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FINRA-ICE Data Services Structured Trading Activity Reports

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

JULY 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
AUGUST Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 97.1 99.3 101.1 102.4 0.0 0.0 0.0
Weighted Avg. Price 97.1 99.3 101.1 102.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.1 99.3 101.1 102.4 0.0 0.0 0.0
2nd Quartile Price 97.1 99.3 101.1 102.4 0.0 0.0 0.0
3rd Quartile Price 97.2 99.4 101.1 102.4 0.0 0.0 0.0
4th Quartile Price 97.2 99.4 101.1 102.4 0.0 0.0 0.0
Avg. Price Top 5 Trades 97.2 99.4 101.1 102.4 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) 1,133,837.0 2,513,300.0 2,959,246.1 598,149.5 0.0 0.0 0.0
     NUMBER OF TRADES 73 191 212 88 0 0 0
FHLMC
AVERAGE PRICE 97.0 99.2 101.0 102.4 0.0 0.0 0.0
Weighted Avg. Price 97.0 99.3 101.0 102.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.0 99.2 101.0 102.4 0.0 0.0 0.0
2nd Quartile Price 97.0 99.2 101.0 * 0.0 0.0 0.0
3rd Quartile Price 97.0 99.2 101.0 * 0.0 0.0 0.0
4th Quartile Price 97.0 99.2 101.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 97.0 99.2 101.0 102.4 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) 31,725.0 495,642.5 405,865.1 78,200.0 0.0 0.0 0.0
     NUMBER OF TRADES 7 22 16 7 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
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 97.1 99.2 101.0 102.3 0.0 0.0 0.0
Weighted Avg. Price 97.1 99.2 101.0 102.3 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.1 99.2 101.0 102.2 0.0 0.0 0.0
2nd Quartile Price * 99.2 101.0 102.3 0.0 0.0 0.0
3rd Quartile Price * 99.2 101.0 102.3 0.0 0.0 0.0
4th Quartile Price * 99.2 101.0 102.3 0.0 0.0 0.0
Avg. Price Top 5 Trades 97.1 99.2 101.0 102.3 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) 710,000.0 405,000.0 1,430,400.0 404,900.0 0.0 0.0 0.0
     NUMBER OF TRADES 11 22 40 26 0 0 0
FHLMC
AVERAGE PRICE * 0.0 * * 0.0 0.0 0.0
Weighted Avg. Price * 0.0 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 * * 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 * * 0.0 0.0 0.0
Standard Deviation * 0.0 * * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 0.0 * * 0.0 0.0 0.0
     NUMBER OF TRADES * 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 0.0 99.1 100.9 * 0.0 0.0 0.0
Weighted Avg. Price 0.0 99.1 100.9 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 99.1 100.9 * 0.0 0.0 0.0
2nd Quartile Price 0.0 * 100.9 * 0.0 0.0 0.0
3rd Quartile Price 0.0 * 100.9 * 0.0 0.0 0.0
4th Quartile Price 0.0 * 100.9 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 99.1 100.9 * 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 33,000.0 63,750.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 0 5 19 * 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

