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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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.8 95.7 97.2 98.8 100.2 101.4 102.8
Weighted Avg. Price 91.8 95.7 97.1 98.8 100.2 101.3 102.9
Avg. Price Bottom 5 Trades 87.7 95.7 97.1 98.7 100.1 101.3 102.5
2nd Quartile Price 90.3 95.8 97.1 98.8 100.1 101.3 102.5
3rd Quartile Price 92.4 95.8 97.1 98.9 100.2 101.4 102.5
4th Quartile Price 92.6 95.8 97.3 98.9 100.3 101.4 104.0
Avg. Price Top 5 Trades 94.6 95.8 97.2 98.9 100.3 101.4 102.8
Standard Deviation 1.9 0.1 0.1 0.1 0.1 - 0.6
     VOLUME OF TRADES (000'S) 1,169,817.0 82,837.6 43,394.0 261,272.0 604,348.8 256,986.0 34,228.0
     NUMBER OF TRADES 69 10 12 33 95 47 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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.6 * * 98.7 100.1 101.3 *
Weighted Avg. Price 91.6 * * 98.7 100.1 101.3 *
Avg. Price Bottom 5 Trades 88.4 * * 98.7 100.0 101.3 *
2nd Quartile Price 90.4 * * 98.7 100.1 * *
3rd Quartile Price 92.5 * * 98.7 100.1 * *
4th Quartile Price 92.7 * * 98.8 100.2 * *
Avg. Price Top 5 Trades 94.3 * * 98.8 100.2 101.3 *
Standard Deviation 1.8 * * 0.1 0.1 - *
     VOLUME OF TRADES (000'S) 973,254.0 * * 69,849.0 83,275.0 9,675.0 *
     NUMBER OF TRADES 44 * * 15 20 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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - * * 100.0 101.2 -
Weighted Avg. Price - - * * 100.2 101.3 -
Avg. Price Bottom 5 Trades - - * * 100.0 101.2 -
2nd Quartile Price - - * * 100.0 101.2 -
3rd Quartile Price - - * * 100.1 101.3 -
4th Quartile Price - - * * 100.2 101.3 -
Avg. Price Top 5 Trades - - * * 100.1 101.3 -
Standard Deviation - - * * 0.1 - -
     VOLUME OF TRADES (000'S) - - * * 70,000.0 33,500.0 -
     NUMBER OF TRADES - - * * 10 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 - - - - - - -
AUGUST 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

MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.9 89.4 92.3 94.9 97.3 99.3 101.7
Weighted Avg. Price 83.2 89.4 92.3 94.8 97.2 99.3 101.6
Avg. Price Bottom 5 Trades 75.5 89.2 92.1 94.7 97.1 99.1 101.0
2nd Quartile Price 78.7 89.3 92.2 94.8 97.2 99.2 101.0
3rd Quartile Price 82.4 89.3 92.2 94.8 97.2 99.3 101.1
4th Quartile Price 85.8 89.6 92.4 95.0 97.3 99.3 102.7
Avg. Price Top 5 Trades 86.2 89.6 92.6 95.1 97.6 100.2 104.4
Standard Deviation 3.2 0.1 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 17,819,715.2 3,474,768.0 8,941,699.3 12,871,925.0 27,763,213.4 30,089,981.2 45,572,007.2
     NUMBER OF TRADES 431 165 216 367 794 949 956
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 84.9 90.0 92.3 95.0 97.5 99.6 101.6
Weighted Avg. Price 86.3 90.0 92.2 95.0 97.6 99.5 101.4
Avg. Price Bottom 5 Trades 80.5 89.8 92.1 94.5 97.3 99.4 100.7
2nd Quartile Price 80.9 90.0 92.2 95.0 97.5 99.5 100.9
