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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

APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.6 96.8 98.0 99.5 100.8 101.8 102.8
Weighted Avg. Price 92.2 96.7 98.0 99.5 100.8 101.7 102.9
Avg. Price Bottom 5 Trades 89.1 96.8 97.9 99.5 100.7 101.7 102.8
2nd Quartile Price 90.8 * 98.0 99.5 100.8 101.7 *
3rd Quartile Price 91.1 * 98.0 99.5 100.8 101.8 *
4th Quartile Price 93.1 * 98.0 99.6 100.8 101.8 *
Avg. Price Top 5 Trades 94.4 96.8 98.0 99.6 100.9 101.8 102.8
Standard Deviation 2.2 0.1 - - - 0.1 0.1
     VOLUME OF TRADES (000'S) 155,526.0 131,500.0 244,605.0 590,500.0 663,670.0 54,960.0 14,370.0
     NUMBER OF TRADES 36 9 21 66 88 23 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 - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.7 96.6 97.9 99.5 100.7 101.7 102.7
Weighted Avg. Price 92.6 96.6 97.9 99.4 100.7 101.7 102.7
Avg. Price Bottom 5 Trades 90.4 96.6 97.9 99.4 100.7 101.6 102.7
2nd Quartile Price 91.1 * * 99.5 100.7 101.7 *
3rd Quartile Price 92.9 * * 99.5 100.7 101.7 *
4th Quartile Price 95.0 * * 99.5 100.7 101.7 *
Avg. Price Top 5 Trades 94.8 96.6 97.9 99.5 100.8 101.7 102.7
Standard Deviation 2.0 0.1 - 0.1 - 0.1 0.1
     VOLUME OF TRADES (000'S) 76,925.0 58,745.0 85,250.0 344,200.0 345,825.0 129,680.0 104,649.0
     NUMBER OF TRADES 17 5 6 14 25 11 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 - - * 99.4 100.6 * -
Weighted Avg. Price - - * 99.4 100.6 * -
Avg. Price Bottom 5 Trades - - * 99.4 100.6 * -
2nd Quartile Price - - * 99.4 100.6 * -
3rd Quartile Price - - * 99.5 100.6 * -
4th Quartile Price - - * 99.7 100.6 * -
Avg. Price Top 5 Trades - - * 99.5 100.6 * -
Standard Deviation - - * 0.1 - * -
     VOLUME OF TRADES (000'S) - - * 10,500.0 31,000.0 * -
     NUMBER OF TRADES - - * 6 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 - - - - - - -
JULY 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

APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.5 91.3 94.2 96.6 98.7 100.4 102.4
Weighted Avg. Price 84.4 91.3 94.2 96.5 98.7 100.4 102.5
Avg. Price Bottom 5 Trades 77.2 91.0 93.9 96.3 98.5 100.2 101.7
2nd Quartile Price 80.6 91.2 94.2 96.5 98.7 100.4 101.8
3rd Quartile Price 84.2 91.3 94.3 96.6 98.8 100.4 101.9
4th Quartile Price 87.7 91.4 94.3 96.6 98.8 100.4 103.3
Avg. Price Top 5 Trades 87.9 91.5 94.4 97.2 99.0 102.0 105.4
Standard Deviation 3.0 0.1 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 12,206,552.4 3,819,623.2 3,380,710.7 11,283,381.1 29,092,934.0 35,069,622.4 44,313,212.5
     NUMBER OF TRADES 544 263 288 502 897 1,423 1,616
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 86.4 92.6 94.4 96.8 99.0 100.6 102.2
Weighted Avg. Price 86.8 92.8 94.5 96.8 99.0 100.6 102.0
Avg. Price Bottom 5 Trades 82.7 92.3 94.0 96.5 98.8 100.4 100.9
2nd Quartile Price 82.8 92.5 94.4 96.8 98.9 100.5 101.6
3rd Quartile Price 86.3 92.6 94.5 96.8 99.0 100.6 101.7
