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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

DECEMBER 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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.3 98.6 100.0 101.1 102.4 * -
Weighted Avg. Price 94.0 98.7 100.0 101.2 102.4 * -
Avg. Price Bottom 5 Trades 91.4 98.5 99.9 101.1 102.4 * -
2nd Quartile Price 92.5 98.6 99.9 101.1 102.4 * -
3rd Quartile Price 94.5 98.6 100.0 101.2 102.5 * -
4th Quartile Price 97.0 98.6 100.0 101.2 102.5 * -
Avg. Price Top 5 Trades 97.1 98.7 100.0 101.2 102.5 * -
Standard Deviation 2.3 0.1 - - 0.1 * -
     VOLUME OF TRADES (000'S) 83,397.0 79,025.0 2,034,638.0 1,102,800.0 136,670.0 * -
     NUMBER OF TRADES 28 17 169 83 14 * -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - 98.5 99.9 101.1 102.4 - -
Weighted Avg. Price - 98.6 99.9 101.1 102.4 - -
Avg. Price Bottom 5 Trades - 98.5 99.9 101.1 102.4 - -
2nd Quartile Price - 98.5 99.9 101.1 102.4 - -
3rd Quartile Price - 98.5 99.9 101.1 102.4 - -
4th Quartile Price - 98.5 99.9 101.2 102.5 - -
Avg. Price Top 5 Trades - 98.6 99.9 101.1 102.4 - -
Standard Deviation - 0.1 - - - - -
     VOLUME OF TRADES (000'S) - 48,000.0 266,200.0 504,400.0 133,041.0 - -
     NUMBER OF TRADES - 10 27 22 10 - -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 96.8 98.4 99.8 101.0 * - -
Weighted Avg. Price 96.5 98.4 99.8 101.0 * - -
Avg. Price Bottom 5 Trades 96.8 98.4 99.8 101.0 * - -
2nd Quartile Price 97.0 98.4 99.8 101.0 * - -
3rd Quartile Price 97.1 98.4 99.8 101.0 * - -
4th Quartile Price 97.1 98.4 99.8 101.1 * - -
Avg. Price Top 5 Trades 97.1 98.4 99.8 101.0 * - -
Standard Deviation 0.4 - - - * - -
     VOLUME OF TRADES (000'S) 24,000.0 42,600.0 56,500.0 44,500.0 * - -
     NUMBER OF TRADES 10 11 15 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 - - - - - - -

