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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 92.0 96.8 98.5 100.0 101.4 * -
Weighted Avg. Price 91.5 96.8 98.5 100.0 101.4 * -
Avg. Price Bottom 5 Trades 87.6 96.7 98.4 99.9 101.3 * -
2nd Quartile Price 90.3 96.8 98.4 100.0 101.3 * -
3rd Quartile Price 92.3 96.8 98.5 100.0 101.4 * -
4th Quartile Price 94.3 96.8 98.5 100.1 101.4 * -
Avg. Price Top 5 Trades 95.5 96.9 98.5 100.1 101.4 * -
Standard Deviation 2.3 0.1 0.1 0.1 0.1 * -
     VOLUME OF TRADES (000'S) 628,867.0 52,161.0 213,777.0 586,155.0 72,315.0 * -
     NUMBER OF TRADES 97 21 33 62 18 * -
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 92.3 * 98.4 99.9 101.3 - -
Weighted Avg. Price 93.4 * 98.4 99.9 101.3 - -
Avg. Price Bottom 5 Trades 88.8 * 98.4 99.9 101.2 - -
2nd Quartile Price 90.3 * * 99.9 101.2 - -
3rd Quartile Price 92.3 * * 100.0 101.3 - -
4th Quartile Price 95.4 * * 100.0 101.3 - -
Avg. Price Top 5 Trades 95.4 * 98.4 100.0 101.3 - -
Standard Deviation 2.9 * - - - - -
     VOLUME OF TRADES (000'S) 125,690.0 * 28,000.0 214,375.0 51,275.0 - -
     NUMBER OF TRADES 16 * 6 22 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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - * * 99.9 101.2 * -
Weighted Avg. Price - * * 99.9 101.2 * -
Avg. Price Bottom 5 Trades - * * 99.8 101.1 * -
2nd Quartile Price - * * 99.8 101.2 * -
3rd Quartile Price - * * 99.9 101.2 * -
4th Quartile Price - * * 99.9 101.2 * -
Avg. Price Top 5 Trades - * * 99.9 101.2 * -
Standard Deviation - * * - - * -
     VOLUME OF TRADES (000'S) - * * 95,000.0 53,500.0 * -
     NUMBER OF TRADES - * * 16 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 - - - - - - -
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 84.1 91.6 94.2 96.7 98.9 100.9 103.0
Weighted Avg. Price 83.7 91.6 94.2 96.7 98.9 100.9 103.2
Avg. Price Bottom 5 Trades 74.3 91.4 94.1 96.6 98.7 100.8 102.6
2nd Quartile Price 81.4 91.5 94.2 96.7 98.9 100.9 102.6
3rd Quartile Price 85.0 91.6 94.3 96.7 99.0 100.9 102.7
4th Quartile Price 88.5 91.6 94.3 96.8 99.0 101.0 102.7
Avg. Price Top 5 Trades 88.7 91.7 94.4 96.8 100.2 102.2 105.4
Standard Deviation 3.9 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 16,034,467.7 3,122,870.0 6,472,094.0 18,139,935.6 20,438,658.0 25,308,175.6 9,789,329.3
     NUMBER OF TRADES 799 205 314 796 1,018 831 415
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 86.1 91.6 94.3 97.0 99.3 100.9 102.3
Weighted Avg. Price 86.9 91.5 94.3 96.9 99.2 100.9 102.2
Avg. Price Bottom 5 Trades 80.1 91.3 94.0 96.8 99.1 100.7 101.4
2nd Quartile Price 83.8 91.5 94.2 96.9 99.2 100.9 102.1
3rd Quartile Price 87.1 91.6 94.3 97.0 99.3 100.9 102.1
4th Quartile Price 88.9 91.6 94.4 97.0 99.3 101.0 102.2
Avg. Price Top 5 Trades 89.1 91.9 94.4 97.1 99.8 101.5 104.1
Standard Deviation 3.2 0.2 0.2 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 6,111,781.7 656,407.4 1,661,353.2 2,589,643.0 5,166,589.2 5,041,829.5 1,602,011.8
     NUMBER OF TRADES 252 48 88 134 276 249 146
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 82.9 91.6 94.2 96.7 98.8 100.8 102.8
Weighted Avg. Price 82.1 91.6 94.1 96.7 98.8 100.8 102.8
Avg. Price Bottom 5 Trades 75.2 91.5 94.0 96.5 98.6 100.7 102.5
2nd Quartile Price 81.4 91.6 94.2 96.7 98.8 100.8 102.5
3rd Quartile Price 81.6 91.6 94.2 96.7 98.9 100.8 102.6
4th Quartile Price 85.1 91.6 94.3 96.7 98.9 100.9 102.6
Avg. Price Top 5 Trades 88.6 91.6 94.3 96.8 98.9 100.9 104.4
Standard Deviation 4.0 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 4,514,509.4 549,410.0 3,112,015.0 6,400,538.0 7,830,131.0 11,334,652.0 3,481,528.5
     NUMBER OF TRADES 116 22 40 83 169 320 162
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 91.5 94.3 96.9 99.2 100.8 102.4
Weighted Avg. Price 87.2 91.4 94.2 96.8 99.1 100.8 102.2
Avg. Price Bottom 5 Trades 81.4 91.5 94.2 96.8 99.0 100.6 102.0
2nd Quartile Price 87.0 * 94.2 96.9 99.1 100.7 102.0
3rd Quartile Price 88.7 * 94.3 96.9 99.2 100.8 102.1
4th Quartile Price 88.9 * 94.3 97.0 99.2 100.8 102.6
Avg. Price Top 5 Trades 89.0 91.5 94.4 97.0 99.3 102.5 104.5
Standard Deviation 2.6 0.2 0.1 0.1 0.1 0.3 0.7
     VOLUME OF TRADES (000'S) 3,822,750.0 314,600.0 691,375.0 326,220.0 669,350.0 2,435,962.0 821,883.0
     NUMBER OF TRADES 61 6 36 31 87 178 75
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - 91.5 94.1 96.6 98.8 100.7 102.6
Weighted Avg. Price - 91.5 94.2 96.7 98.8 100.7 102.5
Avg. Price Bottom 5 Trades - 91.4 94.1 96.5 98.7 100.3 102.4
2nd Quartile Price - 91.5 94.1 96.6 98.8 100.7 102.4
3rd Quartile Price - 91.5 94.2 96.7 98.8 100.7 102.5
4th Quartile Price - 91.6 94.2 96.7 98.8 100.8 102.5
Avg. Price Top 5 Trades - 91.5 94.2 96.7 98.9 100.8 103.6
Standard Deviation - 0.1 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) - 77,000.0 101,000.0 65,750.0 388,100.0 1,257,250.0 888,050.0
     NUMBER OF TRADES - 7 7 20 83 233 79
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 * 91.5 94.2 96.8 99.0 100.6 102.0
Weighted Avg. Price * 91.5 94.2 96.8 99.0 100.6 102.1
Avg. Price Bottom 5 Trades * 91.5 94.1 96.8 98.9 100.5 101.8
2nd Quartile Price * * 94.1 96.8 99.0 100.5 101.9
3rd Quartile Price * * 94.2 96.8 99.0 100.6 101.9
4th Quartile Price * * 94.3 96.9 99.1 100.6 102.0
Avg. Price Top 5 Trades * 91.5 94.3 96.9 99.1 100.7 102.6
Standard Deviation * 0.1 0.1 0.1 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) * 54,000.0 244,050.0 57,500.0 463,750.0 730,950.0 382,900.0
     NUMBER OF TRADES * 7 27 16 55 83 47
* 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].