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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

JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.9 97.6 99.2 100.6 101.8 102.8 *
Weighted Avg. Price 92.7 97.6 99.2 100.6 101.8 102.8 *
Avg. Price Bottom 5 Trades 90.9 97.6 99.2 100.6 101.7 102.8 *
2nd Quartile Price 91.1 97.6 99.2 100.6 101.8 102.8 *
3rd Quartile Price 93.1 97.6 99.2 100.6 101.8 102.8 *
4th Quartile Price 95.1 97.7 99.2 100.6 101.8 102.9 *
Avg. Price Top 5 Trades 96.3 97.6 99.3 100.7 101.8 102.8 *
Standard Deviation 2.0 0.1 - - - 0.1 *
     VOLUME OF TRADES (000'S) 676,572.0 65,027.0 1,070,660.0 1,982,603.3 489,124.0 7,672.0 *
     NUMBER OF TRADES 55 11 112 182 52 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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.8 - 99.2 100.6 101.7 * -
Weighted Avg. Price 91.6 - 99.2 100.6 101.7 * -
Avg. Price Bottom 5 Trades 92.3 - 99.2 100.6 101.7 * -
2nd Quartile Price 91.2 - 99.2 100.6 101.7 * -
3rd Quartile Price 96.3 - 99.2 100.6 101.8 * -
4th Quartile Price 96.4 - 99.2 100.6 101.8 * -
Avg. Price Top 5 Trades 94.7 - 99.2 100.6 101.8 * -
Standard Deviation 2.7 - - - - * -
     VOLUME OF TRADES (000'S) 266,000.0 - 89,000.0 586,700.0 217,500.0 * -
     NUMBER OF TRADES 8 - 10 26 12 * -
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 - - - - - - -
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - * * 100.5 * - -
Weighted Avg. Price - * * 100.5 * - -
Avg. Price Bottom 5 Trades - * * 100.5 * - -
2nd Quartile Price - * * 100.5 * - -
3rd Quartile Price - * * 100.5 * - -
4th Quartile Price - * * 100.5 * - -
Avg. Price Top 5 Trades - * * 100.5 * - -
Standard Deviation - * * - * - -
     VOLUME OF TRADES (000'S) - * * 33,000.0 * - -
     NUMBER OF TRADES - * * 16 * - -
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

JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.8 92.8 95.5 97.9 99.9 101.6 103.5
Weighted Avg. Price 86.5 92.8 95.5 97.9 99.9 101.6 103.3
Avg. Price Bottom 5 Trades 75.8 92.7 95.3 97.7 99.7 101.5 103.2
2nd Quartile Price 82.8 92.7 95.4 97.8 99.8 101.5 103.2
3rd Quartile Price 86.4 92.9 95.5 97.8 99.8 101.6 103.2
4th Quartile Price 89.8 92.9 95.5 97.9 99.9 101.6 103.2
Avg. Price Top 5 Trades 90.0 92.9 95.6 98.2 100.2 102.5 105.8
Standard Deviation 3.7 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 5,417,331.9 3,565,207.7 6,376,944.7 16,302,201.4 29,916,883.5 34,324,734.9 10,687,529.3
     NUMBER OF TRADES 326 149 209 577 801 737 374
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 87.0 92.8 95.5 98.1 100.1 101.5 102.9
Weighted Avg. Price 86.4 92.9 95.6 98.1 100.0 101.4 102.7
Avg. Price Bottom 5 Trades 79.4 92.7 95.4 98.0 99.8 100.7 102.4
2nd Quartile Price 84.8 92.7 95.5 98.0 100.0 101.4 102.6
3rd Quartile Price 88.2 92.8 95.5 98.1 100.0 101.4 102.7
