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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

JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 91.8 96.4 98.1 99.8 101.3 102.3 -
Weighted Avg. Price 91.9 96.4 98.1 99.8 101.2 102.3 -
Avg. Price Bottom 5 Trades 87.9 96.3 98.0 99.7 101.2 102.3 -
2nd Quartile Price 89.9 96.3 98.1 99.7 101.2 * -
3rd Quartile Price 91.9 96.4 98.1 99.8 101.2 * -
4th Quartile Price 93.8 96.5 98.2 99.8 101.3 * -
Avg. Price Top 5 Trades 95.2 96.5 98.2 99.9 101.4 102.3 -
Standard Deviation 2.1 0.1 0.1 0.1 0.1 - -
     VOLUME OF TRADES (000'S) 1,621,876.0 323,275.0 538,262.9 2,438,131.9 400,392.0 81,950.0 -
     NUMBER OF TRADES 132 23 32 144 36 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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 91.7 96.4 98.1 99.7 101.2 * -
Weighted Avg. Price 92.0 96.4 98.1 99.7 101.2 * -
Avg. Price Bottom 5 Trades 87.4 96.4 98.1 99.7 101.1 * -
2nd Quartile Price 89.9 96.3 98.1 99.7 101.1 * -
3rd Quartile Price 91.9 96.4 98.2 99.7 101.2 * -
4th Quartile Price 94.0 96.6 98.2 99.8 101.2 * -
Avg. Price Top 5 Trades 95.2 96.5 98.2 99.8 101.3 * -
Standard Deviation 2.3 0.1 0.1 0.1 0.1 * -
     VOLUME OF TRADES (000'S) 1,004,562.0 262,500.0 419,600.0 2,148,073.9 291,599.0 * -
     NUMBER OF TRADES 70 10 15 59 29 * -
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 * * * 99.6 101.1 * -
Weighted Avg. Price * * * 99.6 101.2 * -
Avg. Price Bottom 5 Trades * * * 99.6 101.0 * -
2nd Quartile Price * * * 99.6 101.0 * -
3rd Quartile Price * * * 99.6 101.1 * -
4th Quartile Price * * * 99.7 101.2 * -
Avg. Price Top 5 Trades * * * 99.7 101.1 * -
Standard Deviation * * * 0.1 0.1 * -
     VOLUME OF TRADES (000'S) * * * 43,100.0 83,000.0 * -
     NUMBER OF TRADES * * * 13 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 - - - - - - -
SEPTEMBER 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 - - - - - - -

