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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 - - - - - - -
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 - - - - - - -
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.2 95.8 97.2 99.0 100.4 101.4 102.4
Weighted Avg. Price 90.9 95.8 97.2 99.0 100.4 101.3 102.5
Avg. Price Bottom 5 Trades 88.2 95.8 97.2 98.9 100.3 101.3 102.4
2nd Quartile Price 89.8 * 97.2 98.9 100.4 101.3 102.4
3rd Quartile Price 92.3 * 97.2 99.1 100.4 101.4 102.4
4th Quartile Price 94.2 * 97.3 99.1 100.4 101.4 102.4
Avg. Price Top 5 Trades 94.3 95.8 97.2 99.1 100.5 101.5 102.4
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 78,173.0 21,200.0 204,650.0 141,203.9 387,264.8 286,990.0 140,900.0
     NUMBER OF TRADES 19 6 11 38 43 28 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 * - * 99.0 100.3 101.3 *
Weighted Avg. Price * - * 99.0 100.3 101.3 *
Avg. Price Bottom 5 Trades * - * 99.0 100.2 101.3 *
2nd Quartile Price * - * * 100.3 101.3 *
3rd Quartile Price * - * * 100.3 101.3 *
4th Quartile Price * - * * 100.4 101.4 *
Avg. Price Top 5 Trades * - * 99.0 100.4 101.4 *
Standard Deviation * - * 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) * - * 23,000.0 342,700.0 266,500.0 *
     NUMBER OF TRADES * - * 5 22 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 - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - 98.9 100.2 101.2 -
Weighted Avg. Price - - - 98.9 100.2 101.2 -
Avg. Price Bottom 5 Trades - - - 98.9 100.2 101.2 -
2nd Quartile Price - - - * 100.2 101.2 -
3rd Quartile Price - - - * 100.3 101.2 -
4th Quartile Price - - - * 100.3 101.2 -
Avg. Price Top 5 Trades - - - 98.9 100.3 101.2 -
Standard Deviation - - - 0.1 0.1 - -
     VOLUME OF TRADES (000'S) - - - 24,000.0 32,000.0 23,000.0 -
     NUMBER OF TRADES - - - 5 12 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 - - - - - - -

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 - - - - * * 103.8
Weighted Avg. Price - - - - * * 103.6
Avg. Price Bottom 5 Trades - - - - * * 103.2
2nd Quartile Price - - - - * * 103.6
3rd Quartile Price - - - - * * 103.9
4th Quartile Price - - - - * * 104.8
Avg. Price Top 5 Trades - - - - * * 104.3
Standard Deviation - - - - * * 1.0
     VOLUME OF TRADES (000'S) - - - - * * 7,631.2
     NUMBER OF TRADES - - - - * * 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 - - - - - - -
MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.4 90.1 93.1 95.9 98.1 99.9 102.3
Weighted Avg. Price 82.9 90.1 93.1 95.9 98.1 99.9 102.2
Avg. Price Bottom 5 Trades 78.3 89.9 92.9 95.7 97.9 99.8 101.2
2nd Quartile Price 82.9 89.9 93.0 95.8 98.0 99.9 101.5
3rd Quartile Price 83.1 90.0 93.1 95.8 98.1 99.9 101.5
4th Quartile Price 86.4 90.2 93.3 96.1 98.2 100.0 103.0
Avg. Price Top 5 Trades 87.0 90.4 93.4 96.1 98.3 100.1 104.8
Standard Deviation 2.6 0.1 0.2 0.1 0.1 0.1 1.1
     VOLUME OF TRADES (000'S) 14,848,769.9 7,707,646.5 15,239,568.0 13,072,354.0 23,668,663.5 32,513,784.9 51,142,836.0
     NUMBER OF TRADES 711 314 449 538 758 1,172 1,949
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 86.4 91.2 93.8 96.1 98.5 100.2 102.0
