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FINRA-ICE Data Services Structured Trading Activity Reports

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

JUNE Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE * * * 98.9 100.6 0.0 0.0
Weighted Avg. Price * * * 98.9 100.6 0.0 0.0
Avg. Price Bottom 5 Trades * * * 98.9 100.6 0.0 0.0
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 * * * 98.9 100.6 0.0 0.0
Standard Deviation * * * 0.1 0.2 0.0 0.0
     VOLUME OF TRADES (000'S) * * * 49,745.0 78,764.0 0.0 0.0
     NUMBER OF TRADES * * * 10 11 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
JULY Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 92.0 94.6 96.8 98.7 100.4 101.4 0.0
Weighted Avg. Price 92.4 94.6 96.9 98.7 100.4 101.4 0.0
Avg. Price Bottom 5 Trades 90.0 94.4 96.6 98.5 100.2 101.4 0.0
2nd Quartile Price 92.3 94.6 96.8 98.6 100.3 101.5 0.0
3rd Quartile Price 92.4 94.6 96.8 98.7 100.4 101.5 0.0
4th Quartile Price 92.5 94.7 96.8 98.7 100.5 101.6 0.0
Avg. Price Top 5 Trades 92.5 94.7 96.9 98.9 100.5 101.5 0.0
Standard Deviation 1.0 0.1 0.1 0.1 0.1 0.2 0.0
     VOLUME OF TRADES (000'S) 632,748.0 678,835.0 607,300.0 514,612.6 206,076.5 38,306.9 0.0
     NUMBER OF TRADES 42 41 43 75 44 6 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 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 92.4 * * 98.5 * * 0.0
Weighted Avg. Price 92.4 * * 98.6 * * 0.0
Avg. Price Bottom 5 Trades 92.4 * * 98.5 * * 0.0
2nd Quartile Price * * * 98.4 * * 0.0
3rd Quartile Price * * * 98.5 * * 0.0
4th Quartile Price * * * 98.5 * * 0.0
Avg. Price Top 5 Trades 92.4 * * 98.5 * * 0.0
Standard Deviation 0.1 * * 0.1 * * 0.0
     VOLUME OF TRADES (000'S) 423,000.0 * * 223,650.0 * * 0.0
     NUMBER OF TRADES 5 * * 11 * * 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
SEPTEMBER Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 0.0 0.0 0.0 * 99.5 * 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 99.6 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 99.5 * 0.0
2nd Quartile Price 0.0 0.0 0.0 * 99.5 * 0.0
3rd Quartile Price 0.0 0.0 0.0 * 99.5 * 0.0
4th Quartile Price 0.0 0.0 0.0 * 99.6 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 99.6 * 0.0
Standard Deviation 0.0 0.0 0.0 * 0.1 * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 42,400.0 * 0.0
     NUMBER OF TRADES 0 0 0 * 11 * 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

