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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

MAY 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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.5 96.7 98.3 99.9 101.3 102.3 -
Weighted Avg. Price 91.8 96.7 98.4 99.9 101.3 102.3 -
Avg. Price Bottom 5 Trades 89.5 96.7 98.3 99.9 101.3 102.3 -
2nd Quartile Price 90.2 96.7 98.3 99.9 101.3 * -
3rd Quartile Price 94.0 96.7 98.4 99.9 101.3 * -
4th Quartile Price 94.2 96.7 98.4 100.0 101.3 * -
Avg. Price Top 5 Trades 95.4 96.7 98.4 100.0 101.3 102.3 -
Standard Deviation 2.4 - - - - - -
     VOLUME OF TRADES (000'S) 201,026.0 84,626.0 451,629.0 930,844.0 487,250.0 12,100.0 -
     NUMBER OF TRADES 38 13 74 101 38 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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.6 * 98.3 99.9 101.2 * -
Weighted Avg. Price 91.5 * 98.3 99.8 101.2 * -
Avg. Price Bottom 5 Trades 90.9 * 98.3 99.8 101.1 * -
2nd Quartile Price 92.0 * * 99.9 101.2 * -
3rd Quartile Price 94.1 * * 99.9 101.2 * -
4th Quartile Price 95.4 * * 99.9 101.2 * -
Avg. Price Top 5 Trades 93.3 * 98.3 99.9 101.2 * -
Standard Deviation 2.2 * - 0.1 - * -
     VOLUME OF TRADES (000'S) 135,375.0 * 70,000.0 333,500.0 420,000.0 * -
     NUMBER OF TRADES 9 * 7 21 21 * -
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 - - 98.3 99.8 101.0 * -
Weighted Avg. Price - - 98.3 99.8 101.1 * -
Avg. Price Bottom 5 Trades - - 98.3 99.8 101.0 * -
2nd Quartile Price - - * * 101.0 * -
3rd Quartile Price - - * * 101.1 * -
4th Quartile Price - - * * 101.1 * -
Avg. Price Top 5 Trades - - 98.3 99.8 101.1 * -
Standard Deviation - - - - - * -
     VOLUME OF TRADES (000'S) - - 24,500.0 30,000.0 26,500.0 * -
     NUMBER OF TRADES - - 5 5 9 * -
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

MAY 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 - * - - * * *
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.4 91.4 94.1 96.6 98.9 100.9 103.2
Weighted Avg. Price 83.0 91.4 94.1 96.5 98.8 100.9 103.0
Avg. Price Bottom 5 Trades 76.8 91.1 93.7 96.3 98.6 100.7 102.6
2nd Quartile Price 81.2 91.4 94.0 96.5 98.8 100.9 102.6
3rd Quartile Price 84.5 91.4 94.1 96.6 98.9 100.9 102.7
4th Quartile Price 85.0 91.5 94.1 96.6 98.9 100.9 104.3
Avg. Price Top 5 Trades 88.5 91.5 94.2 96.7 100.5 102.0 105.1
Standard Deviation 3.7 0.1 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 20,044,894.8 4,706,689.4 7,830,844.1 19,895,859.4 29,212,336.8 34,395,204.1 20,321,613.9
     NUMBER OF TRADES 691 203 238 694 976 957 583
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 85.9 91.4 94.1 96.8 99.2 101.0 102.5
Weighted Avg. Price 84.8 91.4 94.1 96.8 99.1 100.9 102.2
Avg. Price Bottom 5 Trades 80.0 91.3 93.5 96.6 98.9 100.8 101.7
2nd Quartile Price 83.6 91.4 94.1 96.8 99.1 100.9 102.1
