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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 104.3 106.1 107.0 107.7 108.6 * -
Weighted Avg. Price 104.3 106.0 107.0 107.6 108.6 * -
Avg. Price Bottom 5 Trades 102.4 106.0 106.9 107.6 108.6 * -
2nd Quartile Price 104.0 106.0 107.0 107.5 108.6 * -
3rd Quartile Price 104.0 106.0 107.0 107.7 108.6 * -
4th Quartile Price 105.1 106.1 107.0 107.7 108.7 * -
Avg. Price Top 5 Trades 106.2 107.4 107.3 107.8 108.7 * -
Standard Deviation 0.7 0.4 0.3 0.1 - * -
     VOLUME OF TRADES (000'S) 19,565,320.1 3,193,703.0 451,890.2 770,923.0 151,963.8 * -
     NUMBER OF TRADES 408 103 45 32 15 * -
FHLMC
AVERAGE PRICE 104.3 106.4 106.5 107.3 107.9 - -
Weighted Avg. Price 104.1 106.7 106.5 107.3 107.7 - -
Avg. Price Bottom 5 Trades 102.7 105.9 106.5 107.3 107.9 - -
2nd Quartile Price 103.8 105.9 106.5 * * - -
3rd Quartile Price 103.9 106.0 106.5 * * - -
4th Quartile Price 104.8 106.7 106.5 * * - -
Avg. Price Top 5 Trades 106.5 108.2 106.5 107.3 107.9 - -
Standard Deviation 0.8 0.9 - 0.2 0.3 - -
     VOLUME OF TRADES (000'S) 8,081,575.6 195,630.3 23,481.0 7,031.5 4,122.0 - -
     NUMBER OF TRADES 149 29 8 6 5 - -
GNMA
AVERAGE PRICE 105.9 * - - - - -
Weighted Avg. Price 106.7 * - - - - -
Avg. Price Bottom 5 Trades 105.9 * - - - - -
2nd Quartile Price * * - - - - -
3rd Quartile Price * * - - - - -
4th Quartile Price * * - - - - -
Avg. Price Top 5 Trades 105.9 * - - - - -
Standard Deviation 1.0 * - - - - -
     VOLUME OF TRADES (000'S) 72,929.8 * - - - - -
     NUMBER OF TRADES 6 * - - - - -
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 103.9 105.9 106.9 107.6 108.5 * -
Weighted Avg. Price 104.1 105.9 106.9 107.5 108.5 * -
Avg. Price Bottom 5 Trades 102.0 105.8 106.9 107.5 108.5 * -
2nd Quartile Price 103.7 105.9 106.9 107.6 * * -
3rd Quartile Price 103.8 105.9 106.9 107.6 * * -
4th Quartile Price 104.9 105.9 106.9 107.6 * * -
Avg. Price Top 5 Trades 105.0 106.0 106.9 107.6 108.5 * -
Standard Deviation 0.8 0.1 - 0.1 - * -
     VOLUME OF TRADES (000'S) 17,966,689.5 3,764,791.0 431,925.0 825,420.0 152,455.0 * -
     NUMBER OF TRADES 831 188 45 39 14 * -
FHLMC
AVERAGE PRICE 103.4 105.8 106.4 * * - -
Weighted Avg. Price 103.6 105.8 106.4 * * - -
Avg. Price Bottom 5 Trades 102.3 105.8 106.4 * * - -
2nd Quartile Price 103.5 * * * * - -
3rd Quartile Price 103.6 * * * * - -
4th Quartile Price 103.6 * * * * - -
Avg. Price Top 5 Trades 104.5 105.8 106.4 * * - -
Standard Deviation 0.8 - - * * - -
     VOLUME OF TRADES (000'S) 2,517,317.0 43,400.0 6,125.0 * * - -
     NUMBER OF TRADES 63 7 5 * * - -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 103.1 - * - - - -
Weighted Avg. Price 103.3 - * - - - -
Avg. Price Bottom 5 Trades 101.5 - * - - - -
2nd Quartile Price 103.4 - * - - - -
3rd Quartile Price 103.4 - * - - - -
4th Quartile Price 103.5 - * - - - -
Avg. Price Top 5 Trades 104.8 - * - - - -
Standard Deviation 0.9 - * - - - -
