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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 - - - - - - -
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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.3 96.1 97.2 99.0 100.4 101.5 102.8
Weighted Avg. Price 90.4 96.0 97.1 98.9 100.4 101.5 102.8
Avg. Price Bottom 5 Trades 89.1 96.1 97.2 98.8 100.3 101.5 102.8
2nd Quartile Price 90.2 96.1 97.1 99.0 100.4 101.5 102.8
3rd Quartile Price 90.3 96.1 97.2 99.0 100.4 101.5 102.8
4th Quartile Price 92.4 96.2 97.3 99.0 100.5 101.6 103.0
Avg. Price Top 5 Trades 94.5 96.1 97.3 99.0 100.5 101.6 102.9
Standard Deviation 2.0 0.1 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 397,899.3 27,125.0 226,200.0 482,779.2 495,868.7 228,694.1 15,266.8
     NUMBER OF TRADES 45 9 11 55 86 28 10
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 90.5 * * 98.9 100.3 101.5 102.6
Weighted Avg. Price 90.2 * * 98.9 100.3 101.4 102.6
Avg. Price Bottom 5 Trades 90.2 * * 98.9 100.3 101.4 102.6
2nd Quartile Price 90.2 * * 98.9 100.3 101.4 *
3rd Quartile Price 90.2 * * 99.0 100.3 101.5 *
4th Quartile Price 90.2 * * 99.0 100.4 101.5 *
Avg. Price Top 5 Trades 90.6 * * 99.0 100.4 101.5 102.6
Standard Deviation 0.8 * * 0.1 0.1 - 0.1
     VOLUME OF TRADES (000'S) 305,900.0 * * 79,200.0 87,600.0 110,050.0 6,600.0
     NUMBER OF TRADES 14 * * 11 19 12 5
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 - - - * 100.2 101.2 *
Weighted Avg. Price - - - * 100.2 101.3 *
Avg. Price Bottom 5 Trades - - - * 100.2 101.2 *
2nd Quartile Price - - - * 100.2 101.2 *
3rd Quartile Price - - - * 100.2 101.3 *
4th Quartile Price - - - * 100.3 101.4 *
Avg. Price Top 5 Trades - - - * 100.3 101.3 *
Standard Deviation - - - * 0.1 0.1 *
     VOLUME OF TRADES (000'S) - - - * 21,500.0 14,900.0 *
     NUMBER OF TRADES - - - * 8 6 *
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 - - - - - - -
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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.2 90.0 93.0 95.5 97.8 99.7 102.1
Weighted Avg. Price 83.6 90.0 93.0 95.5 97.7 99.7 101.9
Avg. Price Bottom 5 Trades 78.5 89.7 92.7 95.2 97.5 99.5 101.3
2nd Quartile Price 82.5 90.0 92.9 95.4 97.7 99.7 101.4
3rd Quartile Price 83.0 90.0 93.0 95.5 97.8 99.7 101.5
4th Quartile Price 86.4 90.1 93.0 95.5 97.9 99.8 103.0
Avg. Price Top 5 Trades 86.6 90.1 93.1 95.6 97.9 101.3 104.8
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.2 1.0
     VOLUME OF TRADES (000'S) 7,182,178.0 2,524,494.5 3,423,295.2 5,805,484.1 16,491,621.7 19,239,742.2 17,450,407.1
     NUMBER OF TRADES 297 110 156 250 530 785 866
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 85.7 91.4 93.4 95.7 98.2 100.1 101.9
Weighted Avg. Price 85.8 91.4 93.4 95.8 98.2 100.0 101.8
Avg. Price Bottom 5 Trades 81.4 91.3 93.2 95.5 97.9 99.8 101.2
2nd Quartile Price 84.7 91.3 93.4 95.7 98.1 100.0 101.4
3rd Quartile Price 85.1 91.5 93.5 95.8 98.2 100.1 101.5
4th Quartile Price 88.4 91.5 93.5 95.8 98.3 100.1 102.3
Avg. Price Top 5 Trades 88.4 91.5 93.5 95.9 98.3 100.6 104.5
Standard Deviation 2.7 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 1,648,689.0 354,924.0 350,099.0 1,325,487.0 2,060,073.7 7,488,688.7 4,630,784.5
     NUMBER OF TRADES 91 39 28 70 100 243 371
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.7 90.0 92.9 95.4 97.7 99.6 102.0
Weighted Avg. Price 83.6 90.0 92.8 95.5 97.6 99.6 102.1
Avg. Price Bottom 5 Trades 78.4 89.7 92.7 95.2 97.5 99.4 101.2
2nd Quartile Price 79.4 89.9 92.9 95.4 97.6 99.6 101.4
3rd Quartile Price 82.7 90.0 92.9 95.5 97.7 99.7 101.4
4th Quartile Price 86.1 90.1 92.9 95.5 97.8 99.7 102.9
Avg. Price Top 5 Trades 86.5 90.1 93.0 95.5 97.8 99.8 104.5
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 5,123,130.0 899,006.0 933,435.0 14,796,020.0 7,850,074.0 8,620,531.0 9,108,000.0
     NUMBER OF TRADES 105 36 45 39 94 195 284
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 86.7 91.2 * 95.6 98.1 100.0 101.8
Weighted Avg. Price 86.9 91.2 * 95.8 98.1 99.9 101.8
Avg. Price Bottom 5 Trades 86.1 91.2 * 95.4 98.0 99.8 101.2
2nd Quartile Price 87.9 91.2 * 95.7 98.1 99.9 101.3
3rd Quartile Price 88.3 91.2 * 95.8 98.2 100.0 101.4
4th Quartile Price 88.4 91.2 * 95.8 98.2 100.0 102.3
Avg. Price Top 5 Trades 88.0 91.2 * 95.8 98.2 100.2 104.1
Standard Deviation 2.8 0.1 * 0.3 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 630,000.0 205,000.0 * 672,000.0 324,800.0 2,867,650.0 2,802,138.0
     NUMBER OF TRADES 15 14 * 16 44 112 209
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * 89.9 92.9 95.4 97.7 99.6 101.7
Weighted Avg. Price * 89.9 92.9 95.5 97.7 99.6 101.7
Avg. Price Bottom 5 Trades * 89.9 92.9 95.4 97.6 99.3 101.1
2nd Quartile Price * * 92.9 95.4 97.7 99.6 101.3
3rd Quartile Price * * 92.9 95.5 97.7 99.6 101.3
4th Quartile Price * * 92.9 95.5 97.8 99.6 101.3
Avg. Price Top 5 Trades * 89.9 92.9 95.5 97.8 99.7 103.9
Standard Deviation * 0.2 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) * 21,000.0 84,000.0 13,733,000.0 95,500.0 792,500.0 756,520.0
     NUMBER OF TRADES * 6 10 11 23 137 186
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 - * 93.4 95.6 98.1 99.8 101.6
Weighted Avg. Price - * 93.5 95.7 98.1 99.8 102.6
Avg. Price Bottom 5 Trades - * 93.4 95.6 98.0 99.7 101.1
2nd Quartile Price - * * 95.6 98.1 99.8 101.2
3rd Quartile Price - * * 95.7 98.1 99.9 101.2
4th Quartile Price - * * 95.7 98.1 99.9 102.1
Avg. Price Top 5 Trades - * 93.4 95.7 98.1 99.9 104.1
Standard Deviation - * 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) - * 42,000.0 74,500.0 112,900.0 405,400.0 691,750.0
     NUMBER OF TRADES - * 5 14 24 77 76
* 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].