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FINRA-ICE Data Services Structured Trading Activity Reports

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

FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.8 97.8 99.5 100.7 101.6 * 0.0
Weighted Avg. Price 92.8 97.7 99.4 100.8 101.5 * 0.0
Avg. Price Bottom 5 Trades 89.5 97.8 99.3 100.6 101.4 * 0.0
2nd Quartile Price 91.0 * 99.4 100.7 101.5 * 0.0
3rd Quartile Price 93.5 * 99.5 100.8 101.7 * 0.0
4th Quartile Price 96.0 * 99.6 100.8 101.8 * 0.0
Avg. Price Top 5 Trades 96.0 97.8 99.6 100.8 101.8 * 0.0
Standard Deviation 2.3 0.2 0.1 0.1 0.2 * 0.0
     VOLUME OF TRADES (000'S) 1,444,962.6 72,750.0 103,640.8 587,066.2 37,657.3 * 0.0
     NUMBER OF TRADES 109 8 26 33 12 * 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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 93.1 * 99.4 100.7 101.4 * 0.0
Weighted Avg. Price 92.7 * 99.4 100.8 101.7 * 0.0
Avg. Price Bottom 5 Trades 89.2 * 99.2 100.7 101.3 * 0.0
2nd Quartile Price 91.1 * 99.3 100.7 101.3 * 0.0
3rd Quartile Price 93.7 * 99.4 100.7 101.5 * 0.0
4th Quartile Price 96.0 * 99.5 100.8 101.8 * 0.0
Avg. Price Top 5 Trades 96.0 * 99.5 100.8 101.5 * 0.0
Standard Deviation 2.6 * 0.1 0.1 0.2 * 0.0
     VOLUME OF TRADES (000'S) 581,601.6 * 44,200.0 444,600.0 92,457.0 * 0.0
     NUMBER OF TRADES 38 * 14 12 7 * 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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * * 99.3 100.6 * * 0.0
Weighted Avg. Price * * 99.4 100.6 * * 0.0
Avg. Price Bottom 5 Trades * * 99.2 100.5 * * 0.0
2nd Quartile Price * * 99.2 100.5 * * 0.0
3rd Quartile Price * * 99.3 100.6 * * 0.0
4th Quartile Price * * 99.5 100.8 * * 0.0
Avg. Price Top 5 Trades * * 99.4 100.7 * * 0.0
Standard Deviation * * 0.1 0.2 * * 0.0
     VOLUME OF TRADES (000'S) * * 41,250.0 19,100.0 * * 0.0
     NUMBER OF TRADES * * 10 10 * * 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
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 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

