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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
<= 3.0 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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.7 95.1 96.6 98.4 99.9 100.9 101.8
Weighted Avg. Price 89.9 95.1 96.6 98.4 99.8 101.0 101.8
Avg. Price Bottom 5 Trades 86.3 95.0 96.5 98.3 99.7 100.8 101.7
2nd Quartile Price 88.8 95.0 96.6 98.3 99.8 100.9 101.6
3rd Quartile Price 91.3 95.1 96.6 98.4 99.9 100.9 101.8
4th Quartile Price 93.5 95.1 96.7 98.5 99.9 101.0 101.9
Avg. Price Top 5 Trades 93.6 95.2 96.7 98.5 100.0 101.0 101.9
Standard Deviation 2.4 0.1 0.1 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 2,081,451.0 312,995.5 59,684.3 157,660.3 218,570.5 78,665.5 55,630.6
     NUMBER OF TRADES 97 29 16 19 39 22 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 - - - - - - -
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 89.2 * * * 99.8 * *
Weighted Avg. Price 88.8 * * * 99.8 * *
Avg. Price Bottom 5 Trades 88.5 * * * 99.8 * *
2nd Quartile Price 88.8 * * * * * *
3rd Quartile Price 88.9 * * * * * *
4th Quartile Price 88.9 * * * * * *
Avg. Price Top 5 Trades 90.1 * * * 99.8 * *
Standard Deviation 1.7 * * * 0.1 * *
     VOLUME OF TRADES (000'S) 995,630.0 * * * 25,660.0 * *
     NUMBER OF TRADES 13 * * * 5 * *
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 - - * * 99.7 * *
Weighted Avg. Price - - * * 99.7 * *
Avg. Price Bottom 5 Trades - - * * 99.7 * *
2nd Quartile Price - - * * * * *
3rd Quartile Price - - * * * * *
4th Quartile Price - - * * * * *
Avg. Price Top 5 Trades - - * * 99.7 * *
Standard Deviation - - * * - * *
     VOLUME OF TRADES (000'S) - - * * 6,500.0 * *
     NUMBER OF TRADES - - * * 6 * *
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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - - * - 102.8
Weighted Avg. Price - - - - * - 102.5
Avg. Price Bottom 5 Trades - - - - * - 102.0
2nd Quartile Price - - - - * - 102.4
3rd Quartile Price - - - - * - 103.5
4th Quartile Price - - - - * - 103.7
Avg. Price Top 5 Trades - - - - * - 103.7
Standard Deviation - - - - * - 1.1
     VOLUME OF TRADES (000'S) - - - - * - 21,818.4
     NUMBER OF TRADES - - - - * - 9
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 84.5 90.2 93.0 95.5 98.0 99.9 101.9
Weighted Avg. Price 83.6 90.1 93.0 95.5 98.0 99.9 101.9
Avg. Price Bottom 5 Trades 80.7 90.0 92.8 95.3 97.6 99.6 100.3
2nd Quartile Price 81.0 90.1 93.0 95.5 97.9 99.9 101.1
3rd Quartile Price 84.3 90.2 93.0 95.6 98.0 99.9 102.0
4th Quartile Price 87.5 90.3 93.1 95.6 98.0 99.9 102.3
Avg. Price Top 5 Trades 87.6 90.4 93.2 95.7 98.1 100.5 106.6
Standard Deviation 2.7 0.1 0.1 0.1 0.1 0.2 1.1
     VOLUME OF TRADES (000'S) 4,056,676.0 1,445,947.9 437,948.0 809,000.6 2,854,514.8 2,332,368.5 7,924,648.2
     NUMBER OF TRADES 125 69 43 64 132 183 410
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.9 89.4 92.4 95.0 97.3 99.3 101.4
Weighted Avg. Price 82.2 89.4 92.4 95.0 97.3 99.2 101.5
