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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 100.8 102.8 104.2 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.8 102.8 104.2 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.8 102.8 104.2 0.0 0.0 0.0 0.0
2nd Quartile Price 100.8 102.8 104.2 0.0 0.0 0.0 0.0
3rd Quartile Price 100.8 102.8 104.2 0.0 0.0 0.0 0.0
4th Quartile Price 100.9 102.9 104.2 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.9 102.9 104.2 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) 751,900.0 1,482,586.3 2,304,862.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 95 192 86 0 0 0 0
FHLMC
AVERAGE PRICE 100.9 102.9 104.4 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.8 102.9 104.5 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.9 102.9 104.4 0.0 0.0 0.0 0.0
2nd Quartile Price 100.8 102.9 * 0.0 0.0 0.0 0.0
3rd Quartile Price 100.9 102.9 * 0.0 0.0 0.0 0.0
4th Quartile Price 100.9 102.9 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.9 102.9 104.4 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) 31,325.0 77,342.0 25,153.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 10 15 6 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 100.7 102.7 104.1 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.7 102.7 104.1 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.7 102.7 104.1 0.0 0.0 0.0 0.0
2nd Quartile Price 100.7 102.7 104.1 0.0 0.0 0.0 0.0
3rd Quartile Price 100.7 102.7 104.1 0.0 0.0 0.0 0.0
4th Quartile Price 100.7 102.7 104.1 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.7 102.7 104.1 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) 279,500.0 426,200.0 1,899,500.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 24 22 22 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
DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 100.6 102.6 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.6 102.6 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.6 102.6 * 0.0 0.0 0.0 0.0
2nd Quartile Price 100.6 102.6 * 0.0 0.0 0.0 0.0
3rd Quartile Price 100.6 102.6 * 0.0 0.0 0.0 0.0
4th Quartile Price 100.6 102.6 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.6 102.6 * 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) 259,500.0 178,750.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 28 23 * 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

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
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
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
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
OCTOBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 97.1 100.5 103.2 105.3 107.3 * *
Weighted Avg. Price 97.0 100.5 103.2 105.3 107.3 * *
Avg. Price Bottom 5 Trades 97.1 100.5 103.2 105.3 107.3 * *
2nd Quartile Price * 100.5 103.2 105.3 107.3 * *
3rd Quartile Price * 100.5 103.2 105.3 107.3 * *
4th Quartile Price * 100.6 103.2 105.3 107.3 * *
Avg. Price Top 5 Trades 97.1 100.6 103.3 105.3 107.3 * *
Standard Deviation 0.1 0.0 0.0 0.0 0.0 * *
     VOLUME OF TRADES (000'S) 82,600.0 16,871,021.8 24,439,684.2 21,331,837.4 4,383,875.0 * *
     NUMBER OF TRADES 11 576 1,170 753 244 * *
FHLMC
AVERAGE PRICE 0.0 100.5 103.2 105.3 107.2 0.0 0.0
Weighted Avg. Price 0.0 100.5 103.2 105.3 107.2 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.5 103.2 105.3 107.2 0.0 0.0
2nd Quartile Price 0.0 100.5 103.2 105.3 107.2 0.0 0.0
3rd Quartile Price 0.0 100.5 103.2 105.3 107.2 0.0 0.0
4th Quartile Price 0.0 100.5 103.2 105.3 107.2 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.5 103.3 105.4 107.2 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.1 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 520,859.3 4,278,713.9 2,303,865.3 415,015.0 0.0 0.0
