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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 88.8 90.1 84.0 97.1 98.8 99.0 101.2
Weighted Avg. Price 90.7 95.2 96.0 97.6 99.2 100.3 101.2
Avg. Price Bottom 5 Trades 83.4 70.7 67.4 96.4 97.5 96.7 100.9
2nd Quartile Price 86.5 88.0 83.5 96.8 98.9 98.4 100.9
3rd Quartile Price 89.1 94.1 87.0 97.6 99.1 99.8 101.1
4th Quartile Price 90.8 94.1 95.8 97.6 99.2 100.3 101.2
Avg. Price Top 5 Trades 94.5 96.0 96.1 97.7 99.5 100.4 101.5
Standard Deviation 3.1 6.9 19.2 1.2 0.8 1.5 0.5
     VOLUME OF TRADES (000'S) 45,815.9 21,442.1 28,069.3 4,461.1 115,524.4 31,561.5 60,705.0
     NUMBER OF TRADES 97 107 24 16 34 39 16
FNMA
AVERAGE PRICE 90.7 93.5 * * 99.4 101.1 0.0
Weighted Avg. Price 87.2 94.9 * * 99.8 101.5 0.0
Avg. Price Bottom 5 Trades 87.1 93.5 * * 99.4 100.5 0.0
2nd Quartile Price 83.1 * * * * 100.3 0.0
3rd Quartile Price 94.5 * * * * 100.8 0.0
4th Quartile Price 97.0 * * * * 101.8 0.0
Avg. Price Top 5 Trades 93.7 93.5 * * 99.4 101.9 0.0
Standard Deviation 7.1 2.5 * * 1.0 1.1 0.0
     VOLUME OF TRADES (000'S) 14,007.8 3,723.8 * * 96,281.8 49,630.6 0.0
     NUMBER OF TRADES 8 5 * * 5 11 0
FHLMC
AVERAGE PRICE 92.1 92.0 * * 99.2 0.0 *
Weighted Avg. Price 92.8 91.8 * * 99.2 0.0 *
Avg. Price Bottom 5 Trades 90.9 87.4 * * 99.2 0.0 *
2nd Quartile Price 91.2 93.3 * * * 0.0 *
3rd Quartile Price 92.6 93.3 * * * 0.0 *
4th Quartile Price 94.0 93.3 * * * 0.0 *
Avg. Price Top 5 Trades 93.8 92.8 * * 99.2 0.0 *
Standard Deviation 3.0 3.2 * * 0.4 0.0 *
     VOLUME OF TRADES (000'S) 38.9 10.0 * * 5,420.0 0.0 *
     NUMBER OF TRADES 8 24 * * 11 0 *
GNMA
AVERAGE PRICE * * * 0.0 * 100.1 *
Weighted Avg. Price * * * 0.0 * 100.1 *
Avg. Price Bottom 5 Trades * * * 0.0 * 100.1 *
2nd Quartile Price * * * 0.0 * * *
3rd Quartile Price * * * 0.0 * * *
4th Quartile Price * * * 0.0 * * *
Avg. Price Top 5 Trades * * * 0.0 * 100.1 *
Standard Deviation * * * 0.0 * 0.2 *
     VOLUME OF TRADES (000'S) * * * 0.0 * 1,043.3 *
     NUMBER OF TRADES * * * 0 * 5 *
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 82.7 87.0 89.3 91.2 96.0 98.0 101.0
Weighted Avg. Price 81.6 88.4 91.7 94.0 96.4 98.8 101.4
Avg. Price Bottom 5 Trades 73.5 66.3 58.1 19.0 93.6 78.1 78.7
2nd Quartile Price 81.2 86.8 89.2 93.2 95.9 98.3 100.3
3rd Quartile Price 82.4 87.8 90.6 93.7 96.3 98.5 101.6
4th Quartile Price 84.6 88.0 91.0 93.8 96.4 98.9 102.7
Avg. Price Top 5 Trades 91.4 94.1 94.7 98.2 98.5 100.3 105.0
Standard Deviation 2.7 3.1 4.7 12.2 0.9 4.3 7.5
     VOLUME OF TRADES (000'S) 1,365,040.7 619,219.3 63,902.1 170,385.6 257,874.0 4,923,665.0 14,518,503.7
