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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

MARCH Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	100.9	103.2	104.5	105.5	106.5	*	-
Weighted Avg. Price	100.9	103.2	104.6	105.5	106.5	*	-
Avg. Price Bottom 5 Trades	100.6	103.0	104.3	105.4	106.5	*	-
2nd Quartile Price	100.8	103.2	104.5	105.4	106.5	*	-
3rd Quartile Price	100.9	103.2	104.5	105.5	106.5	*	-
4th Quartile Price	101.0	103.3	104.6	105.5	106.6	*	-
Avg. Price Top 5 Trades	101.2	103.4	104.6	105.5	106.5	*	-
Standard Deviation	0.1	0.1	0.1	0.1	0.1	*	-
VOLUME OF TRADES (000'S)	5,200,674.9	6,157,209.2	1,547,050.4	100,858.1	15,319.0	*	-
NUMBER OF TRADES	463	458	124	21	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	-	-	-	-	-	-	-

APRIL Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	100.7	103.1	104.5	105.5	106.5	-	-
Weighted Avg. Price	100.8	103.0	104.5	105.5	106.4	-	-
Avg. Price Bottom 5 Trades	100.5	102.8	104.3	105.5	106.5	-	-
2nd Quartile Price	100.7	103.0	104.5	105.5	*	-	-
3rd Quartile Price	100.7	103.1	104.5	105.5	*	-	-
4th Quartile Price	100.9	103.1	104.5	105.7	*	-	-
Avg. Price Top 5 Trades	100.9	103.2	104.6	105.6	106.5	-	-
Standard Deviation	0.1	0.1	0.1	0.1	0.1	-	-
VOLUME OF TRADES (000'S)	2,212,085.0	4,794,040.2	1,187,923.0	91,987.0	18,474.0	-	-
NUMBER OF TRADES	57	83	34	11	5	-	-
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
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	100.6	102.9	104.4	*	-	-	-
Weighted Avg. Price	100.6	102.9	104.4	*	-	-	-
Avg. Price Bottom 5 Trades	100.5	102.7	104.3	*	-	-	-
2nd Quartile Price	100.5	102.8	104.4	*	-	-	-
3rd Quartile Price	100.5	102.9	104.4	*	-	-	-
4th Quartile Price	100.7	103.0	104.4	*	-	-	-
Avg. Price Top 5 Trades	100.7	103.0	104.4	*	-	-	-
Standard Deviation	0.1	0.1	-	*	-	-	-
VOLUME OF TRADES (000'S)	739,500.0	1,557,810.0	165,710.0	*	-	-	-
NUMBER OF TRADES	24	89	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	-	-	-	-	-	-	-

JUNE Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
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

MARCH Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	97.8	100.6	103.4	104.6	106.1	107.4	109.6
Weighted Avg. Price	97.7	100.6	103.4	104.6	106.1	107.4	109.4
Avg. Price Bottom 5 Trades	97.2	100.1	103.0	104.3	106.0	107.4	108.7
2nd Quartile Price	97.7	100.5	103.3	104.5	106.1	107.4	108.8
3rd Quartile Price	97.8	100.6	103.3	104.6	106.1	107.4	108.8
4th Quartile Price	97.9	100.7	103.5	104.6	106.1	107.4	110.7
Avg. Price Top 5 Trades	98.8	102.0	104.1	104.8	106.1	107.5	111.7
Standard Deviation	0.3	0.2	0.2	0.1	-	-	1.1
VOLUME OF TRADES (000'S)	12,123,634.5	75,969,633.9	49,575,842.1	14,958,657.5	8,539,239.3	6,961,008.6	5,083,054.8
NUMBER OF TRADES	277	1,952	1,418	428	177	117	102
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	98.8	101.3	103.6	104.3	106.0	107.1	108.7
Weighted Avg. Price	98.4	101.3	103.5	104.2	105.8	107.1	108.8
Avg. Price Bottom 5 Trades	98.5	101.0	103.1	103.7	105.5	106.7	108.5
2nd Quartile Price	98.6	101.2	103.4	104.0	105.6	106.9	108.8
3rd Quartile Price	98.6	101.4	103.6	104.1	105.7	106.9	109.2
4th Quartile Price	100.8	101.4	103.6	104.3	105.9	107.0	109.7
Avg. Price Top 5 Trades	99.0	101.7	104.6	106.9	108.5	107.9	108.9
Standard Deviation	0.9	0.2	0.3	0.7	0.9	0.5	0.7
VOLUME OF TRADES (000'S)	126,167.8	9,043,632.0	9,043,140.0	5,741,070.4	1,716,775.1	273,383.6	18,619.6
NUMBER OF TRADES	7	184	244	152	50	36	6

