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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

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

MARCH 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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.0 96.5 98.2 99.5 100.5 101.5 *
Weighted Avg. Price 92.6 96.5 98.2 99.5 100.5 101.6 *
Avg. Price Bottom 5 Trades 87.6 96.4 98.1 99.4 100.5 101.5 *
2nd Quartile Price 90.0 96.4 98.2 99.5 100.5 101.5 *
3rd Quartile Price 92.5 96.5 98.2 99.5 100.5 101.5 *
4th Quartile Price 94.5 96.5 98.3 99.5 100.5 101.6 *
Avg. Price Top 5 Trades 94.6 96.5 98.2 99.5 100.6 101.5 *
Standard Deviation 2.3 0.1 - - - 0.1 *
     VOLUME OF TRADES (000'S) 279,566.0 78,627.0 234,895.8 342,227.0 166,016.2 44,580.0 *
     NUMBER OF TRADES 46 15 45 49 19 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 - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.6 * * 99.5 100.5 * *
Weighted Avg. Price 92.4 * * 99.5 100.5 * *
Avg. Price Bottom 5 Trades 90.5 * * 99.5 100.5 * *
2nd Quartile Price 92.4 * * * 100.5 * *
3rd Quartile Price 92.6 * * * 100.5 * *
4th Quartile Price 94.5 * * * 100.5 * *
Avg. Price Top 5 Trades 93.2 * * 99.5 100.5 * *
Standard Deviation 2.5 * * - - * *
     VOLUME OF TRADES (000'S) 126,094.0 * * 112,000.0 133,500.0 * *
     NUMBER OF TRADES 9 * * 10 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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - * * 100.4 * -
Weighted Avg. Price - - * * 100.4 * -
Avg. Price Bottom 5 Trades - - * * 100.4 * -
2nd Quartile Price - - * * * * -
3rd Quartile Price - - * * * * -
4th Quartile Price - - * * * * -
Avg. Price Top 5 Trades - - * * 100.4 * -
Standard Deviation - - * * 0.1 * -
     VOLUME OF TRADES (000'S) - - * * 17,000.0 * -
     NUMBER OF TRADES - - * * 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 - - - - - - -

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

MARCH 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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 86.8 92.6 95.3 97.6 99.4 100.8 102.1
Weighted Avg. Price 87.2 92.6 95.3 97.6 99.4 100.8 102.0
Avg. Price Bottom 5 Trades 79.0 92.5 95.2 97.5 99.2 100.7 101.8
2nd Quartile Price 85.9 92.6 95.3 97.6 99.4 100.8 101.9
3rd Quartile Price 86.0 92.6 95.3 97.6 99.4 100.8 101.9
4th Quartile Price 89.4 92.6 95.3 97.6 99.5 100.8 101.9
Avg. Price Top 5 Trades 89.5 92.7 95.4 97.8 100.8 101.4 103.1
Standard Deviation 2.8 - - 0.1 0.2 0.1 0.5
     VOLUME OF TRADES (000'S) 26,597,659.7 6,998,622.0 8,480,640.5 13,205,991.0 13,379,397.6 13,393,996.6 7,975,052.3
     NUMBER OF TRADES 372 109 139 275 572 557 370
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 87.4 93.5 95.9 98.1 99.9 101.1 102.2
Weighted Avg. Price 87.2 93.5 95.9 98.2 99.9 101.0 102.0
Avg. Price Bottom 5 Trades 84.6 93.4 95.8 97.6 99.8 100.9 100.8
2nd Quartile Price 84.8 93.4 95.9 98.2 99.8 101.0 101.7
3rd Quartile Price 87.8 93.5 95.9 98.2 99.9 101.0 101.8
4th Quartile Price 90.7 93.6 96.0 98.2 99.9 101.0 102.7
Avg. Price Top 5 Trades 90.8 93.6 96.0 98.3 100.9 102.1 106.4
Standard Deviation 2.3 0.1 0.1 0.2 0.2 0.3 0.9
     VOLUME OF TRADES (000'S) 977,751.0 96,753.2 2,144,429.9 2,497,407.1 2,850,437.9 3,783,086.1 2,819,919.9
     NUMBER OF TRADES 73 17 41 94 212 275 268
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 87.1 92.6 95.3 97.6 99.4 100.8 102.0
Weighted Avg. Price 87.5 92.6 95.3 97.6 99.4 100.7 101.9
Avg. Price Bottom 5 Trades 81.6 92.6 95.3 97.6 99.2 100.6 101.7
2nd Quartile Price 86.0 92.6 95.3 97.6 99.4 100.7 101.8
3rd Quartile Price 86.1 92.6 95.3 97.6 99.4 100.8 101.8
4th Quartile Price 89.5 92.7 95.4 97.6 99.4 100.8 101.9
Avg. Price Top 5 Trades 89.5 92.7 95.4 97.7 99.5 101.0 103.0
Standard Deviation 2.5 0.1 - - 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 19,882,303.0 5,293,365.0 5,776,259.0 6,864,602.3 5,943,977.1 6,622,757.5 5,498,410.9
     NUMBER OF TRADES 83 16 32 46 121 204 155
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 * 95.9 98.2 99.8 100.9 102.0
Weighted Avg. Price 90.2 * 95.9 98.2 99.7 100.9 101.9
Avg. Price Bottom 5 Trades 87.4 * 95.9 98.1 99.7 100.8 101.5
2nd Quartile Price 87.9 * 95.9 98.2 99.7 100.8 101.6
3rd Quartile Price 87.9 * 96.0 98.2 99.8 100.9 101.6
4th Quartile Price 90.7 * 96.0 98.2 99.8 100.9 102.4
Avg. Price Top 5 Trades 88.9 * 96.0 98.3 99.8 101.5 104.4
Standard Deviation 1.8 * 0.1 - - 0.1 0.7
     VOLUME OF TRADES (000'S) 187,295.0 * 1,605,746.0 1,726,730.0 1,388,760.0 1,562,225.0 2,262,150.0
     NUMBER OF TRADES 9 * 12 40 108 126 147
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * * * 97.7 99.4 100.7 101.9
Weighted Avg. Price * * * 97.7 99.4 100.7 101.8
Avg. Price Bottom 5 Trades * * * 97.6 99.2 100.6 101.7
2nd Quartile Price * * * 97.7 99.4 100.7 101.7
3rd Quartile Price * * * 97.7 99.4 100.7 101.8
4th Quartile Price * * * 97.7 99.4 100.7 101.8
Avg. Price Top 5 Trades * * * 97.7 99.6 100.9 102.8
Standard Deviation * * * - 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) * * * 97,000.0 1,757,450.0 1,960,850.0 781,450.0
     NUMBER OF TRADES * * * 12 113 147 66
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 - - - 98.2 99.7 100.8 101.6
Weighted Avg. Price - - - 98.2 99.7 100.8 101.7
Avg. Price Bottom 5 Trades - - - 98.1 99.6 100.7 101.4
2nd Quartile Price - - - 98.2 99.7 100.7 101.4
3rd Quartile Price - - - 98.2 99.7 100.8 101.5
4th Quartile Price - - - 98.2 99.7 100.8 101.5
Avg. Price Top 5 Trades - - - 98.2 99.7 100.8 102.2
Standard Deviation - - - 0.1 - - 0.3
     VOLUME OF TRADES (000'S) - - - 47,000.0 317,750.0 616,200.0 167,900.0
     NUMBER OF TRADES - - - 10 57 74 50
* 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].