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FINRA-ICE Data Services Structured Trading Activity Reports

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

DECEMBER Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 102.4 104.1 103.9 104.7 105.8 106.1 0.0
Weighted Avg. Price 102.4 104.1 104.0 104.7 105.8 106.1 0.0
Avg. Price Bottom 5 Trades 102.3 104.0 103.9 104.6 105.8 106.1 0.0
2nd Quartile Price 102.4 104.0 103.9 104.6 * * 0.0
3rd Quartile Price 102.4 104.0 103.9 104.6 * * 0.0
4th Quartile Price 102.4 104.1 104.0 104.7 * * 0.0
Avg. Price Top 5 Trades 102.5 104.1 104.0 104.7 105.8 106.1 0.0
Standard Deviation 0.1 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 9,903,215.9 8,452,452.0 662,163.0 280,304.0 3,467.0 12,350.0 0.0
     NUMBER OF TRADES 408 448 84 17 5 5 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
JANUARY Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 102.3 103.9 104.0 104.7 * 0.0 0.0
Weighted Avg. Price 102.3 103.9 104.0 104.8 * 0.0 0.0
Avg. Price Bottom 5 Trades 102.2 103.9 104.0 104.7 * 0.0 0.0
2nd Quartile Price 102.3 103.9 104.0 104.7 * 0.0 0.0
3rd Quartile Price 102.3 103.9 104.0 104.7 * 0.0 0.0
4th Quartile Price 102.4 103.9 104.0 104.8 * 0.0 0.0
Avg. Price Top 5 Trades 102.4 104.0 104.0 104.7 * 0.0 0.0
Standard Deviation 0.1 0.0 0.0 0.1 * 0.0 0.0
     VOLUME OF TRADES (000'S) 2,859,753.0 4,896,120.0 319,242.0 273,869.0 * 0.0 0.0
     NUMBER OF TRADES 86 97 20 9 * 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
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 102.2 103.8 * * 0.0 0.0 0.0
Weighted Avg. Price 102.2 103.8 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 102.1 103.8 * * 0.0 0.0 0.0
2nd Quartile Price 102.2 103.8 * * 0.0 0.0 0.0
3rd Quartile Price 102.2 103.8 * * 0.0 0.0 0.0
4th Quartile Price 102.2 103.8 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 102.3 103.9 * * 0.0 0.0 0.0
Standard Deviation 0.1 0.0 * * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 1,290,950.0 590,250.0 * * 0.0 0.0 0.0
     NUMBER OF TRADES 60 63 * * 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
<= 1.5 2 2.5 3 3.5 4 > 4
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
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 100.9 103.7 104.8 104.4 105.5 106.7 109.0
Weighted Avg. Price 100.9 103.7 104.7 104.4 105.5 106.7 108.7
Avg. Price Bottom 5 Trades 100.8 103.4 104.5 104.4 105.4 106.6 108.3
2nd Quartile Price 100.8 103.6 104.7 104.4 105.4 106.6 108.3
3rd Quartile Price 100.9 103.7 104.8 104.4 105.5 106.7 108.4
4th Quartile Price 100.9 103.7 104.8 104.5 105.5 106.7 110.6
Avg. Price Top 5 Trades 101.5 104.7 104.9 104.5 105.5 106.7 110.7
Standard Deviation 0.1 0.1 0.1 0.0 0.0 0.1 1.1
     VOLUME OF TRADES (000'S) 12,716,768.0 64,922,929.3 28,753,027.8 11,823,385.7 7,357,192.0 5,331,034.4 906,157.0
     NUMBER OF TRADES 582 2,076 928 342 181 152 38
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 0.0 104.4 105.4 104.6 105.8 106.5 107.7
Weighted Avg. Price 0.0 104.4 105.3 104.3 105.5 106.2 107.2
Avg. Price Bottom 5 Trades 0.0 104.0 105.2 104.2 105.5 106.2 107.0
