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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

MAY Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	90.9	95.6	97.0	98.6	100.1	101.3	102.7
Weighted Avg. Price	90.6	95.6	97.0	98.7	100.1	101.3	102.6
Avg. Price Bottom 5 Trades	87.5	95.6	96.9	97.7	100.1	101.2	102.5
2nd Quartile Price	90.1	95.6	96.9	98.7	100.1	101.3	102.5
3rd Quartile Price	90.3	95.6	97.0	98.7	100.1	101.3	102.5
4th Quartile Price	92.3	95.7	97.0	98.8	100.2	101.3	102.6
Avg. Price Top 5 Trades	94.4	95.7	97.1	98.8	100.2	101.4	103.9
Standard Deviation	2.1	-	0.1	0.7	0.1	0.1	0.5
VOLUME OF TRADES (000'S)	4,492,197.0	666,788.5	801,031.1	706,426.4	1,615,415.9	1,108,743.1	322,710.7
NUMBER OF TRADES	129	35	35	61	112	75	45
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	91.5	95.7	97.0	98.7	100.1	101.3	102.7
Weighted Avg. Price	90.8	95.6	97.0	98.7	100.1	101.3	102.5
Avg. Price Bottom 5 Trades	87.6	95.6	96.9	98.6	100.0	101.2	102.5
2nd Quartile Price	90.1	95.6	97.0	98.6	100.1	101.3	102.5
3rd Quartile Price	92.3	95.7	97.0	98.7	100.1	101.3	102.6
4th Quartile Price	92.4	95.7	97.1	98.8	100.1	101.3	102.6
Avg. Price Top 5 Trades	94.5	95.8	97.1	98.8	100.2	101.4	102.8
Standard Deviation	2.0	0.1	0.1	0.1	-	0.1	0.4
VOLUME OF TRADES (000'S)	4,626,692.4	671,887.5	797,783.5	697,543.9	1,724,652.9	1,173,207.5	228,850.0
NUMBER OF TRADES	152	37	29	37	100	61	14
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	-	-	*	*	100.0	*	-
Weighted Avg. Price	-	-	*	*	100.0	*	-
Avg. Price Bottom 5 Trades	-	-	*	*	100.0	*	-
2nd Quartile Price	-	-	*	*	100.0	*	-
3rd Quartile Price	-	-	*	*	100.0	*	-
4th Quartile Price	-	-	*	*	100.0	*	-
Avg. Price Top 5 Trades	-	-	*	*	100.0	*	-
Standard Deviation	-	-	*	*	-	*	-
VOLUME OF TRADES (000'S)	-	-	*	*	84,750.0	*	-
NUMBER OF TRADES	-	-	*	*	13	*	-
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	-	-	-	-	-	-	-

AUGUST 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

MAY Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	81.9	89.2	92.2	94.8	97.2	99.2	102.2
Weighted Avg. Price	82.6	89.1	92.2	94.8	97.1	99.2	102.0
Avg. Price Bottom 5 Trades	73.6	88.9	91.9	94.6	97.0	99.1	101.0
2nd Quartile Price	78.3	89.1	92.1	94.7	97.1	99.2	101.0
3rd Quartile Price	82.1	89.2	92.2	94.8	97.1	99.2	102.7
4th Quartile Price	85.7	89.2	92.3	94.8	97.2	99.3	102.8
Avg. Price Top 5 Trades	85.9	89.3	92.4	95.0	98.4	99.7	105.1
Standard Deviation	4.0	0.1	0.1	0.1	0.3	0.1	1.2
VOLUME OF TRADES (000'S)	8,677,234.6	4,185,396.9	7,730,447.0	6,971,375.5	9,337,633.3	16,625,945.1	24,419,676.2
NUMBER OF TRADES	322	81	93	129	160	244	658
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	89.8	92.2	95.0	97.5	99.6	101.6
Weighted Avg. Price	85.9	89.8	92.2	95.0	97.5	99.5	101.3
Avg. Price Bottom 5 Trades	80.7	89.7	92.1	94.8	97.3	99.3	100.7
2nd Quartile Price	84.3	89.7	92.2	94.9	97.4	99.5	100.8
3rd Quartile Price	84.5	89.8	92.2	95.0	97.5	99.5	101.1
4th Quartile Price	87.8	89.9	92.3	95.1	97.6	99.6	102.1
Avg. Price Top 5 Trades	88.0	90.0	92.4	95.1	98.0	100.9	105.4
Standard Deviation	2.5	0.1	0.1	0.1	0.3	0.2	0.9
VOLUME OF TRADES (000'S)	12,637,765.4	4,742,016.9	2,143,340.8	1,383,981.0	2,501,494.8	5,618,121.5	7,150,077.6
NUMBER OF TRADES	103	47	37	45	87	232	310

