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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 - - - - - - -
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 - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.5 95.6 96.9 98.5 100.0 101.2 102.6
Weighted Avg. Price 92.3 95.6 97.0 98.5 99.9 101.1 102.3
Avg. Price Bottom 5 Trades 88.0 95.5 96.8 98.3 99.9 101.1 102.4
2nd Quartile Price 90.0 95.5 96.9 98.4 100.0 101.2 102.4
3rd Quartile Price 92.0 95.5 97.0 98.6 100.0 101.3 102.8
4th Quartile Price 94.0 95.7 97.0 98.6 100.1 101.3 103.3
Avg. Price Top 5 Trades 94.2 95.7 97.0 98.7 100.2 101.3 102.6
Standard Deviation 2.2 0.1 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 304,761.0 220,494.0 78,655.0 226,708.4 1,142,960.4 878,488.0 142,050.0
     NUMBER OF TRADES 57 20 15 31 86 30 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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * - * * 99.9 101.1 *
Weighted Avg. Price * - * * 99.8 101.0 *
Avg. Price Bottom 5 Trades * - * * 99.8 101.1 *
2nd Quartile Price * - * * 99.9 101.1 *
3rd Quartile Price * - * * 100.0 101.2 *
4th Quartile Price * - * * 100.0 101.2 *
Avg. Price Top 5 Trades * - * * 100.0 101.1 *
Standard Deviation * - * * 0.1 0.1 *
     VOLUME OF TRADES (000'S) * - * * 406,000.0 680,000.0 *
     NUMBER OF TRADES * - * * 11 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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - 98.4 99.9 * -
Weighted Avg. Price - - - 98.4 99.9 * -
Avg. Price Bottom 5 Trades - - - 98.4 99.9 * -
2nd Quartile Price - - - * 99.9 * -
3rd Quartile Price - - - * 99.9 * -
4th Quartile Price - - - * 99.9 * -
Avg. Price Top 5 Trades - - - 98.4 99.9 * -
Standard Deviation - - - - 0.1 * -
     VOLUME OF TRADES (000'S) - - - 11,000.0 31,700.0 * -
     NUMBER OF TRADES - - - 5 8 * -
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 - - - - * 100.0 102.5
Weighted Avg. Price - - - - * 99.5 102.7
Avg. Price Bottom 5 Trades - - - - * 99.3 102.0
2nd Quartile Price - - - - * 99.4 101.7
3rd Quartile Price - - - - * 99.8 103.1
4th Quartile Price - - - - * 101.1 103.3
Avg. Price Top 5 Trades - - - - * 100.5 103.2
Standard Deviation - - - - * 1.0 0.9
     VOLUME OF TRADES (000'S) - - - - * 60,264.6 39,934.7
     NUMBER OF TRADES - - - - * 10 8
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 84.2 90.4 92.4 94.9 97.4 99.5 101.5
Weighted Avg. Price 83.0 90.4 92.4 94.9 97.4 99.5 101.3
Avg. Price Bottom 5 Trades 80.4 90.3 92.2 94.6 97.0 99.2 100.4
2nd Quartile Price 80.8 90.4 92.3 94.8 97.3 99.4 100.9
3rd Quartile Price 84.4 90.4 92.4 94.9 97.4 99.5 101.7
4th Quartile Price 87.5 90.5 92.5 95.0 97.5 99.6 102.0
Avg. Price Top 5 Trades 88.0 90.6 92.6 95.1 97.6 100.1 103.9
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 4,325,218.3 4,762,352.3 2,146,819.7 1,503,464.7 1,061,561.4 5,321,709.5 6,106,594.5
     NUMBER OF TRADES 160 77 55 97 94 224 506
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.1 89.3 92.3 94.8 97.2 99.2 101.6
Weighted Avg. Price 82.2 89.3 92.3 94.8 97.2 99.2 101.7
