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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 90.7 95.2 96.6 98.3 99.8 101.1 102.8
Weighted Avg. Price 90.0 95.1 96.6 98.3 99.8 101.1 103.1
Avg. Price Bottom 5 Trades 86.8 95.2 96.5 98.1 99.7 100.9 102.4
2nd Quartile Price 89.3 95.1 96.6 98.3 99.7 101.1 102.4
3rd Quartile Price 91.6 95.3 96.6 98.3 99.8 101.1 102.5
4th Quartile Price 91.7 95.3 96.6 98.3 99.9 101.3 102.8
Avg. Price Top 5 Trades 93.8 95.2 96.6 98.4 100.0 101.3 103.4
Standard Deviation 2.3 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 609,813.0 42,216.0 106,462.0 160,097.0 1,114,231.4 112,924.1 112,832.6
     NUMBER OF TRADES 72 10 14 23 69 30 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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - * 98.1 99.7 101.0 *
Weighted Avg. Price - - * 98.1 99.7 101.0 *
Avg. Price Bottom 5 Trades - - * 98.1 99.6 100.9 *
2nd Quartile Price - - * * 99.7 100.9 *
3rd Quartile Price - - * * 99.7 101.0 *
4th Quartile Price - - * * 99.8 101.1 *
Avg. Price Top 5 Trades - - * 98.1 99.8 101.0 *
Standard Deviation - - * 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) - - * 24,880.0 777,521.1 44,500.0 *
     NUMBER OF TRADES - - * 6 17 10 *
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 - - * * * 100.8 -
Weighted Avg. Price - - * * * 100.8 -
Avg. Price Bottom 5 Trades - - * * * 100.8 -
2nd Quartile Price - - * * * 100.8 -
3rd Quartile Price - - * * * 100.8 -
4th Quartile Price - - * * * 100.9 -
Avg. Price Top 5 Trades - - * * * 100.8 -
Standard Deviation - - * * * 0.1 -
     VOLUME OF TRADES (000'S) - - * * * 18,000.0 -
     NUMBER OF TRADES - - * * * 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 - - - - - - -

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 - - - - - 100.7 102.7
Weighted Avg. Price - - - - - 100.2 102.2
Avg. Price Bottom 5 Trades - - - - - 100.3 101.4
2nd Quartile Price - - - - - 100.2 101.4
3rd Quartile Price - - - - - 100.5 103.4
4th Quartile Price - - - - - 101.9 104.6
Avg. Price Top 5 Trades - - - - - 100.9 103.9
Standard Deviation - - - - - 1.0 1.4
     VOLUME OF TRADES (000'S) - - - - - 53,765.6 26,758.6
     NUMBER OF TRADES - - - - - 8 10
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 - * - - * * 101.7
Weighted Avg. Price - * - - * * 101.3
Avg. Price Bottom 5 Trades - * - - * * 101.7
2nd Quartile Price - * - - * * *
3rd Quartile Price - * - - * * *
4th Quartile Price - * - - * * *
Avg. Price Top 5 Trades - * - - * * 101.7
Standard Deviation - * - - * * 0.9
     VOLUME OF TRADES (000'S) - * - - * * 12,108.9
     NUMBER OF TRADES - * - - * * 6
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 81.5 88.2 91.2 93.9 96.5 98.7 101.4
Weighted Avg. Price 82.2 88.2 91.3 94.0 96.5 98.7 101.1
Avg. Price Bottom 5 Trades 77.0 88.1 91.1 93.7 96.2 98.5 100.6
2nd Quartile Price 77.7 88.2 91.2 93.8 96.4 98.6 100.7
3rd Quartile Price 81.3 88.2 91.2 93.9 96.5 98.7 100.8
4th Quartile Price 84.7 88.3 91.3 94.0 96.6 98.8 102.5
Avg. Price Top 5 Trades 85.2 88.6 91.6 94.3 96.8 99.0 104.6
Standard Deviation 3.0 0.1 0.1 0.2 0.2 0.1 1.0
