 11 59 64 75 84
GNMA
AVERAGE PRICE * 101.5 103.6 106.4 106.8 107.9 109.3
Weighted Avg. Price * 101.3 103.5 105.9 107.5 107.3 112.0
Avg. Price Bottom 5 Trades * 101.0 102.2 101.9 104.2 105.8 94.7
2nd Quartile Price * 101.6 103.3 106.4 105.5 106.8 107.8
3rd Quartile Price * 101.7 103.5 106.9 107.0 107.8 109.8
4th Quartile Price * 101.8 104.3 106.9 108.3 109.3 112.4
Avg. Price Top 5 Trades * 101.8 104.9 107.7 109.6 110.5 120.2
Standard Deviation * 0.5 0.9 1.2 1.8 1.7 5.5
     VOLUME OF TRADES (000'S) * 559,041.8 521,500.3 1,620,777.9 173,284.9 155,577.4 47,336.4
     NUMBER OF TRADES * 17 77 355 36 27 399
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 104.6 0.0 * * *
Weighted Avg. Price 104.9 0.0 * * *
Avg. Price Bottom 5 Trades 104.6 0.0 * * *
2nd Quartile Price 104.2 0.0 * * *
3rd Quartile Price 104.6 0.0 * * *
4th Quartile Price 105.1 0.0 * * *
Avg. Price Top 5 Trades 104.8 0.0 * * *
Standard Deviation 0.4 0.0 * * *
     VOLUME OF TRADES (000'S) 868.3 0.0 * * *
     NUMBER OF TRADES 18 0 * * *
FHLMC
AVERAGE PRICE 104.2 0.0 103.9 0.0 0.0
Weighted Avg. Price 104.6 0.0 104.1 0.0 0.0
Avg. Price Bottom 5 Trades 103.8 0.0 103.9 0.0 0.0
2nd Quartile Price 104.6 0.0 * 0.0 0.0
3rd Quartile Price 104.7 0.0 * 0.0 0.0
4th Quartile Price 105.1 0.0 * 0.0 0.0
Avg. Price Top 5 Trades 104.6 0.0 103.9 0.0 0.0
Standard Deviation 1.4 0.0 0.4 0.0 0.0
     VOLUME OF TRADES (000'S) 286.5 0.0 58,748.3 0.0 0.0
     NUMBER OF TRADES 13 0 29 0 0
GNMA
AVERAGE PRICE 103.5 0.0 0.0 0.0 0.0
Weighted Avg. Price 103.4 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 103.2 0.0 0.0 0.0 0.0
2nd Quartile Price 102.9 0.0 0.0 0.0 0.0
3rd Quartile Price 103.7 0.0 0.0 0.0 0.0
4th Quartile Price 104.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 103.5 0.0 0.0 0.0 0.0
Standard Deviation 0.6 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 4,764.1 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 73 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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