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FINRA-ICE Data Services Structured Trading Activity Reports

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

SEPTEMBER 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
OCTOBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 103.4 105.0 105.4 * 0.0 0.0 0.0
Weighted Avg. Price 103.5 105.0 105.4 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 101.4 105.0 105.4 * 0.0 0.0 0.0
2nd Quartile Price 103.7 105.0 105.4 * 0.0 0.0 0.0
3rd Quartile Price 103.7 105.0 105.4 * 0.0 0.0 0.0
4th Quartile Price 103.7 105.0 105.5 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 103.7 105.1 105.5 * 0.0 0.0 0.0
Standard Deviation 0.8 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 3,987,952.4 1,828,432.6 334,535.1 * 0.0 0.0 0.0
     NUMBER OF TRADES 347 118 21 * 0 0 0
FHLMC
AVERAGE PRICE 102.9 105.1 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 102.8 105.1 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 101.4 105.1 * 0.0 0.0 0.0 0.0
2nd Quartile Price 101.5 105.1 * 0.0 0.0 0.0 0.0
3rd Quartile Price 103.7 105.1 * 0.0 0.0 0.0 0.0
4th Quartile Price 103.7 105.1 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 103.7 105.1 * 0.0 0.0 0.0 0.0
Standard Deviation 1.1 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 508,312.3 178,775.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 38 14 * 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
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 103.3 104.9 105.4 * 0.0 0.0 0.0
Weighted Avg. Price 103.4 104.9 105.4 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 101.3 104.9 105.4 * 0.0 0.0 0.0
2nd Quartile Price 103.5 104.9 * * 0.0 0.0 0.0
3rd Quartile Price 103.5 104.9 * * 0.0 0.0 0.0
4th Quartile Price 103.5 104.9 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 103.5 104.9 105.4 * 0.0 0.0 0.0
Standard Deviation 0.6 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 2,865,110.0 887,850.0 401,100.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 103 31 7 * 0 0 0
FHLMC
AVERAGE PRICE 103.2 * 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 103.4 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 102.9 * 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 103.5 * 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 103.5 * 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 103.5 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 103.5 * 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.8 * 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 555,562.3 * 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 16 * 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
DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 103.1 104.7 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 103.3 104.7 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 101.1 104.7 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 103.3 104.7 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 103.3 104.7 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 103.3 104.7 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 103.3 104.7 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.6 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 1,560,300.0 159,500.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 126 11 0 0 0 0 0
FHLMC
AVERAGE PRICE 103.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 103.2 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 102.8 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 103.3 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 103.3 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 103.3 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 103.3 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.8 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 152,000.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 8 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

