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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

JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.7 95.8 97.3 98.6 99.9 101.2 *
Weighted Avg. Price 92.1 95.8 97.4 98.6 99.9 101.2 *
Avg. Price Bottom 5 Trades 87.6 95.8 97.2 98.5 99.8 101.2 *
2nd Quartile Price 91.9 95.8 97.3 98.5 99.8 101.2 *
3rd Quartile Price 94.1 95.9 97.3 98.6 99.9 101.2 *
4th Quartile Price 94.2 95.9 97.3 98.6 100.0 101.2 *
Avg. Price Top 5 Trades 94.3 95.9 97.4 98.7 100.0 101.2 *
Standard Deviation 1.9 0.1 0.1 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) 1,858,170.0 102,335.0 237,275.0 731,348.2 146,786.7 117,050.0 *
     NUMBER OF TRADES 129 14 26 54 24 23 *
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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.9 * 97.3 98.6 99.8 * *
Weighted Avg. Price 91.9 * 97.5 98.6 99.8 * *
Avg. Price Bottom 5 Trades 88.2 * 97.3 98.6 99.8 * *
2nd Quartile Price 91.9 * 97.3 98.6 99.8 * *
3rd Quartile Price 92.2 * 97.3 98.6 99.8 * *
4th Quartile Price 94.3 * 97.5 98.7 99.9 * *
Avg. Price Top 5 Trades 94.4 * 97.3 98.7 99.8 * *
Standard Deviation 2.2 * 0.1 0.1 0.1 * *
     VOLUME OF TRADES (000'S) 752,445.0 * 117,750.0 450,000.0 85,500.0 * *
     NUMBER OF TRADES 29 * 6 14 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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - - 99.7 * -
Weighted Avg. Price - - - - 99.8 * -
Avg. Price Bottom 5 Trades - - - - 99.7 * -
2nd Quartile Price - - - - * * -
3rd Quartile Price - - - - * * -
4th Quartile Price - - - - * * -
Avg. Price Top 5 Trades - - - - 99.7 * -
Standard Deviation - - - - 0.1 * -
     VOLUME OF TRADES (000'S) - - - - 25,500.0 * -
     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 - - - - - - -
SEPTEMBER 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 - - - - - - -

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

JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 85.1 91.7 94.4 96.7 98.5 99.9 101.5
Weighted Avg. Price 86.0 91.7 94.4 96.7 98.5 99.9 101.4
Avg. Price Bottom 5 Trades 79.5 91.4 94.2 96.5 98.3 99.7 101.0
2nd Quartile Price 81.9 91.5 94.3 96.5 98.4 99.8 101.1
3rd Quartile Price 85.2 91.6 94.4 96.7 98.4 99.9 101.2
4th Quartile Price 88.4 91.8 94.4 96.7 98.5 100.0 101.3
Avg. Price Top 5 Trades 88.9 92.0 94.7 97.0 100.6 101.7 103.2
Standard Deviation 2.8 0.2 0.1 0.1 0.3 0.2 0.5
     VOLUME OF TRADES (000'S) 29,261,083.7 11,406,905.0 13,350,087.9 11,691,599.0 20,019,054.7 20,522,003.3 18,951,925.5
     NUMBER OF TRADES 548 168 224 360 739 768 613
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 87.9 92.6 94.9 97.0 98.6 100.0 101.5
Weighted Avg. Price 88.5 92.7 95.1 97.1 98.6 100.0 101.2
Avg. Price Bottom 5 Trades 84.3 92.4 94.8 96.9 98.1 98.9 100.9
2nd Quartile Price 87.0 92.4 94.8 96.9 98.6 99.9 101.0
3rd Quartile Price 87.5 92.6 94.9 97.0 98.6 100.0 101.1
4th Quartile Price 89.7 92.7 95.0 97.1 98.7 100.0 102.0
Avg. Price Top 5 Trades 90.0 92.8 95.1 97.3 99.4 100.4 103.6
Standard Deviation 1.9 0.2 0.1 0.1 0.3 0.2 0.6
     VOLUME OF TRADES (000'S) 4,980,392.0 1,790,859.0 737,813.5 4,820,053.4 2,181,818.5 2,974,494.3 8,909,128.2
     NUMBER OF TRADES 103 45 40 95 122 167 311
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 85.9 91.8 94.5 96.7 98.5 99.9 101.4
Weighted Avg. Price 86.3 91.8 94.5 96.8 98.5 99.9 101.4
Avg. Price Bottom 5 Trades 78.8 91.6 94.3 96.6 98.3 99.7 101.0
2nd Quartile Price 82.5 91.6 94.4 96.6 98.4 99.8 101.1
3rd Quartile Price 85.8 91.7 94.4 96.6 98.4 99.9 101.2
4th Quartile Price 88.6 91.9 94.5 96.7 98.5 100.0 101.3
Avg. Price Top 5 Trades 89.0 92.1 94.7 97.0 98.7 100.1 102.5
Standard Deviation 2.8 0.2 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 25,017,426.7 9,580,459.0 8,976,437.0 5,355,974.0 8,008,270.0 9,939,686.0 11,346,868.0
     NUMBER OF TRADES 228 62 68 72 135 311 251
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 88.4 92.8 95.2 97.1 98.6 99.9 101.1
Weighted Avg. Price 88.9 92.9 95.3 97.2 98.6 99.9 101.1
Avg. Price Bottom 5 Trades 85.1 92.6 95.1 97.0 98.5 99.8 100.7
2nd Quartile Price 87.1 92.6 95.0 97.0 98.5 99.8 100.8
3rd Quartile Price 89.6 92.9 95.3 97.1 98.6 99.9 100.9
4th Quartile Price 90.2 93.0 95.3 97.3 98.6 99.9 101.2
Avg. Price Top 5 Trades 90.1 92.9 95.2 97.3 98.9 100.4 102.6
Standard Deviation 1.8 0.2 0.2 0.2 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 3,644,336.0 1,375,864.0 431,537.0 3,741,110.0 1,028,431.0 2,020,222.0 7,044,250.0
     NUMBER OF TRADES 41 17 9 41 70 123 235
AUGUST Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - * 96.8 98.4 99.9 101.2
Weighted Avg. Price - - * 96.7 98.5 99.9 101.2
Avg. Price Bottom 5 Trades - - * 96.6 98.3 99.7 101.0
2nd Quartile Price - - * 96.6 98.4 99.8 101.0
3rd Quartile Price - - * 96.8 98.4 99.8 101.1
4th Quartile Price - - * 97.0 98.4 99.9 101.1
Avg. Price Top 5 Trades - - * 96.9 98.7 100.1 102.3
Standard Deviation - - * 0.2 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) - - * 120,000.0 321,000.0 2,239,950.0 1,911,700.0
     NUMBER OF TRADES - - * 11 52 241 220
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 - - * 97.1 98.6 99.8 100.8
Weighted Avg. Price - - * 97.0 98.7 99.8 101.0
Avg. Price Bottom 5 Trades - - * 97.0 98.5 99.7 100.6
2nd Quartile Price - - * 97.0 98.6 99.8 100.7
3rd Quartile Price - - * 97.1 98.6 99.8 100.7
4th Quartile Price - - * 97.3 98.8 99.9 100.8
Avg. Price Top 5 Trades - - * 97.1 98.8 100.0 101.7
Standard Deviation - - * 0.2 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) - - * 25,000.0 172,000.0 899,250.0 720,750.0
     NUMBER OF TRADES - - * 9 26 75 108
SEPTEMBER 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 - - - - - - -
* 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].