JUNE Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	82.1	89.2	92.2	94.8	97.1	99.1	101.7
Weighted Avg. Price	80.8	89.2	92.2	94.8	97.1	99.1	101.5
Avg. Price Bottom 5 Trades	73.7	88.9	91.9	94.6	97.0	99.0	100.9
2nd Quartile Price	78.3	89.1	92.1	94.7	97.0	99.1	100.9
3rd Quartile Price	82.0	89.2	92.2	94.8	97.1	99.1	101.0
4th Quartile Price	85.7	89.3	92.2	94.8	97.2	99.2	102.6
Avg. Price Top 5 Trades	85.9	89.4	92.4	95.0	97.6	99.4	105.2
Standard Deviation	3.4	0.1	0.1	0.1	0.1	0.1	1.1
VOLUME OF TRADES (000'S)	22,471,500.1	9,328,326.0	7,023,298.8	14,576,033.5	20,681,492.5	51,028,266.8	60,425,188.3
NUMBER OF TRADES	626	177	224	329	466	877	1,369
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	89.8	92.2	94.9	97.4	99.4	101.2
Weighted Avg. Price	85.1	89.8	92.2	95.0	97.4	99.4	101.4
Avg. Price Bottom 5 Trades	80.7	89.6	92.1	94.8	97.3	99.3	100.7
2nd Quartile Price	84.3	89.7	92.2	94.9	97.4	99.4	100.7
3rd Quartile Price	84.4	89.8	92.2	94.9	97.4	99.4	100.8
4th Quartile Price	87.8	89.9	92.2	95.0	97.5	99.4	102.0
Avg. Price Top 5 Trades	87.9	90.0	92.3	95.1	97.6	99.5	102.8
Standard Deviation	2.7	0.1	0.1	0.1	0.1	-	0.6
VOLUME OF TRADES (000'S)	9,364,136.0	5,202,543.9	2,110,062.1	1,752,111.0	2,256,782.4	4,586,888.1	9,735,441.8
NUMBER OF TRADES	112	70	25	47	71	204	280

JULY Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	79.2	89.2	92.1	94.7	97.0	99.0	101.2
Weighted Avg. Price	78.7	89.2	92.2	94.7	97.0	99.0	101.2
Avg. Price Bottom 5 Trades	78.3	89.2	92.1	94.6	96.9	98.9	100.8
2nd Quartile Price	78.3	89.2	92.1	94.7	97.0	99.0	100.8
3rd Quartile Price	78.4	89.2	92.2	94.7	97.0	99.0	100.8
4th Quartile Price	78.4	89.2	92.3	94.8	97.0	99.0	100.9
Avg. Price Top 5 Trades	79.6	89.2	92.2	94.8	97.1	99.1	104.2
Standard Deviation	2.6	-	0.1	0.1	0.1	-	0.8
VOLUME OF TRADES (000'S)	9,282,019.8	4,000,931.0	2,699,934.8	2,425,750.0	5,488,500.0	30,519,164.1	25,291,933.4
NUMBER OF TRADES	8	6	7	52	43	176	361
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	-	89.8	*	94.9	97.3	99.2	101.1
Weighted Avg. Price	-	89.8	*	94.9	97.3	99.3	101.5
Avg. Price Bottom 5 Trades	-	89.7	*	94.8	97.3	99.1	100.5
2nd Quartile Price	-	89.7	*	94.8	97.3	99.2	100.6
3rd Quartile Price	-	89.8	*	94.8	97.3	99.2	100.6
4th Quartile Price	-	90.0	*	95.0	97.3	99.3	101.9
Avg. Price Top 5 Trades	-	89.8	*	94.9	97.4	99.3	102.8
Standard Deviation	-	0.1	*	0.1	0.1	0.1	0.7
VOLUME OF TRADES (000'S)	-	194,000.0	*	56,000.0	54,500.0	387,715.0	3,683,380.0
NUMBER OF TRADES	-	7	*	7	19	89	144

AUGUST 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 [email protected].

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For each region, the evaluation system is operational during the Extended Hours. In addition, the evaluation desks are staffed during the Core Hours providing further system inputs and oversight.

	Core Hours	Extended Hours
ASIA Corps & Sovs (AU)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (JP)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (NZ)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (Other Currencies)	9:00 AM HKT – 6:00 PM HKT	3:00 AM HKT – 12:00 AM HKT
ASIA Money Markets (AU)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (JP)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (NZ)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (Other Currencies)	9:00 AM HKT – 6:00 PM HKT	3:00 AM HKT – 12:00 AM HKT
EMEA Corps & Sovs	8:00 AM GMT/BST – 6:00 PM GMT/BST	3:00 AM GMT/BST – 12:00 AM GMT/BST
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US Corporate HY	8:00 AM ET – 5:30 PM ET	3:00 AM ET – 12:00 AM ET
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