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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 89.2 93.8 95.3 97.2 99.0 100.4 101.5
Weighted Avg. Price 88.3 93.8 95.1 97.2 99.0 100.3 101.3
Avg. Price Bottom 5 Trades 84.9 93.6 95.0 96.9 98.8 100.1 101.2
2nd Quartile Price 87.6 93.8 95.1 97.0 98.9 100.2 101.3
3rd Quartile Price 90.1 93.8 95.2 97.2 99.0 100.4 101.5
4th Quartile Price 90.4 93.9 95.4 97.4 99.1 100.6 101.7
Avg. Price Top 5 Trades 92.7 94.1 95.5 97.4 99.3 100.6 102.0
Standard Deviation 2.4 0.2 0.2 0.2 0.1 0.2 0.3
     VOLUME OF TRADES (000'S) 4,481,989.8 384,739.9 671,832.2 328,742.1 1,371,355.2 421,874.8 318,502.0
     NUMBER OF TRADES 94 46 44 48 122 55 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 - - - - - - -
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 89.4 93.9 95.2 97.2 98.9 100.3 101.4
Weighted Avg. Price 88.4 93.8 95.1 97.2 98.9 100.2 101.2
Avg. Price Bottom 5 Trades 85.0 93.6 95.0 96.9 98.8 100.1 101.2
2nd Quartile Price 87.6 93.8 95.1 97.0 98.8 100.2 101.2
3rd Quartile Price 90.0 93.9 95.2 97.3 98.8 100.3 101.6
4th Quartile Price 92.2 94.0 95.3 97.4 98.9 100.4 101.7
Avg. Price Top 5 Trades 92.6 94.1 95.4 97.4 99.1 100.5 101.6
Standard Deviation 2.4 0.2 0.2 0.2 0.1 0.2 0.2
     VOLUME OF TRADES (000'S) 4,461,456.7 353,280.5 614,415.2 292,407.9 1,077,192.8 606,520.0 275,180.4
     NUMBER OF TRADES 105 24 25 31 86 28 11
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 - - * * 98.8 100.1 *
Weighted Avg. Price - - * * 98.8 100.1 *
Avg. Price Bottom 5 Trades - - * * 98.8 100.1 *
2nd Quartile Price - - * * * 100.1 *
3rd Quartile Price - - * * * 100.2 *
4th Quartile Price - - * * * 100.2 *
Avg. Price Top 5 Trades - - * * 98.8 100.2 *
Standard Deviation - - * * 0.1 0.1 *
     VOLUME OF TRADES (000'S) - - * * 65,750.0 278,750.0 *
     NUMBER OF TRADES - - * * 8 11 *
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 80.2 87.4 90.1 92.9 95.4 97.9 101.2
Weighted Avg. Price 81.6 87.3 90.1 93.0 95.4 97.8 101.3
Avg. Price Bottom 5 Trades 72.4 86.9 89.8 92.6 95.1 97.7 99.8
2nd Quartile Price 76.6 87.0 90.0 92.8 95.3 97.7 99.9
3rd Quartile Price 80.3 87.1 90.1 92.9 95.4 97.8 101.8
4th Quartile Price 83.6 87.3 90.2 92.9 95.5 97.9 102.0
Avg. Price Top 5 Trades 84.3 89.4 90.6 93.4 95.9 100.0 104.9
Standard Deviation 3.6 0.8 0.1 0.2 0.2 0.4 1.4
     VOLUME OF TRADES (000'S) 10,546,220.8 4,023,924.8 6,975,899.9 9,861,292.5 10,152,326.0 24,925,132.5 23,531,409.5
     NUMBER OF TRADES 283 95 165 183 191 359 630
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 82.6 88.0 90.7 93.2 95.9 98.5 101.6
Weighted Avg. Price 82.5 87.8 90.8 93.2 96.1 98.5 101.3
Avg. Price Bottom 5 Trades 78.7 87.7 90.3 93.0 95.5 98.1 100.2
2nd Quartile Price 79.5 87.8 90.5 93.1 95.9 98.4 100.4
3rd Quartile Price 82.3 88.0 90.6 93.2 95.9 98.4 101.5