4th Quartile Price 89.6 92.7 94.6 96.9 99.0 100.6 102.5
Avg. Price Top 5 Trades 89.7 92.8 94.6 97.0 99.3 101.7 105.6
Standard Deviation 2.8 0.2 0.2 0.1 0.1 0.2 0.9
     VOLUME OF TRADES (000'S) 2,519,010.5 1,859,008.5 1,217,348.9 3,460,412.4 3,412,198.5 6,094,820.3 9,111,720.9
     NUMBER OF TRADES 97 48 39 106 153 306 627
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.7 91.2 94.1 96.5 98.7 100.3 102.3
Weighted Avg. Price 84.5 91.2 94.1 96.6 98.7 100.3 102.5
Avg. Price Bottom 5 Trades 79.3 91.1 94.0 96.3 98.5 100.1 101.6
2nd Quartile Price 80.5 91.2 94.1 96.5 98.6 100.3 101.7
3rd Quartile Price 84.2 91.2 94.1 96.5 98.7 100.3 101.8
4th Quartile Price 87.7 91.3 94.2 96.6 98.7 100.3 103.2
Avg. Price Top 5 Trades 87.9 91.4 94.2 96.7 98.8 100.4 104.7
Standard Deviation 3.2 0.1 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 8,380,427.4 598,420.4 873,823.0 5,811,913.8 16,919,513.3 21,183,671.0 21,139,236.0
     NUMBER OF TRADES 115 34 36 105 267 358 488
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 87.0 92.3 94.4 96.8 98.9 100.4 102.0
Weighted Avg. Price 87.5 92.4 94.5 96.8 98.9 100.5 102.0
Avg. Price Bottom 5 Trades 82.7 92.2 94.2 96.6 98.8 100.3 101.4
2nd Quartile Price 86.2 92.3 94.2 96.7 98.9 100.4 101.5
3rd Quartile Price 86.4 92.4 94.4 96.8 98.9 100.4 101.6
4th Quartile Price 89.7 92.4 94.5 96.9 99.0 100.5 102.5
Avg. Price Top 5 Trades 89.7 92.4 94.5 97.0 99.1 100.7 103.1
Standard Deviation 2.8 0.1 0.2 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 1,278,443.0 117,562.4 1,137,057.0 1,647,870.9 1,872,283.0 2,765,091.6 6,376,950.4
     NUMBER OF TRADES 52 19 20 65 103 163 214
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * * 94.0 96.5 98.6 100.2 102.1
Weighted Avg. Price * * 94.0 96.5 98.6 100.2 102.4
Avg. Price Bottom 5 Trades * * 94.0 96.5 98.5 100.1 101.6
2nd Quartile Price * * * 96.5 98.6 100.2 101.7
3rd Quartile Price * * * 96.5 98.6 100.2 101.7
4th Quartile Price * * * 96.5 98.6 100.3 103.1
Avg. Price Top 5 Trades * * 94.0 96.6 98.7 100.3 104.4
Standard Deviation * * - 0.1 0.1 - 0.7
     VOLUME OF TRADES (000'S) * * 75,000.0 99,600.0 1,238,350.0 1,533,800.0 3,799,400.0
     NUMBER OF TRADES * * 5 20 106 262 231
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 * * * 96.7 98.8 100.3 101.7
Weighted Avg. Price * * * 96.8 98.9 100.3 102.0
Avg. Price Bottom 5 Trades * * * 96.6 98.7 100.2 101.3
2nd Quartile Price * * * 96.7 98.8 100.3 101.4
3rd Quartile Price * * * 96.7 98.8 100.3 101.4
4th Quartile Price * * * 96.8 98.9 100.3 102.4
Avg. Price Top 5 Trades * * * 96.9 98.9 100.4 102.5
Standard Deviation * * * 0.1 - - 0.5
     VOLUME OF TRADES (000'S) * * * 204,000.0 362,750.0 1,367,400.0 1,388,750.0
     NUMBER OF TRADES * * * 35 68 166 113
JULY 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 - - - * * - -
* 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 tracedataservices@finra.org.