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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

JANUARY 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 - - - - - - -
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.8 94.7 96.1 97.9 99.9 101.0 102.1
Weighted Avg. Price 92.3 94.8 96.2 98.0 99.8 101.0 102.1
Avg. Price Bottom 5 Trades 87.6 94.6 96.0 97.9 99.7 100.9 102.0
2nd Quartile Price 89.0 94.7 96.0 97.9 99.8 100.9 102.1
3rd Quartile Price 91.0 94.7 96.0 97.9 99.9 101.0 102.1
4th Quartile Price 93.2 94.9 96.2 98.0 99.9 101.0 102.1
Avg. Price Top 5 Trades 93.4 94.9 96.2 98.1 100.1 101.1 102.1
Standard Deviation 1.9 0.2 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 991,282.0 23,795.0 61,884.0 297,673.0 1,097,942.4 641,775.0 73,000.0
     NUMBER OF TRADES 94 15 18 64 57 46 17
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 - - - - - - -
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.3 * * 97.9 99.7 100.8 *
Weighted Avg. Price 92.9 * * 97.9 99.7 100.9 *
Avg. Price Bottom 5 Trades 88.2 * * 97.9 99.7 100.8 *
2nd Quartile Price 91.0 * * * 99.7 100.8 *
3rd Quartile Price 91.1 * * * 99.7 100.8 *
4th Quartile Price 93.4 * * * 99.7 100.9 *
Avg. Price Top 5 Trades 93.4 * * 97.9 99.8 100.9 *
Standard Deviation 2.0 * * - 0.1 0.1 *
     VOLUME OF TRADES (000'S) 747,825.0 * * 40,800.0 674,000.0 242,700.0 *
     NUMBER OF TRADES 27 * * 5 24 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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - * 99.6 * -
Weighted Avg. Price - - - * 99.6 * -
Avg. Price Bottom 5 Trades - - - * 99.6 * -
2nd Quartile Price - - - * 99.6 * -
3rd Quartile Price - - - * 99.6 * -
4th Quartile Price - - - * 99.7 * -
Avg. Price Top 5 Trades - - - * 99.6 * -
Standard Deviation - - - * 0.1 * -
     VOLUME OF TRADES (000'S) - - - * 22,500.0 * -
     NUMBER OF TRADES - - - * 7 * -
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

JANUARY 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 - - - - - - -
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.1 88.6 91.6 94.2 96.7 98.9 101.8
Weighted Avg. Price 82.7 88.6 91.6 94.2 96.7 98.9 101.3
Avg. Price Bottom 5 Trades 74.6 88.3 91.3 94.0 96.5 98.6 100.5
2nd Quartile Price 81.4 88.5 91.5 94.2 96.6 98.8 100.7
3rd Quartile Price 81.7 88.6 91.6 94.3 96.7 98.9 100.8
4th Quartile Price 85.1 88.7 91.6 94.3 96.8 98.9 102.6
Avg. Price Top 5 Trades 85.3 88.8 91.7 94.5 96.9 100.9 105.6
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.2 1.4
     VOLUME OF TRADES (000'S) 19,234,691.2 6,373,576.9 5,530,005.4 11,020,540.6 17,091,402.4 24,499,026.8 26,154,530.8
     NUMBER OF TRADES 764 330 302 449 578 835 1,102
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 83.9 89.5 92.2 94.6 97.2 99.4 101.4
Weighted Avg. Price 83.1 89.5 92.2 94.7 97.2 99.3 101.2
Avg. Price Bottom 5 Trades 79.8 89.3 91.9 94.4 96.9 99.2 100.7