SEPTEMBER 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
OCTOBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 101.2 104.1 105.7 107.5 109.6 111.1 *
Weighted Avg. Price 101.2 104.1 105.6 107.5 109.5 111.1 *
Avg. Price Bottom 5 Trades 101.0 104.0 105.6 107.4 109.5 111.1 *
2nd Quartile Price 101.1 104.1 105.6 107.5 109.5 * *
3rd Quartile Price 101.2 104.1 105.6 107.5 109.6 * *
4th Quartile Price 101.2 104.1 105.7 107.5 109.6 * *
Avg. Price Top 5 Trades 101.3 105.2 106.1 108.0 109.6 111.1 *
Standard Deviation 0.3 0.1 0.1 0.1 0.1 0.0 *
     VOLUME OF TRADES (000'S) 1,076,498.1 23,748,348.0 12,853,293.8 6,238,156.6 2,176,089.8 17,773.0 *
     NUMBER OF TRADES 100 1,325 627 274 86 5 *
FHLMC
AVERAGE PRICE 0.0 104.1 105.6 107.4 109.5 * *
Weighted Avg. Price 0.0 104.1 105.6 107.4 109.5 * *
Avg. Price Bottom 5 Trades 0.0 104.0 105.6 107.3 109.5 * *
2nd Quartile Price 0.0 104.1 105.6 107.4 109.5 * *
3rd Quartile Price 0.0 104.1 105.6 107.4 109.5 * *
4th Quartile Price 0.0 104.1 105.6 107.4 109.5 * *
Avg. Price Top 5 Trades 0.0 104.1 105.7 107.4 109.5 * *
Standard Deviation 0.0 0.0 0.1 0.1 0.0 * *
     VOLUME OF TRADES (000'S) 0.0 4,129,530.8 5,413,008.9 1,785,147.7 679,388.0 * *
     NUMBER OF TRADES 0 100 60 52 33 * *
GNMA
AVERAGE PRICE 102.2 104.9 106.3 107.3 108.6 109.3 0.0
Weighted Avg. Price 102.0 104.9 106.3 107.3 108.7 109.9 0.0
Avg. Price Bottom 5 Trades 101.8 104.6 105.8 107.0 108.0 109.3 0.0
2nd Quartile Price 101.9 104.9 106.3 107.2 108.0 * 0.0
3rd Quartile Price 101.9 104.9 106.3 107.2 108.0 * 0.0
4th Quartile Price 102.0 104.9 106.3 107.3 110.4 * 0.0
Avg. Price Top 5 Trades 104.0 105.4 107.0 108.3 109.9 109.3 0.0
Standard Deviation 0.8 0.1 0.2 0.6 1.1 1.3 0.0
     VOLUME OF TRADES (000'S) 188,436.5 11,857,298.6 7,007,822.5 1,231,053.8 119,945.0 59,642.6 0.0
     NUMBER OF TRADES 36 327 161 97 15 5 0
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.9 103.8 105.5 107.4 109.4 * 0.0
Weighted Avg. Price 101.0 103.8 105.5 107.4 109.4 * 0.0
Avg. Price Bottom 5 Trades 100.9 103.7 105.3 107.3 109.4 * 0.0
2nd Quartile Price 100.9 103.8 105.5 107.3 109.4 * 0.0
3rd Quartile Price 101.0 103.9 105.5 107.4 109.4 * 0.0
4th Quartile Price 101.0 103.9 105.5 107.4 109.5 * 0.0
Avg. Price Top 5 Trades 101.0 103.9 105.6 107.4 109.5 * 0.0
Standard Deviation 0.1 0.1 0.2 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 714,000.0 8,472,758.0 5,760,800.0 3,202,778.0 1,444,324.0 * 0.0
     NUMBER OF TRADES 21 296 114 43 31 * 0
FHLMC
AVERAGE PRICE * 103.8 105.5 107.2 109.4 * 0.0
Weighted Avg. Price * 103.9 105.5 107.2 109.4 * 0.0
Avg. Price Bottom 5 Trades * 103.8 105.4 107.2 109.4 * 0.0
2nd Quartile Price * 103.8 105.5 107.2 * * 0.0
3rd Quartile Price * 103.9 105.5 107.2 * * 0.0
4th Quartile Price * 103.9 105.5 107.2 * * 0.0
Avg. Price Top 5 Trades * 103.9 105.5 107.2 109.4 * 0.0
Standard Deviation * 0.0 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) * 1,602,750.0 4,936,642.4 1,708,258.0 514,407.0 * 0.0
     NUMBER OF TRADES * 28 35 32 12 * 0
GNMA
AVERAGE PRICE 101.6 104.7 106.2 107.2 * * 0.0
Weighted Avg. Price 101.7 104.7 106.2 107.2 * * 0.0
Avg. Price Bottom 5 Trades 101.5 104.6 106.1 107.1 * * 0.0
2nd Quartile Price 101.6 104.6 106.2 107.1 * * 0.0
3rd Quartile Price 101.7 104.7 106.2 107.2 * * 0.0
4th Quartile Price 101.7 104.7 106.2 107.2 * * 0.0
Avg. Price Top 5 Trades 101.7 104.8 106.3 107.2 * * 0.0
Standard Deviation 0.1 0.1 0.1 0.1 * * 0.0
     VOLUME OF TRADES (000'S) 52,500.0 12,723,412.0 5,445,400.0 590,650.0 * * 0.0
     NUMBER OF TRADES 12 195 73 41 * * 0
DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.7 103.6 105.4 107.2 * 0.0 0.0
Weighted Avg. Price 100.8 103.6 105.4 107.2 * 0.0 0.0
Avg. Price Bottom 5 Trades 100.6 103.5 105.3 107.2 * 0.0 0.0
2nd Quartile Price 100.7 103.6 105.4 107.2 * 0.0 0.0
3rd Quartile Price 100.7 103.6 105.4 107.2 * 0.0 0.0
4th Quartile Price 100.8 103.7 105.4 107.2 * 0.0 0.0
Avg. Price Top 5 Trades 100.8 103.7 105.4 107.2 * 0.0 0.0
Standard Deviation 0.1 0.1 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 293,500.0 4,042,650.0 1,342,700.0 375,500.0 * 0.0 0.0
     NUMBER OF TRADES 22 399 67 14 * 0 0
FHLMC
AVERAGE PRICE * 103.6 105.3 * 0.0 0.0 0.0
Weighted Avg. Price * 103.6 105.4 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 103.6 105.3 * 0.0 0.0 0.0
2nd Quartile Price * 103.6 105.3 * 0.0 0.0 0.0
3rd Quartile Price * 103.6 105.4 * 0.0 0.0 0.0
4th Quartile Price * 103.7 105.4 * 0.0 0.0 0.0
Avg. Price Top 5 Trades * 103.7 105.4 * 0.0 0.0 0.0
Standard Deviation * 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 469,500.0 127,000.0 * 0.0 0.0 0.0
     NUMBER OF TRADES * 14 9 * 0 0 0
GNMA
AVERAGE PRICE 101.4 104.4 106.1 107.1 0.0 0.0 0.0
Weighted Avg. Price 101.5 104.5 106.1 107.1 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 101.4 104.3 106.0 107.1 0.0 0.0 0.0
2nd Quartile Price 101.4 104.4 106.0 107.1 0.0 0.0 0.0
3rd Quartile Price 101.5 104.4 106.1 107.1 0.0 0.0 0.0
4th Quartile Price 101.5 104.5 106.1 107.1 0.0 0.0 0.0
Avg. Price Top 5 Trades 101.5 104.5 106.2 107.2 0.0 0.0 0.0
Standard Deviation 0.1 0.1 0.1 0.1 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 37,500.0 3,834,607.0 748,950.0 52,500.0 0.0 0.0 0.0
     NUMBER OF TRADES 9 276 59 14 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.