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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 93.9 96.5 98.2 100.1 101.2 * *
Weighted Avg. Price 94.4 97.8 99.2 100.8 101.7 * *
Avg. Price Bottom 5 Trades 90.2 88.0 96.1 97.7 101.1 * *
2nd Quartile Price 93.2 96.5 98.4 100.0 101.0 * *
3rd Quartile Price 94.3 97.3 98.7 100.6 101.4 * *
4th Quartile Price 95.5 98.2 99.1 100.8 101.4 * *
Avg. Price Top 5 Trades 96.6 98.1 99.2 100.9 101.5 * *
Standard Deviation 2.0 2.6 1.3 1.4 0.7 * *
     VOLUME OF TRADES (000'S) 54,702.7 6,042.2 10,032.4 142,683.5 8,288.7 * *
     NUMBER OF TRADES 103 164 31 31 48 * *
FNMA
AVERAGE PRICE 90.5 * 97.9 99.3 0.0 0.0 0.0
Weighted Avg. Price 92.8 * 97.5 97.9 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 86.2 * 96.7 99.3 0.0 0.0 0.0
2nd Quartile Price 86.6 * 97.5 * 0.0 0.0 0.0
3rd Quartile Price 94.4 * 98.5 * 0.0 0.0 0.0
4th Quartile Price 96.6 * 99.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 96.6 * 99.0 99.3 0.0 0.0 0.0
Standard Deviation 7.1 * 1.2 2.7 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 99,733.6 * 67,100.4 61,084.0 0.0 0.0 0.0
     NUMBER OF TRADES 12 * 14 5 0 0 0
FHLMC
AVERAGE PRICE 95.5 94.5 97.8 98.2 * * 0.0
Weighted Avg. Price 95.4 96.4 96.2 100.6 * * 0.0
Avg. Price Bottom 5 Trades 95.3 89.0 96.7 98.2 * * 0.0
2nd Quartile Price 95.5 94.6 95.8 * * * 0.0
3rd Quartile Price 95.5 96.0 98.8 * * * 0.0
4th Quartile Price 95.8 98.2 99.1 * * * 0.0
Avg. Price Top 5 Trades 95.7 97.2 99.0 98.2 * * 0.0
Standard Deviation 0.5 4.5 1.5 4.3 * * 0.0
     VOLUME OF TRADES (000'S) 32,388.5 17.3 139,912.3 3,809.6 * * 0.0
     NUMBER OF TRADES 13 24 20 5 * * 0
GNMA
AVERAGE PRICE 92.7 0.0 * 99.4 * * 0.0
Weighted Avg. Price 91.9 0.0 * 99.8 * * 0.0
Avg. Price Bottom 5 Trades 92.7 0.0 * 99.4 * * 0.0
2nd Quartile Price * 0.0 * * * * 0.0
3rd Quartile Price * 0.0 * * * * 0.0
4th Quartile Price * 0.0 * * * * 0.0
Avg. Price Top 5 Trades 92.7 0.0 * 99.4 * * 0.0
Standard Deviation 1.8 0.0 * 0.8 * * 0.0
     VOLUME OF TRADES (000'S) 4,290.5 0.0 * 5,763.6 * * 0.0
     NUMBER OF TRADES 6 0 * 5 * * 0
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 88.6 92.8 95.0 98.1 100.7 102.1 103.9
Weighted Avg. Price 87.4 94.6 97.4 99.4 100.8 102.1 103.7
Avg. Price Bottom 5 Trades 81.9 84.4 85.8 90.8 98.7 98.9 98.8
2nd Quartile Price 87.5 92.3 93.8 98.3 100.3 101.4 103.1
3rd Quartile Price 88.6 93.8 96.4 98.9 100.7 101.8 103.9
4th Quartile Price 90.6 94.0 96.8 99.4 101.3 103.0 105.1
Avg. Price Top 5 Trades 92.5 96.4 98.8 100.5 102.3 104.8 106.9
Standard Deviation 2.5 2.4 3.0 2.3 0.8 1.4 1.7
     VOLUME OF TRADES (000'S) 622,842.9 120,609.7 214,329.9 986,362.9 1,489,187.4 1,660,334.7 469,049.9
