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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 94.4 98.5 99.8 101.1 102.4 103.7 -
Weighted Avg. Price 94.8 98.5 99.7 101.1 102.4 103.7 -
Avg. Price Bottom 5 Trades 89.9 98.4 99.7 101.0 102.3 103.7 -
2nd Quartile Price 92.2 98.4 99.8 101.0 102.4 103.7 -
3rd Quartile Price 94.3 98.5 99.8 101.1 102.4 103.7 -
4th Quartile Price 96.8 98.5 99.8 101.2 102.5 103.7 -
Avg. Price Top 5 Trades 97.0 98.6 99.9 101.2 102.5 103.8 -
Standard Deviation 2.3 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 1,812,384.6 276,340.6 1,439,275.0 1,183,136.4 1,594,018.3 287,219.1 -
     NUMBER OF TRADES 128 45 72 94 60 34 -
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 94.4 98.4 99.7 101.0 102.4 103.6 *
Weighted Avg. Price 94.6 98.4 99.7 101.0 102.3 103.6 *
Avg. Price Bottom 5 Trades 90.1 98.3 99.6 101.0 102.3 103.5 *
2nd Quartile Price 92.3 98.4 99.7 101.0 102.4 103.6 *
3rd Quartile Price 94.4 98.4 99.8 101.0 102.4 103.6 *
4th Quartile Price 96.0 98.4 99.8 101.1 102.4 103.6 *
Avg. Price Top 5 Trades 97.0 98.5 99.9 101.2 102.5 103.7 *
Standard Deviation 2.2 0.1 - 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) 2,252,991.6 586,646.6 2,977,360.0 2,006,500.8 2,231,176.0 523,293.1 *
     NUMBER OF TRADES 161 60 180 177 100 49 *
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 94.8 98.3 99.7 101.0 * - -
Weighted Avg. Price 94.2 98.3 99.7 101.0 * - -
Avg. Price Bottom 5 Trades 93.5 98.3 99.7 101.0 * - -
2nd Quartile Price 94.3 98.3 99.7 101.0 * - -
3rd Quartile Price 96.0 98.3 99.7 101.0 * - -
4th Quartile Price 97.0 98.3 99.7 101.0 * - -
Avg. Price Top 5 Trades 96.3 98.3 99.7 101.0 * - -
Standard Deviation 2.5 - - - * - -
     VOLUME OF TRADES (000'S) 17,850.0 28,000.0 240,518.7 79,500.0 * - -
     NUMBER OF TRADES 8 6 12 12 * - -
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 - - - 101.4 102.7 * -
Weighted Avg. Price - - - 101.1 102.6 * -
Avg. Price Bottom 5 Trades - - - 100.8 102.7 * -
2nd Quartile Price - - - 100.9 * * -
3rd Quartile Price - - - 101.0 * * -
4th Quartile Price - - - 103.3 * * -
Avg. Price Top 5 Trades - - - 102.2 102.7 * -
Standard Deviation - - - 1.1 0.5 * -
     VOLUME OF TRADES (000'S) - - - 19,793.5 14,968.1 * -
     NUMBER OF TRADES - - - 11 5 * -
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 87.2 94.0 97.1 99.5 100.9 101.8 103.2
Weighted Avg. Price 86.7 94.0 97.1 99.4 100.8 101.7 103.2
Avg. Price Bottom 5 Trades 82.5 93.8 96.9 99.3 100.6 101.6 102.5
2nd Quartile Price 82.9 93.9 97.0 99.4 100.7 101.7 103.1
3rd Quartile Price 86.2 94.0 97.1 99.4 100.8 101.7 103.2
4th Quartile Price 90.8 94.0 97.1 99.5 100.8 101.8 103.3
Avg. Price Top 5 Trades 91.1 94.2 97.3 100.0 102.6 104.6 105.3
Standard Deviation 3.2 0.1 0.1 0.1 0.3 0.5 0.4
     VOLUME OF TRADES (000'S) 17,799,995.9 5,465,072.5 6,324,078.3 12,026,154.7 16,577,756.5 7,078,311.2 6,724,784.5
     NUMBER OF TRADES 248 78 116 345 376 245 195
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.3 94.3 97.1 99.2 101.0 102.4 103.9
Weighted Avg. Price 89.2 94.3 97.1 99.2 101.0 102.4 103.8
