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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

DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.2 98.5 99.9 101.1 102.4 * -
Weighted Avg. Price 94.2 98.5 99.9 101.1 102.4 * -
Avg. Price Bottom 5 Trades 91.3 98.4 99.8 101.1 102.3 * -
2nd Quartile Price 92.3 98.5 99.8 101.1 102.4 * -
3rd Quartile Price 94.2 98.5 99.9 101.1 102.4 * -
4th Quartile Price 97.1 98.5 99.9 101.1 102.5 * -
Avg. Price Top 5 Trades 97.1 98.5 99.9 101.2 102.5 * -
Standard Deviation 2.3 - - - 0.1 * -
     VOLUME OF TRADES (000'S) 506,065.0 587,675.0 1,844,313.2 1,471,600.0 985,625.0 * -
     NUMBER OF TRADES 44 59 162 115 39 * -
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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.9 98.5 99.8 101.1 102.4 * -
Weighted Avg. Price 95.3 98.4 99.8 101.1 102.4 * -
Avg. Price Bottom 5 Trades 91.5 98.4 99.8 101.0 102.3 * -
2nd Quartile Price 92.5 98.5 99.8 101.1 102.3 * -
3rd Quartile Price 96.1 98.5 99.8 101.1 102.3 * -
4th Quartile Price 97.0 98.5 99.9 101.1 102.4 * -
Avg. Price Top 5 Trades 97.1 98.5 99.9 101.2 102.4 * -
Standard Deviation 2.4 - - 0.1 0.1 * -
     VOLUME OF TRADES (000'S) 169,870.5 269,560.3 1,046,012.2 807,960.2 807,800.0 * -
     NUMBER OF TRADES 24 14 51 31 20 * -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 98.4 99.8 101.0 - * -
Weighted Avg. Price * 98.4 99.8 101.0 - * -
Avg. Price Bottom 5 Trades * 98.4 99.8 101.0 - * -
2nd Quartile Price * 98.4 99.8 101.0 - * -
3rd Quartile Price * 98.4 99.8 101.0 - * -
4th Quartile Price * 98.5 99.8 101.1 - * -
Avg. Price Top 5 Trades * 98.4 99.8 101.1 - * -
Standard Deviation * - - - - * -
     VOLUME OF TRADES (000'S) * 16,000.0 104,500.0 112,000.0 - * -
     NUMBER OF TRADES * 6 14 13 - * -
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
<= 3.5 4 4.5 5 5.5 6 > 6
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

DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.5 94.7 97.5 99.6 101.1 102.4 104.0
Weighted Avg. Price 86.6 94.7 97.5 99.5 101.1 102.4 103.7
Avg. Price Bottom 5 Trades 78.0 94.6 97.3 99.4 101.0 102.3 103.6
2nd Quartile Price 84.5 94.7 97.4 99.5 101.1 102.4 103.6
3rd Quartile Price 88.2 94.8 97.5 99.5 101.1 102.4 103.7
4th Quartile Price 91.9 94.8 97.5 99.6 101.2 102.4 103.8
Avg. Price Top 5 Trades 92.2 95.0 97.7 102.2 102.1 103.1 106.0
Standard Deviation 4.2 0.1 0.1 0.2 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 34,881,185.4 11,007,433.0 19,078,864.5 55,964,403.4 57,926,353.2 47,965,618.9 23,233,199.5
     NUMBER OF TRADES 650 244 524 1,370 1,055 651 459
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 88.2 94.3 97.3 99.7 101.0 102.2 103.3
Weighted Avg. Price 88.6 94.3 97.3 99.7 100.9 101.8 103.1
Avg. Price Bottom 5 Trades 82.8 94.0 97.2 99.3 100.4 101.8 102.8
2nd Quartile Price 86.2 94.3 97.3 99.6 100.8 101.8 103.0
3rd Quartile Price 89.7 94.3 97.3 99.7 100.9 101.9 103.1
4th Quartile Price 91.2 94.4 97.4 99.7 100.9 101.9 103.2