4th Quartile Price 85.5 88.1 90.8 93.4 96.0 98.5 101.9
Avg. Price Top 5 Trades 86.0 88.5 91.1 93.6 96.3 99.1 107.1
Standard Deviation 2.7 0.3 0.3 0.2 0.2 0.2 1.5
     VOLUME OF TRADES (000'S) 7,919,462.1 2,290,232.0 1,325,927.9 6,056,224.6 2,903,860.8 5,679,967.2 12,259,559.8
     NUMBER OF TRADES 90 39 34 57 84 179 531
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 80.5 87.1 90.0 92.7 95.3 97.7 100.8
Weighted Avg. Price 80.5 87.2 89.9 92.8 95.3 97.7 100.8
Avg. Price Bottom 5 Trades 72.4 86.8 89.7 92.5 95.0 97.4 99.5
2nd Quartile Price 77.2 86.9 89.9 92.6 95.2 97.6 99.8
3rd Quartile Price 80.2 87.0 90.0 92.7 95.3 97.6 99.9
4th Quartile Price 83.6 87.1 90.0 92.8 95.3 97.7 101.8
Avg. Price Top 5 Trades 84.2 89.2 90.5 94.3 95.9 98.2 105.0
Standard Deviation 3.2 0.6 0.1 0.4 0.1 0.1 1.3
     VOLUME OF TRADES (000'S) 19,297,561.5 6,309,873.6 10,989,856.6 16,527,450.9 24,895,881.6 64,445,028.1 80,442,554.3
     NUMBER OF TRADES 610 232 356 427 660 1,258 2,560
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 82.3 88.0 90.6 93.2 95.9 98.3 100.8
Weighted Avg. Price 83.5 87.9 90.8 93.3 96.0 98.4 100.9
Avg. Price Bottom 5 Trades 78.7 87.8 90.3 93.0 95.7 98.1 100.0
2nd Quartile Price 78.9 87.8 90.4 93.1 95.8 98.2 100.1
3rd Quartile Price 82.2 88.0 90.5 93.2 95.8 98.3 100.3
4th Quartile Price 85.4 88.1 90.7 93.3 95.9 98.4 101.5
Avg. Price Top 5 Trades 85.9 88.2 91.1 93.6 96.3 98.7 103.0
Standard Deviation 2.7 0.2 0.3 0.2 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 6,060,338.0 795,165.0 1,691,229.0 2,601,600.0 3,176,761.8 6,879,716.8 14,639,422.2
     NUMBER OF TRADES 111 38 39 46 73 212 632
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 79.4 * 89.8 92.6 95.1 97.5 100.8
Weighted Avg. Price 76.5 * 89.9 92.6 95.1 97.5 100.5
Avg. Price Bottom 5 Trades 79.4 * 89.8 92.5 95.0 97.3 99.4
2nd Quartile Price * * * 92.5 95.0 97.4 99.5
3rd Quartile Price * * * 92.5 95.1 97.4 100.0
4th Quartile Price * * * 92.6 95.2 97.5 101.5
Avg. Price Top 5 Trades 79.4 * 89.8 92.8 95.4 97.7 103.7
Standard Deviation 3.0 * 0.1 0.2 0.2 0.1 1.4
     VOLUME OF TRADES (000'S) 3,821,619.8 * 507,000.0 326,880.0 1,317,558.1 12,478,074.4 17,084,701.3
     NUMBER OF TRADES 5 * 5 16 39 104 727
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 - * * 93.0 95.7 98.1 100.3
Weighted Avg. Price - * * 93.0 95.8 98.1 100.2
Avg. Price Bottom 5 Trades - * * 92.9 95.6 97.9 99.8
2nd Quartile Price - * * 93.0 95.6 98.0 99.9
3rd Quartile Price - * * 93.0 95.7 98.1 100.0
4th Quartile Price - * * 93.1 95.8 98.2 101.1
Avg. Price Top 5 Trades - * * 93.1 95.8 98.3 102.1
Standard Deviation - * * 0.1 0.1 0.2 0.6
     VOLUME OF TRADES (000'S) - * * 49,100.0 89,500.0 186,350.0 2,550,100.0
     NUMBER OF TRADES - * * 13 17 39 159
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].