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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 89.8 94.2 95.7 97.5 99.3 100.6 101.5
Weighted Avg. Price 89.8 94.2 95.7 97.5 99.3 100.6 101.6
Avg. Price Bottom 5 Trades 87.5 94.2 95.6 97.4 99.1 100.4 101.5
2nd Quartile Price 88.1 94.2 95.6 97.5 99.3 100.5 101.5
3rd Quartile Price 90.5 94.2 95.6 97.5 99.3 100.6 101.6
4th Quartile Price 90.8 94.2 95.8 97.6 99.3 100.8 101.6
Avg. Price Top 5 Trades 92.9 94.2 95.8 97.6 99.5 100.8 101.6
Standard Deviation 1.9 - 0.1 0.1 0.1 0.2 0.1
     VOLUME OF TRADES (000'S) 3,607,568.0 133,511.0 252,538.0 510,474.0 726,770.0 699,062.0 117,856.0
     NUMBER OF TRADES 114 17 32 42 69 23 8
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 89.7 * 95.8 97.5 99.3 100.5 101.5
Weighted Avg. Price 89.9 * 95.8 97.5 99.2 100.5 101.6
Avg. Price Bottom 5 Trades 88.1 * 95.8 97.4 99.2 100.4 101.5
2nd Quartile Price 88.3 * 95.8 97.4 99.2 100.5 *
3rd Quartile Price 90.5 * 95.8 97.5 99.3 100.5 *
4th Quartile Price 90.7 * 95.8 97.6 99.4 100.7 *
Avg. Price Top 5 Trades 91.5 * 95.8 97.5 99.4 100.7 101.5
Standard Deviation 1.5 * 0.1 0.1 0.1 0.2 0.1
     VOLUME OF TRADES (000'S) 3,217,726.0 * 128,525.0 249,000.0 932,654.0 762,085.0 121,349.0
     NUMBER OF TRADES 57 * 10 13 21 14 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 - - - - - - -
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - * * 99.1 100.4 -
Weighted Avg. Price - - * * 99.1 100.4 -
Avg. Price Bottom 5 Trades - - * * 99.1 100.4 -
2nd Quartile Price - - * * * * -
3rd Quartile Price - - * * * * -
4th Quartile Price - - * * * * -
Avg. Price Top 5 Trades - - * * 99.1 100.4 -
Standard Deviation - - * * - - -
     VOLUME OF TRADES (000'S) - - * * 514,000.0 532,500.0 -
     NUMBER OF TRADES - - * * 6 10 -
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 80.5 87.7 90.7 93.4 96.0 98.3 101.2
Weighted Avg. Price 80.5 87.7 90.7 93.5 96.0 98.3 101.2
Avg. Price Bottom 5 Trades 73.5 87.4 90.5 93.3 95.7 97.9 100.1
2nd Quartile Price 77.2 87.6 90.6 93.4 95.9 98.2 100.3
3rd Quartile Price 80.8 87.7 90.6 93.4 95.9 98.2 100.3
4th Quartile Price 84.2 87.9 90.7 93.5 96.0 98.3 102.2
Avg. Price Top 5 Trades 84.6 88.1 91.0 94.2 97.4 99.8 105.1
Standard Deviation 3.0 0.1 0.1 0.1 0.2 0.2 1.2
     VOLUME OF TRADES (000'S) 38,877,582.0 13,241,544.4 14,042,733.3 21,858,362.3 42,090,038.6 58,430,696.1 75,433,232.4
     NUMBER OF TRADES 1,010 344 342 496 786 1,444 2,062
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 83.3 88.5 91.3 93.9 96.5 98.8 101.3
Weighted Avg. Price 83.5 88.7 91.4 93.9 96.6 98.8 101.2
Avg. Price Bottom 5 Trades 79.2 88.4 91.0 93.8 96.1 98.5 100.4
2nd Quartile Price 79.4 88.5 91.2 93.8 96.5 98.8 100.6
3rd Quartile Price 83.0 88.5 91.3 93.9 96.5 98.8 100.7