JUNE Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 0.0 0.0 0.0 95.8 98.5 100.3 102.7
Weighted Avg. Price 0.0 0.0 0.0 95.5 98.4 100.5 102.4
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 95.5 98.3 100.3 102.3
2nd Quartile Price 0.0 0.0 0.0 95.5 98.3 * 102.1
3rd Quartile Price 0.0 0.0 0.0 95.6 98.3 * 102.8
4th Quartile Price 0.0 0.0 0.0 96.3 98.8 * 103.4
Avg. Price Top 5 Trades 0.0 0.0 0.0 96.4 99.1 100.3 103.3
Standard Deviation 0.0 0.0 0.0 0.5 0.5 0.4 0.6
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 218,861.4 129,729.7 62,540.0 226,083.0
     NUMBER OF TRADES 0 0 0 13 16 10 16
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
JULY Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 85.4 88.7 91.9 95.2 97.8 99.7 101.8
Weighted Avg. Price 85.6 88.7 91.9 95.2 97.8 99.7 101.6
Avg. Price Bottom 5 Trades 81.8 88.5 91.7 95.1 97.7 99.5 101.3
2nd Quartile Price 85.5 88.6 91.8 95.1 97.7 99.6 101.4
3rd Quartile Price 85.6 88.7 91.9 95.2 97.8 99.7 101.5
4th Quartile Price 85.7 88.8 92.0 95.2 97.9 99.8 101.6
Avg. Price Top 5 Trades 85.9 89.0 92.2 95.6 98.2 101.3 105.5
Standard Deviation 0.8 0.1 0.1 0.1 0.1 0.2 0.8
     VOLUME OF TRADES (000'S) 2,565,490.9 3,954,291.0 10,475,793.5 7,996,074.3 14,323,264.4 20,604,682.3 12,259,478.1
     NUMBER OF TRADES 131 252 272 321 675 1,025 517
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 87.5 90.3 93.0 96.0 98.9 101.0 102.2
Weighted Avg. Price 87.6 90.4 93.1 96.1 98.9 101.0 102.1
Avg. Price Bottom 5 Trades 87.5 89.8 92.1 95.4 98.5 100.8 101.3
2nd Quartile Price 87.5 90.3 93.0 96.0 98.8 100.9 102.0
3rd Quartile Price 87.5 90.4 93.0 96.1 98.9 101.0 102.0
4th Quartile Price 87.6 90.4 93.1 96.1 99.0 101.0 102.1
Avg. Price Top 5 Trades 87.7 90.6 93.3 96.3 99.1 101.4 103.7
Standard Deviation 0.1 0.3 0.4 0.3 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 303,475.0 1,176,861.3 1,620,138.7 2,392,277.1 4,609,412.4 8,017,554.5 3,530,964.0
     NUMBER OF TRADES 24 52 51 103 211 369 151
AUGUST Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 85.5 88.5 91.8 95.0 97.6 99.5 101.4
Weighted Avg. Price 85.6 88.6 91.8 95.1 97.6 99.5 101.2
Avg. Price Bottom 5 Trades 85.4 88.5 91.7 94.9 97.5 99.4 100.9
2nd Quartile Price 85.5 88.4 91.8 95.0 97.5 99.4 101.0
3rd Quartile Price 85.6 88.5 91.8 95.0 97.6 99.5 101.1
4th Quartile Price 85.7 88.5 91.9 95.1 97.7 99.6 101.3
Avg. Price Top 5 Trades 85.7 88.5 91.9 95.2 98.3 100.1 103.4
Standard Deviation 0.1 0.1 0.1 0.1 0.2 0.2 0.6
     VOLUME OF TRADES (000'S) 1,379,741.9 401,500.0 5,646,570.2 3,063,817.0 4,164,759.2 10,572,803.1 8,262,964.4
     NUMBER OF TRADES 14 12 42 46 77 210 269
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 * 90.2 93.0 96.0 98.7 100.5 101.6
Weighted Avg. Price * 90.2 93.1 96.0 98.7 100.5 101.6
Avg. Price Bottom 5 Trades * 90.2 92.9 95.9 98.5 100.4 101.4
2nd Quartile Price * * 92.9 95.9 98.6 100.4 101.5
3rd Quartile Price * * 93.0 95.9 98.7 100.5 101.5
4th Quartile Price * * 93.2 96.1 98.8 100.6 101.6
Avg. Price Top 5 Trades * 90.2 93.0 96.0 98.8 100.7 103.0
Standard Deviation * 0.1 0.2 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) * 322,900.0 736,300.0 233,700.0 2,552,700.0 3,451,100.0 1,071,700.0
     NUMBER OF TRADES * 9 7 7 73 127 114
SEPTEMBER Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 0.0 * * 94.8 97.4 99.3 101.0
Weighted Avg. Price 0.0 * * 94.7 97.4 99.3 100.9
Avg. Price Bottom 5 Trades 0.0 * * 94.8 97.3 99.1 100.7
2nd Quartile Price 0.0 * * * 97.3 99.2 100.8
3rd Quartile Price 0.0 * * * 97.4 99.3 100.8
4th Quartile Price 0.0 * * * 97.5 99.3 100.9
Avg. Price Top 5 Trades 0.0 * * 94.8 97.5 99.5 102.4
Standard Deviation 0.0 * * 0.0 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 0.0 * * 57,900.0 810,000.0 3,911,865.7 4,037,643.0
     NUMBER OF TRADES 0 * * 5 25 109 230
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 * * 95.7 98.4 100.1 101.2
Weighted Avg. Price 0.0 * * 95.8 98.4 100.1 101.2
Avg. Price Bottom 5 Trades 0.0 * * 95.7 98.3 99.9 101.0
2nd Quartile Price 0.0 * * * 98.3 100.0 101.0
3rd Quartile Price 0.0 * * * 98.4 100.1 101.1
4th Quartile Price 0.0 * * * 98.5 100.1 101.2
Avg. Price Top 5 Trades 0.0 * * 95.7 98.5 100.2 102.0
Standard Deviation 0.0 * * 0.1 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) 0.0 * * 162,100.0 696,000.0 1,367,300.0 514,028.0
     NUMBER OF TRADES 0 * * 5 30 82 96
* 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.