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FINRA-ICE Data Services Structured Trading Activity Reports

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

JANUARY 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 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
FEBRUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 101.1 102.7 104.1 104.3 0.0 0.0 0.0
Weighted Avg. Price 101.2 102.7 104.1 104.3 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 99.4 102.7 104.1 104.3 0.0 0.0 0.0
2nd Quartile Price 101.3 102.7 104.1 104.3 0.0 0.0 0.0
3rd Quartile Price 101.4 102.8 104.1 104.4 0.0 0.0 0.0
4th Quartile Price 101.4 102.8 104.1 104.4 0.0 0.0 0.0
Avg. Price Top 5 Trades 101.4 102.8 104.1 104.4 0.0 0.0 0.0
Standard Deviation 0.7 0.0 0.0 0.1 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 2,966,022.4 3,307,490.1 1,104,218.2 256,765.0 0.0 0.0 0.0
     NUMBER OF TRADES 351 243 131 26 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
MARCH Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 101.2 102.7 104.0 * 0.0 0.0 0.0
Weighted Avg. Price 101.2 102.7 104.0 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.4 102.7 104.0 * 0.0 0.0 0.0
2nd Quartile Price 101.3 102.7 104.0 * 0.0 0.0 0.0
3rd Quartile Price 101.3 102.7 104.1 * 0.0 0.0 0.0
4th Quartile Price 101.3 102.7 104.1 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 101.3 102.7 104.1 * 0.0 0.0 0.0
Standard Deviation 0.5 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 1,213,375.0 965,147.5 620,000.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 70 36 39 * 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
APRIL Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 101.2 102.5 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 101.2 102.6 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.9 102.5 * 0.0 0.0 0.0 0.0
2nd Quartile Price 101.2 102.6 * 0.0 0.0 0.0 0.0
3rd Quartile Price 101.3 102.6 * 0.0 0.0 0.0 0.0
4th Quartile Price 101.3 102.7 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 101.3 102.6 * 0.0 0.0 0.0 0.0
Standard Deviation 0.3 0.3 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 617,000.0 23,250.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 56 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

JANUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 0.0 102.5 * 0.0 * * 0.0
Weighted Avg. Price 0.0 102.4 * 0.0 * * 0.0
Avg. Price Bottom 5 Trades 0.0 102.5 * 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 0.0 102.5 * 0.0 * * 0.0
Standard Deviation 0.0 0.2 * 0.0 * * 0.0
     VOLUME OF TRADES (000'S) 0.0 38,119.8 * 0.0 * * 0.0
     NUMBER OF TRADES 0 5 * 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
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
FEBRUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.1 102.0 103.1 104.3 105.8 107.1 *
Weighted Avg. Price 100.0 102.0 103.1 104.3 105.8 107.1 *
Avg. Price Bottom 5 Trades 99.9 101.9 103.0 104.3 105.8 107.1 *
2nd Quartile Price 100.0 102.0 103.1 104.3 105.8 107.1 *
3rd Quartile Price 100.1 102.0 103.1 104.3 105.8 107.1 *
4th Quartile Price 100.1 102.0 103.1 104.3 105.8 107.1 *
Avg. Price Top 5 Trades 100.3 102.8 103.3 104.4 105.8 107.1 *
Standard Deviation 0.1 0.1 0.0 0.0 0.0 0.1 *
     VOLUME OF TRADES (000'S) 19,241,370.8 42,598,430.9 23,700,551.4 10,508,076.0 2,066,843.1 280,851.3 *
     NUMBER OF TRADES 1,135 2,048 1,015 448 156 18 *
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 101.1 102.7 103.2 103.8 105.3 106.0 0.0
Weighted Avg. Price 101.1 102.7 103.2 103.7 105.3 105.8 0.0
Avg. Price Bottom 5 Trades 101.1 102.6 103.0 103.7 105.2 105.7 0.0
2nd Quartile Price 101.1 102.7 103.1 103.7 105.3 105.8 0.0
3rd Quartile Price 101.1 102.7 103.2 103.7 105.3 105.9 0.0
4th Quartile Price 101.2 102.8 103.2 103.8 105.3 106.0 0.0
Avg. Price Top 5 Trades 101.2 103.6 103.8 104.4 105.3 106.2 0.0
Standard Deviation 0.0 0.1 0.1 0.4 0.0 0.4 0.0
     VOLUME OF TRADES (000'S) 1,892,951.0 16,251,516.2 6,409,298.4 6,540,299.5 1,735,457.2 10,915.7 0.0
     NUMBER OF TRADES 74 275 248 119 48 9 0
MARCH Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 99.9 101.9 103.1 104.3 105.8 * 0.0
Weighted Avg. Price 99.9 101.9 103.0 104.3 105.7 * 0.0
Avg. Price Bottom 5 Trades 99.8 101.8 103.0 104.3 105.7 * 0.0
2nd Quartile Price 99.9 101.9 103.1 104.3 105.7 * 0.0
3rd Quartile Price 100.0 101.9 103.1 104.3 105.8 * 0.0
4th Quartile Price 100.0 101.9 103.1 104.4 105.8 * 0.0
Avg. Price Top 5 Trades 100.0 101.9 103.1 104.4 105.8 * 0.0
Standard Deviation 0.1 0.0 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 8,296,000.0 15,466,305.5 12,686,749.0 5,804,440.0 1,482,054.0 * 0.0
     NUMBER OF TRADES 124 270 134 82 46 * 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 101.0 102.6 103.1 104.2 105.3 0.0 0.0
Weighted Avg. Price 101.1 102.5 103.1 103.9 105.3 0.0 0.0
Avg. Price Bottom 5 Trades 101.0 102.5 103.0 103.8 105.3 0.0 0.0
2nd Quartile Price 101.0 102.6 103.0 103.8 105.3 0.0 0.0
3rd Quartile Price 101.0 102.6 103.1 103.8 105.3 0.0 0.0
4th Quartile Price 101.1 102.6 103.1 103.9 105.3 0.0 0.0
Avg. Price Top 5 Trades 101.1 102.8 105.0 108.0 105.3 0.0 0.0
Standard Deviation 0.0 0.1 0.3 1.2 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 581,350.0 11,291,851.0 5,511,222.2 3,342,256.2 1,436,000.0 0.0 0.0
     NUMBER OF TRADES 30 174 173 67 29 0 0
APRIL Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 99.9 101.8 103.1 104.3 * 0.0 0.0
Weighted Avg. Price 99.8 101.8 103.1 104.3 * 0.0 0.0
Avg. Price Bottom 5 Trades 99.8 101.7 103.0 104.3 * 0.0 0.0
2nd Quartile Price 99.8 101.8 103.0 104.3 * 0.0 0.0
3rd Quartile Price 99.9 101.8 103.1 104.3 * 0.0 0.0
4th Quartile Price 99.9 101.8 103.1 104.4 * 0.0 0.0
Avg. Price Top 5 Trades 100.0 101.9 103.1 104.4 * 0.0 0.0
Standard Deviation 0.1 0.1 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 2,418,800.0 7,329,750.0 1,525,850.0 43,250.0 * 0.0 0.0
     NUMBER OF TRADES 72 336 67 22 * 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 101.0 102.5 103.0 104.0 105.3 * 0.0
Weighted Avg. Price 101.0 102.5 103.0 104.0 105.3 * 0.0
Avg. Price Bottom 5 Trades 101.0 102.4 103.0 104.0 105.3 * 0.0
2nd Quartile Price 101.0 102.5 103.0 104.0 * * 0.0
3rd Quartile Price 101.0 102.5 103.0 104.0 * * 0.0
4th Quartile Price 101.0 102.5 103.1 104.0 * * 0.0
Avg. Price Top 5 Trades 101.0 102.5 103.1 104.0 105.3 * 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 132,200.0 1,499,757.0 2,103,095.0 52,950.0 94,600.0 * 0.0
     NUMBER OF TRADES 25 175 72 19 8 * 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.