2nd Quartile Price 83.4 89.4 92.2 94.6 97.1 99.3 100.9
3rd Quartile Price 83.8 89.5 92.2 94.7 97.2 99.4 101.0
4th Quartile Price 86.9 89.6 92.3 94.8 97.3 99.4 102.0
Avg. Price Top 5 Trades 87.2 89.6 92.4 94.8 97.4 100.4 104.0
Standard Deviation 2.6 0.1 0.1 0.1 0.1 0.2 0.7
     VOLUME OF TRADES (000'S) 4,445,280.8 1,984,032.9 1,573,596.1 1,997,941.5 2,549,212.4 4,485,416.2 5,341,800.8
     NUMBER OF TRADES 146 84 78 96 108 201 353
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.1 88.5 91.5 94.1 96.6 98.7 101.7
Weighted Avg. Price 84.3 88.4 91.5 94.2 96.6 98.7 101.6
Avg. Price Bottom 5 Trades 76.4 88.3 91.2 93.9 96.4 98.5 100.4
2nd Quartile Price 81.4 88.4 91.4 94.1 96.5 98.6 100.6
3rd Quartile Price 81.7 88.5 91.5 94.1 96.6 98.7 100.7
4th Quartile Price 85.1 88.6 91.6 94.2 96.7 98.8 102.4
Avg. Price Top 5 Trades 85.2 88.6 91.6 94.3 96.8 99.2 104.1
Standard Deviation 2.8 0.2 0.1 0.1 0.1 0.2 1.3
     VOLUME OF TRADES (000'S) 28,726,235.7 12,074,641.4 2,674,360.0 12,699,367.0 17,475,919.2 51,265,597.0 115,036,328.4
     NUMBER OF TRADES 245 58 62 192 123 205 730
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 85.1 89.4 92.2 94.6 97.1 99.2 101.1
Weighted Avg. Price 84.2 89.4 92.2 94.6 97.2 99.1 101.1
Avg. Price Bottom 5 Trades 82.2 89.4 92.1 94.6 96.9 99.0 100.5
2nd Quartile Price 83.6 89.3 92.1 94.5 97.0 99.1 100.7
3rd Quartile Price 86.9 89.4 92.2 94.6 97.1 99.1 100.7
4th Quartile Price 87.2 89.7 92.3 94.7 97.1 99.2 101.7
Avg. Price Top 5 Trades 87.1 89.4 92.3 94.7 97.2 99.3 103.4
Standard Deviation 2.4 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 946,065.0 1,114,875.0 935,550.0 398,400.0 133,025.0 1,447,500.0 3,037,350.0
     NUMBER OF TRADES 19 7 14 8 18 96 291
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.1 * * 94.1 96.5 98.6 101.2
Weighted Avg. Price 85.1 * * 94.2 96.6 98.6 101.6
Avg. Price Bottom 5 Trades 82.8 * * 93.9 96.3 98.4 100.3
2nd Quartile Price 85.1 * * 94.0 96.4 98.5 100.4
3rd Quartile Price 85.1 * * 94.2 96.5 98.6 100.5
4th Quartile Price 85.1 * * 94.2 96.6 98.7 102.2
Avg. Price Top 5 Trades 83.8 * * 94.2 96.6 98.8 104.0
Standard Deviation 3.2 * * 0.1 0.1 0.1 1.1
     VOLUME OF TRADES (000'S) 17,371,213.7 * * 7,381,062.5 10,929,035.2 40,627,299.0 95,788,475.0
     NUMBER OF TRADES 9 * * 71 46 108 434
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 - * * 94.6 97.1 99.0 100.8
Weighted Avg. Price - * * 94.6 97.1 99.0 100.9
Avg. Price Bottom 5 Trades - * * 94.6 96.9 98.9 100.3
2nd Quartile Price - * * 94.6 97.0 99.0 100.5
3rd Quartile Price - * * 94.6 97.1 99.0 100.6
4th Quartile Price - * * 94.6 97.2 99.1 101.5
Avg. Price Top 5 Trades - * * 94.6 97.1 99.2 101.8
Standard Deviation - * * - 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) - * * 67,000.0 91,500.0 349,100.0 518,800.0
     NUMBER OF TRADES - * * 10 18 53 103
* 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].