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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
<= 3.5 4 4.5 5 5.5 6 > 6
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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.1 96.5 98.2 99.8 101.2 102.3 -
Weighted Avg. Price 93.6 96.4 98.2 99.8 101.2 102.2 -
Avg. Price Bottom 5 Trades 88.8 96.4 98.1 99.7 101.2 102.2 -
2nd Quartile Price 91.9 96.4 98.1 99.7 101.2 102.2 -
3rd Quartile Price 93.9 96.5 98.2 99.8 101.2 102.3 -
4th Quartile Price 95.1 96.5 98.2 99.8 101.2 102.3 -
Avg. Price Top 5 Trades 95.1 96.5 98.2 99.8 101.2 102.3 -
Standard Deviation 2.0 0.1 0.1 - - - -
     VOLUME OF TRADES (000'S) 1,092,773.0 295,757.0 682,323.0 2,192,129.1 1,123,314.0 183,275.0 -
     NUMBER OF TRADES 62 29 77 133 88 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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.0 * 98.1 99.7 101.1 102.2 -
Weighted Avg. Price 93.3 * 98.1 99.7 101.1 102.2 -
Avg. Price Bottom 5 Trades 93.0 * 98.1 99.7 101.0 102.2 -
2nd Quartile Price * * 98.1 99.7 101.0 * -
3rd Quartile Price * * 98.1 99.7 101.1 * -
4th Quartile Price * * 98.2 99.7 101.1 * -
Avg. Price Top 5 Trades 93.0 * 98.1 99.8 101.1 102.2 -
Standard Deviation 1.8 * 0.1 - - - -
     VOLUME OF TRADES (000'S) 572,472.0 * 80,580.0 870,218.1 474,805.0 154,014.0 -
     NUMBER OF TRADES 5 * 8 26 28 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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - * * 99.7 101.0 * -
Weighted Avg. Price - * * 99.7 101.0 * -
Avg. Price Bottom 5 Trades - * * 99.6 100.9 * -
2nd Quartile Price - * * 99.7 100.9 * -
3rd Quartile Price - * * 99.7 101.0 * -
4th Quartile Price - * * 99.7 101.0 * -
Avg. Price Top 5 Trades - * * 99.7 101.0 * -
Standard Deviation - * * - - * -
     VOLUME OF TRADES (000'S) - * * 38,000.0 19,500.0 * -
     NUMBER OF TRADES - * * 9 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 - - - - - - -

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

MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * - - * 99.3 101.4 -
Weighted Avg. Price * - - * 99.4 100.8 -
Avg. Price Bottom 5 Trades * - - * 99.0 101.1 -
2nd Quartile Price * - - * 98.8 100.8 -
3rd Quartile Price * - - * 99.5 101.8 -
4th Quartile Price * - - * 99.8 102.3 -
Avg. Price Top 5 Trades * - - * 99.7 101.6 -
Standard Deviation * - - * 0.5 0.7 -
     VOLUME OF TRADES (000'S) * - - * 47,440.1 70,200.0 -
     NUMBER OF TRADES * - - * 8 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 - - - - - - *
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.0 91.1 93.8 96.3 98.6 100.7 103.1
Weighted Avg. Price 82.8 91.1 93.8 96.3 98.6 100.7 103.7
Avg. Price Bottom 5 Trades 75.5 90.9 93.6 96.1 98.5 100.6 102.4
2nd Quartile Price 81.0 91.0 93.7 96.3 98.5 100.6 102.5
3rd Quartile Price 84.5 91.1 93.8 96.3 98.6 100.7 102.5
4th Quartile Price 88.0 91.1 93.8 96.4 98.7 100.7 104.2
Avg. Price Top 5 Trades 88.3 91.3 94.0 96.5 99.9 101.8 104.3
Standard Deviation 3.4 0.1 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 17,632,340.0 5,943,206.8 6,476,189.0 26,004,080.0 36,655,263.5 36,727,301.3 45,735,075.0
     NUMBER OF TRADES 550 185 226 627 1,021 978 545
