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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 91.9 96.4 97.5 99.2 100.5 101.6 102.8
Weighted Avg. Price 92.6 96.3 97.4 99.2 100.5 101.6 102.8
Avg. Price Bottom 5 Trades 87.9 96.3 97.3 99.0 100.4 101.5 102.7
2nd Quartile Price 90.5 96.3 97.4 99.1 100.5 101.5 102.8
3rd Quartile Price 92.6 96.3 97.5 99.2 100.5 101.6 102.9
4th Quartile Price 93.0 96.5 97.7 99.2 100.6 101.6 103.0
Avg. Price Top 5 Trades 94.8 96.4 97.6 99.3 100.7 101.6 102.9
Standard Deviation 2.3 0.2 0.2 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 604,148.0 111,761.0 293,475.0 1,092,860.0 1,341,130.0 576,100.0 84,126.3
     NUMBER OF TRADES 37 8 19 112 112 31 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 - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.0 96.2 97.4 99.1 100.5 101.5 102.7
Weighted Avg. Price 92.5 96.2 97.3 99.1 100.4 101.6 102.6
Avg. Price Bottom 5 Trades 88.0 96.2 97.4 99.0 100.3 101.4 102.7
2nd Quartile Price 90.7 * * 99.0 100.4 101.5 *
3rd Quartile Price 92.6 * * 99.2 100.5 101.5 *
4th Quartile Price 92.9 * * 99.3 100.6 101.6 *
Avg. Price Top 5 Trades 94.8 96.2 97.4 99.3 100.6 101.6 102.7
Standard Deviation 2.1 0.2 0.3 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 597,690.0 101,736.0 161,400.0 440,910.0 802,889.0 401,880.0 90,000.0
     NUMBER OF TRADES 37 5 8 23 43 15 5
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 - * * 99.1 100.3 * -
Weighted Avg. Price - * * 99.1 100.3 * -
Avg. Price Bottom 5 Trades - * * 99.1 100.2 * -
2nd Quartile Price - * * * 100.3 * -
3rd Quartile Price - * * * 100.3 * -
4th Quartile Price - * * * 100.4 * -
Avg. Price Top 5 Trades - * * 99.1 100.4 * -
Standard Deviation - * * 0.2 0.1 * -
     VOLUME OF TRADES (000'S) - * * 28,500.0 51,000.0 * -
     NUMBER OF TRADES - * * 5 13 * -
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 83.8 90.6 93.6 96.0 98.3 100.0 102.3
Weighted Avg. Price 84.6 90.6 93.6 96.0 98.3 100.0 102.2
Avg. Price Bottom 5 Trades 77.7 90.4 93.3 95.7 98.0 99.8 101.5
2nd Quartile Price 80.2 90.4 93.4 95.8 98.1 99.9 101.6
3rd Quartile Price 83.8 90.6 93.6 96.0 98.3 100.0 101.7
4th Quartile Price 86.9 90.7 93.8 96.1 98.4 100.1 103.1
Avg. Price Top 5 Trades 87.4 90.9 93.9 96.2 98.5 101.7 105.9
Standard Deviation 3.0 0.2 0.2 0.2 0.1 0.2 1.0
     VOLUME OF TRADES (000'S) 15,736,467.1 2,859,522.0 7,077,058.7 9,619,417.4 24,692,399.3 43,281,870.4 60,075,952.2
     NUMBER OF TRADES 423 162 221 431 1,139 1,387 1,661
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 86.4 91.8 93.9 96.2 98.6 100.3 102.2
Weighted Avg. Price 86.5 92.2 94.0 96.3 98.6 100.3 102.0
Avg. Price Bottom 5 Trades 82.0 91.2 93.7 96.0 98.4 100.2 101.3
2nd Quartile Price 85.5 91.7 93.7 96.1 98.5 100.3 101.5
3rd Quartile Price 86.0 91.9 93.9 96.2 98.6 100.3 102.3
4th Quartile Price 88.9 92.0 94.1 96.4 98.7 100.4 102.5