     VOLUME OF TRADES (000'S) 1,195,250.0 - * - - - -
     NUMBER OF TRADES 119 - * - - - -
FHLMC
AVERAGE PRICE 102.9 - - - - - -
Weighted Avg. Price 103.2 - - - - - -
Avg. Price Bottom 5 Trades 102.2 - - - - - -
2nd Quartile Price 101.6 - - - - - -
3rd Quartile Price 103.3 - - - - - -
4th Quartile Price 103.4 - - - - - -
Avg. Price Top 5 Trades 103.8 - - - - - -
Standard Deviation 1.1 - - - - - -
     VOLUME OF TRADES (000'S) 1,212,200.0 - - - - - -
     NUMBER OF TRADES 19 - - - - - -
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

FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 103.6 105.5 106.7 108.0 109.0 110.0 112.1
Weighted Avg. Price 103.6 105.6 106.7 108.0 109.0 110.0 112.1
Avg. Price Bottom 5 Trades 101.3 105.4 106.6 107.3 108.5 109.9 112.0
2nd Quartile Price 103.6 105.5 106.7 108.0 109.0 110.0 112.1
3rd Quartile Price 103.7 105.5 106.7 108.0 109.0 110.0 112.1
4th Quartile Price 103.8 105.6 106.8 108.1 109.0 110.0 112.1
Avg. Price Top 5 Trades 104.1 105.8 107.7 108.1 109.1 110.0 112.2
Standard Deviation 0.6 0.1 0.2 0.5 0.8 - 0.1
     VOLUME OF TRADES (000'S) 19,176,995.0 23,403,946.8 8,859,522.5 7,462,366.4 5,620,154.2 3,910,208.8 418,452.6
     NUMBER OF TRADES 575 520 213 211 128 106 45
FHLMC
AVERAGE PRICE 103.4 105.1 106.2 107.9 108.5 109.8 111.5
Weighted Avg. Price 103.4 105.1 106.2 107.9 108.5 109.8 111.5
Avg. Price Bottom 5 Trades 102.4 105.0 106.1 107.8 108.5 109.7 111.5
2nd Quartile Price 103.4 105.0 106.1 107.9 108.5 109.7 *
3rd Quartile Price 103.4 105.1 106.1 107.9 108.5 109.8 *
4th Quartile Price 103.5 105.1 106.2 108.0 108.5 109.8 *
Avg. Price Top 5 Trades 103.8 106.7 106.6 108.0 108.6 109.9 111.5
Standard Deviation 0.3 0.3 0.3 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 4,704,356.1 3,957,654.7 2,109,831.5 2,714,711.6 1,910,935.4 1,961,631.0 15,300.0
     NUMBER OF TRADES 144 142 104 116 64 64 5
GNMA
AVERAGE PRICE 105.1 107.8 109.2 111.0 111.7 * -
Weighted Avg. Price 105.1 107.8 109.2 111.0 111.7 * -
Avg. Price Bottom 5 Trades 104.9 107.8 109.1 110.9 111.7 * -
2nd Quartile Price 105.1 107.8 109.1 111.0 111.7 * -
3rd Quartile Price 105.1 107.8 109.2 111.0 111.7 * -
4th Quartile Price 105.2 107.8 109.2 111.0 111.8 * -
Avg. Price Top 5 Trades 105.3 108.1 109.4 111.0 111.7 * -
Standard Deviation 0.4 0.1 0.3 - - * -
     VOLUME OF TRADES (000'S) 5,803,342.2 3,036,420.1 2,773,776.0 1,896,486.5 35,753.4 * -
     NUMBER OF TRADES 111 49 64 54 13 * -
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 103.3 105.2 106.5 107.9 108.8 109.9 111.8
Weighted Avg. Price 103.3 105.3 106.5 107.9 108.8 109.9 111.8
Avg. Price Bottom 5 Trades 100.9 105.1 106.5 107.8 108.7 109.8 111.8
2nd Quartile Price 103.3 105.2 106.5 107.8 108.8 109.8 111.8
3rd Quartile Price 103.3 105.2 106.5 107.9 108.8 109.9 111.8
4th Quartile Price 103.4 105.3 106.6 107.9 108.8 109.9 111.9
Avg. Price Top 5 Trades 103.7 105.6 106.7 107.9 108.9 109.9 111.9
Standard Deviation 0.4 0.1 0.1 - - - -
