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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

APRIL Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 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 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 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 0.0 0.0
Standard Deviation 0.0 0.0 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 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 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 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 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 0.0
Standard Deviation 0.0 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 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 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 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 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 0.0 0.0
Standard Deviation 0.0 0.0 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 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MAY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.5 102.9 104.5 0.0 0.0 0.0 0.0
Weighted Avg. Price 99.8 102.8 104.5 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 99.9 102.7 104.4 0.0 0.0 0.0 0.0
2nd Quartile Price 100.5 102.9 104.5 0.0 0.0 0.0 0.0
3rd Quartile Price 100.6 102.9 104.5 0.0 0.0 0.0 0.0
4th Quartile Price 100.6 102.9 104.5 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.6 102.9 104.5 0.0 0.0 0.0 0.0
Standard Deviation 0.3 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 1,912,836.0 2,772,947.6 1,263,351.9 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 141 198 62 0 0 0 0
FHLMC
AVERAGE PRICE 100.5 102.9 104.5 0.0 0.0 0.0 0.0
Weighted Avg. Price 99.2 102.9 104.5 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.2 102.8 104.5 0.0 0.0 0.0 0.0
2nd Quartile Price 100.5 102.8 104.5 0.0 0.0 0.0 0.0
3rd Quartile Price 100.5 102.9 104.5 0.0 0.0 0.0 0.0
4th Quartile Price 100.6 102.9 104.6 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.6 102.9 104.6 0.0 0.0 0.0 0.0
Standard Deviation 0.5 0.1 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 743,850.0 885,670.0 64,700.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 28 40 8 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 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 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 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 0.0 0.0
Standard Deviation 0.0 0.0 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 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JUNE Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.3 102.7 104.3 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.3 102.6 104.3 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.1 102.6 104.3 0.0 0.0 0.0 0.0
2nd Quartile Price 100.3 102.7 104.3 0.0 0.0 0.0 0.0
3rd Quartile Price 100.4 102.7 104.3 0.0 0.0 0.0 0.0
4th Quartile Price 100.4 102.7 104.3 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.4 102.7 104.3 0.0 0.0 0.0 0.0
Standard Deviation 0.5 0.1 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 537,710.0 1,269,950.0 719,000.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 27 51 15 0 0 0 0
FHLMC
AVERAGE PRICE 100.4 102.7 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.4 102.7 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.4 102.7 * 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 100.4 102.7 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.1 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 120,000.0 447,000.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 7 12 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 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 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 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 0.0 0.0
Standard Deviation 0.0 0.0 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 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JULY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.3 102.5 104.1 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.3 102.6 104.2 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.2 102.5 104.1 0.0 0.0 0.0 0.0
2nd Quartile Price 100.2 102.5 104.1 0.0 0.0 0.0 0.0
3rd Quartile Price 100.3 102.6 104.1 0.0 0.0 0.0 0.0
4th Quartile Price 100.3 102.6 104.2 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.3 102.6 104.2 0.0 0.0 0.0 0.0
Standard Deviation 0.1 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 155,819.0 102,142.0 92,500.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 10 38 11 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 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 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 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 0.0 0.0
Standard Deviation 0.0 0.0 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 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 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 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 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 0.0 0.0
Standard Deviation 0.0 0.0 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 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

APRIL Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE * * 103.5 * * 0.0 0.0
Weighted Avg. Price * * 103.4 * * 0.0 0.0
Avg. Price Bottom 5 Trades * * 103.5 * * 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 * * 103.5 * * 0.0 0.0
Standard Deviation * * 0.2 * * 0.0 0.0