     NUMBER OF TRADES 545 405 350 242 148 210 190
FNMA
AVERAGE PRICE 87.8 * * 0.0 0.0 0.0 0.0
Weighted Avg. Price 86.3 * * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 85.3 * * 0.0 0.0 0.0 0.0
2nd Quartile Price 86.3 * * 0.0 0.0 0.0 0.0
3rd Quartile Price 91.5 * * 0.0 0.0 0.0 0.0
4th Quartile Price 91.5 * * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 88.4 * * 0.0 0.0 0.0 0.0
Standard Deviation 3.9 * * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 399,490.2 * * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 10 * * 0 0 0 0
FHLMC
AVERAGE PRICE 89.0 92.8 94.6 97.6 0.0 * 0.0
Weighted Avg. Price 81.9 93.3 94.8 101.0 0.0 * 0.0
Avg. Price Bottom 5 Trades 82.6 87.2 87.6 95.7 0.0 * 0.0
2nd Quartile Price 89.3 93.0 93.8 97.9 0.0 * 0.0
3rd Quartile Price 90.6 93.6 96.3 99.4 0.0 * 0.0
4th Quartile Price 90.6 93.6 96.6 99.4 0.0 * 0.0
Avg. Price Top 5 Trades 90.7 93.7 97.2 98.8 0.0 * 0.0
Standard Deviation 3.4 2.1 3.2 2.8 0.0 * 0.0
     VOLUME OF TRADES (000'S) 15,449.9 69.8 7,085.0 30,990.4 0.0 * 0.0
     NUMBER OF TRADES 41 50 65 22 0 * 0
GNMA
AVERAGE PRICE 90.4 93.5 97.8 99.9 99.2 101.4 100.4
Weighted Avg. Price 89.6 95.1 98.2 99.7 100.9 101.9 102.5
Avg. Price Bottom 5 Trades 84.4 86.7 84.8 98.9 93.5 89.8 76.3
2nd Quartile Price 87.3 91.1 97.4 99.5 98.6 101.5 101.3
3rd Quartile Price 89.4 94.7 101.3 100.0 100.3 102.4 102.9
4th Quartile Price 91.3 95.1 101.3 100.0 100.8 103.0 103.5
Avg. Price Top 5 Trades 98.1 97.9 100.9 100.2 101.3 103.9 107.0
Standard Deviation 4.9 4.3 5.3 0.6 2.6 3.6 7.8
     VOLUME OF TRADES (000'S) 149,045.4 36,975.2 186,001.8 900,236.0 1,101,756.8 795,393.4 1,104,559.9
     NUMBER OF TRADES 63 28 54 52 73 114 213
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 0.0 * * 99.7
Weighted Avg. Price 0.0 0.0 * * 99.2
Avg. Price Bottom 5 Trades 0.0 0.0 * * 98.9
2nd Quartile Price 0.0 0.0 * * 98.7
3rd Quartile Price 0.0 0.0 * * 98.8
4th Quartile Price 0.0 0.0 * * 101.6
Avg. Price Top 5 Trades 0.0 0.0 * * 100.4
Standard Deviation 0.0 0.0 * * 1.6
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 26,398.4
     NUMBER OF TRADES 0 0 * * 8
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0
GNMA
AVERAGE PRICE * 0.0 * 0.0 0.0
Weighted Avg. Price * 0.0 * 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 * 0.0 0.0
2nd Quartile Price * 0.0 * 0.0 0.0
3rd Quartile Price * 0.0 * 0.0 0.0
4th Quartile Price * 0.0 * 0.0 0.0
Avg. Price Top 5 Trades * 0.0 * 0.0 0.0
Standard Deviation * 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) * 0.0 * 0.0 0.0
     NUMBER OF TRADES * 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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