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

FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 88.3 94.1 96.7 98.9 100.3 101.4 102.8
Weighted Avg. Price 88.4 94.1 96.8 98.9 100.3 101.4 102.7
Avg. Price Bottom 5 Trades 80.2 93.8 96.5 98.7 100.1 101.2 102.4
2nd Quartile Price 87.6 94.0 96.7 98.8 100.3 101.3 102.4
3rd Quartile Price 87.8 94.1 96.7 98.9 100.3 101.4 102.5
4th Quartile Price 91.0 94.1 96.7 98.9 100.3 101.4 103.3
Avg. Price Top 5 Trades 92.0 94.5 97.5 100.1 101.2 101.8 104.2
Standard Deviation 2.8 0.2 0.2 0.2 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 30,579,666.8 7,833,846.0 13,454,050.7 19,343,124.1 27,501,469.4 24,151,002.5 9,172,261.7
     NUMBER OF TRADES 474 235 277 560 925 533 510
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 90.2 94.9 97.5 99.5 100.7 101.6 102.6
Weighted Avg. Price 90.3 94.9 97.5 99.5 100.7 101.6 102.4
Avg. Price Bottom 5 Trades 86.6 94.6 97.3 99.4 100.5 101.3 102.1
2nd Quartile Price 89.4 94.8 97.4 99.5 100.6 101.4 102.2
3rd Quartile Price 90.6 94.9 97.5 99.5 100.7 101.4 102.3
4th Quartile Price 92.2 94.9 97.6 99.6 100.7 101.5 103.0
Avg. Price Top 5 Trades 92.6 95.3 97.6 100.0 101.6 103.4 105.2
Standard Deviation 2.2 0.2 0.1 0.1 0.2 0.5 0.6
     VOLUME OF TRADES (000'S) 1,421,278.4 768,001.0 1,959,875.0 4,867,486.7 7,726,426.4 2,813,874.5 2,064,142.9
     NUMBER OF TRADES 62 56 63 169 257 175 219
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 88.3 94.2 96.8 98.9 100.2 101.3 102.4
Weighted Avg. Price 88.4 94.2 96.8 98.9 100.3 101.3 102.5
Avg. Price Bottom 5 Trades 81.9 93.8 96.5 98.7 100.1 101.1 102.1
2nd Quartile Price 87.5 94.0 96.6 98.7 100.2 101.2 102.2
3rd Quartile Price 88.0 94.1 96.7 98.8 100.2 101.3 102.2
4th Quartile Price 91.0 94.2 96.8 98.9 100.3 101.3 102.3
Avg. Price Top 5 Trades 91.7 94.8 97.3 99.4 100.7 101.6 103.4
Standard Deviation 2.8 0.3 0.3 0.2 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 26,211,907.6 5,875,837.3 10,985,605.6 11,641,971.0 13,913,499.3 19,814,836.4 5,657,870.0
     NUMBER OF TRADES 209 74 101 108 262 242 179
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 90.8 95.0 97.5 99.5 100.6 101.3 102.2
Weighted Avg. Price 90.1 94.9 97.4 99.6 100.6 101.4 102.3
Avg. Price Bottom 5 Trades 87.9 94.8 97.4 99.3 100.5 101.2 102.0
2nd Quartile Price 89.5 94.8 97.4 99.3 100.5 101.3 102.0
3rd Quartile Price 92.1 95.0 97.4 99.4 100.6 101.3 102.0
4th Quartile Price 92.2 95.0 97.5 99.5 100.6 101.3 102.3
Avg. Price Top 5 Trades 92.6 95.2 97.5 100.0 101.2 101.9 102.8
Standard Deviation 2.0 0.3 0.3 0.2 0.2 0.2 0.3
     VOLUME OF TRADES (000'S) 970,725.4 317,376.0 102,575.0 1,798,718.0 3,031,913.0 1,018,000.0 592,100.0
     NUMBER OF TRADES 22 14 8 58 104 75 50
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 88.3 * 96.6 98.8 100.2 101.2 102.3
Weighted Avg. Price 90.2 * 96.7 98.8 100.2 101.2 102.2
Avg. Price Bottom 5 Trades 87.7 * 96.6 98.7 100.1 101.1 102.1
2nd Quartile Price 87.7 * 96.6 98.7 100.1 101.2 102.1
3rd Quartile Price 90.9 * 96.6 98.8 100.2 101.2 102.1
4th Quartile Price 91.1 * 96.7 98.9 100.2 101.2 102.3
Avg. Price Top 5 Trades 89.1 * 96.7 99.3 100.8 101.4 102.9
Standard Deviation 2.5 * 0.1 0.2 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) 41,825.0 * 43,175.0 474,700.0 2,099,350.0 2,701,400.0 356,750.0
     NUMBER OF TRADES 6 * 9 87 281 171 35
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 * 97.5 99.5 100.5 101.2 102.0
Weighted Avg. Price 0.0 * 97.5 99.6 100.6 101.3 102.0
Avg. Price Bottom 5 Trades 0.0 * 97.4 99.3 100.4 101.1 101.8
2nd Quartile Price 0.0 * 97.4 99.4 100.4 101.2 101.8
3rd Quartile Price 0.0 * 97.4 99.4 100.5 101.2 101.9
4th Quartile Price 0.0 * 97.7 99.6 100.5 101.3 101.9
Avg. Price Top 5 Trades 0.0 * 97.6 100.0 101.1 101.4 102.4
Standard Deviation 0.0 * 0.3 0.2 0.2 0.1 0.2
     VOLUME OF TRADES (000'S) 0.0 * 42,225.0 298,100.0 490,900.0 255,650.0 133,100.0
     NUMBER OF TRADES 0 * 8 46 113 64 33
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 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
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
* 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.