     NUMBER OF TRADES 0 39 107 79 31 0 0
GNMA
AVERAGE PRICE 98.1 101.4 104.0 105.3 106.6 * 0.0
Weighted Avg. Price 98.0 101.4 103.9 105.3 106.5 * 0.0
Avg. Price Bottom 5 Trades 98.1 101.4 103.8 104.2 106.5 * 0.0
2nd Quartile Price * 101.4 103.9 105.2 106.5 * 0.0
3rd Quartile Price * 101.4 103.9 105.2 106.5 * 0.0
4th Quartile Price * 101.5 104.0 105.3 106.5 * 0.0
Avg. Price Top 5 Trades 98.1 101.5 104.5 107.2 108.0 * 0.0
Standard Deviation 0.0 0.0 0.1 0.4 0.5 * 0.0
     VOLUME OF TRADES (000'S) 70,000.0 1,165,012.7 6,189,962.5 3,136,698.6 965,546.0 * 0.0
     NUMBER OF TRADES 6 111 270 206 75 * 0
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 0.0 100.4 103.0 105.1 107.2 0.0 0.0
Weighted Avg. Price 0.0 100.4 103.0 105.1 107.2 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.3 103.0 105.1 107.2 0.0 0.0
2nd Quartile Price 0.0 100.3 103.0 105.1 107.2 0.0 0.0
3rd Quartile Price 0.0 100.4 103.0 105.1 107.2 0.0 0.0
4th Quartile Price 0.0 100.4 103.0 105.2 107.2 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.4 103.1 105.2 107.2 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 10,514,439.3 13,905,263.0 11,647,600.0 1,044,220.0 0.0 0.0
     NUMBER OF TRADES 0 50 192 122 12 0 0
FHLMC
AVERAGE PRICE 0.0 * 103.0 105.2 * 0.0 0.0
Weighted Avg. Price 0.0 * 103.0 105.1 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 103.0 105.2 * 0.0 0.0
2nd Quartile Price 0.0 * 103.0 105.2 * 0.0 0.0
3rd Quartile Price 0.0 * 103.0 105.2 * 0.0 0.0
4th Quartile Price 0.0 * 103.1 105.2 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 103.1 105.2 * 0.0 0.0
Standard Deviation 0.0 * 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 2,034,553.0 598,100.0 * 0.0 0.0
     NUMBER OF TRADES 0 * 30 10 * 0 0
GNMA
AVERAGE PRICE 0.0 101.3 103.8 105.1 106.3 * 0.0
Weighted Avg. Price 0.0 101.3 103.8 105.1 106.3 * 0.0
Avg. Price Bottom 5 Trades 0.0 101.3 103.7 105.1 106.3 * 0.0
2nd Quartile Price 0.0 101.3 103.8 105.1 106.3 * 0.0
3rd Quartile Price 0.0 101.3 103.8 105.2 106.3 * 0.0
4th Quartile Price 0.0 101.3 103.8 105.2 106.3 * 0.0
Avg. Price Top 5 Trades 0.0 101.3 103.8 105.2 106.3 * 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 188,775.0 3,484,291.4 588,150.0 722,685.0 * 0.0
     NUMBER OF TRADES 0 35 122 73 35 * 0
DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 0.0 100.2 102.8 105.0 107.1 0.0 0.0
Weighted Avg. Price 0.0 100.2 102.8 105.0 107.1 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.2 102.8 105.0 107.1 0.0 0.0
2nd Quartile Price 0.0 100.2 102.8 105.0 * 0.0 0.0
3rd Quartile Price 0.0 100.2 102.8 105.0 * 0.0 0.0
4th Quartile Price 0.0 100.2 102.9 105.0 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.2 102.9 105.0 107.1 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) 0.0 156,000.0 4,147,125.0 970,450.0 12,500.0 0.0 0.0
     NUMBER OF TRADES 0 34 159 58 5 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 102.9 * * 0.0 0.0
Weighted Avg. Price 0.0 0.0 102.9 * * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 102.9 * * 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 0.0 0.0 102.9 * * 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 180,000.0 * * 0.0 0.0
     NUMBER OF TRADES 0 0 5 * * 0 0
GNMA
AVERAGE PRICE 0.0 101.2 103.6 105.1 106.1 0.0 0.0
Weighted Avg. Price 0.0 101.2 103.6 105.1 106.1 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 101.1 103.5 105.0 106.1 0.0 0.0
2nd Quartile Price 0.0 101.1 103.6 105.0 106.1 0.0 0.0
3rd Quartile Price 0.0 101.2 103.6 105.1 106.1 0.0 0.0
4th Quartile Price 0.0 101.2 103.6 105.1 106.2 0.0 0.0
Avg. Price Top 5 Trades 0.0 101.2 103.7 105.1 106.1 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) 0.0 157,500.0 623,758.0 371,500.0 69,000.0 0.0 0.0
     NUMBER OF TRADES 0 44 109 37 13 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.