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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

JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.3 94.6 96.0 97.8 99.5 100.7 101.7
Weighted Avg. Price 90.4 94.6 96.0 97.7 99.4 100.8 101.6
Avg. Price Bottom 5 Trades 86.3 94.6 96.0 97.7 99.3 100.5 101.7
2nd Quartile Price 88.4 94.6 96.0 97.8 99.5 100.6 *
3rd Quartile Price 90.9 94.7 96.0 97.8 99.5 100.7 *
4th Quartile Price 91.0 94.7 96.1 97.9 99.5 100.8 *
Avg. Price Top 5 Trades 93.2 94.7 96.1 97.9 99.7 100.8 101.7
Standard Deviation 2.1 - 0.1 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 516,759.0 9,321.0 26,226.0 495,797.9 597,510.7 485,050.0 21,550.0
     NUMBER OF TRADES 100 11 16 35 54 28 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 - - - - - - -
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.4 - * 97.7 99.4 100.6 101.6
Weighted Avg. Price 90.9 - * 97.7 99.3 100.7 101.5
Avg. Price Bottom 5 Trades 87.5 - * 97.7 99.3 100.5 101.5
2nd Quartile Price 90.8 - * * 99.4 100.5 101.5
3rd Quartile Price 91.0 - * * 99.4 100.7 101.5
4th Quartile Price 91.1 - * * 99.5 100.7 101.6
Avg. Price Top 5 Trades 92.0 - * 97.7 99.5 100.7 101.6
Standard Deviation 2.0 - * 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 352,726.0 - * 354,388.9 379,550.0 422,000.0 79,000.0
     NUMBER OF TRADES 22 - * 5 15 14 7
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 - - * * 99.3 * *
Weighted Avg. Price - - * * 99.3 * *
Avg. Price Bottom 5 Trades - - * * 99.2 * *
2nd Quartile Price - - * * 99.3 * *
3rd Quartile Price - - * * 99.3 * *
4th Quartile Price - - * * 99.3 * *
Avg. Price Top 5 Trades - - * * 99.3 * *
Standard Deviation - - * * - * *
     VOLUME OF TRADES (000'S) - - * * 18,500.0 * *
     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 - - - - - - -
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
<= 3.0 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 - - - - - - -