3rd Quartile Price 87.0 91.4 94.1 96.8 99.2 100.9 102.1
4th Quartile Price 88.8 91.5 94.2 96.9 99.2 100.9 102.8
Avg. Price Top 5 Trades 88.8 91.5 94.3 96.9 100.3 102.9 104.6
Standard Deviation 3.3 0.1 0.3 0.1 0.2 0.4 0.7
     VOLUME OF TRADES (000'S) 5,895,339.7 712,242.0 3,092,659.2 3,549,178.1 7,597,831.5 5,439,901.6 5,397,795.2
     NUMBER OF TRADES 195 43 62 148 315 300 194
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 82.7 91.4 94.0 96.5 98.8 100.8 103.3
Weighted Avg. Price 82.4 91.4 94.0 96.4 98.7 100.8 102.9
Avg. Price Bottom 5 Trades 77.4 91.3 93.8 96.3 98.6 100.5 102.4
2nd Quartile Price 81.2 91.4 94.0 96.4 98.7 100.7 102.5
3rd Quartile Price 81.5 91.4 94.0 96.5 98.8 100.7 102.6
4th Quartile Price 84.9 91.4 94.1 96.6 98.8 100.8 104.2
Avg. Price Top 5 Trades 88.5 91.4 94.1 96.8 99.4 101.7 104.4
Standard Deviation 3.5 0.1 0.1 0.2 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 14,357,856.7 2,120,308.1 2,841,989.1 8,571,611.1 16,749,508.3 18,333,239.1 17,647,450.2
     NUMBER OF TRADES 222 43 59 110 218 364 343
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 85.8 91.4 94.1 96.7 99.0 100.7 102.2
Weighted Avg. Price 84.5 91.4 94.0 96.7 99.0 100.7 102.2
Avg. Price Bottom 5 Trades 80.1 91.4 94.0 96.6 98.8 100.6 101.9
2nd Quartile Price 83.6 91.4 94.0 96.7 99.0 100.7 102.0
3rd Quartile Price 86.9 91.5 94.1 96.8 99.1 100.7 102.0
4th Quartile Price 88.8 91.5 94.1 96.8 99.1 100.7 102.2
Avg. Price Top 5 Trades 88.8 91.4 94.1 96.8 99.1 100.8 103.0
Standard Deviation 3.3 0.1 0.1 0.1 0.1 - 0.4
     VOLUME OF TRADES (000'S) 4,591,350.0 71,500.0 1,862,300.0 1,240,975.0 4,753,215.0 2,194,694.0 2,842,102.2
     NUMBER OF TRADES 93 6 30 39 136 209 105
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 94.0 96.4 98.7 100.6 102.8
Weighted Avg. Price * * 94.0 96.5 98.7 100.6 102.7
Avg. Price Bottom 5 Trades * * 94.0 96.3 98.6 100.5 102.4
2nd Quartile Price * * 94.0 96.4 98.7 100.6 102.4
3rd Quartile Price * * 94.0 96.5 98.7 100.6 102.4
4th Quartile Price * * 94.0 96.5 98.7 100.7 102.5
Avg. Price Top 5 Trades * * 94.0 96.5 98.7 100.7 104.4
Standard Deviation * * - 0.1 - - 0.8
     VOLUME OF TRADES (000'S) * * 17,500.0 99,750.0 406,200.0 1,207,750.0 999,650.0
     NUMBER OF TRADES * * 8 20 65 239 115
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 * * 94.1 96.7 98.9 100.5 102.2
Weighted Avg. Price * * 94.1 96.7 98.9 100.5 102.3
Avg. Price Bottom 5 Trades * * 94.0 96.6 98.8 100.5 101.8
2nd Quartile Price * * 94.0 96.6 98.9 100.5 101.9
3rd Quartile Price * * 94.1 96.7 98.9 100.5 102.0
4th Quartile Price * * 94.1 96.7 98.9 100.6 102.7
Avg. Price Top 5 Trades * * 94.1 96.7 99.0 100.6 102.9
Standard Deviation * * 0.1 0.1 0.1 - 0.4
     VOLUME OF TRADES (000'S) * * 91,000.0 138,875.0 345,000.0 602,400.0 806,075.0
     NUMBER OF TRADES * * 13 21 44 95 50
* 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].