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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 89.4 95.1 96.6 98.2 99.5 100.5 101.3
Weighted Avg. Price 88.7 95.0 96.6 98.2 99.5 100.5 101.4
Avg. Price Bottom 5 Trades 88.0 95.1 96.6 98.1 99.4 100.4 101.2
2nd Quartile Price 88.5 * 96.6 98.2 99.4 100.4 101.2
3rd Quartile Price 88.6 * 96.6 98.2 99.5 100.5 101.4
4th Quartile Price 90.9 * 96.7 98.2 99.5 100.5 101.4
Avg. Price Top 5 Trades 91.6 95.1 96.7 98.3 99.5 100.5 101.5
Standard Deviation 1.5 0.1 - 0.1 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) 1,643,284.0 90,089.0 128,125.0 254,657.8 654,045.8 424,673.1 96,994.9
     NUMBER OF TRADES 44 8 20 21 86 57 36
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 88.6 - - 98.2 99.4 100.4 101.4
Weighted Avg. Price 88.7 - - 98.2 99.4 100.4 101.3
Avg. Price Bottom 5 Trades 88.5 - - 98.2 99.4 100.4 101.4
2nd Quartile Price 88.4 - - * 99.4 100.4 *
3rd Quartile Price 88.6 - - * 99.4 100.4 *
4th Quartile Price 88.7 - - * 99.5 100.5 *
Avg. Price Top 5 Trades 88.6 - - 98.2 99.5 100.4 101.4
Standard Deviation 0.2 - - - - - 0.5
     VOLUME OF TRADES (000'S) 1,360,900.0 - - 100,000.0 350,750.0 87,000.0 22,500.0
     NUMBER OF TRADES 8 - - 5 22 12 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 - - - - - - 102.4
Weighted Avg. Price - - - - - - 102.1
Avg. Price Bottom 5 Trades - - - - - - 101.3
2nd Quartile Price - - - - - - 101.5
3rd Quartile Price - - - - - - 102.5
4th Quartile Price - - - - - - 103.3
Avg. Price Top 5 Trades - - - - - - 103.1
Standard Deviation - - - - - - 1.0
     VOLUME OF TRADES (000'S) - - - - - - 112,044.7
     NUMBER OF TRADES - - - - - - 20
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 - - - - - 99.7 102.7
Weighted Avg. Price - - - - - 99.8 102.5
Avg. Price Bottom 5 Trades - - - - - 99.6 101.6
2nd Quartile Price - - - - - 99.7 101.9
3rd Quartile Price - - - - - 99.9 103.0
4th Quartile Price - - - - - 100.0 103.3
Avg. Price Top 5 Trades - - - - - 99.8 103.6
Standard Deviation - - - - - 0.3 0.9
     VOLUME OF TRADES (000'S) - - - - - 51,776.1 102,442.3
     NUMBER OF TRADES - - - - - 6 16
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.4 89.4 92.4 95.1 97.4 99.2 101.5
Weighted Avg. Price 83.3 89.5 92.4 95.1 97.4 99.2 101.5
Avg. Price Bottom 5 Trades 78.1 89.4 92.3 95.1 97.3 99.2 100.6
2nd Quartile Price 82.5 89.4 92.4 95.1 97.4 99.2 100.7
3rd Quartile Price 82.6 89.4 92.4 95.1 97.4 99.2 100.8
4th Quartile Price 86.0 89.5 92.4 95.1 97.4 99.2 102.1
Avg. Price Top 5 Trades 86.1 89.5 92.5 95.2 97.5 99.7 103.4
Standard Deviation 2.7 - - - - 0.1 0.8
     VOLUME OF TRADES (000'S) 6,870,741.5 5,591,968.0 5,022,052.0 6,376,167.0 8,230,925.0 16,128,447.2 36,229,236.9
     NUMBER OF TRADES 333 170 188 211 388 648 1,186
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 85.8 90.7 93.2 95.8 97.9 99.7 101.4