JULY 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 * * * 108.2
Weighted Avg. Price 0.0 * 0.0 * * * 107.4
Avg. Price Bottom 5 Trades 0.0 * 0.0 * * * 108.2
2nd Quartile Price 0.0 * 0.0 * * * *
3rd Quartile Price 0.0 * 0.0 * * * *
4th Quartile Price 0.0 * 0.0 * * * *
Avg. Price Top 5 Trades 0.0 * 0.0 * * * 108.2
Standard Deviation 0.0 * 0.0 * * * 4.1
     VOLUME OF TRADES (000'S) 0.0 * 0.0 * * * 5,189.5
     NUMBER OF TRADES 0 * 0 * * * 6
AUGUST Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE * 96.9 99.5 101.9 104.0 105.7 *
Weighted Avg. Price * 96.9 99.5 101.9 104.0 105.7 *
Avg. Price Bottom 5 Trades * 96.8 99.4 101.9 104.0 105.7 *
2nd Quartile Price * 96.9 99.5 101.9 104.0 105.7 *
3rd Quartile Price * 96.9 99.6 101.9 104.0 105.7 *
4th Quartile Price * 96.9 99.6 102.0 104.0 105.7 *
Avg. Price Top 5 Trades * 96.9 99.6 102.0 104.0 105.7 *
Standard Deviation * 0.0 0.0 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) * 3,928,257.0 19,077,990.0 26,072,538.7 18,231,887.2 2,763,618.0 *
     NUMBER OF TRADES * 188 510 854 548 216 *
FHLMC
AVERAGE PRICE 0.0 96.8 99.5 101.9 104.0 * 0.0
Weighted Avg. Price 0.0 96.8 99.5 101.9 104.0 * 0.0
Avg. Price Bottom 5 Trades 0.0 96.8 99.5 101.9 104.0 * 0.0
2nd Quartile Price 0.0 96.8 99.5 101.9 104.0 * 0.0
3rd Quartile Price 0.0 96.8 99.5 101.9 104.0 * 0.0
4th Quartile Price 0.0 96.9 99.5 101.9 104.0 * 0.0
Avg. Price Top 5 Trades 0.0 96.9 99.5 101.9 104.0 * 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 53,205.0 716,716.0 694,807.0 1,063,289.3 * 0.0
     NUMBER OF TRADES 0 8 32 39 26 * 0
GNMA
AVERAGE PRICE * 97.9 100.4 102.5 104.0 104.8 *
Weighted Avg. Price * 97.9 100.4 102.5 104.0 104.8 *
Avg. Price Bottom 5 Trades * 97.9 100.3 102.5 104.0 104.7 *
2nd Quartile Price * 97.9 100.4 102.5 104.0 104.8 *
3rd Quartile Price * 97.9 100.4 102.5 104.0 104.8 *
4th Quartile Price * 97.9 100.4 102.5 104.0 104.8 *
Avg. Price Top 5 Trades * 97.9 100.5 102.6 104.5 104.8 *
Standard Deviation * 0.0 0.0 0.0 0.1 0.0 *
     VOLUME OF TRADES (000'S) * 2,731,646.0 3,231,878.0 7,448,853.4 3,352,380.3 2,133,013.7 *
     NUMBER OF TRADES * 47 76 204 193 89 *
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 0.0 96.8 99.4 101.8 103.8 105.5 0.0
Weighted Avg. Price 0.0 96.7 99.4 101.8 103.9 105.5 0.0
Avg. Price Bottom 5 Trades 0.0 96.8 99.3 101.7 103.8 105.5 0.0
2nd Quartile Price 0.0 * 99.4 101.7 103.8 105.5 0.0
3rd Quartile Price 0.0 * 99.4 101.8 103.8 105.5 0.0
4th Quartile Price 0.0 * 99.4 101.8 103.9 105.5 0.0
Avg. Price Top 5 Trades 0.0 96.8 99.5 101.8 103.9 105.5 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 306,561.0 9,169,300.0 10,308,580.7 9,625,904.2 501,100.0 0.0
     NUMBER OF TRADES 0 11 42 233 145 31 0
FHLMC
AVERAGE PRICE 0.0 0.0 99.4 101.8 103.8 0.0 0.0
Weighted Avg. Price 0.0 0.0 99.4 101.7 103.8 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 99.4 101.8 103.8 0.0 0.0
2nd Quartile Price 0.0 0.0 99.4 * 103.8 0.0 0.0
3rd Quartile Price 0.0 0.0 99.4 * 103.8 0.0 0.0
4th Quartile Price 0.0 0.0 99.4 * 103.8 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 99.4 101.8 103.8 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 0.0 415,250.0 421,700.0 1,010,500.0 0.0 0.0
     NUMBER OF TRADES 0 0 8 8 9 0 0
GNMA
AVERAGE PRICE 0.0 97.8 100.3 102.4 103.8 104.6 0.0
Weighted Avg. Price 0.0 97.8 100.3 102.4 103.8 104.6 0.0
Avg. Price Bottom 5 Trades 0.0 97.8 100.2 102.3 103.8 104.6 0.0
2nd Quartile Price 0.0 * 100.3 102.3 103.8 104.6 0.0
3rd Quartile Price 0.0 * 100.3 102.4 103.8 104.6 0.0
4th Quartile Price 0.0 * 100.3 102.4 103.9 104.7 0.0
Avg. Price Top 5 Trades 0.0 97.8 100.3 102.4 103.9 104.7 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 2,017,900.0 1,145,800.0 3,890,000.0 1,219,100.0 887,200.0 0.0
     NUMBER OF TRADES 0 6 33 117 116 31 0
OCTOBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
UMBS
AVERAGE PRICE 0.0 0.0 99.3 101.7 103.7 105.4 0.0
Weighted Avg. Price 0.0 0.0 99.3 101.7 103.7 105.4 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 99.3 101.6 103.7 105.4 0.0
2nd Quartile Price 0.0 0.0 99.3 101.6 103.7 * 0.0
3rd Quartile Price 0.0 0.0 99.3 101.6 103.7 * 0.0
4th Quartile Price 0.0 0.0 99.4 101.7 103.7 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 99.4 101.7 103.7 105.4 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 845,500.0 2,230,390.0 350,375.0 20,500.0 0.0
     NUMBER OF TRADES 0 0 22 180 57 7 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 101.6 * 0.0 *
Weighted Avg. Price 0.0 0.0 * 101.6 * 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 * 101.6 * 0.0 *
2nd Quartile Price 0.0 0.0 * 101.6 * 0.0 *
3rd Quartile Price 0.0 0.0 * 101.7 * 0.0 *
4th Quartile Price 0.0 0.0 * 101.7 * 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 * 101.7 * 0.0 *
Standard Deviation 0.0 0.0 * 0.0 * 0.0 *
     VOLUME OF TRADES (000'S) 0.0 0.0 * 491,900.0 * 0.0 *
     NUMBER OF TRADES 0 0 * 10 * 0 *
GNMA
AVERAGE PRICE 0.0 * 100.2 102.2 103.7 104.5 0.0
Weighted Avg. Price 0.0 * 100.2 102.3 103.7 104.5 0.0
Avg. Price Bottom 5 Trades 0.0 * 100.2 102.2 103.7 104.5 0.0
2nd Quartile Price 0.0 * 100.2 102.2 103.7 104.5 0.0
3rd Quartile Price 0.0 * 100.2 102.2 103.7 104.5 0.0
4th Quartile Price 0.0 * 100.2 102.3 103.7 104.5 0.0
Avg. Price Top 5 Trades 0.0 * 100.2 102.3 103.7 104.5 0.0
Standard Deviation 0.0 * 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 58,200.0 337,078.0 232,000.0 44,500.0 0.0
     NUMBER OF TRADES 0 * 10 81 41 8 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.