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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 - - - - - - -
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 - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.1 95.6 96.9 98.5 100.0 101.2 102.5
Weighted Avg. Price 91.2 95.6 96.8 98.5 100.0 101.3 102.5
Avg. Price Bottom 5 Trades 88.7 95.6 96.9 98.4 100.0 101.2 102.5
2nd Quartile Price 91.8 * * 98.4 100.0 101.2 *
3rd Quartile Price 93.9 * * 98.4 100.0 101.2 *
4th Quartile Price 94.0 * * 98.5 100.0 101.3 *
Avg. Price Top 5 Trades 94.0 95.6 96.9 98.6 100.1 101.3 102.5
Standard Deviation 2.4 - 0.1 0.1 - 0.1 -
     VOLUME OF TRADES (000'S) 174,100.0 14,573.0 66,250.0 86,654.0 239,550.0 126,600.0 84,200.0
     NUMBER OF TRADES 33 6 10 20 45 16 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 - * - 98.4 99.9 101.0 *
Weighted Avg. Price - * - 98.4 99.9 101.1 *
Avg. Price Bottom 5 Trades - * - 98.4 99.8 101.0 *
2nd Quartile Price - * - * 99.8 101.0 *
3rd Quartile Price - * - * 99.9 101.1 *
4th Quartile Price - * - * 100.0 101.1 *
Avg. Price Top 5 Trades - * - 98.4 100.0 101.1 *
Standard Deviation - * - 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) - * - 35,000.0 91,500.0 36,500.0 *
     NUMBER OF TRADES - * - 5 12 8 *
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 - - * * 99.8 * *
Weighted Avg. Price - - * * 99.8 * *
Avg. Price Bottom 5 Trades - - * * 99.8 * *
2nd Quartile Price - - * * * * *
3rd Quartile Price - - * * * * *
4th Quartile Price - - * * * * *
Avg. Price Top 5 Trades - - * * 99.8 * *
Standard Deviation - - * * 0.1 * *
     VOLUME OF TRADES (000'S) - - * * 21,000.0 * *
     NUMBER OF TRADES - - * * 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 - - - - - - -

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 - - - - * 100.5 103.3
Weighted Avg. Price - - - - * 99.9 103.2
Avg. Price Bottom 5 Trades - - - - * 100.3 103.1
2nd Quartile Price - - - - * 100.5 103.2
3rd Quartile Price - - - - * 100.8 103.6
4th Quartile Price - - - - * 101.3 103.9
Avg. Price Top 5 Trades - - - - * 100.7 103.5
Standard Deviation - - - - * 0.7 0.5
     VOLUME OF TRADES (000'S) - - - - * 58,639.8 43,751.0
     NUMBER OF TRADES - - - - * 6 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 - * - * * 99.5 102.5
Weighted Avg. Price - * - * * 99.5 103.1
Avg. Price Bottom 5 Trades - * - * * 99.5 100.8
2nd Quartile Price - * - * * * 101.6
3rd Quartile Price - * - * * * 102.4
4th Quartile Price - * - * * * 102.8
Avg. Price Top 5 Trades - * - * * 99.5 105.0
Standard Deviation - * - * * 0.1 1.3
     VOLUME OF TRADES (000'S) - * - * * 16,324.5 169,341.3
     NUMBER OF TRADES - * - * * 10 68
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 81.8 89.1 92.1 94.6 97.1 99.1 101.7
Weighted Avg. Price 81.3 89.1 92.0 94.6 97.1 99.1 101.6
Avg. Price Bottom 5 Trades 78.1 88.9 91.9 94.5 96.9 99.0 100.9
2nd Quartile Price 78.3 89.0 92.0 94.6 97.0 99.1 101.1
3rd Quartile Price 82.1 89.2 92.1 94.7 97.1 99.2 101.1
4th Quartile Price 85.4 89.2 92.2 94.7 97.1 99.2 102.8
Avg. Price Top 5 Trades 85.7 89.2 92.2 94.8 97.4 99.8 104.7
Standard Deviation 2.9 0.1 0.1 0.1 0.1 0.2 1.0