3rd Quartile Price 84.6 90.0 92.3 95.0 97.5 99.5 101.0
4th Quartile Price 87.7 90.1 92.4 95.1 97.6 99.6 102.1
Avg. Price Top 5 Trades 87.9 90.3 92.5 95.2 97.7 100.7 105.2
Standard Deviation 3.0 0.2 0.2 0.2 0.1 0.2 0.9
     VOLUME OF TRADES (000'S) 2,901,495.0 480,095.0 313,671.4 2,312,686.2 3,077,731.8 4,479,235.6 7,100,287.4
     NUMBER OF TRADES 72 39 42 103 141 255 334
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.8 89.4 92.3 94.8 97.2 99.2 101.6
Weighted Avg. Price 83.4 89.4 92.3 94.7 97.1 99.2 101.6
Avg. Price Bottom 5 Trades 77.0 89.2 92.0 94.7 97.0 99.1 100.9
2nd Quartile Price 78.7 89.3 92.2 94.8 97.1 99.1 101.0
3rd Quartile Price 82.4 89.4 92.2 94.8 97.2 99.2 101.0
4th Quartile Price 85.8 89.6 92.4 94.9 97.3 99.2 102.6
Avg. Price Top 5 Trades 86.2 89.6 92.5 95.1 97.5 99.5 104.3
Standard Deviation 3.3 0.1 0.2 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 12,637,469.6 1,545,565.0 7,908,847.0 25,635,216.0 14,462,068.0 21,059,975.4 36,380,167.5
     NUMBER OF TRADES 155 40 60 90 145 281 449
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 84.8 90.0 92.4 95.0 97.5 99.4 101.4
Weighted Avg. Price 86.3 90.1 92.2 95.1 97.5 99.4 101.4
Avg. Price Bottom 5 Trades 80.6 89.9 92.2 94.9 97.4 99.3 100.7
2nd Quartile Price 80.9 89.9 92.2 94.9 97.4 99.4 100.8
3rd Quartile Price 84.5 90.0 92.4 95.0 97.5 99.4 100.9
4th Quartile Price 87.7 90.2 92.5 95.2 97.5 99.4 102.1
Avg. Price Top 5 Trades 87.9 90.2 92.5 95.2 97.7 99.6 103.2
Standard Deviation 3.0 0.1 0.2 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 2,361,591.0 110,320.0 130,882.0 738,321.0 760,561.0 2,056,857.8 4,694,294.3
     NUMBER OF TRADES 56 18 15 38 74 200 287
JULY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * 92.2 94.8 97.1 99.1 101.2
Weighted Avg. Price - * 92.2 94.6 97.1 99.1 101.2
Avg. Price Bottom 5 Trades - * 92.1 94.7 97.0 99.0 100.8
2nd Quartile Price - * 92.2 94.6 97.1 99.1 100.8
3rd Quartile Price - * 92.2 94.7 97.1 99.1 100.9
4th Quartile Price - * 92.4 95.0 97.1 99.1 101.0
Avg. Price Top 5 Trades - * 92.2 94.9 97.3 99.3 104.0
Standard Deviation - * 0.1 0.2 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) - * 1,124,240.7 18,609,734.0 172,750.0 1,321,300.0 2,090,900.0
     NUMBER OF TRADES - * 6 12 32 153 288
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 * * * 94.9 97.4 99.3 101.1
Weighted Avg. Price * * * 95.0 97.4 99.3 101.2
Avg. Price Bottom 5 Trades * * * 94.8 97.3 99.2 100.6
2nd Quartile Price * * * 94.9 97.3 99.2 100.7
3rd Quartile Price * * * 94.9 97.4 99.3 100.7
4th Quartile Price * * * 95.1 97.4 99.3 101.9
Avg. Price Top 5 Trades * * * 95.0 97.5 99.4 102.8
Standard Deviation * * * 0.2 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) * * * 56,500.0 167,500.0 453,500.0 1,198,950.0
     NUMBER OF TRADES * * * 13 25 86 146
AUGUST 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].