Avg. Price Bottom 5 Trades 77.3 94.3 97.0 99.2 100.8 102.3 103.7
2nd Quartile Price 87.9 94.3 97.1 99.2 101.0 102.4 103.8
3rd Quartile Price 88.0 94.3 97.1 99.2 101.0 102.4 103.8
4th Quartile Price 91.7 94.4 97.1 99.3 101.0 102.4 103.8
Avg. Price Top 5 Trades 91.9 94.5 97.2 99.3 101.1 102.5 105.0
Standard Deviation 3.8 - - - - - 0.3
     VOLUME OF TRADES (000'S) 13,031,163.8 5,061,688.4 7,943,591.7 25,942,468.0 29,551,858.0 10,398,457.0 3,369,542.6
     NUMBER OF TRADES 539 206 309 859 545 265 101
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 87.5 93.9 97.0 99.3 100.7 101.8 103.1
Weighted Avg. Price 86.8 93.9 97.0 99.3 100.7 101.8 103.1
Avg. Price Bottom 5 Trades 82.5 93.8 96.8 99.1 100.6 101.6 102.7
2nd Quartile Price 85.9 93.9 96.9 99.3 100.7 101.8 103.1
3rd Quartile Price 89.4 93.9 97.0 99.3 100.7 101.8 103.1
4th Quartile Price 90.8 94.0 97.0 99.3 100.7 101.8 103.1
Avg. Price Top 5 Trades 91.1 94.2 97.2 99.7 102.0 102.8 103.6
Standard Deviation 3.1 0.1 0.1 0.1 0.2 0.2 0.2
     VOLUME OF TRADES (000'S) 19,084,092.8 5,470,793.0 7,538,733.9 14,067,566.1 14,664,842.4 6,444,268.3 7,242,825.1
     NUMBER OF TRADES 305 83 141 446 393 188 181
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.1 94.3 97.0 99.1 100.9 102.3 103.8
Weighted Avg. Price 89.4 94.3 97.0 99.1 100.9 102.3 103.8
Avg. Price Bottom 5 Trades 80.6 94.3 97.0 99.1 100.8 102.3 103.8
2nd Quartile Price 87.9 94.3 97.0 99.1 100.8 102.3 103.8
3rd Quartile Price 91.5 94.3 97.0 99.1 100.9 102.3 103.8
4th Quartile Price 91.6 94.3 97.0 99.2 100.9 102.4 103.8
Avg. Price Top 5 Trades 91.7 94.3 97.1 99.2 100.9 102.4 103.9
Standard Deviation 3.0 - - - - - 0.2
     VOLUME OF TRADES (000'S) 5,198,619.8 1,524,376.9 2,111,900.0 7,515,450.0 16,143,091.7 5,125,120.0 2,004,500.0
     NUMBER OF TRADES 151 26 46 231 206 74 28
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 88.0 94.0 96.9 99.2 100.6 101.7 103.0
Weighted Avg. Price 89.9 94.2 96.9 99.2 100.6 101.7 103.0
Avg. Price Bottom 5 Trades 84.8 93.9 96.8 99.1 100.5 101.6 102.9
2nd Quartile Price 86.1 93.9 96.8 99.1 100.6 101.7 103.0
3rd Quartile Price 89.5 93.9 96.9 99.2 100.6 101.7 103.0
4th Quartile Price 90.8 94.0 96.9 99.2 100.6 101.7 103.0
Avg. Price Top 5 Trades 90.9 94.0 97.0 99.2 100.7 101.7 103.1
Standard Deviation 2.8 0.1 0.1 - - - 0.1
     VOLUME OF TRADES (000'S) 726,430.0 376,665.0 1,236,000.0 2,283,550.0 2,504,880.0 1,046,500.0 1,417,980.0
     NUMBER OF TRADES 27 13 24 116 118 41 37
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.6 * 96.9 99.0 100.7 102.2 103.8
Weighted Avg. Price 84.6 * 96.9 99.0 100.7 102.3 103.8
Avg. Price Bottom 5 Trades 85.6 * 96.8 99.0 100.7 102.2 103.7
2nd Quartile Price * * 96.9 99.0 100.7 102.2 103.8
3rd Quartile Price * * 96.9 99.0 100.7 102.2 103.8
4th Quartile Price * * 96.9 99.0 100.7 102.2 103.8
Avg. Price Top 5 Trades 85.6 * 96.9 99.0 100.8 102.2 103.8
Standard Deviation 8.0 * - - - - -
     VOLUME OF TRADES (000'S) 8,500.0 * 95,750.0 517,750.0 565,600.0 131,100.0 28,700.0
     NUMBER OF TRADES 5 * 14 72 74 18 12
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].