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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

JULY Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	93.1	97.3	99.0	100.4	101.6	102.7	*
Weighted Avg. Price	93.7	97.3	99.0	100.4	101.6	102.7	*
Avg. Price Bottom 5 Trades	88.3	97.3	99.0	100.4	101.6	102.7	*
2nd Quartile Price	91.0	97.3	99.0	100.4	101.6	102.7	*
3rd Quartile Price	93.0	97.3	99.0	100.4	101.6	102.7	*
4th Quartile Price	95.8	97.3	99.0	100.4	101.6	102.7	*
Avg. Price Top 5 Trades	96.1	97.3	99.2	100.9	101.9	102.8	*
Standard Deviation	2.4	-	0.1	0.1	0.1	-	*
VOLUME OF TRADES (000'S)	1,969,671.6	275,720.4	982,172.6	1,362,464.9	366,900.2	101,776.5	*
NUMBER OF TRADES	70	15	51	90	56	22	*
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	93.1	97.3	99.0	100.4	101.6	102.7	-
Weighted Avg. Price	93.7	97.3	99.0	100.4	101.5	102.7	-
Avg. Price Bottom 5 Trades	88.4	97.3	98.9	100.3	101.5	102.6	-
2nd Quartile Price	91.1	97.3	98.9	100.4	101.6	102.6	-
3rd Quartile Price	93.1	97.3	99.0	100.4	101.6	102.7	-
4th Quartile Price	95.0	97.3	99.0	100.4	101.6	102.7	-
Avg. Price Top 5 Trades	96.0	97.3	99.0	100.4	101.6	102.7	-
Standard Deviation	2.3	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	1,839,507.2	271,924.0	1,189,679.3	2,310,510.0	843,992.4	272,123.0	-
NUMBER OF TRADES	78	14	63	115	45	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	-	*	98.9	100.3	101.5	*	-
Weighted Avg. Price	-	*	98.9	100.3	101.5	*	-
Avg. Price Bottom 5 Trades	-	*	98.9	100.3	101.5	*	-
2nd Quartile Price	-	*	98.9	100.3	101.5	*	-
3rd Quartile Price	-	*	98.9	100.3	101.5	*	-
4th Quartile Price	-	*	99.0	100.3	101.5	*	-
Avg. Price Top 5 Trades	-	*	98.9	100.3	101.5	*	-
Standard Deviation	-	*	-	-	-	*	-
VOLUME OF TRADES (000'S)	-	*	36,500.0	570,500.0	528,500.0	*	-
NUMBER OF TRADES	-	*	8	16	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	-	-	-	-	-	-	-

OCTOBER 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	-	-	-	-	-	-	-

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

JULY Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	84.5	92.5	95.0	97.5	99.7	101.5	103.7
Weighted Avg. Price	85.1	92.5	95.1	97.5	99.6	101.4	104.0
Avg. Price Bottom 5 Trades	74.6	92.2	94.8	97.3	99.5	101.3	103.1
2nd Quartile Price	82.2	92.5	95.0	97.4	99.6	101.4	103.2
3rd Quartile Price	85.9	92.5	95.0	97.5	99.6	101.4	103.2
4th Quartile Price	89.4	92.5	95.1	97.5	99.6	101.5	103.8
Avg. Price Top 5 Trades	89.6	92.7	95.2	98.5	101.4	102.5	105.6
Standard Deviation	4.7	0.1	0.1	0.3	0.3	0.2	0.9
VOLUME OF TRADES (000'S)	9,716,316.7	3,967,412.6	3,321,077.2	7,244,696.7	11,874,769.1	9,198,313.9	11,503,793.0
NUMBER OF TRADES	256	84	92	156	225	303	328
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	87.7	92.9	95.1	97.8	99.9	101.5	103.0
Weighted Avg. Price	88.5	93.0	95.1	97.8	99.8	101.4	103.0
Avg. Price Bottom 5 Trades	81.0	92.7	94.9	97.7	99.6	101.2	101.9
2nd Quartile Price	84.6	92.9	95.1	97.7	99.8	101.4	102.8
3rd Quartile Price	88.0	93.0	95.2	97.8	99.8	101.4	102.9
4th Quartile Price	90.4	93.0	95.2	97.8	99.9	101.4	103.2
Avg. Price Top 5 Trades	90.7	93.0	95.3	98.3	101.1	103.0	104.9
Standard Deviation	3.1	0.1	0.2	0.3	0.3	0.4	0.5
VOLUME OF TRADES (000'S)	6,616,229.1	1,454,541.0	740,883.8	4,651,938.8	6,910,260.0	5,294,783.1	2,233,815.7
NUMBER OF TRADES	124	60	48	98	215	280	218

