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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

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

FEBRUARY Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	97.9	99.9	101.5	103.4	105.5	*	-
Weighted Avg. Price	97.9	99.8	101.5	103.1	104.0	*	-
Avg. Price Bottom 5 Trades	97.8	99.8	101.5	102.9	103.9	*	-
2nd Quartile Price	97.9	99.8	101.5	102.9	105.9	*	-
3rd Quartile Price	97.9	99.9	101.5	103.0	106.1	*	-
4th Quartile Price	97.9	99.9	101.6	104.8	106.1	*	-
Avg. Price Top 5 Trades	98.0	100.1	101.6	104.0	105.9	*	-
Standard Deviation	0.1	0.1	-	0.8	1.0	*	-
VOLUME OF TRADES (000'S)	1,875,811.6	3,050,513.9	758,408.9	72,374.0	73,116.1	*	-
NUMBER OF TRADES	143	227	132	24	23	*	-
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
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	97.7	99.7	101.4	*	*	*	-
Weighted Avg. Price	97.7	99.6	101.4	*	*	*	-
Avg. Price Bottom 5 Trades	97.7	99.6	101.3	*	*	*	-
2nd Quartile Price	97.7	99.6	101.3	*	*	*	-
3rd Quartile Price	97.7	99.6	101.3	*	*	*	-
4th Quartile Price	97.7	99.7	101.4	*	*	*	-
Avg. Price Top 5 Trades	97.7	99.8	101.5	*	*	*	-
Standard Deviation	-	0.1	0.1	*	*	*	-
VOLUME OF TRADES (000'S)	1,112,000.0	1,738,390.0	711,547.0	*	*	*	-
NUMBER OF TRADES	48	76	41	*	*	*	-
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
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	97.5	99.5	101.1	*	*	-	-
Weighted Avg. Price	97.5	99.5	101.1	*	*	-	-
Avg. Price Bottom 5 Trades	97.5	99.4	101.1	*	*	-	-
2nd Quartile Price	97.5	99.5	101.1	*	*	-	-
3rd Quartile Price	97.5	99.5	101.1	*	*	-	-
4th Quartile Price	97.6	99.5	101.1	*	*	-	-
Avg. Price Top 5 Trades	97.6	99.5	101.2	*	*	-	-
Standard Deviation	-	-	-	*	*	-	-
VOLUME OF TRADES (000'S)	149,300.0	176,500.0	157,125.0	*	*	-	-
NUMBER OF TRADES	16	26	36	*	*	-	-
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	-	-	-	-	-	-	-

MAY Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
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

FEBRUARY Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	93.7	96.5	99.1	101.5	103.7	105.5	107.2
Weighted Avg. Price	93.6	96.5	99.1	101.4	103.7	105.5	107.8
Avg. Price Bottom 5 Trades	93.5	96.4	98.9	101.3	103.5	105.4	106.4
2nd Quartile Price	93.6	96.5	99.0	101.4	103.7	105.4	106.5
3rd Quartile Price	93.7	96.5	99.1	101.5	103.7	105.5	106.6
4th Quartile Price	93.7	96.5	99.1	101.5	103.8	105.5	108.3
Avg. Price Top 5 Trades	93.9	97.8	100.5	103.7	103.9	105.5	108.6
Standard Deviation	0.1	0.1	0.1	0.3	0.1	-	0.9
VOLUME OF TRADES (000'S)	2,257,399.6	31,750,011.6	44,198,078.5	33,294,342.1	4,829,140.7	2,181,117.4	1,101,208.7
NUMBER OF TRADES	76	824	1,497	1,079	328	85	60
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	*	97.8	99.9	101.8	103.4	104.4	105.5
Weighted Avg. Price	*	97.8	99.9	101.7	103.2	104.5	105.2
Avg. Price Bottom 5 Trades	*	97.8	99.5	100.9	103.0	104.3	104.9
2nd Quartile Price	*	97.8	99.9	101.7	103.1	104.4	105.0
3rd Quartile Price	*	97.8	99.9	101.7	103.2	104.5	105.4
4th Quartile Price	*	97.9	99.9	101.8	103.2	104.5	106.9
Avg. Price Top 5 Trades	*	97.9	100.1	102.9	105.0	104.6	106.1
Standard Deviation	*	-	0.2	0.3	0.5	0.2	0.8
VOLUME OF TRADES (000'S)	*	6,294,173.7	9,062,101.7	10,995,696.8	2,697,402.1	508,281.9	41,679.0
NUMBER OF TRADES	*	172	223	291	139	31	11