     VOLUME OF TRADES (000'S) 4,479,843.0 4,041,966.0 4,259,364.0 7,207,394.0 21,892,724.1 28,482,062.5 44,115,378.7
     NUMBER OF TRADES 283 182 158 254 803 1,335 1,542
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 89.4 91.6 94.1 96.8 98.9 101.1
Weighted Avg. Price 82.3 89.4 91.7 94.1 96.7 99.0 100.9
Avg. Price Bottom 5 Trades 79.7 89.1 91.3 93.8 96.5 98.6 100.3
2nd Quartile Price 83.3 89.2 91.4 94.0 96.7 98.8 100.5
3rd Quartile Price 84.0 89.5 91.6 94.1 96.7 98.9 100.7
4th Quartile Price 86.8 89.6 91.8 94.4 96.9 99.0 101.8
Avg. Price Top 5 Trades 87.0 89.6 91.9 94.5 97.0 99.8 103.7
Standard Deviation 2.8 0.3 0.2 0.2 0.2 0.2 0.8
     VOLUME OF TRADES (000'S) 9,174,369.3 541,529.9 371,159.9 1,584,160.9 4,516,136.0 4,061,215.6 4,980,345.5
     NUMBER OF TRADES 49 17 33 71 125 241 404
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.3 * 91.2 94.0 96.4 98.6 101.2
Weighted Avg. Price 84.5 * 91.5 94.0 96.4 98.6 101.0
Avg. Price Bottom 5 Trades 83.1 * 91.1 93.7 96.2 98.4 100.5
2nd Quartile Price 81.5 * 91.0 93.8 96.3 98.5 100.5
3rd Quartile Price 84.7 * 91.1 94.0 96.4 98.6 100.7
4th Quartile Price 85.1 * 91.4 94.2 96.6 98.7 102.4
Avg. Price Top 5 Trades 83.7 * 91.3 94.2 96.7 98.9 104.3
Standard Deviation 1.8 * 0.2 0.2 0.2 0.1 1.0
     VOLUME OF TRADES (000'S) 256,000.0 * 160,952.0 1,920,750.0 6,199,933.3 4,319,640.5 19,823,048.9
     NUMBER OF TRADES 7 * 8 15 74 166 561
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 83.4 * 91.5 93.9 96.6 98.7 100.7
Weighted Avg. Price 82.5 * 91.7 94.0 96.6 98.8 100.7
Avg. Price Bottom 5 Trades 81.6 * 91.5 93.8 96.4 98.6 100.2
2nd Quartile Price 83.3 * * 93.8 96.5 98.6 100.3
3rd Quartile Price 83.5 * * 93.8 96.6 98.7 100.4
4th Quartile Price 86.9 * * 93.9 96.7 98.9 100.6
Avg. Price Top 5 Trades 85.9 * 91.5 94.0 96.9 99.0 104.0
Standard Deviation 2.7 * 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 8,320,917.2 * 324,050.0 714,500.0 1,485,750.0 2,584,550.0 3,081,875.0
     NUMBER OF TRADES 15 * 6 17 49 152 405
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * * 91.2 93.7 96.2 98.5 101.1
Weighted Avg. Price * * 91.1 93.7 96.2 98.4 101.1
Avg. Price Bottom 5 Trades * * 91.2 93.6 96.1 98.3 100.3
2nd Quartile Price * * * 93.6 96.1 98.3 100.4
3rd Quartile Price * * * 93.7 96.2 98.5 100.5
4th Quartile Price * * * 93.9 96.4 98.6 102.2
Avg. Price Top 5 Trades * * 91.2 93.7 96.3 98.7 103.4
Standard Deviation * * 0.2 0.1 0.1 0.1 1.0
     VOLUME OF TRADES (000'S) * * 14,500.0 62,000.0 82,000.0 419,000.0 1,540,200.0
     NUMBER OF TRADES * * 6 6 11 71 210
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 - * 91.5 93.9 96.4 98.6 100.7
Weighted Avg. Price - * 91.6 93.9 96.4 98.6 100.7
Avg. Price Bottom 5 Trades - * 91.4 93.7 96.4 98.3 100.1
2nd Quartile Price - * 91.5 93.7 96.4 98.5 100.1
3rd Quartile Price - * 91.5 93.8 96.4 98.5 100.3
4th Quartile Price - * 91.7 94.0 96.5 98.7 101.7
Avg. Price Top 5 Trades - * 91.6 94.0 96.5 98.8 101.9
Standard Deviation - * 0.2 0.2 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) - * 66,000.0 103,000.0 44,500.0 306,250.0 440,050.0
     NUMBER OF TRADES - * 8 11 9 58 103
* 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].