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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO

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

MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.2 96.3 97.3 99.0 100.4 101.9 102.6
Weighted Avg. Price 90.7 96.4 97.4 99.0 100.4 101.8 102.6
Avg. Price Bottom 5 Trades 87.3 96.2 97.1 98.9 100.3 101.7 102.5
2nd Quartile Price 89.8 96.3 97.2 98.9 100.4 101.8 102.6
3rd Quartile Price 92.1 96.4 97.3 99.0 100.4 101.9 102.7
4th Quartile Price 92.4 96.4 97.4 99.1 100.4 101.9 102.7
Avg. Price Top 5 Trades 94.4 96.4 97.5 99.1 100.6 102.0 102.7
Standard Deviation 2.4 0.1 0.2 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 1,785,413.6 636,272.2 268,565.0 239,708.5 460,840.9 201,306.7 134,759.3
     NUMBER OF TRADES 112 45 22 32 47 31 24
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.4 96.0 97.2 98.9 100.3 101.5 102.5
Weighted Avg. Price 90.9 96.0 97.3 99.0 100.3 101.4 102.5
Avg. Price Bottom 5 Trades 87.4 95.9 97.0 98.7 100.2 101.4 102.4
2nd Quartile Price 89.8 96.0 97.1 98.9 100.3 101.4 102.4
3rd Quartile Price 92.2 96.0 97.2 98.9 100.3 101.5 102.5
4th Quartile Price 94.2 96.0 97.4 99.0 100.3 101.6 102.6
Avg. Price Top 5 Trades 94.4 96.0 97.5 99.1 100.5 101.7 102.6
Standard Deviation 2.3 0.1 0.2 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 1,976,550.8 675,705.0 312,202.4 364,512.9 915,582.8 499,251.8 266,049.2
     NUMBER OF TRADES 147 52 32 49 72 43 29
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * * * 100.1 * *
Weighted Avg. Price - * * * 100.1 * *
Avg. Price Bottom 5 Trades - * * * 100.1 * *
2nd Quartile Price - * * * 100.1 * *
3rd Quartile Price - * * * 100.1 * *
4th Quartile Price - * * * 100.2 * *
Avg. Price Top 5 Trades - * * * 100.2 * *
Standard Deviation - * * * 0.1 * *
     VOLUME OF TRADES (000'S) - * * * 295,500.0 * *
     NUMBER OF TRADES - * * * 11 * *
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - - * - 102.6
Weighted Avg. Price - - - - * - 102.3
Avg. Price Bottom 5 Trades - - - - * - 102.3
2nd Quartile Price - - - - * - 102.2
3rd Quartile Price - - - - * - 102.4
4th Quartile Price - - - - * - 104.0
Avg. Price Top 5 Trades - - - - * - 102.7
Standard Deviation - - - - * - 0.7
     VOLUME OF TRADES (000'S) - - - - * - 67,839.0
     NUMBER OF TRADES - - - - * - 7
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE 85.3 90.7 93.1 95.7 98.1 100.0 101.9
Weighted Avg. Price 85.3 90.7 93.1 95.7 98.1 100.0 101.7
Avg. Price Bottom 5 Trades 80.9 90.5 92.9 95.6 97.8 99.9 100.7
2nd Quartile Price 81.5 90.6 93.1 95.6 98.0 100.0 101.3
3rd Quartile Price 84.9 90.7 93.1 95.7 98.1 100.0 102.0
4th Quartile Price 88.0 90.7 93.2 95.7 98.1 100.0 102.1
Avg. Price Top 5 Trades 88.3 90.8 93.3 95.8 98.2 100.8 105.5
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 10,327,503.3 2,619,537.2 3,771,558.9 6,443,886.1 7,994,193.8 7,853,530.6 16,292,345.5
     NUMBER OF TRADES 184 79 89 105 180 317 788
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.5 89.8 92.9 95.4 97.7 99.6 101.8
Weighted Avg. Price 83.2 89.8 92.9 95.4 97.7 99.6 101.8
Avg. Price Bottom 5 Trades 79.0 89.6 92.8 95.3 97.7 99.6 101.3
2nd Quartile Price 82.6 89.7 92.9 95.3 97.7 99.6 101.3
3rd Quartile Price 82.8 89.8 92.9 95.4 97.8 99.6 101.3