MARCH Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	93.5	96.3	98.8	101.2	103.4	105.4	107.2
Weighted Avg. Price	93.4	96.3	98.8	101.2	103.4	105.3	107.7
Avg. Price Bottom 5 Trades	93.3	96.2	98.7	101.0	103.3	105.3	106.4
2nd Quartile Price	93.4	96.3	98.8	101.1	103.4	105.3	106.4
3rd Quartile Price	93.5	96.3	98.8	101.2	103.4	105.4	106.5
4th Quartile Price	93.5	96.4	98.9	101.2	103.4	105.4	108.1
Avg. Price Top 5 Trades	93.6	96.4	99.6	101.3	103.4	105.4	108.6
Standard Deviation	0.1	-	0.1	-	-	-	0.9
VOLUME OF TRADES (000'S)	1,283,251.0	23,466,533.1	28,029,812.2	41,957,052.9	5,817,070.6	1,869,007.9	1,092,028.3
NUMBER OF TRADES	42	278	458	610	184	44	48
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	94.1	97.7	99.7	101.5	103.0	104.2	105.1
Weighted Avg. Price	94.1	97.7	99.7	101.5	102.9	104.2	105.2
Avg. Price Bottom 5 Trades	94.1	97.6	99.6	101.1	102.8	104.2	105.1
2nd Quartile Price	*	97.6	99.7	101.5	102.9	104.2	*
3rd Quartile Price	*	97.7	99.7	101.5	102.9	104.3	*
4th Quartile Price	*	97.7	99.7	101.5	102.9	104.3	*
Avg. Price Top 5 Trades	94.1	97.7	99.8	102.1	104.2	104.3	105.1
Standard Deviation	0.1	-	-	0.2	0.4	0.1	0.3
VOLUME OF TRADES (000'S)	59,000.0	4,527,455.0	6,724,556.0	9,736,457.0	2,191,577.9	386,560.0	29,385.0
NUMBER OF TRADES	5	61	72	131	75	16	5

APRIL Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
UMBS
AVERAGE PRICE	*	96.2	98.6	100.9	103.2	105.2	*
Weighted Avg. Price	*	96.2	98.6	100.9	103.2	105.2	*
Avg. Price Bottom 5 Trades	*	96.1	98.5	100.8	103.1	105.1	*
2nd Quartile Price	*	96.2	98.6	100.9	103.1	105.1	*
3rd Quartile Price	*	96.2	98.6	100.9	103.2	105.2	*
4th Quartile Price	*	96.2	98.7	101.0	103.2	105.2	*
Avg. Price Top 5 Trades	*	96.2	98.7	101.2	103.9	105.2	*
Standard Deviation	*	-	0.1	0.1	0.2	-	*
VOLUME OF TRADES (000'S)	*	1,469,000.0	1,943,426.3	12,821,935.0	2,348,355.0	179,348.8	*
NUMBER OF TRADES	*	29	137	486	160	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	-	97.5	99.5	101.3	102.6	103.9	-
Weighted Avg. Price	-	97.5	99.5	101.3	102.6	103.9	-
Avg. Price Bottom 5 Trades	-	97.5	99.4	101.2	102.5	103.8	-
2nd Quartile Price	-	97.5	99.5	101.2	102.6	103.8	-
3rd Quartile Price	-	97.5	99.5	101.3	102.6	103.9	-
4th Quartile Price	-	97.5	99.5	101.3	102.6	104.0	-
Avg. Price Top 5 Trades	-	97.5	99.5	101.3	102.8	104.0	-
Standard Deviation	-	-	-	-	0.1	0.1	-
VOLUME OF TRADES (000'S)	-	558,600.0	460,000.0	1,030,700.0	296,010.0	16,850.0	-
NUMBER OF TRADES	-	12	40	144	47	10	-

MAY Settlement

METRIC	COUPON
	<= 1.5	2	2.5	3	3.5	4	> 4
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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