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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

APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.1 * 98.2 99.7 100.9 101.9 102.9
Weighted Avg. Price 92.3 * 98.2 99.8 100.9 101.9 102.9
Avg. Price Bottom 5 Trades 89.5 * 98.1 99.6 100.8 101.7 102.7
2nd Quartile Price 91.1 * 98.2 99.6 100.8 101.8 102.9
3rd Quartile Price 93.1 * 98.3 99.7 100.9 101.9 103.0
4th Quartile Price 93.3 * 98.3 99.7 101.0 102.0 103.0
Avg. Price Top 5 Trades 94.2 * 98.3 99.9 101.0 102.0 103.1
Standard Deviation 2.0 * 0.1 0.1 0.1 0.2 0.2
     VOLUME OF TRADES (000'S) 159,165.0 * 185,680.0 611,008.8 549,006.1 419,291.4 169,197.0
     NUMBER OF TRADES 20 * 17 62 45 28 18
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 92.4 * 98.3 99.6 100.8 101.8 102.8
Weighted Avg. Price 92.9 * 98.4 99.7 100.9 101.8 102.8
Avg. Price Bottom 5 Trades 91.4 * 98.3 99.4 100.7 101.6 102.7
2nd Quartile Price 91.5 * * 99.5 100.7 101.7 102.7
3rd Quartile Price 93.1 * * 99.6 100.8 101.9 102.8
4th Quartile Price 93.2 * * 99.7 100.9 102.0 103.1
Avg. Price Top 5 Trades 93.3 * 98.3 99.7 101.0 102.0 102.9
Standard Deviation 1.4 * 0.2 0.2 0.1 0.2 0.2
     VOLUME OF TRADES (000'S) 48,830.0 * 92,300.0 319,925.0 432,980.0 522,000.0 139,239.0
     NUMBER OF TRADES 9 * 5 15 24 21 11
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 - - 98.1 99.5 100.6 * -
Weighted Avg. Price - - 98.2 99.6 100.6 * -
Avg. Price Bottom 5 Trades - - 98.1 99.3 100.5 * -
2nd Quartile Price - - * 99.4 100.6 * -
3rd Quartile Price - - * 99.5 100.6 * -
4th Quartile Price - - * 99.6 100.7 * -
Avg. Price Top 5 Trades - - 98.1 99.6 100.7 * -
Standard Deviation - - 0.1 0.1 0.1 * -
     VOLUME OF TRADES (000'S) - - 18,000.0 93,000.0 53,500.0 * -
     NUMBER OF TRADES - - 5 13 17 * -
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 - - - - - - -
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

APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 85.2 91.6 94.6 96.9 99.0 100.5 102.5
Weighted Avg. Price 86.1 91.6 94.5 96.9 99.0 100.5 102.3
Avg. Price Bottom 5 Trades 76.6 91.3 94.3 96.6 98.7 100.2 101.7
2nd Quartile Price 84.3 91.4 94.4 96.7 98.8 100.4 101.9
3rd Quartile Price 84.7 91.5 94.5 96.8 99.0 100.6 102.0
4th Quartile Price 88.0 91.8 94.8 97.1 99.1 100.6 103.3
Avg. Price Top 5 Trades 88.5 92.0 95.0 97.3 99.5 101.5 105.1
Standard Deviation 2.9 0.2 0.2 0.2 0.2 0.1 0.8
     VOLUME OF TRADES (000'S) 10,548,380.7 2,741,028.8 3,814,349.7 9,540,664.9 24,294,766.3 31,241,466.1 43,234,224.3
     NUMBER OF TRADES 550 162 151 310 922 1,019 1,014
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 87.7 92.8 94.9 97.2 99.2 100.6 102.2
Weighted Avg. Price 87.5 92.7 94.9 97.2 99.2 100.6 101.9
Avg. Price Bottom 5 Trades 83.0 92.5 94.5 96.8 98.9 100.3 101.4
2nd Quartile Price 86.3 92.6 94.8 97.1 99.1 100.5 101.6
3rd Quartile Price 89.7 92.7 94.9 97.2 99.3 100.6 101.8