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

JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.1 91.2 93.8 96.4 98.7 100.8 103.0
Weighted Avg. Price 83.0 91.3 93.8 96.4 98.7 100.8 102.8
Avg. Price Bottom 5 Trades 72.9 90.9 93.6 96.2 98.3 100.6 102.5
2nd Quartile Price 80.9 91.0 93.8 96.3 98.6 100.7 102.5
3rd Quartile Price 84.4 91.1 93.8 96.3 98.7 100.8 102.6
4th Quartile Price 88.0 91.2 93.9 96.5 98.8 100.8 102.7
Avg. Price Top 5 Trades 88.7 95.4 94.3 97.8 99.9 101.7 104.7
Standard Deviation 4.1 1.0 0.1 0.2 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 29,996,715.7 8,936,696.0 12,203,202.7 24,111,471.6 40,781,774.2 45,756,472.0 19,796,497.6
     NUMBER OF TRADES 687 261 368 647 1,169 1,094 680
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 85.4 91.1 93.9 96.6 99.0 100.9 102.5
Weighted Avg. Price 85.1 91.1 93.9 96.6 99.0 100.9 102.3
Avg. Price Bottom 5 Trades 79.8 91.0 93.8 96.5 98.8 100.5 101.6
2nd Quartile Price 83.4 91.0 93.8 96.6 98.9 100.8 102.1
3rd Quartile Price 86.7 91.1 93.8 96.6 99.0 100.8 102.2
4th Quartile Price 88.7 91.3 93.9 96.7 99.1 100.9 103.1
Avg. Price Top 5 Trades 88.9 91.3 94.1 96.8 99.7 102.0 104.1
Standard Deviation 3.3 0.1 0.1 0.1 0.2 0.3 0.6
     VOLUME OF TRADES (000'S) 10,493,568.5 374,900.0 1,973,964.1 2,320,796.6 4,017,954.6 2,971,676.6 2,328,206.2
     NUMBER OF TRADES 178 34 40 76 173 181 160
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 82.2 91.4 93.8 96.3 98.6 100.6 102.9
Weighted Avg. Price 82.9 91.3 93.8 96.3 98.6 100.7 102.6
Avg. Price Bottom 5 Trades 73.0 90.9 93.6 96.1 98.4 100.5 102.4
2nd Quartile Price 77.7 91.0 93.7 96.2 98.5 100.6 102.5
3rd Quartile Price 81.1 91.2 93.8 96.3 98.5 100.6 102.5
4th Quartile Price 84.7 91.2 93.9 96.4 98.6 100.7 102.6
Avg. Price Top 5 Trades 88.4 93.7 94.3 96.8 98.9 100.9 104.4
Standard Deviation 4.1 1.4 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 29,528,567.5 8,360,564.8 10,793,214.5 28,495,070.0 33,407,903.4 57,264,419.5 47,195,304.5
     NUMBER OF TRADES 479 129 194 262 402 574 457
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 85.4 91.2 93.8 96.5 98.9 100.7 102.3
Weighted Avg. Price 84.7 91.2 93.9 96.5 99.0 100.7 102.1
Avg. Price Bottom 5 Trades 79.8 91.0 93.7 96.4 98.7 100.5 101.9
2nd Quartile Price 83.4 91.1 93.8 96.5 98.8 100.6 102.0
3rd Quartile Price 86.6 91.2 93.8 96.5 98.9 100.6 102.0
4th Quartile Price 88.7 91.4 93.9 96.6 99.0 100.7 102.5
Avg. Price Top 5 Trades 88.8 91.2 94.1 96.7 99.2 101.0 103.1
Standard Deviation 3.1 0.2 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 9,490,238.0 107,463.0 1,885,075.0 1,639,651.0 2,624,699.5 2,128,267.3 2,381,842.5
     NUMBER OF TRADES 129 14 25 45 165 190 128
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.8 91.0 93.7 96.2 98.4 100.5 102.5
Weighted Avg. Price 84.6 91.0 93.7 96.1 98.4 100.5 102.5
Avg. Price Bottom 5 Trades 85.8 91.0 93.7 96.1 98.4 100.4 102.3
2nd Quartile Price * * 93.7 96.1 98.4 100.5 102.3
3rd Quartile Price * * 93.8 96.2 98.4 100.5 102.4
4th Quartile Price * * 93.8 96.2 98.5 100.5 102.4
Avg. Price Top 5 Trades 85.8 91.0 93.7 96.3 98.7 100.7 104.2
Standard Deviation 1.9 0.1 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 59,625.0 20,500.0 31,500.0 8,338,368.2 2,166,750.0 16,877,704.4 29,041,800.0
     NUMBER OF TRADES 5 6 9 27 147 396 119
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 88.2 * 93.7 96.4 98.8 100.5 102.1
Weighted Avg. Price 88.5 * 93.7 96.4 98.8 100.5 102.4
Avg. Price Bottom 5 Trades 88.1 * 93.7 96.4 98.6 100.4 101.8
2nd Quartile Price 88.5 * 93.7 96.4 98.7 100.4 101.9
3rd Quartile Price 88.5 * 93.7 96.4 98.7 100.4 101.9
4th Quartile Price 88.6 * 93.7 96.5 98.8 100.5 102.0
Avg. Price Top 5 Trades 88.5 * 93.7 96.5 99.0 100.7 102.8
Standard Deviation 0.8 * 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 228,000.0 * 91,500.0 26,300.0 338,130.0 637,400.0 277,300.0
     NUMBER OF TRADES 6 * 9 9 83 153 58
SEPTEMBER 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 - * * * - - -
* 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].