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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO

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

DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.2 102.8 104.2 * 0.0 0.0 0.0
Weighted Avg. Price 100.3 102.8 104.1 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.5 102.7 104.1 * 0.0 0.0 0.0
2nd Quartile Price 100.3 102.8 104.1 * 0.0 0.0 0.0
3rd Quartile Price 100.3 102.8 104.2 * 0.0 0.0 0.0
4th Quartile Price 100.4 102.9 104.2 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.9 103.0 104.2 * 0.0 0.0 0.0
Standard Deviation 0.6 0.1 0.1 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 5,233,408.1 2,805,393.6 112,719.9 * 0.0 0.0 0.0
     NUMBER OF TRADES 347 190 31 * 0 0 0
FHLMC
AVERAGE PRICE 99.9 102.8 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.2 102.8 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.5 102.7 * 0.0 0.0 0.0 0.0
2nd Quartile Price 100.2 102.8 * 0.0 0.0 0.0 0.0
3rd Quartile Price 100.3 102.8 * 0.0 0.0 0.0 0.0
4th Quartile Price 100.3 102.8 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.4 102.8 * 0.0 0.0 0.0 0.0
Standard Deviation 1.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 793,199.0 171,176.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 41 19 * 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
JANUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.0 102.6 104.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.0 102.6 104.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.4 102.5 104.0 0.0 0.0 0.0 0.0
2nd Quartile Price 100.1 102.6 * 0.0 0.0 0.0 0.0
3rd Quartile Price 100.2 102.7 * 0.0 0.0 0.0 0.0
4th Quartile Price 100.2 102.7 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.3 102.7 104.0 0.0 0.0 0.0 0.0
Standard Deviation 0.6 0.1 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 2,798,707.0 2,235,790.5 38,405.9 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 99 65 5 0 0 0 0
FHLMC
AVERAGE PRICE 99.2 * 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 99.8 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 99.2 * 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 99.2 * 0.0 0.0 0.0 0.0 0.0
Standard Deviation 1.4 * 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 149,000.0 * 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 6 * 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 100.0 102.5 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.1 102.6 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.0 102.4 * 0.0 0.0 0.0 0.0
2nd Quartile Price 100.0 102.5 * 0.0 0.0 0.0 0.0
3rd Quartile Price 100.0 102.5 * 0.0 0.0 0.0 0.0
4th Quartile Price 100.1 102.6 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.1 102.6 * 0.0 0.0 0.0 0.0
Standard Deviation 0.1 0.1 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 341,900.0 274,000.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 22 48 * 0 0 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
MARCH 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

