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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

FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.3 94.8 96.2 98.0 99.8 100.9 102.0
Weighted Avg. Price 89.5 94.8 96.2 98.0 99.8 100.9 102.0
Avg. Price Bottom 5 Trades 86.6 94.8 96.1 97.9 99.8 100.8 102.0
2nd Quartile Price 89.0 94.8 96.1 98.0 99.8 100.9 102.0
3rd Quartile Price 91.1 94.8 96.1 98.0 99.9 100.9 102.0
4th Quartile Price 91.3 94.8 96.2 98.0 99.9 101.0 102.1
Avg. Price Top 5 Trades 93.5 94.8 96.2 98.1 99.9 101.1 102.1
Standard Deviation 2.0 - 0.1 0.1 - 0.1 0.2
     VOLUME OF TRADES (000'S) 1,605,662.3 253,800.0 483,500.0 694,050.0 452,917.5 240,350.0 6,250.0
     NUMBER OF TRADES 55 27 28 53 46 31 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 90.4 94.8 96.1 98.0 99.7 100.8 102.0
Weighted Avg. Price 89.3 94.8 96.1 98.0 99.7 100.8 102.0
Avg. Price Bottom 5 Trades 87.3 94.7 96.1 97.9 99.7 100.7 102.0
2nd Quartile Price 89.0 94.7 96.1 98.0 99.7 100.8 102.0
3rd Quartile Price 91.1 94.7 96.1 98.0 99.7 100.8 102.0
4th Quartile Price 91.2 94.8 96.1 98.0 99.8 100.8 102.2
Avg. Price Top 5 Trades 93.4 94.8 96.2 98.1 99.8 100.9 102.0
Standard Deviation 1.8 - - 0.1 - 0.1 0.1
     VOLUME OF TRADES (000'S) 1,533,074.0 183,035.0 387,580.0 727,526.0 504,100.0 213,650.0 18,847.0
     NUMBER OF TRADES 54 25 20 47 28 20 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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - - 99.6 100.7 -
Weighted Avg. Price - - - - 99.5 100.7 -
Avg. Price Bottom 5 Trades - - - - 99.6 100.7 -
2nd Quartile Price - - - - * 100.7 -
3rd Quartile Price - - - - * 100.8 -
4th Quartile Price - - - - * 100.8 -
Avg. Price Top 5 Trades - - - - 99.6 100.7 -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - 113,500.0 10,500.0 -
     NUMBER OF TRADES - - - - 6 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 - - - - - - -
MAY 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

FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.1 88.8 91.7 94.4 96.8 99.0 102.2
Weighted Avg. Price 81.8 88.8 91.7 94.4 96.8 99.0 101.7
Avg. Price Bottom 5 Trades 73.8 88.6 91.6 94.2 96.6 98.9 100.8
2nd Quartile Price 78.2 88.7 91.7 94.4 96.8 98.9 100.8
3rd Quartile Price 81.8 88.7 91.7 94.4 96.8 99.0 102.5
4th Quartile Price 85.3 88.8 91.8 94.4 96.9 99.0 102.6
Avg. Price Top 5 Trades 85.5 89.6 92.0 94.5 97.2 101.2 105.9
Standard Deviation 3.0 0.2 0.1 0.1 0.1 0.2 1.5
     VOLUME OF TRADES (000'S) 28,124,128.6 10,290,451.3 8,872,113.0 16,779,146.2 39,854,120.0 42,498,067.6 57,301,637.0
     NUMBER OF TRADES 606 201 230 442 815 951 1,922
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 84.1 90.0 92.4 94.8 97.4 99.5 101.5
Weighted Avg. Price 85.2 90.1 92.5 94.8 97.4 99.5 101.2
Avg. Price Bottom 5 Trades 80.2 89.9 92.3 94.7 97.3 99.4 100.7