Avg. Price Top 5 Trades 89.3 92.3 94.2 96.5 99.1 101.4 105.5
Standard Deviation 2.8 0.3 0.2 0.1 0.2 0.2 0.8
     VOLUME OF TRADES (000'S) 3,112,224.0 2,292,013.0 2,727,861.0 4,445,304.9 3,531,417.7 7,197,512.6 9,117,299.8
     NUMBER OF TRADES 95 74 63 128 206 342 575
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.8 90.6 93.5 95.9 98.2 99.9 102.1
Weighted Avg. Price 84.7 90.6 93.6 95.9 98.2 99.9 102.2
Avg. Price Bottom 5 Trades 77.2 90.3 93.1 95.7 97.8 99.7 101.4
2nd Quartile Price 80.2 90.5 93.3 95.8 98.0 99.8 101.5
3rd Quartile Price 83.8 90.7 93.5 95.8 98.2 99.9 101.6
4th Quartile Price 87.1 90.8 93.6 96.0 98.3 100.0 103.0
Avg. Price Top 5 Trades 87.4 90.8 93.8 96.2 98.6 100.1 104.6
Standard Deviation 3.2 0.2 0.2 0.2 0.2 0.1 0.9
     VOLUME OF TRADES (000'S) 14,050,771.1 1,597,231.7 7,091,524.5 6,101,724.0 15,301,282.0 24,607,036.5 43,548,150.7
     NUMBER OF TRADES 232 52 105 116 358 475 625
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 86.8 91.7 93.9 96.3 98.5 100.2 101.9
Weighted Avg. Price 86.9 91.9 94.0 96.3 98.5 100.2 101.9
Avg. Price Bottom 5 Trades 82.2 91.5 93.7 96.0 98.3 100.1 101.3
2nd Quartile Price 85.7 91.6 93.7 96.1 98.4 100.1 101.4
3rd Quartile Price 88.7 91.7 94.1 96.3 98.5 100.2 101.4
4th Quartile Price 89.1 91.8 94.1 96.4 98.6 100.2 102.4
Avg. Price Top 5 Trades 89.3 92.0 94.2 96.4 98.7 100.9 105.5
Standard Deviation 2.6 0.2 0.2 0.2 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 2,562,834.0 831,596.5 2,750,176.0 1,773,279.0 2,396,810.8 3,839,589.0 5,815,673.6
     NUMBER OF TRADES 49 35 34 56 94 236 284
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - 90.6 93.4 95.8 98.1 99.8 101.7
Weighted Avg. Price - 90.6 93.6 95.9 98.2 99.9 101.9
Avg. Price Bottom 5 Trades - 90.6 93.3 95.6 97.8 99.6 101.3
2nd Quartile Price - * 93.4 95.7 98.0 99.8 101.4
3rd Quartile Price - * 93.4 95.9 98.1 99.8 101.4
4th Quartile Price - * 93.5 95.9 98.3 99.9 101.5
Avg. Price Top 5 Trades - 90.6 93.6 96.0 98.4 100.0 103.5
Standard Deviation - 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) - 53,000.0 2,653,750.0 1,095,700.0 2,347,700.0 3,099,000.0 5,695,825.0
     NUMBER OF TRADES - 5 21 36 117 368 350
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 93.8 96.2 98.4 100.0 101.5
Weighted Avg. Price * 91.5 93.8 96.3 98.4 100.1 101.7
Avg. Price Bottom 5 Trades * 91.5 93.8 96.0 98.2 99.9 101.2
2nd Quartile Price * 91.5 * 96.0 98.3 100.0 101.2
3rd Quartile Price * 91.5 * 96.2 98.3 100.0 101.3
4th Quartile Price * 91.7 * 96.3 98.4 100.1 101.4
Avg. Price Top 5 Trades * 91.6 93.8 96.4 98.6 100.2 102.7
Standard Deviation * 0.1 0.2 0.2 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) * 191,000.0 127,500.0 511,600.0 175,100.0 1,276,500.0 890,550.0
     NUMBER OF TRADES * 10 7 30 55 209 171
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 - - - - - - *
* 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].