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

JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.2 88.5 91.4 94.1 96.5 98.7 101.4
Weighted Avg. Price 82.8 88.5 91.4 94.2 96.5 98.7 101.7
Avg. Price Bottom 5 Trades 76.4 88.2 91.2 93.8 96.3 98.5 100.4
2nd Quartile Price 81.3 88.4 91.4 94.0 96.4 98.6 100.5
3rd Quartile Price 81.6 88.5 91.4 94.1 96.5 98.6 100.6
4th Quartile Price 84.9 88.6 91.6 94.2 96.6 98.8 102.2
Avg. Price Top 5 Trades 85.2 88.7 91.6 94.4 97.0 98.9 103.8
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 1.1
     VOLUME OF TRADES (000'S) 15,188,168.5 5,876,651.6 6,416,053.9 13,977,089.9 29,828,939.0 38,247,849.9 72,192,126.8
     NUMBER OF TRADES 516 216 213 271 723 1,173 1,684
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 83.1 89.4 92.2 94.6 97.1 99.2 101.4
Weighted Avg. Price 82.4 89.4 92.2 94.6 97.1 99.2 100.9
Avg. Price Bottom 5 Trades 79.9 89.2 92.0 94.3 96.9 99.0 100.5
2nd Quartile Price 80.0 89.3 92.1 94.5 97.0 99.1 100.6
3rd Quartile Price 83.4 89.4 92.2 94.6 97.0 99.2 100.9
4th Quartile Price 86.7 89.5 92.3 94.6 97.2 99.3 101.8
Avg. Price Top 5 Trades 87.0 89.6 92.4 94.8 97.4 100.5 105.2
Standard Deviation 3.0 0.1 0.1 0.1 0.1 0.2 1.0
     VOLUME OF TRADES (000'S) 1,814,536.1 552,500.6 4,146,845.1 2,071,030.8 2,222,782.0 5,935,367.4 9,854,450.5
     NUMBER OF TRADES 88 34 47 82 136 332 497
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.7 88.4 91.4 94.1 96.5 98.6 101.4
Weighted Avg. Price 83.0 88.4 91.4 94.2 96.5 98.6 102.1
Avg. Price Bottom 5 Trades 77.7 88.3 91.3 93.8 96.3 98.4 100.3
2nd Quartile Price 81.4 88.4 91.3 94.0 96.4 98.5 100.4
3rd Quartile Price 84.8 88.4 91.4 94.0 96.5 98.6 100.6
4th Quartile Price 84.9 88.5 91.4 94.2 96.6 98.7 102.1
Avg. Price Top 5 Trades 85.2 88.7 91.6 94.3 96.7 99.1 103.8
Standard Deviation 2.6 0.1 0.1 0.1 0.1 0.1 1.2
     VOLUME OF TRADES (000'S) 10,520,325.7 3,245,134.0 4,013,983.7 10,634,090.4 22,254,259.7 25,391,791.0 115,071,514.3
     NUMBER OF TRADES 175 59 86 69 135 237 624
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 83.0 89.4 92.3 94.6 97.0 99.0 100.8
Weighted Avg. Price 82.8 89.3 92.3 94.6 97.0 99.1 100.7
Avg. Price Bottom 5 Trades 80.0 89.2 92.1 94.4 96.9 98.9 100.4
2nd Quartile Price 80.0 89.3 92.2 94.5 96.9 99.0 100.4
3rd Quartile Price 83.5 89.4 92.3 94.6 97.0 99.0 100.5
4th Quartile Price 86.7 89.5 92.3 94.7 97.0 99.1 101.5
Avg. Price Top 5 Trades 86.9 89.5 92.3 94.7 97.2 99.3 102.5
Standard Deviation 3.0 0.2 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 923,765.0 309,415.0 3,773,228.0 1,392,158.0 493,647.0 2,453,805.0 7,331,408.9
     NUMBER OF TRADES 31 16 24 26 36 99 201
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * 91.3 94.0 96.4 98.4 101.0
Weighted Avg. Price - * 91.3 93.9 96.4 98.5 102.3
Avg. Price Bottom 5 Trades - * 91.3 93.9 96.2 98.3 100.1
2nd Quartile Price - * * 93.9 96.3 98.4 100.2
3rd Quartile Price - * * 93.9 96.3 98.4 100.3
4th Quartile Price - * * 94.2 96.5 98.5 101.9
Avg. Price Top 5 Trades - * 91.3 94.1 96.5 98.6 103.6
Standard Deviation - * 0.1 0.1 0.1 0.1 1.0
     VOLUME OF TRADES (000'S) - * 68,500.0 105,000.0 167,250.0 439,750.0 63,000,752.0
     NUMBER OF TRADES - * 5 12 17 57 211
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 * 89.3 * 94.4 96.8 98.9 100.6
Weighted Avg. Price * 89.3 * 94.5 96.8 98.9 100.5
Avg. Price Bottom 5 Trades * 89.3 * 94.4 96.8 98.8 100.2
2nd Quartile Price * * * 94.4 96.8 98.8 100.3
3rd Quartile Price * * * 94.5 96.8 98.9 100.3
4th Quartile Price * * * 94.5 96.8 98.9 100.4
Avg. Price Top 5 Trades * 89.3 * 94.5 96.9 99.0 102.1
Standard Deviation * - * 0.1 - 0.1 0.6
     VOLUME OF TRADES (000'S) * 48,000.0 * 122,000.0 90,000.0 473,000.0 552,150.0
     NUMBER OF TRADES * 5 * 14 22 70 97
APRIL 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 - - - - - - -
* 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].