Weighted Avg. Price 84.4 91.2 93.7 96.1 98.6 100.2 101.5
Avg. Price Bottom 5 Trades 81.7 91.0 93.5 95.3 98.3 99.9 100.8
2nd Quartile Price 85.3 91.1 93.7 96.0 98.4 100.2 101.3
3rd Quartile Price 88.3 91.2 93.9 96.2 98.6 100.2 101.9
4th Quartile Price 88.6 91.4 93.9 96.3 98.6 100.3 102.2
Avg. Price Top 5 Trades 88.7 91.5 93.9 96.4 98.7 100.8 106.0
Standard Deviation 2.7 0.2 0.2 0.3 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 4,193,814.0 1,861,827.0 1,843,233.6 1,520,826.0 3,549,856.1 3,619,931.0 14,049,982.9
     NUMBER OF TRADES 72 62 58 62 123 214 567
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.5 90.1 93.1 95.7 98.0 99.9 102.5
Weighted Avg. Price 82.0 90.1 93.1 95.7 98.0 99.8 102.3
Avg. Price Bottom 5 Trades 79.4 90.0 92.9 95.5 97.8 99.7 101.3
2nd Quartile Price 79.8 90.0 93.0 95.6 97.9 99.8 101.4
3rd Quartile Price 83.3 90.1 93.1 95.6 98.0 99.9 102.8
4th Quartile Price 86.8 90.3 93.3 95.9 98.1 99.9 102.9
Avg. Price Top 5 Trades 87.0 90.4 93.4 96.0 98.2 100.0 104.5
Standard Deviation 3.0 0.1 0.2 0.1 0.1 0.1 1.2
     VOLUME OF TRADES (000'S) 6,452,582.3 2,204,550.0 14,641,680.0 6,875,015.0 17,466,341.0 20,373,456.2 28,584,775.3
     NUMBER OF TRADES 91 46 126 106 100 308 584
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 87.1 91.2 93.7 96.2 98.5 100.1 101.4
Weighted Avg. Price 84.3 91.2 93.7 96.1 98.5 100.1 101.4
Avg. Price Bottom 5 Trades 84.3 91.1 93.5 96.0 98.3 100.0 101.1
2nd Quartile Price 85.3 91.1 93.6 96.0 98.4 100.1 101.1
3rd Quartile Price 88.6 91.2 93.7 96.2 98.5 100.1 101.2
4th Quartile Price 88.7 91.4 93.9 96.3 98.6 100.1 101.8
Avg. Price Top 5 Trades 88.7 91.3 93.9 96.3 98.6 100.2 102.7
Standard Deviation 2.3 0.1 0.2 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 3,685,000.0 890,050.0 1,905,087.5 1,598,000.0 1,721,030.2 2,276,400.0 7,896,430.0
     NUMBER OF TRADES 23 14 21 38 71 151 228
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - 93.1 95.8 98.0 99.8 102.0
Weighted Avg. Price - - 93.1 95.8 97.9 99.8 102.4
Avg. Price Bottom 5 Trades - - 92.9 95.8 97.8 99.6 101.1
2nd Quartile Price - - 93.1 95.8 97.9 99.8 101.3
3rd Quartile Price - - 93.1 95.9 98.1 99.8 101.3
4th Quartile Price - - 93.2 95.9 98.1 99.8 102.7
Avg. Price Top 5 Trades - - 93.3 95.9 98.1 99.9 104.4
Standard Deviation - - 0.1 0.1 0.1 0.1 1.0
     VOLUME OF TRADES (000'S) - - 5,510,500.0 41,000.0 8,063,000.0 3,218,500.0 3,134,350.0
     NUMBER OF TRADES - - 47 9 24 235 275
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 88.3 * * 96.2 98.4 100.0 101.3
Weighted Avg. Price 88.2 * * 96.1 98.4 100.0 101.6
Avg. Price Bottom 5 Trades 88.2 * * 96.1 98.2 99.9 101.0
2nd Quartile Price 88.6 * * 96.1 98.3 99.9 101.0
3rd Quartile Price 88.6 * * 96.2 98.4 100.0 101.1
4th Quartile Price 88.6 * * 96.2 98.5 100.0 101.8
Avg. Price Top 5 Trades 88.6 * * 96.2 98.5 100.0 102.3
Standard Deviation 1.0 * * 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 1,130,000.0 * * 171,000.0 119,625.0 689,500.0 1,142,200.0
     NUMBER OF TRADES 11 * * 20 33 93 93
* 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].