4th Quartile Price 86.3 89.8 92.9 95.4 97.8 99.7 102.8
Avg. Price Top 5 Trades 86.3 89.9 93.0 95.5 97.8 100.6 104.8
Standard Deviation 2.8 0.1 - 0.1 - 0.1 0.9
     VOLUME OF TRADES (000'S) 10,700,386.7 5,531,130.8 2,714,177.7 7,021,889.8 12,766,381.8 17,432,553.8 17,827,855.6
     NUMBER OF TRADES 430 236 124 219 561 736 727
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE 84.9 90.7 93.2 95.6 98.0 99.9 101.7
Weighted Avg. Price 85.0 90.7 93.1 95.6 98.0 99.9 101.5
Avg. Price Bottom 5 Trades 81.0 90.5 92.9 95.5 97.9 99.8 101.1
2nd Quartile Price 81.4 90.6 93.1 95.6 98.0 99.9 101.2
3rd Quartile Price 84.8 90.7 93.2 95.6 98.0 99.9 101.3
4th Quartile Price 88.0 90.7 93.2 95.7 98.1 99.9 102.1
Avg. Price Top 5 Trades 88.2 90.8 93.3 95.8 98.1 100.9 104.6
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 12,862,885.6 4,512,848.7 3,989,123.9 7,174,851.9 9,013,455.7 10,484,099.4 20,978,516.0
     NUMBER OF TRADES 226 111 99 139 209 399 690
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.3 89.7 92.8 95.4 97.6 99.5 101.6
Weighted Avg. Price 84.1 89.7 92.8 95.4 97.7 99.6 102.3
Avg. Price Bottom 5 Trades 79.1 89.6 92.7 95.3 97.6 99.5 101.1
2nd Quartile Price 79.3 89.7 92.7 95.3 97.6 99.5 101.2
3rd Quartile Price 86.2 89.7 92.8 95.4 97.7 99.5 101.2
4th Quartile Price 86.3 89.8 92.8 95.4 97.7 99.6 101.2
Avg. Price Top 5 Trades 86.3 89.8 92.8 95.4 97.7 99.6 104.4
Standard Deviation 3.1 0.1 0.1 0.1 0.1 - 0.8
     VOLUME OF TRADES (000'S) 1,674,761.7 1,578,275.0 513,875.0 1,606,800.0 4,227,502.9 4,777,495.0 5,695,880.0
     NUMBER OF TRADES 30 19 9 18 130 248 257
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE 83.8 90.7 93.1 95.6 97.9 99.7 101.2
Weighted Avg. Price 84.7 90.6 93.1 95.6 97.9 99.8 101.1
Avg. Price Bottom 5 Trades 83.4 90.6 93.1 95.6 97.9 99.7 100.9
2nd Quartile Price 81.2 90.6 93.1 95.6 97.9 99.7 101.0
3rd Quartile Price 84.7 90.7 93.1 95.6 97.9 99.8 101.1
4th Quartile Price 84.7 90.7 93.1 95.7 98.0 99.8 101.1
Avg. Price Top 5 Trades 84.3 90.7 93.1 95.6 98.0 99.8 102.2
Standard Deviation 2.2 0.1 - - - - 0.3
     VOLUME OF TRADES (000'S) 361,885.0 1,369,000.0 210,000.0 82,400.0 242,500.0 843,250.0 4,357,900.0
     NUMBER OF TRADES 12 11 11 19 56 199 209
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * * * 97.5 99.4 101.3
Weighted Avg. Price - * * * 97.6 99.4 101.5
Avg. Price Bottom 5 Trades - * * * 97.5 99.3 101.0
2nd Quartile Price - * * * 97.5 99.4 101.0
3rd Quartile Price - * * * 97.5 99.4 101.1
4th Quartile Price - * * * 97.6 99.4 101.1
Avg. Price Top 5 Trades - * * * 97.6 99.5 103.0
Standard Deviation - * * * 0.1 - 0.6
     VOLUME OF TRADES (000'S) - * * * 125,500.0 330,000.0 529,600.0
     NUMBER OF TRADES - * * * 27 61 78
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - * - -
Weighted Avg. Price - - - - * - -
Avg. Price Bottom 5 Trades - - - - * - -
2nd Quartile Price - - - - * - -
3rd Quartile Price - - - - * - -
4th Quartile Price - - - - * - -
Avg. Price Top 5 Trades - - - - * - -
Standard Deviation - - - - * - -
     VOLUME OF TRADES (000'S) - - - - * - -
     NUMBER OF TRADES - - - - * - -
* 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 List or 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 [email protected].