     VOLUME OF TRADES (000'S) 62,213,879.4 69,798,810.4 25,980,119.0 19,418,390.0 9,297,665.0 4,243,810.0 467,980.0
     NUMBER OF TRADES 1,988 1,499 763 530 341 187 45
FHLMC
AVERAGE PRICE 103.0 104.9 106.0 107.6 108.4 109.6 *
Weighted Avg. Price 103.0 104.9 106.0 107.6 108.4 109.6 *
Avg. Price Bottom 5 Trades 102.1 104.8 106.0 107.5 108.3 109.5 *
2nd Quartile Price 103.0 104.8 106.0 107.6 108.3 109.5 *
3rd Quartile Price 103.1 104.9 106.0 107.6 108.4 109.6 *
4th Quartile Price 103.1 104.9 106.1 107.7 108.4 109.6 *
Avg. Price Top 5 Trades 103.4 105.0 106.2 107.7 108.5 109.7 *
Standard Deviation 0.2 0.1 0.1 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) 9,941,390.8 5,586,290.1 2,229,833.0 2,992,596.0 1,624,995.0 2,092,730.0 *
     NUMBER OF TRADES 198 175 121 134 64 65 *
GNMA
AVERAGE PRICE 104.9 107.6 109.0 110.7 111.5 * -
Weighted Avg. Price 104.8 107.5 109.0 110.7 111.5 * -
Avg. Price Bottom 5 Trades 104.8 107.5 109.0 110.7 111.5 * -
2nd Quartile Price 104.8 107.5 109.0 110.7 * * -
3rd Quartile Price 104.8 107.5 109.0 110.7 * * -
4th Quartile Price 104.9 107.6 109.1 110.8 * * -
Avg. Price Top 5 Trades 105.1 107.7 109.1 110.8 111.5 * -
Standard Deviation 0.1 0.1 0.1 - - * -
     VOLUME OF TRADES (000'S) 8,021,250.0 3,550,750.0 2,913,700.0 2,301,610.0 80,410.0 * -
     NUMBER OF TRADES 217 83 75 60 9 * -
APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 102.9 105.0 106.4 107.7 108.6 109.7 *
Weighted Avg. Price 103.0 105.0 106.3 107.7 108.5 109.7 *
Avg. Price Bottom 5 Trades 100.6 104.9 106.3 107.6 108.5 109.7 *
2nd Quartile Price 103.0 105.0 106.3 107.7 108.5 * *
3rd Quartile Price 103.0 105.0 106.4 107.7 108.5 * *
4th Quartile Price 103.1 105.0 106.4 107.7 108.6 * *
Avg. Price Top 5 Trades 103.3 105.2 106.5 107.7 108.6 109.7 *
Standard Deviation 0.5 0.1 - - - - *
     VOLUME OF TRADES (000'S) 16,757,550.0 24,592,300.0 6,121,101.0 4,928,150.0 181,900.0 63,500.0 *
     NUMBER OF TRADES 422 203 34 31 16 5 *
FHLMC
AVERAGE PRICE 102.8 104.6 105.9 107.4 * - *
Weighted Avg. Price 102.7 104.6 105.9 107.4 * - *
Avg. Price Bottom 5 Trades 102.7 104.6 105.9 107.4 * - *
2nd Quartile Price 102.7 104.6 105.8 * * - *
3rd Quartile Price 102.8 104.6 105.9 * * - *
4th Quartile Price 102.8 104.6 105.9 * * - *
Avg. Price Top 5 Trades 102.8 104.7 105.9 107.4 * - *
Standard Deviation 0.1 - 0.1 0.1 * - *
     VOLUME OF TRADES (000'S) 1,230,850.0 765,560.0 208,000.0 74,500.0 * - *
     NUMBER OF TRADES 18 15 12 5 * - *
GNMA
AVERAGE PRICE 104.4 107.2 - - - - -
Weighted Avg. Price 104.4 107.2 - - - - -
Avg. Price Bottom 5 Trades 101.6 107.2 - - - - -
2nd Quartile Price 104.5 * - - - - -
3rd Quartile Price 104.5 * - - - - -
4th Quartile Price 104.5 * - - - - -
Avg. Price Top 5 Trades 104.7 107.2 - - - - -
Standard Deviation 0.7 - - - - - -
     VOLUME OF TRADES (000'S) 724,650.0 10,000.0 - - - - -
     NUMBER OF TRADES 111 6 - - - - -
* 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].