4th Quartile Price 90.2 93.0 95.0 97.3 99.4 100.7 102.5
Avg. Price Top 5 Trades 90.3 93.1 95.2 97.5 99.5 101.7 106.7
Standard Deviation 2.8 0.2 0.2 0.2 0.2 0.2 1.0
     VOLUME OF TRADES (000'S) 3,755,647.4 881,333.3 135,701.1 2,917,442.1 2,868,636.4 6,342,202.0 7,431,040.8
     NUMBER OF TRADES 89 33 33 98 142 261 460
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 85.5 91.5 94.5 96.9 98.9 100.4 102.4
Weighted Avg. Price 86.1 91.7 94.5 96.9 99.0 100.5 102.2
Avg. Price Bottom 5 Trades 79.8 91.2 94.1 96.6 98.5 100.1 101.6
2nd Quartile Price 84.3 91.3 94.3 96.7 98.7 100.3 101.8
3rd Quartile Price 87.8 91.5 94.6 97.0 98.9 100.4 101.9
4th Quartile Price 88.3 91.7 94.7 97.1 99.0 100.5 103.2
Avg. Price Top 5 Trades 88.6 92.0 94.8 97.2 99.4 100.7 105.0
Standard Deviation 3.2 0.2 0.3 0.2 0.2 0.1 0.8
     VOLUME OF TRADES (000'S) 5,836,541.0 1,265,818.0 1,276,622.3 4,093,929.9 17,584,057.1 22,285,075.0 33,862,498.1
     NUMBER OF TRADES 95 32 48 58 313 379 458
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 89.4 92.6 94.8 97.1 99.0 100.4 101.9
Weighted Avg. Price 88.4 92.4 94.7 97.1 99.1 100.5 101.9
Avg. Price Bottom 5 Trades 87.9 92.4 94.7 96.8 98.8 100.2 101.3
2nd Quartile Price 89.7 92.4 94.7 96.9 98.9 100.3 101.4
3rd Quartile Price 89.9 92.8 94.9 97.1 98.9 100.4 101.6
4th Quartile Price 90.0 92.9 95.0 97.2 99.1 100.5 102.4
Avg. Price Top 5 Trades 90.2 92.7 94.9 97.4 99.5 101.2 104.1
Standard Deviation 1.3 0.3 0.2 0.2 0.2 0.2 0.7
     VOLUME OF TRADES (000'S) 2,044,227.4 670,780.0 14,370.0 1,300,379.6 2,751,120.0 3,967,600.0 4,564,457.8
     NUMBER OF TRADES 17 10 7 40 143 239 212
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 88.0 * 94.3 96.8 98.7 100.3 102.0
Weighted Avg. Price 88.2 * 94.3 96.8 98.8 100.3 102.0
Avg. Price Bottom 5 Trades 88.0 * 94.1 96.5 98.5 100.1 101.6
2nd Quartile Price * * 94.1 96.6 98.6 100.2 101.6
3rd Quartile Price * * 94.3 96.6 98.6 100.2 101.7
4th Quartile Price * * 94.5 97.0 98.9 100.4 101.8
Avg. Price Top 5 Trades 88.0 * 94.4 97.1 99.1 100.6 103.6
Standard Deviation 0.2 * 0.3 0.3 0.2 0.1 0.6
     VOLUME OF TRADES (000'S) 62,000.0 * 54,500.0 150,500.0 871,250.0 2,071,140.0 1,143,773.7
     NUMBER OF TRADES 6 * 8 20 178 399 214
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 * * 94.6 96.8 98.9 100.3 101.7
Weighted Avg. Price * * 94.6 96.9 99.0 100.3 101.9
Avg. Price Bottom 5 Trades * * 94.6 96.6 98.7 100.1 101.2
2nd Quartile Price * * * 96.7 98.8 100.2 101.3
3rd Quartile Price * * * 96.9 98.9 100.2 101.4
4th Quartile Price * * * 97.0 99.0 100.3 102.3
Avg. Price Top 5 Trades * * 94.6 97.1 99.3 101.3 103.8
Standard Deviation * * 0.2 0.2 0.2 0.2 0.7
     VOLUME OF TRADES (000'S) * * 57,000.0 117,000.0 866,500.0 694,450.0 919,650.0
     NUMBER OF TRADES * * 5 22 102 161 109
JULY 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 tracedataservices@finra.org.