4th Quartile Price 90.3 92.8 95.6 98.2 100.1 101.5 102.8
Avg. Price Top 5 Trades 90.4 92.9 95.7 98.5 100.6 102.5 105.1
Standard Deviation 3.6 0.1 0.1 0.2 0.1 0.3 0.6
     VOLUME OF TRADES (000'S) 5,116,847.0 1,030,058.5 1,790,303.8 4,521,885.2 6,110,824.2 5,569,080.6 4,195,618.7
     NUMBER OF TRADES 117 26 56 102 185 278 203
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.4 92.8 95.4 97.8 99.8 101.5 103.2
Weighted Avg. Price 87.7 92.8 95.6 97.8 99.8 101.5 103.1
Avg. Price Bottom 5 Trades 81.6 92.7 95.4 97.7 99.7 101.4 103.0
2nd Quartile Price 86.3 92.8 95.4 97.8 99.7 101.4 103.0
3rd Quartile Price 89.8 92.8 95.4 97.8 99.8 101.5 103.1
4th Quartile Price 89.9 92.9 95.5 97.9 99.8 101.5 103.1
Avg. Price Top 5 Trades 89.9 92.9 95.5 97.9 99.9 101.7 104.9
Standard Deviation 3.5 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 1,374,270.0 122,050.0 529,350.0 4,891,700.0 16,876,982.9 25,229,979.0 7,666,032.0
     NUMBER OF TRADES 33 18 20 80 287 329 149
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 88.0 92.7 95.5 98.0 99.9 101.2 102.4
Weighted Avg. Price 86.9 92.9 95.5 98.1 100.0 101.3 102.5
Avg. Price Bottom 5 Trades 84.0 92.7 95.4 97.9 99.8 101.1 102.4
2nd Quartile Price 85.0 92.7 95.4 98.0 99.9 101.2 102.4
3rd Quartile Price 89.9 92.8 95.5 98.0 99.9 101.2 102.4
4th Quartile Price 90.2 92.9 95.6 98.1 100.0 101.3 102.5
Avg. Price Top 5 Trades 90.3 92.8 95.6 98.1 100.0 101.4 102.6
Standard Deviation 2.7 0.1 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 3,723,450.0 773,700.0 1,142,500.0 1,409,600.0 2,923,400.0 3,513,800.0 1,701,700.0
     NUMBER OF TRADES 56 11 31 51 165 171 81
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 92.8 95.4 97.7 99.7 101.3 103.1
Weighted Avg. Price * 92.8 95.4 97.7 99.7 101.4 103.4
Avg. Price Bottom 5 Trades * 92.8 95.4 97.6 99.6 101.3 102.9
2nd Quartile Price * 92.7 95.4 97.7 99.6 101.3 102.9
3rd Quartile Price * 92.9 95.4 97.7 99.7 101.3 102.9
4th Quartile Price * 92.9 95.5 97.7 99.7 101.4 103.0
Avg. Price Top 5 Trades * 92.8 95.5 97.7 99.8 101.4 104.2
Standard Deviation * 0.1 0.1 - 0.1 - 0.5
     VOLUME OF TRADES (000'S) * 22,800.0 41,500.0 41,000.0 1,158,900.0 860,500.0 269,800.0
     NUMBER OF TRADES * 6 8 24 166 193 52
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 * 92.7 95.4 97.9 99.8 101.1 102.3
Weighted Avg. Price * 92.7 95.4 98.0 99.8 101.1 102.3
Avg. Price Bottom 5 Trades * 92.6 95.3 97.9 99.6 100.9 102.2
2nd Quartile Price * 92.7 95.4 97.9 99.8 101.1 102.2
3rd Quartile Price * 92.7 95.4 97.9 99.8 101.1 102.3
4th Quartile Price * 92.7 95.4 98.0 99.8 101.1 102.3
Avg. Price Top 5 Trades * 92.7 95.4 98.0 99.9 101.2 102.4
Standard Deviation * 0.1 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) * 42,800.0 28,400.0 151,800.0 594,586.9 796,281.1 137,000.0
     NUMBER OF TRADES * 9 8 20 85 93 20
* 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].