Weighted Avg. Price 86.1 90.7 93.2 95.7 97.9 99.6 101.1
Avg. Price Bottom 5 Trades 81.7 90.6 93.2 95.7 97.8 99.5 100.5
2nd Quartile Price 84.9 90.7 93.2 95.7 97.9 99.6 100.7
3rd Quartile Price 85.0 90.7 93.3 95.8 98.0 99.7 101.5
4th Quartile Price 88.1 90.8 93.3 95.8 98.0 99.7 101.8
Avg. Price Top 5 Trades 88.2 90.7 93.3 95.8 98.0 100.2 104.1
Standard Deviation 2.3 - - - - 0.1 0.7
     VOLUME OF TRADES (000'S) 1,714,743.0 537,973.0 339,871.6 644,739.0 2,750,235.5 8,395,052.2 7,735,514.3
     NUMBER OF TRADES 90 19 21 38 100 225 488
AUGUST Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.4 89.5 92.4 95.2 97.4 99.2 101.2
Weighted Avg. Price 84.1 89.5 92.5 95.1 97.4 99.2 101.5
Avg. Price Bottom 5 Trades 81.0 89.4 92.4 95.1 97.4 99.1 100.6
2nd Quartile Price 82.6 89.4 92.4 95.1 97.4 99.2 100.7
3rd Quartile Price 86.0 89.5 92.4 95.1 97.4 99.2 100.7
4th Quartile Price 86.1 89.5 92.5 95.2 97.4 99.2 102.0
Avg. Price Top 5 Trades 86.1 89.5 92.5 95.2 97.5 99.3 102.9
Standard Deviation 2.5 - - - - - 0.7
     VOLUME OF TRADES (000'S) 2,092,506.0 3,333,514.0 1,122,350.0 1,998,614.0 1,331,175.0 6,751,797.6 16,796,098.5
     NUMBER OF TRADES 44 17 14 21 41 194 399
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 87.0 * 93.3 95.8 98.0 99.6 101.0
Weighted Avg. Price 87.6 * 93.3 95.7 97.9 99.6 101.0
Avg. Price Bottom 5 Trades 85.5 * 93.3 95.8 97.9 99.5 100.5
2nd Quartile Price 88.1 * * 95.8 97.9 99.6 100.6
3rd Quartile Price 88.1 * * 95.8 98.0 99.6 100.7
4th Quartile Price 88.2 * * 95.8 98.0 99.6 101.4
Avg. Price Top 5 Trades 88.2 * 93.3 95.8 98.0 99.8 102.0
Standard Deviation 2.4 * - - - 0.1 0.4
     VOLUME OF TRADES (000'S) 372,700.0 * 47,100.0 285,600.0 1,317,100.0 5,336,550.0 2,214,925.0
     NUMBER OF TRADES 14 * 8 8 40 160 243
SEPTEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - * 95.2 97.4 99.2 101.0
Weighted Avg. Price - - * 95.2 97.4 99.2 101.0
Avg. Price Bottom 5 Trades - - * 95.2 97.4 99.1 100.6
2nd Quartile Price - - * * 97.4 99.2 100.6
3rd Quartile Price - - * * 97.4 99.2 100.7
4th Quartile Price - - * * 97.4 99.2 101.9
Avg. Price Top 5 Trades - - * 95.2 97.4 99.3 102.5
Standard Deviation - - * - - - 0.6
     VOLUME OF TRADES (000'S) - - * 75,350.0 143,100.0 466,500.0 977,450.0
     NUMBER OF TRADES - - * 6 27 94 156
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 * * * 95.8 97.9 99.5 100.9
Weighted Avg. Price * * * 95.8 97.9 99.5 101.0
Avg. Price Bottom 5 Trades * * * 95.8 97.9 99.5 100.4
2nd Quartile Price * * * 95.8 97.9 99.5 100.5
3rd Quartile Price * * * 95.8 97.9 99.5 101.2
4th Quartile Price * * * 95.8 98.0 99.6 101.3
Avg. Price Top 5 Trades * * * 95.8 98.0 99.6 101.7
Standard Deviation * * * - - - 0.4
     VOLUME OF TRADES (000'S) * * * 19,138.0 121,930.0 223,700.0 818,800.0
     NUMBER OF TRADES * * * 9 24 38 80
* 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].