AUGUST Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	85.3	92.5	95.1	97.5	99.5	101.4	103.5
Weighted Avg. Price	84.9	92.5	95.1	97.5	99.5	101.4	103.4
Avg. Price Bottom 5 Trades	74.7	92.2	94.8	97.0	99.4	101.2	102.9
2nd Quartile Price	82.3	92.5	95.0	97.4	99.5	101.3	103.0
3rd Quartile Price	85.9	92.5	95.1	97.5	99.5	101.3	103.1
4th Quartile Price	89.5	92.6	95.1	97.5	99.6	101.4	104.8
Avg. Price Top 5 Trades	89.6	92.8	95.2	97.8	100.0	101.9	105.2
Standard Deviation	4.1	0.1	0.1	0.1	0.1	0.1	0.8
VOLUME OF TRADES (000'S)	36,938,494.3	16,487,807.3	11,346,595.3	26,235,460.9	27,943,193.4	58,180,541.4	38,589,778.8
NUMBER OF TRADES	749	465	405	605	923	989	747
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	88.2	92.5	95.1	97.7	99.8	101.3	102.6
Weighted Avg. Price	87.7	92.5	95.2	97.7	99.7	101.3	102.6
Avg. Price Bottom 5 Trades	81.1	92.4	94.9	97.6	99.6	101.2	102.4
2nd Quartile Price	87.9	92.5	95.1	97.7	99.7	101.2	102.5
3rd Quartile Price	90.0	92.5	95.2	97.7	99.8	101.3	102.5
4th Quartile Price	90.1	92.6	95.2	97.8	99.8	101.3	102.6
Avg. Price Top 5 Trades	90.2	92.7	95.3	97.8	99.8	101.6	103.5
Standard Deviation	2.8	0.1	0.1	0.1	0.1	0.1	0.3
VOLUME OF TRADES (000'S)	5,900,097.9	4,616,354.7	2,322,594.0	5,421,942.2	8,284,516.0	7,015,516.6	2,036,444.3
NUMBER OF TRADES	159	147	49	103	203	217	119

SEPTEMBER Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	84.5	92.4	95.0	97.4	99.5	101.3	103.4
Weighted Avg. Price	84.4	92.4	95.0	97.6	99.5	101.4	103.1
Avg. Price Bottom 5 Trades	80.1	92.3	95.0	97.3	99.4	101.2	102.9
2nd Quartile Price	82.3	92.4	95.0	97.4	99.4	101.2	102.9
3rd Quartile Price	85.9	92.4	95.0	97.4	99.5	101.3	103.0
4th Quartile Price	89.5	92.4	95.1	97.5	99.5	101.3	103.0
Avg. Price Top 5 Trades	89.5	92.5	95.1	97.6	99.6	101.5	104.8
Standard Deviation	4.5	0.1	0.1	0.1	-	0.1	0.8
VOLUME OF TRADES (000'S)	15,079,025.0	2,144,962.0	1,141,500.0	9,532,550.0	8,233,550.0	37,398,000.0	19,865,399.0
NUMBER OF TRADES	29	73	21	62	264	267	142
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	89.3	92.4	95.1	97.7	99.7	101.1	102.3
Weighted Avg. Price	89.6	92.4	95.2	97.7	99.7	101.1	102.4
Avg. Price Bottom 5 Trades	88.3	92.3	95.1	97.5	99.5	100.9	102.3
2nd Quartile Price	90.0	92.3	95.1	97.6	99.7	101.1	102.3
3rd Quartile Price	90.0	92.4	95.1	97.7	99.7	101.1	102.3
4th Quartile Price	90.0	92.5	95.2	97.7	99.7	101.1	102.4
Avg. Price Top 5 Trades	90.0	92.5	95.2	97.7	99.7	101.2	102.4
Standard Deviation	1.7	0.1	0.1	0.1	0.1	0.1	-
VOLUME OF TRADES (000'S)	238,000.0	1,052,000.0	1,124,500.0	166,300.0	508,100.0	1,569,840.0	738,750.0
NUMBER OF TRADES	21	23	17	30	105	109	46

OCTOBER 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	-	-	*	-	-	-	-

* 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].

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For each region, the evaluation system is operational during the Extended Hours. In addition, the evaluation desks are staffed during the Core Hours providing further system inputs and oversight.

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ASIA Corps & Sovs (AU)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (JP)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (NZ)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
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ASIA Money Markets (JP)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (NZ)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (Other Currencies)	9:00 AM HKT – 6:00 PM HKT	3:00 AM HKT – 12:00 AM HKT
EMEA Corps & Sovs	8:00 AM GMT/BST – 6:00 PM GMT/BST	3:00 AM GMT/BST – 12:00 AM GMT/BST
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