Avg. Price Top 5 Trades 91.3 94.5 97.5 100.2 102.3 104.5 106.1
Standard Deviation 3.2 0.1 0.1 0.1 0.4 0.7 0.6
     VOLUME OF TRADES (000'S) 6,693,999.5 1,357,603.9 3,449,076.1 9,693,114.6 6,519,704.1 9,172,431.1 2,520,234.4
     NUMBER OF TRADES 145 52 114 374 287 193 166
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.1 94.7 97.4 99.4 101.0 102.4 103.9
Weighted Avg. Price 86.8 94.7 97.4 99.4 101.0 102.4 103.8
Avg. Price Bottom 5 Trades 78.0 94.6 97.3 99.3 100.9 102.3 103.6
2nd Quartile Price 84.5 94.7 97.3 99.4 101.0 102.4 103.7
3rd Quartile Price 88.2 94.7 97.4 99.4 101.0 102.4 103.7
4th Quartile Price 91.9 94.8 97.4 99.5 101.1 102.4 103.8
Avg. Price Top 5 Trades 92.2 95.0 97.6 99.8 101.1 102.4 105.3
Standard Deviation 4.2 0.1 0.1 0.1 - - 0.5
     VOLUME OF TRADES (000'S) 33,420,098.9 15,268,747.7 18,050,147.8 47,097,999.1 54,918,664.6 64,146,795.3 25,525,395.1
     NUMBER OF TRADES 444 186 244 610 624 444 270
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 88.2 94.3 97.3 99.5 100.8 101.9 102.9
Weighted Avg. Price 88.6 94.3 97.2 99.5 100.8 101.9 102.9
Avg. Price Bottom 5 Trades 82.9 94.2 97.2 99.3 100.6 101.9 102.8
2nd Quartile Price 86.3 94.3 97.3 99.5 100.8 101.9 102.9
3rd Quartile Price 89.7 94.3 97.3 99.5 100.8 101.9 102.9
4th Quartile Price 91.2 94.4 97.3 99.6 100.8 101.9 102.9
Avg. Price Top 5 Trades 91.3 94.5 97.4 99.8 101.1 102.0 103.1
Standard Deviation 3.1 0.1 0.1 0.1 0.1 - 0.1
     VOLUME OF TRADES (000'S) 6,212,373.0 1,417,681.5 2,238,570.5 7,300,727.7 5,824,982.1 10,927,938.9 3,902,546.7
     NUMBER OF TRADES 69 32 56 199 182 101 80
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.0 94.7 97.3 99.3 100.9 102.3 103.8
Weighted Avg. Price 92.1 94.7 97.3 99.4 100.9 102.3 103.8
Avg. Price Bottom 5 Trades 91.9 94.6 97.2 99.3 100.9 102.3 103.7
2nd Quartile Price 92.0 94.7 97.3 99.3 100.9 102.3 103.7
3rd Quartile Price 92.1 94.7 97.3 99.3 100.9 102.3 103.8
4th Quartile Price 92.1 94.8 97.3 99.3 101.0 102.4 103.8
Avg. Price Top 5 Trades 92.1 94.9 97.4 99.5 101.0 102.4 104.1
Standard Deviation 0.1 0.1 - - - - 0.3
     VOLUME OF TRADES (000'S) 1,625,046.5 5,182,377.1 853,800.0 3,101,380.0 2,409,000.0 17,219,150.0 2,127,250.0
     NUMBER OF TRADES 18 41 40 297 199 111 19
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 89.8 94.3 97.3 99.4 100.7 101.8 102.9
Weighted Avg. Price 91.1 94.4 97.3 99.4 100.7 101.8 102.9
Avg. Price Bottom 5 Trades 88.5 94.3 97.2 99.3 100.6 101.8 102.8
2nd Quartile Price 89.6 94.2 97.2 99.4 100.7 101.8 102.8
3rd Quartile Price 91.1 94.3 97.3 99.4 100.7 101.8 102.9
4th Quartile Price 91.1 94.4 97.3 99.4 100.7 101.8 102.9
Avg. Price Top 5 Trades 91.1 94.3 97.3 99.5 100.7 101.9 102.9
Standard Deviation 2.1 0.1 - - - - -
     VOLUME OF TRADES (000'S) 176,840.0 245,000.0 151,500.0 809,650.0 618,150.0 2,006,000.0 1,145,900.0
     NUMBER OF TRADES 10 7 19 97 83 60 24
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
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].