     NUMBER OF TRADES 837 501 368 202 172 259 386
FNMA
AVERAGE PRICE 79.7 * * * 0.0 0.0 101.6
Weighted Avg. Price 79.5 * * * 0.0 0.0 101.4
Avg. Price Bottom 5 Trades 77.6 * * * 0.0 0.0 101.4
2nd Quartile Price 78.1 * * * 0.0 0.0 102.0
3rd Quartile Price 78.3 * * * 0.0 0.0 102.1
4th Quartile Price 79.5 * * * 0.0 0.0 102.7
Avg. Price Top 5 Trades 82.3 * * * 0.0 0.0 102.1
Standard Deviation 4.1 * * * 0.0 0.0 1.1
     VOLUME OF TRADES (000'S) 12,052.8 * * * 0.0 0.0 1,777.6
     NUMBER OF TRADES 16 * * * 0 0 6
FHLMC
AVERAGE PRICE 84.1 84.8 84.0 81.4 95.1 * 96.9
Weighted Avg. Price 87.3 94.4 90.5 89.4 93.7 * 102.5
Avg. Price Bottom 5 Trades 79.0 76.5 54.8 71.2 95.1 * 93.3
2nd Quartile Price 82.7 81.2 83.0 81.0 * * 99.0
3rd Quartile Price 84.5 86.2 90.9 93.7 * * 101.8
4th Quartile Price 84.5 87.9 90.9 93.7 * * 102.5
Avg. Price Top 5 Trades 88.9 89.2 91.2 85.6 95.1 * 101.9
Standard Deviation 3.1 5.3 12.8 17.9 2.0 * 8.6
     VOLUME OF TRADES (000'S) 22,924.1 1,960.7 30.7 2.8 3.7 * 1,171.3
     NUMBER OF TRADES 37 28 38 11 5 * 10
GNMA
AVERAGE PRICE 83.0 88.4 93.0 94.4 94.5 97.6 101.5
Weighted Avg. Price 86.0 89.6 92.8 94.8 97.0 99.1 101.0
Avg. Price Bottom 5 Trades 75.4 87.0 91.3 92.6 69.5 79.8 89.2
2nd Quartile Price 80.8 88.2 91.9 94.5 94.7 98.1 100.4
3rd Quartile Price 83.5 89.4 92.4 94.6 96.9 99.1 101.7
4th Quartile Price 86.3 90.2 93.1 94.8 97.2 99.2 103.1
Avg. Price Top 5 Trades 87.4 90.7 96.9 95.7 98.9 101.2 109.1
Standard Deviation 3.3 2.3 1.9 1.0 10.3 4.4 3.3
     VOLUME OF TRADES (000'S) 785,658.5 59,269.6 24,671.4 706,233.4 658,168.4 1,410,840.9 4,553,067.3
     NUMBER OF TRADES 86 21 48 53 116 145 507
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 * * *
Weighted Avg. Price 0.0 0.0 * * *
Avg. Price Bottom 5 Trades 0.0 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 0.0 0.0 * * *
Standard Deviation 0.0 0.0 * * *
     VOLUME OF TRADES (000'S) 0.0 0.0 * * *
     NUMBER OF TRADES 0 0 * * *
FHLMC
AVERAGE PRICE 0.0 0.0 95.6 * 96.2
Weighted Avg. Price 0.0 0.0 95.6 * 95.5
Avg. Price Bottom 5 Trades 0.0 0.0 95.6 * 95.9
2nd Quartile Price 0.0 0.0 * * 94.4
3rd Quartile Price 0.0 0.0 * * 97.8
4th Quartile Price 0.0 0.0 * * 98.0
Avg. Price Top 5 Trades 0.0 0.0 95.6 * 96.8
Standard Deviation 0.0 0.0 0.1 * 1.9
     VOLUME OF TRADES (000'S) 0.0 0.0 5,395.5 * 654.7
     NUMBER OF TRADES 0 0 8 * 8
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 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 [email protected].

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