     VOLUME OF TRADES (000'S) 6,929,763.0 2,196,361.0 1,468,295.0 2,446,745.0 11,052,799.3 14,396,385.0 14,255,047.9
     NUMBER OF TRADES 412 155 132 138 497 650 670
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 85.0 90.1 92.4 94.8 97.3 99.3 101.5
Weighted Avg. Price 83.5 90.2 92.4 94.8 97.3 99.4 101.2
Avg. Price Bottom 5 Trades 80.4 89.9 92.2 94.7 97.1 98.8 100.7
2nd Quartile Price 84.1 90.0 92.4 94.8 97.2 99.2 100.8
3rd Quartile Price 84.3 90.2 92.4 94.8 97.3 99.3 100.9
4th Quartile Price 87.6 90.2 92.4 94.9 97.3 99.4 102.1
Avg. Price Top 5 Trades 87.7 90.3 92.5 94.9 97.4 99.8 103.4
Standard Deviation 2.9 0.2 0.1 0.1 0.1 0.2 0.8
     VOLUME OF TRADES (000'S) 1,470,953.0 528,327.0 704,769.0 319,572.0 2,880,892.7 5,000,270.6 6,175,981.4
     NUMBER OF TRADES 63 24 44 29 64 172 260
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 80.6 89.1 91.9 * 97.0 99.0 101.4
Weighted Avg. Price 80.4 89.1 91.8 * 97.1 99.1 101.5
Avg. Price Bottom 5 Trades 78.3 89.1 91.8 * 96.9 98.8 100.8
2nd Quartile Price 78.4 89.1 91.8 * 96.9 98.9 100.8
3rd Quartile Price 82.0 89.1 91.9 * 97.0 99.0 100.9
4th Quartile Price 82.1 89.2 92.1 * 97.1 99.1 102.5
Avg. Price Top 5 Trades 82.5 89.1 91.9 * 97.2 99.2 104.3
Standard Deviation 2.2 - 0.1 * 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 671,500.0 101,000.0 126,500.0 * 3,441,600.0 5,453,450.0 5,490,841.0
     NUMBER OF TRADES 23 9 7 * 51 168 396
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 84.4 90.1 92.3 94.7 97.2 99.1 101.0
Weighted Avg. Price 83.4 90.0 92.3 94.7 97.2 99.2 101.0
Avg. Price Bottom 5 Trades 81.2 90.1 92.3 94.6 97.0 99.0 100.5
2nd Quartile Price 80.7 * 92.2 94.6 97.1 99.1 100.6
3rd Quartile Price 84.3 * 92.4 94.6 97.2 99.1 100.7
4th Quartile Price 87.6 * 92.5 94.8 97.3 99.2 101.5
Avg. Price Top 5 Trades 87.6 90.1 92.4 94.8 97.4 99.3 103.0
Standard Deviation 3.2 0.1 0.2 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 917,000.0 190,000.0 490,150.0 38,000.0 1,293,500.0 3,165,095.0 7,355,800.0
     NUMBER OF TRADES 27 11 12 12 36 146 319
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * 91.8 * 96.8 98.9 101.2
Weighted Avg. Price - * 91.9 * 96.8 98.9 101.5
Avg. Price Bottom 5 Trades - * 91.8 * 96.7 98.8 100.7
2nd Quartile Price - * * * 96.8 98.8 100.7
3rd Quartile Price - * * * 96.8 98.8 100.8
4th Quartile Price - * * * 96.9 99.0 100.9
Avg. Price Top 5 Trades - * 91.8 * 96.9 99.0 103.5
Standard Deviation - * 0.1 * 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) - * 21,000.0 * 84,500.0 667,500.0 1,060,950.0
     NUMBER OF TRADES - * 5 * 30 79 177
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 - 89.9 * 94.6 97.0 99.0 101.0
Weighted Avg. Price - 90.0 * 94.6 97.0 99.1 100.7
Avg. Price Bottom 5 Trades - 89.9 * 94.5 97.0 98.9 100.4
2nd Quartile Price - * * 94.5 97.0 99.0 100.5
3rd Quartile Price - * * 94.6 97.0 99.0 100.6
4th Quartile Price - * * 94.8 97.1 99.1 102.0
Avg. Price Top 5 Trades - 89.9 * 94.8 97.1 99.1 102.1
Standard Deviation - 0.1 * 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) - 52,000.0 * 132,000.0 56,000.0 585,000.0 2,608,500.0
     NUMBER OF TRADES - 5 * 16 12 48 84
* 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].