2nd Quartile Price 80.4 89.9 92.3 94.8 97.3 99.5 100.9
3rd Quartile Price 84.1 90.0 92.4 94.8 97.4 99.5 101.0
4th Quartile Price 87.4 90.1 92.4 94.8 97.4 99.5 101.9
Avg. Price Top 5 Trades 87.6 90.1 92.6 95.0 97.7 100.1 103.5
Standard Deviation 2.9 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 9,883,122.0 1,625,160.0 2,484,120.5 4,057,795.3 3,982,474.8 6,605,529.5 14,650,192.8
     NUMBER OF TRADES 111 50 35 81 112 240 395
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 81.8 88.7 91.7 94.3 96.8 98.9 101.8
Weighted Avg. Price 81.8 88.7 91.7 94.3 96.7 98.8 101.4
Avg. Price Bottom 5 Trades 73.8 88.6 91.4 94.1 96.6 98.8 100.6
2nd Quartile Price 78.2 88.7 91.7 94.3 96.7 98.8 100.7
3rd Quartile Price 81.8 88.7 91.7 94.3 96.8 98.9 101.2
4th Quartile Price 85.3 88.8 91.7 94.4 96.8 98.9 102.4
Avg. Price Top 5 Trades 85.4 88.9 91.9 94.5 97.1 99.1 105.1
Standard Deviation 3.1 0.1 0.1 0.1 0.1 0.1 1.3
     VOLUME OF TRADES (000'S) 25,715,075.1 8,906,029.3 7,962,946.4 15,112,142.4 35,686,157.2 37,930,517.3 51,340,906.5
     NUMBER OF TRADES 463 136 147 257 329 408 1,112
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 83.8 90.0 92.4 94.8 97.3 99.4 101.2
Weighted Avg. Price 85.8 90.1 92.4 94.7 97.3 99.4 101.0
Avg. Price Bottom 5 Trades 80.2 89.9 92.3 94.6 97.2 99.3 100.6
2nd Quartile Price 80.4 89.9 92.3 94.7 97.3 99.3 100.7
3rd Quartile Price 84.0 90.0 92.4 94.8 97.3 99.4 100.8
4th Quartile Price 87.2 90.1 92.4 94.8 97.3 99.4 101.7
Avg. Price Top 5 Trades 87.5 90.2 92.5 94.9 97.4 100.2 103.2
Standard Deviation 3.0 0.1 0.1 0.1 0.1 0.2 0.7
     VOLUME OF TRADES (000'S) 5,210,042.0 1,642,050.0 2,353,238.5 3,087,294.2 3,791,793.4 3,650,440.0 8,912,636.6
     NUMBER OF TRADES 55 31 16 32 65 173 277
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * 88.7 * 94.2 96.7 98.8 101.4
Weighted Avg. Price * 88.7 * 94.2 96.7 98.8 101.4
Avg. Price Bottom 5 Trades * 88.7 * 94.2 96.6 98.7 100.5
2nd Quartile Price * * * 94.2 96.6 98.7 100.5
3rd Quartile Price * * * 94.2 96.7 98.8 100.6
4th Quartile Price * * * 94.3 96.7 98.8 102.2
Avg. Price Top 5 Trades * 88.7 * 94.3 96.7 98.9 104.1
Standard Deviation * - * - - - 1.2
     VOLUME OF TRADES (000'S) * 6,300.0 * 3,209,401.3 456,100.0 2,350,650.0 4,787,650.0
     NUMBER OF TRADES * 6 * 52 22 177 443
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 * 90.0 * * 97.2 99.2 100.8
Weighted Avg. Price * 90.1 * * 97.2 99.2 100.7
Avg. Price Bottom 5 Trades * 90.0 * * 97.1 99.1 100.5
2nd Quartile Price * * * * 97.2 99.2 100.6
3rd Quartile Price * * * * 97.2 99.2 100.6
4th Quartile Price * * * * 97.2 99.2 100.6
Avg. Price Top 5 Trades * 90.0 * * 97.2 99.3 102.4
Standard Deviation * 0.2 * * - 0.1 0.5
     VOLUME OF TRADES (000'S) * 146,100.0 * * 83,500.0 586,500.0 1,751,800.0
     NUMBER OF TRADES * 5 * * 20 85 172
MAY 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].