4th Quartile Price 86.0 88.6 91.3 93.9 96.6 98.9 101.8
Avg. Price Top 5 Trades 86.3 88.7 91.7 94.2 96.9 99.6 105.0
Standard Deviation 2.8 0.1 0.2 0.1 0.2 0.2 0.9
     VOLUME OF TRADES (000'S) 9,999,208.1 2,159,411.0 6,000,085.8 4,410,191.2 4,783,142.7 10,344,508.8 13,519,509.6
     NUMBER OF TRADES 172 75 79 86 155 356 614
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 80.6 87.7 90.6 93.4 95.9 98.2 101.1
Weighted Avg. Price 80.8 87.7 90.7 93.4 95.9 98.2 100.9
Avg. Price Bottom 5 Trades 73.5 87.4 90.4 93.3 95.5 97.8 100.1
2nd Quartile Price 77.2 87.6 90.6 93.3 95.9 98.1 100.1
3rd Quartile Price 80.7 87.7 90.6 93.4 95.9 98.2 100.2
4th Quartile Price 84.2 87.9 90.7 93.4 95.9 98.2 102.0
Avg. Price Top 5 Trades 84.5 88.0 91.0 93.7 96.2 98.4 104.1
Standard Deviation 3.1 0.2 0.1 0.1 0.1 0.1 1.2
     VOLUME OF TRADES (000'S) 28,356,042.8 10,086,618.9 9,983,646.0 19,121,713.2 33,230,844.0 38,959,224.1 63,890,279.6
     NUMBER OF TRADES 445 127 155 211 284 475 908
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 83.5 88.6 91.3 93.9 96.5 98.7 101.0
Weighted Avg. Price 83.5 88.8 91.4 93.9 96.5 98.7 101.0
Avg. Price Bottom 5 Trades 79.2 88.5 91.1 93.8 96.3 98.6 100.3
2nd Quartile Price 82.7 88.5 91.3 93.8 96.4 98.7 100.4
3rd Quartile Price 83.0 88.5 91.3 93.9 96.5 98.7 100.5
4th Quartile Price 85.9 88.6 91.3 93.9 96.5 98.7 101.6
Avg. Price Top 5 Trades 86.2 88.7 91.5 94.0 96.7 98.9 102.7
Standard Deviation 2.7 0.1 0.2 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 7,094,675.3 1,515,929.0 3,992,449.0 3,294,440.0 2,463,329.0 7,149,075.8 7,790,838.9
     NUMBER OF TRADES 59 30 25 41 70 155 336
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * * 93.3 95.8 98.0 100.9
Weighted Avg. Price - * * 93.3 95.8 98.0 100.5
Avg. Price Bottom 5 Trades - * * 93.2 95.7 97.9 99.9
2nd Quartile Price - * * 93.2 95.8 98.0 100.0
3rd Quartile Price - * * 93.3 95.8 98.0 100.1
4th Quartile Price - * * 93.4 95.8 98.1 101.8
Avg. Price Top 5 Trades - * * 93.4 95.9 98.2 103.7
Standard Deviation - * * 0.1 0.1 0.1 1.1
     VOLUME OF TRADES (000'S) - * * 35,980.0 140,920.0 840,300.0 15,022,549.0
     NUMBER OF TRADES - * * 11 19 86 358
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 * * * 93.8 96.3 98.5 100.7
Weighted Avg. Price * * * 93.8 96.3 98.6 101.1
Avg. Price Bottom 5 Trades * * * 93.8 96.2 98.5 100.1
2nd Quartile Price * * * * 96.3 98.5 100.2
3rd Quartile Price * * * * 96.3 98.5 100.3
4th Quartile Price * * * * 96.4 98.6 101.4
Avg. Price Top 5 Trades * * * 93.8 96.4 98.7 102.4
Standard Deviation * * * - 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) * * * 123,000.0 109,250.0 512,500.0 1,643,100.0
     NUMBER OF TRADES * * * 7 16 58 154
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].