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FINRA-ICE Data Services Structured Trading Activity Reports

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

OCTOBER 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
NOVEMBER Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 100.3 102.3 103.8 104.9 * * 0.0
Weighted Avg. Price 100.2 102.3 103.8 104.8 * * 0.0
Avg. Price Bottom 5 Trades 100.2 102.3 103.8 104.9 * * 0.0
2nd Quartile Price 100.2 102.3 103.8 104.9 * * 0.0
3rd Quartile Price 100.3 102.3 103.8 104.9 * * 0.0
4th Quartile Price 100.3 102.4 103.9 105.0 * * 0.0
Avg. Price Top 5 Trades 100.3 102.4 103.9 105.0 * * 0.0
Standard Deviation 0.0 0.0 0.0 0.1 * * 0.0
     VOLUME OF TRADES (000'S) 3,595,929.7 2,449,264.7 917,856.0 90,950.0 * * 0.0
     NUMBER OF TRADES 248 183 73 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
DECEMBER Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 100.1 102.2 103.8 * 0.0 0.0 0.0
Weighted Avg. Price 100.1 102.2 103.8 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.0 102.1 103.7 * 0.0 0.0 0.0
2nd Quartile Price 100.0 102.1 103.7 * 0.0 0.0 0.0
3rd Quartile Price 100.1 102.2 103.8 * 0.0 0.0 0.0
4th Quartile Price 100.1 102.2 103.8 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.1 102.2 103.8 * 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) 1,100,782.0 2,093,750.0 811,475.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 26 44 21 * 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
JANUARY Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 99.9 102.0 103.6 * 0.0 0.0 0.0
Weighted Avg. Price 99.9 102.0 103.6 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 99.8 101.9 103.6 * 0.0 0.0 0.0
2nd Quartile Price 99.8 101.9 * * 0.0 0.0 0.0
3rd Quartile Price 99.9 102.0 * * 0.0 0.0 0.0
4th Quartile Price 99.9 102.0 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 99.9 102.0 103.6 * 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) 59,100.0 731,700.0 31,300.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 11 30 8 * 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