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

DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 95.2 99.5 102.6 105.3 107.8 109.6 112.2
Weighted Avg. Price 95.3 99.5 102.6 105.3 107.8 109.5 112.8
Avg. Price Bottom 5 Trades 95.1 99.2 102.1 105.1 107.6 109.5 111.7
2nd Quartile Price 94.9 99.4 102.6 105.2 107.8 109.5 111.7
3rd Quartile Price 95.3 99.5 102.6 105.3 107.8 109.6 111.8
4th Quartile Price 95.4 99.6 102.7 105.3 107.8 109.7 113.4
Avg. Price Top 5 Trades 95.5 101.5 103.0 105.4 107.9 109.6 112.6
Standard Deviation 0.2 0.2 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 1,096,846.0 29,921,858.1 25,056,449.8 12,444,583.6 3,175,950.8 249,782.0 130,288.0
     NUMBER OF TRADES 43 1,241 1,149 541 134 12 11
FHLMC
AVERAGE PRICE 95.2 99.4 102.6 105.1 107.6 * 111.9
Weighted Avg. Price 95.0 99.4 102.6 105.2 107.6 * 111.4
Avg. Price Bottom 5 Trades 95.0 99.2 102.4 104.8 107.6 * 111.9
2nd Quartile Price 95.0 99.4 102.5 105.1 107.6 * *
3rd Quartile Price 95.2 99.4 102.6 105.2 107.6 * *
4th Quartile Price 95.4 99.5 102.6 105.2 107.7 * *
Avg. Price Top 5 Trades 95.3 99.6 102.7 105.3 107.7 * 111.9
Standard Deviation 0.2 0.1 0.1 0.2 0.0 * 1.3
     VOLUME OF TRADES (000'S) 156,000.0 4,009,668.7 2,984,217.3 3,765,185.7 774,361.0 * 61,640.0
     NUMBER OF TRADES 12 106 85 87 32 * 5
GNMA
AVERAGE PRICE 97.1 101.4 104.2 106.1 107.1 * *
Weighted Avg. Price 97.0 101.5 104.1 106.1 107.0 * *
Avg. Price Bottom 5 Trades 97.0 100.9 103.8 105.9 107.0 * *
2nd Quartile Price 96.8 101.4 104.1 106.0 107.0 * *
3rd Quartile Price 97.2 101.5 104.2 106.1 107.0 * *
4th Quartile Price 97.3 101.5 104.3 106.1 107.1 * *
Avg. Price Top 5 Trades 97.3 101.8 104.4 106.5 107.3 * *
Standard Deviation 0.2 0.2 0.1 0.1 0.3 * *
     VOLUME OF TRADES (000'S) 138,895.6 5,202,158.5 3,434,853.4 2,395,767.6 246,136.2 * *
     NUMBER OF TRADES 20 308 233 137 27 * *
JANUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 95.0 99.3 102.5 105.1 107.7 109.4 112.4
Weighted Avg. Price 95.1 99.3 102.5 105.1 107.7 109.4 112.7
Avg. Price Bottom 5 Trades 95.0 99.1 102.2 104.9 107.5 109.4 112.1
2nd Quartile Price * 99.3 102.4 105.0 107.6 * 111.6
3rd Quartile Price * 99.3 102.5 105.1 107.7 * 111.9
4th Quartile Price * 99.4 102.6 105.2 107.7 * 113.3
Avg. Price Top 5 Trades 95.0 99.6 102.6 105.2 107.7 109.4 112.6
Standard Deviation 0.2 0.1 0.1 0.1 0.1 0.1 1.0
     VOLUME OF TRADES (000'S) 567,900.0 20,219,332.3 16,491,357.8 9,633,972.4 2,817,260.1 242,850.0 131,444.0
     NUMBER OF TRADES 15 328 330 181 54 6 8
FHLMC
AVERAGE PRICE 94.8 99.2 102.4 105.0 107.5 * *
Weighted Avg. Price 94.7 99.2 102.4 105.0 107.5 * *
Avg. Price Bottom 5 Trades 94.8 99.0 102.2 104.8 107.5 * *
2nd Quartile Price * 99.2 102.3 105.0 107.5 * *
3rd Quartile Price * 99.3 102.4 105.0 107.5 * *
4th Quartile Price * 99.3 102.5 105.1 107.6 * *
Avg. Price Top 5 Trades 94.8 99.4 102.5 105.1 107.5 * *
Standard Deviation 0.1 0.1 0.1 0.1 0.0 * *
     VOLUME OF TRADES (000'S) 112,000.0 2,787,516.7 1,761,406.9 3,354,182.9 714,091.0 * *
     NUMBER OF TRADES 5 55 61 80 28 * *
GNMA
AVERAGE PRICE * 101.2 104.0 105.9 * 0.0 0.0
Weighted Avg. Price * 101.2 103.9 105.9 * 0.0 0.0
Avg. Price Bottom 5 Trades * 101.0 103.7 105.7 * 0.0 0.0
2nd Quartile Price * 101.1 103.9 105.8 * 0.0 0.0
3rd Quartile Price * 101.2 104.0 105.9 * 0.0 0.0
4th Quartile Price * 101.3 104.1 105.9 * 0.0 0.0
Avg. Price Top 5 Trades * 101.4 104.2 106.0 * 0.0 0.0
Standard Deviation * 0.1 0.1 0.1 * 0.0 0.0
     VOLUME OF TRADES (000'S) * 3,607,287.7 3,563,985.6 558,138.3 * 0.0 0.0
     NUMBER OF TRADES * 140 157 83 * 0 0
FEBRUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 0.0 99.2 102.3 104.9 107.5 0.0 0.0
Weighted Avg. Price 0.0 99.2 102.3 104.9 107.5 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 99.0 102.1 104.7 107.5 0.0 0.0
2nd Quartile Price 0.0 99.1 102.2 104.9 * 0.0 0.0
3rd Quartile Price 0.0 99.1 102.2 104.9 * 0.0 0.0
4th Quartile Price 0.0 99.3 102.4 105.0 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 99.3 102.4 105.1 107.5 0.0 0.0
Standard Deviation 0.0 0.3 0.1 0.1 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 2,792,200.0 3,609,200.0 1,134,700.0 5,050.0 0.0 0.0
     NUMBER OF TRADES 0 58 244 98 5 0 0
FHLMC
AVERAGE PRICE 0.0 99.1 102.2 104.8 * 0.0 0.0
Weighted Avg. Price 0.0 99.1 102.3 104.8 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 99.1 102.1 104.7 * 0.0 0.0
2nd Quartile Price 0.0 99.1 102.1 104.6 * 0.0 0.0
3rd Quartile Price 0.0 99.2 102.2 104.8 * 0.0 0.0
4th Quartile Price 0.0 99.2 102.3 104.9 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 99.1 102.3 104.9 * 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.1 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 81,000.0 1,188,000.0 370,000.0 * 0.0 0.0
     NUMBER OF TRADES 0 11 26 20 * 0 0
GNMA
AVERAGE PRICE 0.0 101.0 103.8 105.7 107.1 0.0 0.0
Weighted Avg. Price 0.0 101.0 103.8 105.7 107.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.8 103.6 105.6 106.8 0.0 0.0
2nd Quartile Price 0.0 100.9 103.8 105.6 106.8 0.0 0.0
3rd Quartile Price 0.0 100.9 103.8 105.7 106.9 0.0 0.0
4th Quartile Price 0.0 101.1 103.9 105.8 108.4 0.0 0.0
Avg. Price Top 5 Trades 0.0 101.1 104.0 105.8 107.1 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.1 0.6 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 822,500.0 1,967,760.0 199,700.0 33,000.0 0.0 0.0
     NUMBER OF TRADES 0 45 174 44 7 0 0
MARCH 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
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
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
* 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.