     VOLUME OF TRADES (000'S) * * 445,551.8 * * 0.0 0.0
     NUMBER OF TRADES * * 5 * * 0 0
FHLMC
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
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 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 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 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 0.0 0.0
Standard Deviation 0.0 0.0 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 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MAY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 96.3 99.9 102.7 105.2 107.5 * *
Weighted Avg. Price 96.4 99.8 102.7 105.2 107.5 * *
Avg. Price Bottom 5 Trades 96.3 99.7 102.6 105.0 107.4 * *
2nd Quartile Price * 99.8 102.7 105.2 107.5 * *
3rd Quartile Price * 99.9 102.8 105.3 107.6 * *
4th Quartile Price * 99.9 102.8 105.3 107.6 * *
Avg. Price Top 5 Trades 96.3 100.2 103.1 105.9 107.6 * *
Standard Deviation 0.1 0.1 0.1 0.1 0.0 * *
     VOLUME OF TRADES (000'S) 42,022.0 11,508,139.0 18,937,648.6 16,215,353.6 2,365,057.6 * *
     NUMBER OF TRADES 8 386 958 587 171 * *
FHLMC
AVERAGE PRICE * 99.8 102.7 105.2 107.4 * 0.0
Weighted Avg. Price * 99.8 102.7 105.2 107.4 * 0.0
Avg. Price Bottom 5 Trades * 99.6 102.5 105.1 107.4 * 0.0
2nd Quartile Price * 99.7 102.7 105.2 107.4 * 0.0
3rd Quartile Price * 99.8 102.7 105.2 107.4 * 0.0
4th Quartile Price * 99.8 102.8 105.2 107.5 * 0.0
Avg. Price Top 5 Trades * 99.8 102.8 105.2 107.4 * 0.0
Standard Deviation * 0.1 0.1 0.1 0.1 * 0.0
     VOLUME OF TRADES (000'S) * 634,400.0 5,365,858.8 1,737,832.0 308,631.6 * 0.0
     NUMBER OF TRADES * 28 110 46 18 * 0
GNMA
AVERAGE PRICE 99.8 101.4 103.9 105.7 106.8 * *
Weighted Avg. Price 98.0 101.3 103.9 105.6 106.8 * *
Avg. Price Bottom 5 Trades 99.4 101.2 103.7 105.5 106.7 * *
2nd Quartile Price 99.8 101.3 103.8 105.6 106.7 * *
3rd Quartile Price 101.6 101.4 103.9 105.7 106.8 * *
4th Quartile Price 101.6 101.4 103.9 105.7 106.8 * *
Avg. Price Top 5 Trades 100.2 102.0 104.7 106.1 107.3 * *
Standard Deviation 1.7 0.3 0.1 0.1 0.2 * *
     VOLUME OF TRADES (000'S) 114,227.2 7,256,248.6 14,200,070.3 10,123,747.2 615,525.4 * *
     NUMBER OF TRADES 6 102 329 261 76 * *
JUNE Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE * 99.6 102.5 105.0 107.3 0.0 *
Weighted Avg. Price * 99.6 102.5 105.0 107.3 0.0 *
Avg. Price Bottom 5 Trades * 99.5 102.4 104.9 107.3 0.0 *
2nd Quartile Price * 99.6 102.5 105.0 107.3 0.0 *
3rd Quartile Price * 99.6 102.6 105.0 107.3 0.0 *
4th Quartile Price * 99.7 102.6 105.1 107.4 0.0 *
Avg. Price Top 5 Trades * 99.8 102.6 105.1 107.4 0.0 *
Standard Deviation * 0.1 0.1 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) * 7,320,394.0 9,396,739.1 9,708,028.0 1,122,343.0 0.0 *
     NUMBER OF TRADES * 69 181 156 37 0 *
FHLMC
AVERAGE PRICE * 99.6 102.5 105.0 107.2 0.0 0.0
Weighted Avg. Price * 99.6 102.5 105.0 107.2 0.0 0.0
Avg. Price Bottom 5 Trades * 99.5 102.4 104.9 107.2 0.0 0.0
2nd Quartile Price * 99.5 102.5 105.0 * 0.0 0.0
3rd Quartile Price * 99.7 102.5 105.0 * 0.0 0.0
4th Quartile Price * 99.7 102.6 105.0 * 0.0 0.0
Avg. Price Top 5 Trades * 99.6 102.6 105.0 107.2 0.0 0.0
Standard Deviation * 0.1 0.1 0.1 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) * 459,188.0 2,263,404.0 803,170.0 108,180.0 0.0 0.0
     NUMBER OF TRADES * 10 40 17 5 0 0
GNMA
AVERAGE PRICE 0.0 101.2 103.6 105.4 106.6 0.0 *
Weighted Avg. Price 0.0 101.2 103.6 105.4 106.6 0.0 *
Avg. Price Bottom 5 Trades 0.0 101.0 103.5 105.3 106.6 0.0 *
2nd Quartile Price 0.0 101.2 103.6 105.4 106.6 0.0 *
3rd Quartile Price 0.0 101.2 103.7 105.4 106.6 0.0 *
4th Quartile Price 0.0 101.2 103.7 105.5 106.6 0.0 *
Avg. Price Top 5 Trades 0.0 101.2 103.8 105.5 106.6 0.0 *
Standard Deviation 0.0 0.1 0.1 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) 0.0 3,959,500.0 11,827,470.0 7,478,198.0 222,765.0 0.0 *
     NUMBER OF TRADES 0 36 164 125 18 0 *
JULY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 0.0 99.5 102.4 104.8 107.2 0.0 0.0
Weighted Avg. Price 0.0 99.4 102.4 104.8 107.2 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 99.4 102.2 104.7 107.1 0.0 0.0
2nd Quartile Price 0.0 99.4 102.3 104.8 107.1 0.0 0.0
3rd Quartile Price 0.0 99.5 102.4 104.8 107.2 0.0 0.0
4th Quartile Price 0.0 99.5 102.4 104.9 107.2 0.0 0.0
Avg. Price Top 5 Trades 0.0 99.6 102.4 104.9 107.2 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 952,150.0 3,936,396.0 576,200.0 289,000.0 0.0 0.0
     NUMBER OF TRADES 0 22 209 94 13 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 104.8 * 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 104.8 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 104.8 * 0.0 0.0
2nd Quartile Price 0.0 0.0 * 104.8 * 0.0 0.0
3rd Quartile Price 0.0 0.0 * 104.8 * 0.0 0.0
4th Quartile Price 0.0 0.0 * 104.8 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 104.8 * 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 * 279,950.0 * 0.0 0.0
     NUMBER OF TRADES 0 0 * 7 * 0 0
GNMA
AVERAGE PRICE 0.0 101.0 103.5 105.2 106.4 0.0 0.0
Weighted Avg. Price 0.0 101.0 103.4 105.2 106.4 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.9 103.3 105.2 106.4 0.0 0.0
2nd Quartile Price 0.0 101.0 103.5 105.2 106.4 0.0 0.0
3rd Quartile Price 0.0 101.0 103.5 105.3 106.4 0.0 0.0
4th Quartile Price 0.0 101.0 103.5 105.3 106.6 0.0 0.0
Avg. Price Top 5 Trades 0.0 101.1 103.5 105.3 106.5 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.0 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 154,500.0 2,453,775.0 872,900.0 17,200.0 0.0 0.0
     NUMBER OF TRADES 0 39 198 79 7 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.