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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 CBO/CDO/CLO

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 90.7 96.1 97.3 99.1 100.5 101.9 102.6
Weighted Avg. Price 91.2 96.1 97.2 99.1 100.5 101.9 102.6
Avg. Price Bottom 5 Trades 87.6 96.0 97.2 99.0 100.4 101.8 102.5
2nd Quartile Price 87.8 96.0 97.2 99.0 100.4 101.9 102.6
3rd Quartile Price 90.1 96.2 97.3 99.1 100.5 102.0 102.6
4th Quartile Price 92.5 96.2 97.3 99.2 100.5 102.0 102.7
Avg. Price Top 5 Trades 94.6 96.2 97.4 99.4 100.8 102.1 102.8
Standard Deviation 2.6 0.1 0.1 0.2 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 1,984,439.9 288,526.0 474,744.7 320,661.4 899,171.2 374,138.2 233,513.0
     NUMBER OF TRADES 88 14 23 35 81 42 41
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 90.9 96.0 97.3 99.0 100.4 101.5 102.5
Weighted Avg. Price 91.3 96.0 97.3 99.0 100.4 101.5 102.5
Avg. Price Bottom 5 Trades 87.6 95.9 97.2 98.9 100.3 101.4 102.4
2nd Quartile Price 87.8 95.9 97.3 99.0 100.3 101.5 102.5
3rd Quartile Price 90.1 96.0 97.4 99.0 100.4 101.5 102.5
4th Quartile Price 92.6 96.1 97.4 99.0 100.4 101.6 102.5
Avg. Price Top 5 Trades 94.6 96.1 97.4 99.2 100.5 101.6 102.9
Standard Deviation 2.5 0.1 0.1 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 2,035,888.0 298,359.0 335,741.6 493,881.4 967,134.9 374,628.2 261,554.0
     NUMBER OF TRADES 100 17 17 47 76 33 33
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 - - * 98.9 100.3 101.2 -
Weighted Avg. Price - - * 98.9 100.3 101.2 -
Avg. Price Bottom 5 Trades - - * 98.9 100.2 101.2 -
2nd Quartile Price - - * * 100.2 * -
3rd Quartile Price - - * * 100.3 * -
4th Quartile Price - - * * 100.4 * -
Avg. Price Top 5 Trades - - * 98.9 100.3 101.2 -
Standard Deviation - - * 0.1 0.1 - -
     VOLUME OF TRADES (000'S) - - * 31,500.0 78,000.0 5,500.0 -
     NUMBER OF TRADES - - * 5 15 6 -
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 - - - - - - -
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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 81.8 90.2 93.3 95.9 98.1 100.0 103.0
Weighted Avg. Price 82.3 90.2 93.3 95.9 98.1 100.0 103.0
Avg. Price Bottom 5 Trades 75.7 90.1 93.2 95.7 97.9 99.6 101.3
2nd Quartile Price 79.7 90.2 93.2 95.9 98.1 99.9 101.6
3rd Quartile Price 79.8 90.2 93.3 95.9 98.1 99.9 103.0
4th Quartile Price 83.3 90.3 93.4 96.0 98.2 100.0 104.7
Avg. Price Top 5 Trades 86.9 90.4 93.4 96.1 98.3 100.4 105.5
Standard Deviation 3.1 0.1 0.1 0.1 0.1 0.1 1.4
     VOLUME OF TRADES (000'S) 15,962,012.1 3,241,615.3 2,255,388.2 9,460,622.0 6,097,152.2 17,194,324.5 31,224,585.6
     NUMBER OF TRADES 416 101 76 205 167 254 658
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 85.1 91.0 93.5 95.9 98.3 100.1 102.4
Weighted Avg. Price 85.4 91.4 93.6 95.9 98.4 100.1 101.6
Avg. Price Bottom 5 Trades 80.1 90.8 93.3 95.5 98.0 99.7 101.1
2nd Quartile Price 81.9 90.9 93.4 95.8 98.2 100.0 101.4
3rd Quartile Price 85.2 91.0 93.6 95.9 98.3 100.1 102.1
