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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 94.3 95.8 97.6 99.4 100.5 101.8
Weighted Avg. Price 91.1 94.3 95.6 97.5 99.4 100.5 101.7
Avg. Price Bottom 5 Trades 87.6 94.3 95.8 97.5 99.4 100.5 101.8
2nd Quartile Price 90.5 * 95.8 97.6 99.4 100.5 *
3rd Quartile Price 90.6 * 95.9 97.6 99.4 100.5 *
4th Quartile Price 92.8 * 95.9 97.7 99.4 100.6 *
Avg. Price Top 5 Trades 92.8 94.3 95.9 97.7 99.4 100.6 101.8
Standard Deviation 2.2 0.1 0.1 0.1 - 0.1 0.5
     VOLUME OF TRADES (000'S) 134,084.0 53,875.0 48,404.0 45,724.0 319,410.0 71,900.0 6,100.0
     NUMBER OF TRADES 20 8 7 11 29 9 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 - - - - - - -
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * * * 99.3 100.4 101.4
Weighted Avg. Price - * * * 99.3 100.4 101.5
Avg. Price Bottom 5 Trades - * * * 99.3 100.4 101.4
2nd Quartile Price - * * * 99.3 100.4 *
3rd Quartile Price - * * * 99.3 100.5 *
4th Quartile Price - * * * 99.3 100.5 *
Avg. Price Top 5 Trades - * * * 99.3 100.4 101.4
Standard Deviation - * * * - 0.1 0.1
     VOLUME OF TRADES (000'S) - * * * 153,000.0 58,800.0 20,800.0
     NUMBER OF TRADES - * * * 8 6 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 - - * - 99.2 * *
Weighted Avg. Price - - * - 99.2 * *
Avg. Price Bottom 5 Trades - - * - 99.2 * *
2nd Quartile Price - - * - * * *
3rd Quartile Price - - * - * * *
4th Quartile Price - - * - * * *
Avg. Price Top 5 Trades - - * - 99.2 * *
Standard Deviation - - * - 0.1 * *
     VOLUME OF TRADES (000'S) - - * - 26,600.0 * *
     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 - - - - - 99.6 101.8
Weighted Avg. Price - - - - - 98.8 101.9
Avg. Price Bottom 5 Trades - - - - - 99.1 101.4
2nd Quartile Price - - - - - 98.8 101.3
3rd Quartile Price - - - - - 99.2 102.4
4th Quartile Price - - - - - 101.3 103.5
Avg. Price Top 5 Trades - - - - - 99.8 102.0
Standard Deviation - - - - - 1.1 1.2
     VOLUME OF TRADES (000'S) - - - - - 56,127.4 66,046.7
     NUMBER OF TRADES - - - - - 8 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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.7 88.2 91.2 93.8 96.3 98.5 100.9
Weighted Avg. Price 82.4 88.2 91.1 93.9 96.3 98.5 101.1
Avg. Price Bottom 5 Trades 77.4 88.1 91.1 93.7 96.2 98.4 100.3
2nd Quartile Price 81.2 88.1 91.1 93.8 96.3 98.5 100.4
3rd Quartile Price 84.5 88.3 91.2 93.9 96.3 98.5 100.4
4th Quartile Price 84.7 88.3 91.2 93.9 96.4 98.6 102.0
Avg. Price Top 5 Trades 84.9 88.4 91.3 94.0 96.6 98.8 103.6
Standard Deviation 2.5 0.1 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 4,382,904.8 728,576.0 2,722,057.0 4,479,027.0 10,133,367.6 13,623,709.1 18,913,113.7
     NUMBER OF TRADES 139 43 114 184 366 524 660
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 84.2 89.2 91.9 94.4 97.0 99.1 101.1
Weighted Avg. Price 85.9 89.2 91.9 94.5 96.9 99.0 100.8