Avg. Price Bottom 5 Trades 77.8 89.0 92.0 94.5 96.9 99.0 101.0
2nd Quartile Price 78.5 89.3 92.2 94.7 97.1 99.2 101.1
3rd Quartile Price 82.2 89.3 92.3 94.9 97.2 99.2 101.1
4th Quartile Price 85.7 89.4 92.4 94.9 97.3 99.3 102.7
Avg. Price Top 5 Trades 86.0 89.5 92.4 95.0 97.6 99.4 105.2
Standard Deviation 3.2 0.1 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 10,238,440.9 2,112,552.9 3,853,615.7 6,762,334.3 31,282,583.9 25,275,799.0 26,375,141.9
     NUMBER OF TRADES 493 191 222 377 793 1,177 1,117
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 84.2 90.3 92.5 95.0 97.4 99.4 101.5
Weighted Avg. Price 83.1 90.3 92.6 95.1 97.4 99.4 101.4
Avg. Price Bottom 5 Trades 78.6 90.0 92.2 94.7 97.0 99.1 100.6
2nd Quartile Price 80.8 90.1 92.3 94.8 97.3 99.3 100.9
3rd Quartile Price 84.4 90.3 92.5 95.0 97.4 99.4 101.0
4th Quartile Price 87.6 90.4 92.6 95.1 97.5 99.5 102.1
Avg. Price Top 5 Trades 88.0 90.5 92.8 95.2 97.6 99.8 103.1
Standard Deviation 3.0 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 9,535,215.2 5,311,758.5 4,185,096.6 7,696,927.0 4,284,871.2 7,453,318.4 10,331,949.2
     NUMBER OF TRADES 261 112 102 152 158 380 699
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.2 89.3 92.2 94.8 97.1 99.1 101.6
Weighted Avg. Price 83.0 89.4 92.1 94.7 97.1 99.1 101.9
Avg. Price Bottom 5 Trades 80.9 89.2 92.1 94.7 96.9 98.9 100.9
2nd Quartile Price 85.4 89.2 92.2 94.7 97.0 99.1 101.0
3rd Quartile Price 85.8 89.3 92.3 94.8 97.1 99.2 101.0
4th Quartile Price 85.8 89.3 92.3 94.8 97.2 99.2 102.6
Avg. Price Top 5 Trades 85.9 89.3 92.3 94.8 97.6 99.3 104.5
Standard Deviation 2.8 0.1 0.2 0.1 0.2 0.1 1.0
     VOLUME OF TRADES (000'S) 2,306,250.0 80,400.0 530,185.2 448,190.0 18,957,672.0 6,890,057.9 10,576,154.0
     NUMBER OF TRADES 22 9 19 10 96 190 339
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 85.2 90.3 92.6 94.9 97.3 99.3 101.1
Weighted Avg. Price 86.1 90.3 92.6 94.9 97.3 99.3 101.4
Avg. Price Bottom 5 Trades 82.2 90.2 92.6 94.8 97.2 99.1 100.6
2nd Quartile Price 84.5 90.3 92.6 94.9 97.3 99.3 100.7
3rd Quartile Price 87.8 90.3 92.6 95.0 97.4 99.3 100.8
4th Quartile Price 87.9 90.4 92.7 95.0 97.4 99.3 102.0
Avg. Price Top 5 Trades 87.9 90.3 92.6 95.0 97.4 99.4 102.4
Standard Deviation 3.1 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 235,000.0 390,000.0 225,500.0 97,090.0 221,700.0 637,750.0 2,539,155.0
     NUMBER OF TRADES 30 26 11 23 34 110 272
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * 92.2 94.7 97.0 99.0 101.2
Weighted Avg. Price - * 92.2 94.6 97.1 99.0 101.1
Avg. Price Bottom 5 Trades - * 92.1 94.7 96.9 98.9 100.7
2nd Quartile Price - * 92.1 * 97.0 99.0 100.8
3rd Quartile Price - * 92.1 * 97.1 99.0 100.9
4th Quartile Price - * 92.2 * 97.1 99.1 100.9
Avg. Price Top 5 Trades - * 92.2 94.7 97.1 99.1 103.5
Standard Deviation - * 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) - * 46,500.0 29,000.0 131,400.0 417,000.0 757,400.0
     NUMBER OF TRADES - * 8 6 16 63 111
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].