2nd Quartile Price 0.0 104.3 105.2 104.3 105.5 106.3 107.3
3rd Quartile Price 0.0 104.4 105.3 104.3 105.5 106.3 107.4
4th Quartile Price 0.0 104.4 105.3 104.3 105.6 106.3 109.3
Avg. Price Top 5 Trades 0.0 105.5 108.5 108.2 108.4 107.5 108.4
Standard Deviation 0.0 0.3 0.6 1.1 0.8 0.8 1.0
     VOLUME OF TRADES (000'S) 0.0 8,937,393.3 9,128,430.0 1,708,421.1 1,997,124.2 782,215.5 273,714.0
     NUMBER OF TRADES 0 268 324 71 82 47 13
JANUARY Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 100.8 103.5 104.5 104.5 105.6 106.8 109.0
Weighted Avg. Price 100.8 103.5 104.5 104.5 105.6 106.8 108.8
Avg. Price Bottom 5 Trades 100.6 103.4 104.5 104.5 105.5 106.8 108.3
2nd Quartile Price 100.7 103.4 104.5 104.5 105.6 106.8 108.4
3rd Quartile Price 100.8 103.5 104.5 104.5 105.6 106.8 108.4
4th Quartile Price 100.9 103.5 104.6 104.5 105.6 106.8 110.7
Avg. Price Top 5 Trades 101.1 103.7 104.6 104.6 105.6 106.8 109.6
Standard Deviation 0.1 0.1 0.0 0.0 0.0 0.0 1.1
     VOLUME OF TRADES (000'S) 7,888,959.0 38,238,342.0 19,321,240.6 7,190,479.0 6,094,055.0 4,187,724.4 640,244.0
     NUMBER OF TRADES 158 661 324 89 60 59 15
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 * 104.1 105.0 104.4 105.5 106.5 107.4
Weighted Avg. Price * 104.2 105.0 104.4 105.5 106.3 107.2
Avg. Price Bottom 5 Trades * 104.0 104.9 104.3 105.5 106.3 107.1
2nd Quartile Price * 104.1 105.0 104.3 105.5 106.4 107.2
3rd Quartile Price * 104.1 105.0 104.4 105.5 106.4 107.3
4th Quartile Price * 104.2 105.1 104.4 105.5 106.5 108.8
Avg. Price Top 5 Trades * 104.4 105.2 104.4 105.6 106.8 107.6
Standard Deviation * 0.1 0.1 0.0 0.0 0.2 0.6
     VOLUME OF TRADES (000'S) * 6,850,535.0 4,611,146.0 1,012,565.0 1,697,369.0 495,171.0 222,174.0
     NUMBER OF TRADES * 138 118 28 48 28 7
FEBRUARY Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 100.6 103.2 104.4 104.6 105.7 * 0.0
Weighted Avg. Price 100.6 103.3 104.4 104.6 105.7 * 0.0
Avg. Price Bottom 5 Trades 100.5 103.1 104.3 104.6 105.7 * 0.0
2nd Quartile Price 100.5 103.2 104.3 104.6 * * 0.0
3rd Quartile Price 100.6 103.2 104.4 104.6 * * 0.0
4th Quartile Price 100.7 103.3 104.4 104.6 * * 0.0
Avg. Price Top 5 Trades 100.8 103.5 104.4 104.6 105.7 * 0.0
Standard Deviation 0.1 0.1 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 2,426,000.0 10,442,485.0 7,196,000.0 50,200.0 328,400.0 * 0.0
     NUMBER OF TRADES 59 413 168 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 * 103.9 104.8 104.3 105.5 * *
Weighted Avg. Price * 103.9 104.8 104.3 105.5 * *
Avg. Price Bottom 5 Trades * 103.5 104.7 104.3 105.5 * *
2nd Quartile Price * 103.8 104.8 104.3 105.5 * *
3rd Quartile Price * 103.9 104.8 104.3 105.5 * *
4th Quartile Price * 103.9 104.8 104.4 105.6 * *
Avg. Price Top 5 Trades * 104.2 104.9 104.4 105.5 * *
Standard Deviation * 0.2 0.0 0.0 0.1 * *
     VOLUME OF TRADES (000'S) * 4,149,100.0 928,000.0 92,700.0 15,500.0 * *
     NUMBER OF TRADES * 143 55 15 7 * *
MARCH Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
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
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.