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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 90.5 94.5 95.9 97.7 99.4 100.7 102.1
Weighted Avg. Price 90.8 94.6 95.9 97.6 99.4 100.7 102.0
Avg. Price Bottom 5 Trades 85.9 94.3 95.5 97.4 99.1 100.5 101.8
2nd Quartile Price 88.8 94.3 95.8 97.5 99.3 100.7 101.9
3rd Quartile Price 90.5 94.5 95.9 97.7 99.5 100.8 102.0
4th Quartile Price 92.8 94.6 96.1 97.8 99.5 100.8 102.3
Avg. Price Top 5 Trades 93.3 94.9 96.4 98.0 99.6 100.9 102.3
Standard Deviation 2.1 0.2 0.3 0.2 0.2 0.1 0.2
     VOLUME OF TRADES (000'S) 5,363,994.6 657,375.3 901,200.9 1,145,434.8 1,785,443.1 3,279,735.0 156,264.4
     NUMBER OF TRADES 173 45 51 67 136 107 26
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 90.4 94.5 95.9 97.6 99.4 100.7 102.0
Weighted Avg. Price 90.9 94.6 95.9 97.6 99.4 100.7 102.0
Avg. Price Bottom 5 Trades 86.0 94.3 95.7 97.4 99.1 100.5 101.8
2nd Quartile Price 88.7 94.3 95.9 97.5 99.3 100.6 101.8
3rd Quartile Price 90.5 94.5 95.9 97.7 99.4 100.8 102.2
4th Quartile Price 92.8 94.6 96.1 97.8 99.5 100.8 102.2
Avg. Price Top 5 Trades 93.4 94.9 96.4 97.9 99.6 100.9 102.2
Standard Deviation 2.1 0.2 0.2 0.2 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 5,497,043.0 751,464.0 944,690.0 1,483,452.2 2,532,413.6 3,331,453.7 86,455.7
     NUMBER OF TRADES 209 60 67 101 192 112 14
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 - - * * 99.3 100.6 *
Weighted Avg. Price - - * * 99.3 100.6 *
Avg. Price Bottom 5 Trades - - * * 99.2 100.5 *
2nd Quartile Price - - * * 99.3 100.5 *
3rd Quartile Price - - * * 99.4 100.7 *
4th Quartile Price - - * * 99.4 100.7 *
Avg. Price Top 5 Trades - - * * 99.4 100.6 *
Standard Deviation - - * * 0.1 0.1 *
     VOLUME OF TRADES (000'S) - - * * 81,000.0 32,500.0 *
     NUMBER OF TRADES - - * * 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 - - - - - - -
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 * - * - * 99.5 102.4
Weighted Avg. Price * - * - * 100.6 100.7
Avg. Price Bottom 5 Trades * - * - * 98.9 101.0
2nd Quartile Price * - * - * 99.2 102.5
3rd Quartile Price * - * - * 99.6 103.0
4th Quartile Price * - * - * 99.9 103.8
Avg. Price Top 5 Trades * - * - * 100.1 103.6
Standard Deviation * - * - * 1.2 1.4
     VOLUME OF TRADES (000'S) * - * - * 25,825.3 141,533.7
     NUMBER OF TRADES * - * - * 8 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 84.3 89.9 91.3 93.5 96.2 98.5 101.0
Weighted Avg. Price 85.1 88.9 91.4 93.5 96.1 98.5 100.7
Avg. Price Bottom 5 Trades 79.1 88.8 90.5 93.0 95.8 97.9 99.5
2nd Quartile Price 82.8 88.9 91.2 93.3 96.0 98.4 100.3
3rd Quartile Price 86.1 89.2 91.4 93.5 96.3 98.5 100.4
4th Quartile Price 86.7 89.6 91.5 93.9 96.5 98.7 101.7
Avg. Price Top 5 Trades 87.0 93.0 91.6 94.1 96.6 99.4 103.8
Standard Deviation 2.7 2.9 0.4 0.3 0.3 0.2 0.9
     VOLUME OF TRADES (000'S) 3,336,727.2 1,249,426.0 4,293,007.9 3,587,021.3 6,659,433.1 7,505,585.9 9,480,518.7
     NUMBER OF TRADES 76 33 63 70 111 262 580
