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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 - - - - - - -
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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 89.6 * 96.6 98.2 99.4 100.5 101.3
Weighted Avg. Price 89.9 * 96.6 98.2 99.5 100.5 101.2
Avg. Price Bottom 5 Trades 85.9 * 96.6 98.2 99.4 100.4 101.2
2nd Quartile Price 88.4 * * 98.2 99.4 100.4 101.2
3rd Quartile Price 90.8 * * 98.2 99.4 100.5 101.3
4th Quartile Price 91.0 * * 98.3 99.5 100.5 101.4
Avg. Price Top 5 Trades 93.0 * 96.6 98.2 99.5 100.5 101.3
Standard Deviation 2.3 * - 0.1 - 0.1 0.1
     VOLUME OF TRADES (000'S) 451,860.0 * 11,600.0 50,073.0 333,670.0 538,466.0 250,042.0
     NUMBER OF TRADES 52 * 5 13 32 32 15
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 91.2 - * * 99.4 100.5 *
Weighted Avg. Price 91.2 - * * 99.5 100.5 *
Avg. Price Bottom 5 Trades 91.2 - * * 99.4 100.4 *
2nd Quartile Price * - * * * 100.4 *
3rd Quartile Price * - * * * 100.5 *
4th Quartile Price * - * * * 100.7 *
Avg. Price Top 5 Trades 91.2 - * * 99.4 100.5 *
Standard Deviation - - * * - 0.1 *
     VOLUME OF TRADES (000'S) 180,000.0 - * * 103,570.0 235,291.0 *
     NUMBER OF TRADES 8 - * * 5 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 - - - - - - -
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 - - - - - * *
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 84.6 90.6 93.1 95.6 97.8 99.6 101.3
Weighted Avg. Price 85.3 90.7 93.1 95.6 97.9 99.6 101.1
Avg. Price Bottom 5 Trades 79.2 90.4 92.9 95.4 97.7 99.4 100.5
2nd Quartile Price 81.5 90.5 93.0 95.5 97.8 99.5 100.8
3rd Quartile Price 84.6 90.6 93.1 95.6 97.8 99.6 101.4
4th Quartile Price 87.8 90.7 93.1 95.7 97.9 99.6 101.6
Avg. Price Top 5 Trades 88.1 90.9 93.4 95.9 98.1 99.9 104.2
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 8,570,104.2 4,404,769.0 4,721,143.0 5,904,346.9 3,745,761.4 4,858,177.0 14,900,235.3
     NUMBER OF TRADES 217 100 86 110 115 249 736
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.9 89.1 92.2 95.0 97.3 99.1 101.2
Weighted Avg. Price 82.8 89.1 92.2 95.0 97.3 99.1 101.1
Avg. Price Bottom 5 Trades 77.4 89.0 92.1 94.9 97.1 99.0 100.5
2nd Quartile Price 82.2 89.0 92.2 95.0 97.3 99.1 100.6
3rd Quartile Price 82.3 89.2 92.2 95.0 97.3 99.1 100.6
4th Quartile Price 85.6 89.2 92.3 95.0 97.3 99.1 102.0
Avg. Price Top 5 Trades 85.7 89.3 92.3 95.1 97.4 99.2 103.0
Standard Deviation 2.8 0.1 0.1 0.1 0.1 - 0.8
     VOLUME OF TRADES (000'S) 34,537,364.3 1,948,216.0 12,544,972.1 22,457,053.5 31,025,901.6 29,315,081.8 73,211,857.6
     NUMBER OF TRADES 282 121 105 114 356 732 1,264
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 84.8 90.6 93.1 95.7 97.8 99.5 101.2
Weighted Avg. Price 84.8 90.7 93.2 95.6 97.8 99.6 101.1
Avg. Price Bottom 5 Trades 80.5 90.4 92.9 95.5 97.7 99.4 100.4
2nd Quartile Price 81.6 90.5 93.1 95.6 97.8 99.5 100.6
3rd Quartile Price 84.7 90.6 93.1 95.6 97.8 99.5 101.3
4th Quartile Price 87.8 90.7 93.2 95.7 97.9 99.6 101.5
Avg. Price Top 5 Trades 88.1 90.9 93.4 95.9 98.1 99.8 104.7
Standard Deviation 2.7 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 10,980,310.4 7,122,691.0 5,184,512.0 8,710,342.8 5,756,713.5 7,764,393.5 22,390,686.4
     NUMBER OF TRADES 280 123 113 146 184 383 1,015
AUGUST Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.3 * 92.3 95.0 97.3 99.1 101.1
Weighted Avg. Price 82.8 * 92.3 95.0 97.3 99.1 101.1
Avg. Price Bottom 5 Trades 78.7 * 92.2 95.0 97.2 99.0 100.5
2nd Quartile Price 78.8 * 92.3 95.0 97.3 99.1 100.6
3rd Quartile Price 82.3 * 92.3 95.0 97.3 99.1 100.6
4th Quartile Price 85.8 * 92.3 95.0 97.3 99.1 101.9
Avg. Price Top 5 Trades 85.8 * 92.3 95.0 97.3 99.2 102.9
Standard Deviation 3.1 * - - - - 0.7
     VOLUME OF TRADES (000'S) 29,369,096.7 * 11,177,656.1 20,125,731.5 20,328,209.6 14,387,447.8 54,399,943.8
     NUMBER OF TRADES 16 * 18 20 48 187 394
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 - * 93.1 95.6 97.8 99.4 100.8
Weighted Avg. Price - * 93.1 95.7 97.8 99.5 100.9
Avg. Price Bottom 5 Trades - * 93.1 95.6 97.7 99.4 100.4
2nd Quartile Price - * * 95.6 97.8 99.4 100.5
3rd Quartile Price - * * 95.7 97.8 99.4 100.5
4th Quartile Price - * * 95.7 97.8 99.5 101.3
Avg. Price Top 5 Trades - * 93.1 95.7 97.8 99.5 101.9
Standard Deviation - * - 0.1 0.1 - 0.4
     VOLUME OF TRADES (000'S) - * 30,000.0 1,009,038.0 1,041,150.0 785,475.0 1,719,870.0
     NUMBER OF TRADES - * 6 9 47 143 279
SEPTEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - * 97.3 99.1 100.9
Weighted Avg. Price - - - * 97.3 99.1 101.0
Avg. Price Bottom 5 Trades - - - * 97.3 99.0 100.5
2nd Quartile Price - - - * 97.3 99.0 100.5
3rd Quartile Price - - - * 97.4 99.1 100.6
4th Quartile Price - - - * 97.4 99.1 101.8
Avg. Price Top 5 Trades - - - * 97.4 99.2 103.0
Standard Deviation - - - * - - 0.7
     VOLUME OF TRADES (000'S) - - - * 61,000.0 364,500.0 648,900.0
     NUMBER OF TRADES - - - * 13 95 135
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].