4th Quartile Price 88.3 91.2 93.6 96.0 98.4 100.1 103.1
Avg. Price Top 5 Trades 88.7 91.3 93.7 96.1 98.8 100.8 108.0
Standard Deviation 2.7 0.2 0.1 0.2 0.2 0.2 1.5
     VOLUME OF TRADES (000'S) 8,428,030.0 1,046,311.3 1,622,025.0 5,641,681.4 2,379,598.9 12,994,241.3 15,012,636.3
     NUMBER OF TRADES 137 35 51 86 87 220 584
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.5 90.2 93.2 95.8 98.0 99.8 102.4
Weighted Avg. Price 81.9 90.2 93.2 95.8 98.1 99.8 102.5
Avg. Price Bottom 5 Trades 75.7 89.9 92.9 95.4 97.8 99.6 101.3
2nd Quartile Price 79.7 90.0 93.1 95.7 97.9 99.7 101.4
3rd Quartile Price 83.1 90.2 93.2 95.8 98.0 99.8 101.5
4th Quartile Price 86.5 90.3 93.3 95.9 98.1 99.9 102.9
Avg. Price Top 5 Trades 87.0 90.4 93.5 96.0 98.3 100.4 105.8
Standard Deviation 3.1 0.2 0.2 0.1 0.1 0.1 1.2
     VOLUME OF TRADES (000'S) 27,894,197.6 4,684,941.9 6,477,157.6 20,884,379.5 60,364,186.0 75,656,150.0 86,617,740.8
     NUMBER OF TRADES 697 206 317 680 890 1,181 1,962
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 85.2 91.0 93.6 96.0 98.2 100.0 101.7
Weighted Avg. Price 85.7 91.4 93.6 96.0 98.3 100.0 101.4
Avg. Price Bottom 5 Trades 81.5 90.8 93.3 95.7 98.1 99.8 101.1
2nd Quartile Price 81.9 90.9 93.5 95.8 98.1 99.9 101.2
3rd Quartile Price 85.2 91.1 93.6 96.0 98.2 100.0 101.3
4th Quartile Price 88.3 91.2 93.6 96.1 98.3 100.0 102.1
Avg. Price Top 5 Trades 88.7 91.2 93.7 96.2 98.4 100.1 104.0
Standard Deviation 2.6 0.2 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 5,758,020.0 1,009,894.0 1,736,955.0 7,807,940.0 2,858,669.1 14,942,467.8 16,661,097.4
     NUMBER OF TRADES 129 26 49 166 123 319 466
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 81.8 * 92.9 95.6 97.8 99.7 102.0
Weighted Avg. Price 80.4 * 93.0 95.6 98.0 99.7 102.7
Avg. Price Bottom 5 Trades 80.9 * 92.9 95.4 97.7 99.5 101.2
2nd Quartile Price 79.8 * 92.9 95.4 97.7 99.6 101.3
3rd Quartile Price 83.2 * 92.9 95.6 97.8 99.6 101.3
4th Quartile Price 87.1 * 93.0 95.7 97.9 99.7 102.8
Avg. Price Top 5 Trades 82.1 * 93.0 95.7 98.2 100.0 104.6
Standard Deviation 2.9 * 0.1 0.1 0.2 0.1 1.2
     VOLUME OF TRADES (000'S) 9,264,279.8 * 134,500.0 2,370,000.0 39,719,862.8 44,256,023.4 38,397,825.0
     NUMBER OF TRADES 7 * 18 21 132 380 481
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 85.3 90.9 * 95.8 98.1 99.8 101.4
Weighted Avg. Price 85.0 90.9 * 95.8 98.1 99.8 101.5
Avg. Price Bottom 5 Trades 85.3 90.9 * 95.7 98.0 99.7 101.0
2nd Quartile Price * * * 95.7 98.0 99.8 101.1
3rd Quartile Price * * * 95.8 98.0 99.8 101.1
4th Quartile Price * * * 95.9 98.1 99.9 102.0
Avg. Price Top 5 Trades 85.3 90.9 * 96.0 98.2 100.0 102.9
Standard Deviation 1.1 0.1 * 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 512,600.0 58,900.0 * 240,450.0 180,250.0 1,200,800.0 1,801,185.0
     NUMBER OF TRADES 10 6 * 17 56 183 176
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 - - - - - - -
* 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].