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

DECEMBER 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 - - - * * * -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.0 94.8 97.5 99.6 101.2 102.5 104.0
Weighted Avg. Price 86.1 94.8 97.5 99.6 101.2 102.5 103.9
Avg. Price Bottom 5 Trades 78.7 94.7 97.4 99.5 101.2 102.5 103.8
2nd Quartile Price 84.5 94.8 97.5 99.6 101.2 102.5 103.9
3rd Quartile Price 88.3 94.8 97.5 99.6 101.2 102.5 103.9
4th Quartile Price 88.4 94.8 97.5 99.7 101.2 102.5 103.9
Avg. Price Top 5 Trades 92.4 94.8 97.6 99.8 101.3 102.6 105.2
Standard Deviation 3.8 - - - - - 0.4
     VOLUME OF TRADES (000'S) 5,843,905.6 2,089,410.3 3,851,167.2 15,821,722.4 8,077,315.5 9,720,370.0 4,965,995.8
     NUMBER OF TRADES 465 119 251 764 486 297 154
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 88.4 94.3 97.4 99.7 101.0 101.9 103.3
Weighted Avg. Price 89.0 94.3 97.4 99.7 100.9 101.8 103.3
Avg. Price Bottom 5 Trades 82.9 94.1 97.2 99.5 100.6 101.7 103.0
2nd Quartile Price 86.3 94.3 97.3 99.7 100.8 101.7 103.3
3rd Quartile Price 90.0 94.3 97.4 99.7 100.9 101.8 103.3
4th Quartile Price 91.0 94.4 97.4 99.7 100.9 101.8 103.3
Avg. Price Top 5 Trades 91.2 94.4 97.4 100.1 102.6 104.2 104.1
Standard Deviation 2.8 0.2 0.1 0.1 0.4 0.5 0.3
     VOLUME OF TRADES (000'S) 2,147,249.3 1,050,404.1 1,584,481.8 4,428,541.6 10,041,892.7 3,798,368.3 3,038,924.2
     NUMBER OF TRADES 140 45 76 193 211 180 116
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.8 94.7 97.4 99.5 101.1 102.5 104.0
Weighted Avg. Price 86.3 94.7 97.4 99.6 101.1 102.5 103.9
Avg. Price Bottom 5 Trades 80.8 94.7 97.4 99.5 101.1 102.4 103.8
2nd Quartile Price 84.6 94.7 97.4 99.5 101.1 102.5 103.9
3rd Quartile Price 88.4 94.7 97.4 99.5 101.1 102.5 103.9
4th Quartile Price 88.4 94.7 97.5 99.6 101.1 102.5 103.9
Avg. Price Top 5 Trades 92.1 94.8 97.5 99.6 101.2 102.6 104.5
Standard Deviation 3.2 - - - - - 0.4
     VOLUME OF TRADES (000'S) 2,595,029.0 490,090.0 725,000.0 6,543,825.0 2,471,448.0 5,129,600.0 4,080,040.7
     NUMBER OF TRADES 107 31 36 228 146 97 27
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 89.8 * 97.3 99.5 100.8 101.7 103.2
Weighted Avg. Price 88.1 * 97.3 99.5 100.8 101.7 103.2
Avg. Price Bottom 5 Trades 87.6 * 97.3 99.5 100.7 101.7 103.1
2nd Quartile Price 89.8 * 97.3 99.5 100.8 101.7 103.1
3rd Quartile Price 89.9 * 97.3 99.6 100.8 101.7 103.2
4th Quartile Price 91.0 * 97.3 99.6 100.8 101.8 103.2
Avg. Price Top 5 Trades 90.8 * 97.4 99.6 100.9 101.8 103.2
Standard Deviation 1.8 * - - - - -
     VOLUME OF TRADES (000'S) 612,000.0 * 444,750.0 1,749,000.0 7,022,950.0 2,158,900.0 1,673,000.0
     NUMBER OF TRADES 24 * 22 117 124 62 56
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.6 94.6 97.3 99.4 101.0 102.4 103.9
Weighted Avg. Price 87.1 94.7 97.3 99.4 101.0 102.4 103.8
Avg. Price Bottom 5 Trades 87.6 94.6 97.3 99.3 100.9 102.3 103.8
2nd Quartile Price * 94.6 97.3 99.4 101.0 102.3 103.8
3rd Quartile Price * 94.7 97.3 99.4 101.0 102.4 103.8
4th Quartile Price * 94.7 97.3 99.4 101.0 102.4 103.9
Avg. Price Top 5 Trades 87.6 94.7 97.3 99.4 101.0 102.4 103.9
Standard Deviation 2.8 - - - - - 0.1
     VOLUME OF TRADES (000'S) 76,935.0 159,090.0 158,000.0 664,400.0 536,750.0 100,250.0 68,500.0
     NUMBER OF TRADES 6 13 28 96 67 18 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 * * 97.2 99.4 100.6 101.6 103.0
Weighted Avg. Price * * 97.2 99.4 100.7 101.6 103.1
Avg. Price Bottom 5 Trades * * 97.2 99.3 100.6 101.6 103.0
2nd Quartile Price * * 97.2 99.4 100.6 101.6 103.0
3rd Quartile Price * * 97.2 99.4 100.6 101.6 103.1
4th Quartile Price * * 97.2 99.4 100.7 101.6 103.1
Avg. Price Top 5 Trades * * 97.2 99.4 100.7 101.6 103.0
Standard Deviation * * - - - - -
     VOLUME OF TRADES (000'S) * * 22,500.0 230,000.0 299,000.0 222,500.0 57,000.0
     NUMBER OF TRADES * * 8 43 42 19 11
* 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].