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 80.7 87.8 90.7 93.3 95.9 98.1 100.8
Weighted Avg. Price 79.7 87.9 90.7 93.3 95.9 98.1 100.6
Avg. Price Bottom 5 Trades 76.4 87.2 90.1 92.7 95.4 97.7 99.9
2nd Quartile Price 77.3 87.6 90.5 93.1 95.7 97.9 100.1
3rd Quartile Price 80.9 87.7 90.8 93.4 95.9 98.1 100.3
4th Quartile Price 84.1 88.1 91.0 93.6 96.1 98.2 102.0
Avg. Price Top 5 Trades 84.7 88.2 91.2 93.8 96.3 98.6 104.2
Standard Deviation 3.2 0.3 0.3 0.3 0.2 0.2 1.1
     VOLUME OF TRADES (000'S) 12,031,428.0 10,483,696.0 21,379,149.0 12,386,487.8 38,749,488.3 47,285,050.1 50,350,318.2
     NUMBER OF TRADES 418 236 278 335 986 1,375 1,420
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 83.6 88.9 91.3 93.6 96.2 98.4 100.6
Weighted Avg. Price 85.0 88.6 91.4 93.5 96.1 98.4 100.5
Avg. Price Bottom 5 Trades 79.1 88.6 90.6 93.1 95.7 98.0 99.9
2nd Quartile Price 82.6 88.7 91.2 93.3 95.9 98.3 100.1
3rd Quartile Price 83.4 88.8 91.4 93.6 96.3 98.5 100.2
4th Quartile Price 86.5 89.1 91.5 93.9 96.4 98.5 101.6
Avg. Price Top 5 Trades 86.9 89.4 91.6 94.0 96.6 98.7 102.9
Standard Deviation 2.8 0.3 0.3 0.3 0.3 0.2 0.8
     VOLUME OF TRADES (000'S) 3,333,900.2 1,527,312.0 5,001,343.0 3,485,976.0 7,166,986.5 9,781,039.5 12,373,589.9
     NUMBER OF TRADES 74 35 85 73 142 272 511
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 81.1 * 90.7 93.3 95.9 98.0 100.8
Weighted Avg. Price 77.5 * 90.7 93.5 95.9 98.0 101.0
Avg. Price Bottom 5 Trades 81.1 * 90.5 93.2 95.4 97.6 99.8
2nd Quartile Price * * 90.5 93.2 95.7 97.9 100.1
3rd Quartile Price * * 90.8 93.5 96.0 98.1 100.2
4th Quartile Price * * 90.9 93.6 96.1 98.1 102.0
Avg. Price Top 5 Trades 81.1 * 90.8 93.4 96.2 98.3 104.0
Standard Deviation 3.7 * 0.3 0.3 0.2 0.2 1.1
     VOLUME OF TRADES (000'S) 1,365,000.0 * 13,205,300.0 251,330.0 1,455,300.0 4,097,800.0 5,969,646.0
     NUMBER OF TRADES 5 * 8 8 63 111 406
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 * * 91.3 93.4 96.1 98.3 100.5
Weighted Avg. Price * * 91.2 93.4 96.2 98.3 100.9
Avg. Price Bottom 5 Trades * * 91.2 93.2 95.9 98.0 99.8
2nd Quartile Price * * 91.2 93.2 96.1 98.3 100.0
3rd Quartile Price * * 91.2 93.6 96.1 98.3 100.1
4th Quartile Price * * 91.5 93.7 96.3 98.4 101.5
Avg. Price Top 5 Trades * * 91.3 93.7 96.3 98.5 102.3
Standard Deviation * * 0.2 0.3 0.2 0.1 0.8
     VOLUME OF TRADES (000'S) * * 227,500.0 293,000.0 151,000.0 1,122,250.0 1,515,150.0
     NUMBER OF TRADES * * 9 14 15 78 164
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * - 90.9 93.5 95.7 97.9 100.8
Weighted Avg. Price * - 90.9 93.5 95.8 97.9 101.0
Avg. Price Bottom 5 Trades * - 90.9 93.5 95.4 97.7 99.7
2nd Quartile Price * - * 93.5 95.5 97.8 99.9
3rd Quartile Price * - * 93.6 95.9 98.0 100.1
4th Quartile Price * - * 93.6 95.9 98.0 101.9
Avg. Price Top 5 Trades * - 90.9 93.5 95.9 98.1 103.7
Standard Deviation * - 0.1 0.1 0.3 0.2 1.2
     VOLUME OF TRADES (000'S) * - 45,000.0 38,250.0 177,200.0 143,500.0 1,032,700.0
     NUMBER OF TRADES * - 5 7 13 17 83
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.