OCTOBER Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 0.0 100.1 103.4 * 0.0 0.0 0.0
Weighted Avg. Price 0.0 99.5 102.9 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.1 103.4 * 0.0 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 0.0 100.1 103.4 * 0.0 0.0 0.0
Standard Deviation 0.0 0.9 0.8 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 456,517.4 254,300.1 * 0.0 0.0 0.0
     NUMBER OF TRADES 0 7 5 * 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 * 112.3
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 * 111.9
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 * 109.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 * 109.1
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 * 113.4
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 * 115.7
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 * 115.6
Standard Deviation 0.0 0.0 0.0 0.0 0.0 * 3.4
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 * 25,584.3
     NUMBER OF TRADES 0 0 0 0 0 * 12
NOVEMBER Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 96.2 99.3 102.1 104.2 105.9 107.3 108.9
Weighted Avg. Price 96.1 99.3 102.1 104.2 105.9 107.3 108.4
Avg. Price Bottom 5 Trades 95.9 99.1 102.0 104.1 105.8 107.2 108.1
2nd Quartile Price 96.0 99.3 102.1 104.1 105.8 107.3 108.2
3rd Quartile Price 96.1 99.3 102.1 104.2 105.9 107.3 108.3
4th Quartile Price 96.1 99.3 102.2 104.2 105.9 107.3 110.1
Avg. Price Top 5 Trades 96.8 99.5 102.7 107.1 106.5 107.3 109.9
Standard Deviation 0.6 0.1 0.1 0.4 0.3 0.1 1.0
     VOLUME OF TRADES (000'S) 891,460.2 23,312,778.8 34,440,538.2 11,093,925.1 2,154,176.5 6,545,774.9 413,106.8
     NUMBER OF TRADES 26 1,013 1,218 513 121 106 21
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 97.2 100.6 102.4 103.6 104.8 106.2 *
Weighted Avg. Price 97.2 100.6 102.3 103.6 104.8 106.1 *
Avg. Price Bottom 5 Trades 97.2 100.5 102.2 103.4 104.6 106.1 *
2nd Quartile Price * 100.6 102.3 103.5 104.7 106.1 *
3rd Quartile Price * 100.6 102.4 103.5 104.8 106.2 *
4th Quartile Price * 100.6 102.4 103.6 104.8 106.3 *
Avg. Price Top 5 Trades 97.2 100.7 102.7 105.5 105.3 106.2 *
Standard Deviation 0.1 0.1 0.1 0.4 0.3 0.1 *
     VOLUME OF TRADES (000'S) 20,975.8 7,767,050.8 7,126,343.4 3,620,365.7 565,898.4 169,457.7 *
     NUMBER OF TRADES 5 214 234 178 30 10 *
DECEMBER Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE 95.9 99.1 101.9 104.0 105.8 107.2 108.9
Weighted Avg. Price 95.9 99.1 101.9 104.0 105.8 107.2 109.3
Avg. Price Bottom 5 Trades 95.9 98.9 101.7 103.9 105.8 107.2 108.9
2nd Quartile Price * 99.0 101.9 104.0 105.8 107.2 *
3rd Quartile Price * 99.1 101.9 104.0 105.8 107.3 *
4th Quartile Price * 99.1 101.9 104.0 105.8 107.3 *
Avg. Price Top 5 Trades 95.9 99.2 102.0 104.0 105.8 107.3 108.9
Standard Deviation 0.1 0.1 0.1 0.0 0.0 0.0 1.0
     VOLUME OF TRADES (000'S) 522,775.0 4,427,164.0 7,433,937.0 5,278,667.1 1,269,715.0 1,735,414.9 510,215.6
     NUMBER OF TRADES 5 142 252 115 37 52 5
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 * 100.3 102.1 103.4 104.7 * 0.0
Weighted Avg. Price * 100.3 102.1 103.4 104.7 * 0.0
Avg. Price Bottom 5 Trades * 100.3 102.0 103.3 104.7 * 0.0
2nd Quartile Price * 100.3 102.1 103.4 104.7 * 0.0
3rd Quartile Price * 100.3 102.1 103.4 104.8 * 0.0
4th Quartile Price * 100.4 102.2 103.5 104.8 * 0.0
Avg. Price Top 5 Trades * 100.4 102.3 103.5 104.8 * 0.0
Standard Deviation * 0.1 0.2 0.0 0.1 * 0.0
     VOLUME OF TRADES (000'S) * 2,006,500.0 1,859,560.0 1,022,700.0 282,450.0 * 0.0
     NUMBER OF TRADES * 28 75 66 8 * 0
JANUARY Settlement
METRIC COUPON
<= 1.5 2 2.5 3 3.5 4 > 4
UMBS
AVERAGE PRICE * 98.8 101.7 103.9 106.3 0.0 0.0
Weighted Avg. Price * 98.8 101.7 103.9 106.2 0.0 0.0
Avg. Price Bottom 5 Trades * 98.7 101.6 103.7 105.7 0.0 0.0
2nd Quartile Price * 98.8 101.6 103.8 105.7 0.0 0.0
3rd Quartile Price * 98.8 101.7 103.8 105.7 0.0 0.0
4th Quartile Price * 98.9 101.7 103.8 106.7 0.0 0.0
Avg. Price Top 5 Trades * 99.0 102.7 104.6 107.2 0.0 0.0
Standard Deviation * 0.1 0.2 0.2 0.8 0.0 0.0
     VOLUME OF TRADES (000'S) * 1,656,700.0 3,889,250.0 1,496,790.1 75,500.0 0.0 0.0
     NUMBER OF TRADES * 56 240 78 17 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 0.0 100.1 101.9 103.5 104.6 * 0.0
Weighted Avg. Price 0.0 100.1 101.9 103.4 104.7 * 0.0
Avg. Price Bottom 5 Trades 0.0 100.0 101.8 103.2 104.5 * 0.0
2nd Quartile Price 0.0 100.1 101.9 103.2 104.5 * 0.0
3rd Quartile Price 0.0 100.1 101.9 103.3 104.6 * 0.0
4th Quartile Price 0.0 100.2 102.0 103.3 104.7 * 0.0
Avg. Price Top 5 Trades 0.0 100.2 102.6 105.5 104.7 * 0.0
Standard Deviation 0.0 0.1 0.2 0.7 0.1 * 0.0
     VOLUME OF TRADES (000'S) 0.0 688,650.0 1,563,366.0 621,800.0 30,700.0 * 0.0
     NUMBER OF TRADES 0 38 97 48 14 * 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.