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 85.1 91.1 93.9 96.6 99.0 100.9 102.5
Weighted Avg. Price 85.9 91.1 93.8 96.6 99.0 100.8 102.1
Avg. Price Bottom 5 Trades 79.7 90.9 93.6 96.3 98.6 98.6 101.2
2nd Quartile Price 83.3 91.0 93.8 96.5 98.9 100.8 101.9
3rd Quartile Price 86.6 91.1 93.9 96.6 98.9 100.8 102.0
4th Quartile Price 88.3 91.1 93.9 96.7 99.0 100.8 102.9
Avg. Price Top 5 Trades 88.5 91.2 94.2 96.7 99.7 102.8 104.9
Standard Deviation 3.1 0.1 0.3 0.1 0.2 0.7 0.8
     VOLUME OF TRADES (000'S) 5,498,692.3 807,153.0 1,072,459.8 1,781,915.2 10,263,678.9 6,998,924.3 4,443,382.1
     NUMBER OF TRADES 105 29 56 85 275 330 298
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.2 91.0 93.8 96.2 98.5 100.6 103.2
Weighted Avg. Price 82.3 91.1 93.8 96.2 98.5 100.6 103.7
Avg. Price Bottom 5 Trades 77.2 90.9 93.7 96.1 98.4 100.4 102.2
2nd Quartile Price 81.0 91.0 93.7 96.2 98.5 100.5 102.4
3rd Quartile Price 84.5 91.0 93.7 96.3 98.5 100.6 102.5
4th Quartile Price 84.6 91.1 93.8 96.3 98.6 100.6 104.1
Avg. Price Top 5 Trades 88.2 91.2 93.8 96.4 98.7 101.1 104.2
Standard Deviation 3.0 0.1 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 11,612,709.0 3,821,532.8 2,609,100.0 14,780,865.0 20,993,540.0 23,383,772.7 40,438,077.0
     NUMBER OF TRADES 160 40 32 91 203 421 293
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 86.6 91.1 93.8 96.6 98.8 100.6 101.9
Weighted Avg. Price 85.9 91.1 93.8 96.5 98.9 100.6 101.9
Avg. Price Bottom 5 Trades 83.2 91.0 93.7 96.5 98.7 100.5 101.8
2nd Quartile Price 86.5 91.1 93.8 96.5 98.8 100.6 101.8
3rd Quartile Price 86.6 91.1 93.8 96.6 98.8 100.6 101.9
4th Quartile Price 88.4 91.1 93.9 96.6 98.9 100.6 101.9
Avg. Price Top 5 Trades 88.4 91.1 93.9 96.7 99.0 100.7 102.4
Standard Deviation 2.4 0.1 0.1 0.1 0.1 - 0.1
     VOLUME OF TRADES (000'S) 3,030,744.0 720,000.0 783,100.0 1,063,077.0 6,774,075.0 3,001,854.0 2,473,900.0
     NUMBER OF TRADES 30 9 24 20 102 221 98
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 93.7 96.1 98.4 100.5 102.5
Weighted Avg. Price * * 93.7 96.1 98.4 100.5 102.6
Avg. Price Bottom 5 Trades * * 93.7 96.0 98.3 100.3 102.2
2nd Quartile Price * * * 96.1 98.4 100.4 102.3
3rd Quartile Price * * * 96.1 98.4 100.5 102.3
4th Quartile Price * * * 96.2 98.5 100.5 102.3
Avg. Price Top 5 Trades * * 93.7 96.2 98.5 100.5 104.0
Standard Deviation * * 0.1 0.1 0.1 - 0.5
     VOLUME OF TRADES (000'S) * * 28,800.0 136,500.0 357,400.0 1,365,800.0 617,850.0
     NUMBER OF TRADES * * 6 24 56 239 85
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 * - 93.7 96.4 98.7 100.4 101.8
Weighted Avg. Price * - 93.7 96.4 98.7 100.4 101.8
Avg. Price Bottom 5 Trades * - 93.7 96.4 98.6 100.3 101.7
2nd Quartile Price * - 93.7 96.4 98.6 100.4 101.7
3rd Quartile Price * - 93.7 96.5 98.7 100.4 101.8
4th Quartile Price * - 93.8 96.5 98.7 100.5 101.8
Avg. Price Top 5 Trades * - 93.7 96.5 98.8 100.5 102.1
Standard Deviation * - 0.1 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) * - 69,000.0 34,000.0 242,000.0 388,500.0 182,900.0
     NUMBER OF TRADES * - 7 13 43 59 25
* 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].