APRIL Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	97.6	100.4	103.2	104.6	106.2	107.6	109.9
Weighted Avg. Price	97.5	100.4	103.1	104.6	106.2	107.6	109.6
Avg. Price Bottom 5 Trades	97.0	99.9	102.8	104.4	106.2	107.5	108.9
2nd Quartile Price	97.4	100.3	103.0	104.6	106.2	107.6	108.9
3rd Quartile Price	97.6	100.4	103.2	104.6	106.2	107.6	109.0
4th Quartile Price	97.7	100.5	103.3	104.7	106.2	107.6	110.8
Avg. Price Top 5 Trades	98.7	101.0	103.4	105.7	106.3	107.6	111.8
Standard Deviation	0.3	0.2	0.1	0.3	-	-	1.1
VOLUME OF TRADES (000'S)	9,385,832.3	55,006,329.3	45,340,693.6	13,159,013.5	7,728,579.2	5,931,359.4	4,446,725.1
NUMBER OF TRADES	176	766	635	230	136	85	88
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	*	101.2	103.3	104.3	105.9	107.2	108.3
Weighted Avg. Price	*	101.2	103.3	104.3	105.9	107.4	108.8
Avg. Price Bottom 5 Trades	*	100.8	103.0	104.0	105.7	107.0	108.3
2nd Quartile Price	*	101.0	103.2	104.2	105.7	107.1	*
3rd Quartile Price	*	101.2	103.3	104.3	105.8	107.1	*
4th Quartile Price	*	101.2	103.4	104.5	106.0	107.6	*
Avg. Price Top 5 Trades	*	101.5	103.7	104.7	106.1	107.4	108.3
Standard Deviation	*	0.2	0.2	0.2	0.2	0.4	0.5
VOLUME OF TRADES (000'S)	*	7,752,341.0	5,511,204.0	4,610,782.0	1,621,959.0	105,819.0	14,900.0
NUMBER OF TRADES	*	128	135	103	30	13	5

MAY Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	97.3	100.1	102.9	104.8	106.3	*	*
Weighted Avg. Price	97.4	100.2	102.9	104.6	106.3	*	*
Avg. Price Bottom 5 Trades	97.1	99.7	102.5	104.5	106.3	*	*
2nd Quartile Price	97.1	100.0	102.8	104.6	*	*	*
3rd Quartile Price	97.3	100.1	103.0	104.6	*	*	*
4th Quartile Price	97.5	100.3	103.1	104.7	*	*	*
Avg. Price Top 5 Trades	97.5	100.4	103.6	107.0	106.3	*	*
Standard Deviation	0.2	0.2	0.2	0.8	-	*	*
VOLUME OF TRADES (000'S)	485,300.0	7,601,472.0	12,170,890.0	1,213,790.0	16,460.0	*	*
NUMBER OF TRADES	18	259	432	64	5	*	*
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	*	100.9	103.0	104.2	105.9	*	-
Weighted Avg. Price	*	100.9	103.1	104.3	105.8	*	-
Avg. Price Bottom 5 Trades	*	100.6	102.7	104.0	105.8	*	-
2nd Quartile Price	*	100.8	102.9	104.1	105.8	*	-
3rd Quartile Price	*	100.9	103.1	104.2	106.0	*	-
4th Quartile Price	*	101.0	103.1	104.3	106.1	*	-
Avg. Price Top 5 Trades	*	101.4	103.4	104.6	105.9	*	-
Standard Deviation	*	0.3	0.2	0.2	0.2	*	-
VOLUME OF TRADES (000'S)	*	2,125,300.0	1,889,720.0	553,790.0	45,140.0	*	-
NUMBER OF TRADES	*	74	128	56	8	*	-

JUNE Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
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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