Avg. Price Bottom 5 Trades 77.4 89.4 92.2 94.9 97.1 99.1 100.7
2nd Quartile Price 78.9 89.4 92.4 95.0 97.3 99.2 100.8
3rd Quartile Price 82.5 89.4 92.4 95.0 97.3 99.3 100.9
4th Quartile Price 85.9 89.5 92.5 95.0 97.3 99.3 102.2
Avg. Price Top 5 Trades 86.0 89.5 92.5 95.1 97.6 100.2 104.3
Standard Deviation 2.9 - 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 6,798,680.1 2,361,087.0 4,715,855.0 13,501,988.3 23,375,412.9 38,100,045.2 47,600,325.5
     NUMBER OF TRADES 379 146 164 275 734 1,070 1,035
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 84.6 90.2 93.0 95.5 97.9 99.8 101.5
Weighted Avg. Price 84.2 90.2 93.1 95.5 97.9 99.8 101.6
Avg. Price Bottom 5 Trades 80.7 90.0 92.8 95.3 97.7 99.6 100.8
2nd Quartile Price 81.0 90.1 93.0 95.5 97.9 99.7 101.0
3rd Quartile Price 84.4 90.3 93.0 95.5 97.9 99.8 101.1
4th Quartile Price 87.5 90.3 93.1 95.6 98.0 99.8 101.8
Avg. Price Top 5 Trades 88.8 90.4 93.2 95.7 98.2 100.4 103.1
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 7,643,599.6 3,319,716.7 2,385,626.9 9,075,211.6 3,858,020.2 6,324,176.1 12,764,862.4
     NUMBER OF TRADES 222 115 101 149 249 389 691
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.4 89.4 92.4 95.0 97.2 99.2 101.3
Weighted Avg. Price 81.8 89.4 92.4 95.0 97.2 99.1 101.5
Avg. Price Bottom 5 Trades 78.6 89.4 92.4 94.9 97.1 99.1 100.7
2nd Quartile Price 82.4 89.4 92.4 94.9 97.2 99.2 100.8
3rd Quartile Price 82.5 89.4 92.4 95.0 97.3 99.2 100.8
4th Quartile Price 85.9 89.5 92.4 95.0 97.3 99.2 102.2
Avg. Price Top 5 Trades 83.6 89.4 92.5 95.1 97.3 99.3 103.8
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 2,110,260.0 122,490.0 1,432,550.0 7,337,230.0 7,225,002.4 13,414,180.0 29,177,741.0
     NUMBER OF TRADES 22 7 14 45 75 150 269
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 86.6 90.3 93.1 95.5 97.8 99.6 101.1
Weighted Avg. Price 84.8 90.2 93.1 95.5 97.8 99.7 101.4
Avg. Price Bottom 5 Trades 86.6 90.3 93.1 95.5 97.7 99.5 100.7
2nd Quartile Price * 90.3 93.1 95.5 97.8 99.6 100.8
3rd Quartile Price * 90.3 93.1 95.5 97.8 99.6 100.8
4th Quartile Price * 90.3 93.1 95.6 97.9 99.7 101.6
Avg. Price Top 5 Trades 86.6 90.3 93.1 95.6 97.9 99.7 102.2
Standard Deviation 2.5 0.1 - 0.1 0.1 - 0.5
     VOLUME OF TRADES (000'S) 382,598.0 353,050.0 299,228.0 323,326.0 402,300.0 1,288,860.0 1,654,409.5
     NUMBER OF TRADES 7 12 13 29 53 150 145
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * * 94.9 97.2 99.0 101.4
Weighted Avg. Price - * * 94.9 97.2 99.1 101.2
Avg. Price Bottom 5 Trades - * * 94.9 97.1 98.9 100.6
2nd Quartile Price - * * 94.9 97.2 99.0 100.6
3rd Quartile Price - * * 94.9 97.2 99.0 100.7
4th Quartile Price - * * 94.9 97.2 99.1 102.1
Avg. Price Top 5 Trades - * * 94.9 97.2 99.1 103.2
Standard Deviation - * * 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) - * * 120,500.0 278,500.0 154,000.0 548,950.0
     NUMBER OF TRADES - * * 9 10 39 81
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].