Avg. Price Bottom 5 Trades 79.0 89.2 91.8 94.3 96.6 99.0 100.5
2nd Quartile Price 83.2 89.2 91.9 94.4 96.9 99.0 100.6
3rd Quartile Price 86.4 89.3 92.0 94.4 96.9 99.1 100.6
4th Quartile Price 86.6 89.3 92.0 94.5 97.0 99.1 101.6
Avg. Price Top 5 Trades 86.7 89.3 92.0 94.5 97.9 99.8 104.0
Standard Deviation 2.8 0.1 0.1 0.1 0.3 0.2 0.8
     VOLUME OF TRADES (000'S) 4,756,097.5 280,286.8 283,928.3 1,946,977.2 1,406,798.9 2,532,674.8 2,664,563.3
     NUMBER OF TRADES 56 17 13 39 72 138 208
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.4 * 91.2 93.8 96.3 98.4 101.0
Weighted Avg. Price 82.1 * 91.1 93.8 96.3 98.4 101.2
Avg. Price Bottom 5 Trades 80.8 * 91.1 93.8 96.2 98.4 100.2
2nd Quartile Price 81.2 * 91.1 93.8 96.2 98.4 100.3
3rd Quartile Price 84.6 * 91.2 93.8 96.3 98.4 100.3
4th Quartile Price 84.7 * 91.3 93.9 96.4 98.5 101.9
Avg. Price Top 5 Trades 84.9 * 91.2 94.0 96.4 98.5 103.5
Standard Deviation 2.0 * 0.1 0.1 0.1 0.1 1.0
     VOLUME OF TRADES (000'S) 3,002,900.0 * 1,111,395.0 1,391,450.0 4,951,814.9 7,160,800.0 10,817,276.0
     NUMBER OF TRADES 27 * 12 26 55 102 228
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 84.2 * 92.0 94.4 96.9 98.9 100.8
Weighted Avg. Price 85.9 * 91.9 94.5 96.9 98.9 100.7
Avg. Price Bottom 5 Trades 82.5 * 92.0 94.3 96.8 98.9 100.4
2nd Quartile Price 83.3 * * 94.3 96.8 98.9 100.4
3rd Quartile Price 83.6 * * 94.4 96.9 98.9 100.5
4th Quartile Price 86.5 * * 94.5 96.9 99.0 101.5
Avg. Price Top 5 Trades 86.5 * 92.0 94.4 96.9 99.1 102.4
Standard Deviation 2.3 * 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 4,375,350.0 * 266,400.0 1,663,200.0 305,175.0 1,494,200.0 1,588,950.0
     NUMBER OF TRADES 17 * 5 7 21 65 156
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * * 93.7 96.1 98.3 100.7
Weighted Avg. Price - * * 93.7 96.1 98.3 100.8
Avg. Price Bottom 5 Trades - * * 93.7 96.1 98.2 100.0
2nd Quartile Price - * * 93.7 * 98.3 100.1
3rd Quartile Price - * * 93.7 * 98.3 100.1
4th Quartile Price - * * 93.8 * 98.3 101.8
Avg. Price Top 5 Trades - * * 93.7 96.1 98.4 102.7
Standard Deviation - * * - - - 1.0
     VOLUME OF TRADES (000'S) - * * 40,000.0 10,700.0 739,500.0 433,750.0
     NUMBER OF TRADES - * * 7 7 32 73
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 - * - 94.3 96.7 98.8 100.5
Weighted Avg. Price - * - 94.3 96.7 98.8 100.6
Avg. Price Bottom 5 Trades - * - 94.2 96.7 98.8 100.2
2nd Quartile Price - * - 94.2 96.7 98.8 100.3
3rd Quartile Price - * - 94.3 96.8 98.8 100.3
4th Quartile Price - * - 94.4 96.8 98.8 101.2
Avg. Price Top 5 Trades - * - 94.3 96.8 98.8 101.6
Standard Deviation - * - 0.1 - - 0.5
     VOLUME OF TRADES (000'S) - * - 59,900.0 58,800.0 261,900.0 417,950.0
     NUMBER OF TRADES - * - 7 12 38 59
* 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 Listor 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].