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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 - - - - - - -
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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 95.0 98.6 100.0 101.2 102.5 103.8 -
Weighted Avg. Price 94.8 98.6 100.0 101.2 102.5 103.8 -
Avg. Price Bottom 5 Trades 91.9 98.6 100.0 101.1 102.4 103.7 -
2nd Quartile Price 92.6 98.6 100.0 101.2 102.5 103.7 -
3rd Quartile Price 96.2 98.6 100.0 101.2 102.5 103.8 -
4th Quartile Price 97.2 98.7 100.0 101.2 102.5 103.8 -
Avg. Price Top 5 Trades 97.2 98.7 100.0 101.3 102.5 103.8 -
Standard Deviation 2.2 0.1 - - 0.1 - -
     VOLUME OF TRADES (000'S) 51,241.0 290,400.0 1,589,900.0 1,771,417.0 118,900.0 63,475.0 -
     NUMBER OF TRADES 31 41 137 103 27 25 -
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 * 98.5 99.9 101.2 102.5 - -
Weighted Avg. Price * 98.5 100.0 101.1 102.5 - -
Avg. Price Bottom 5 Trades * 98.5 99.8 101.1 102.5 - -
2nd Quartile Price * 98.5 99.9 101.1 * - -
3rd Quartile Price * 98.6 99.9 101.1 * - -
4th Quartile Price * 98.6 100.0 101.2 * - -
Avg. Price Top 5 Trades * 98.6 100.0 101.3 102.5 - -
Standard Deviation * - 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) * 73,800.0 669,700.0 1,151,500.0 106,000.0 - -
     NUMBER OF TRADES * 11 37 39 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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 96.7 98.5 99.8 101.0 * * -
Weighted Avg. Price 96.5 98.5 99.8 101.0 * * -
Avg. Price Bottom 5 Trades 96.7 98.5 99.8 101.0 * * -
2nd Quartile Price * 98.5 99.8 101.0 * * -
3rd Quartile Price * 98.5 99.9 101.1 * * -
4th Quartile Price * 98.5 99.9 101.1 * * -
Avg. Price Top 5 Trades 96.7 98.5 99.8 101.1 * * -
Standard Deviation 0.5 - - 0.1 * * -
     VOLUME OF TRADES (000'S) 10,500.0 23,000.0 33,000.0 8,000.0 * * -
     NUMBER OF TRADES 5 9 10 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

DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - 100.9 - - -
Weighted Avg. Price - - - 100.0 - - -
Avg. Price Bottom 5 Trades - - - 100.8 - - -
2nd Quartile Price - - - 101.2 - - -
3rd Quartile Price - - - 101.6 - - -
4th Quartile Price - - - 101.6 - - -
Avg. Price Top 5 Trades - - - 101.1 - - -
Standard Deviation - - - 0.8 - - -
     VOLUME OF TRADES (000'S) - - - 61,707.4 - - -
     NUMBER OF TRADES - - - 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 - - - 99.6 102.0 103.5 104.6
Weighted Avg. Price - - - 99.8 101.9 103.4 103.9
Avg. Price Bottom 5 Trades - - - 99.6 101.5 102.5 103.7
2nd Quartile Price - - - * 101.9 103.4 103.7
3rd Quartile Price - - - * 102.1 103.9 103.9
4th Quartile Price - - - * 102.3 104.4 107.1
Avg. Price Top 5 Trades - - - 99.6 102.5 104.6 105.2
Standard Deviation - - - 0.3 0.7 1.2 1.7
     VOLUME OF TRADES (000'S) - - - 92,071.8 154,354.2 87,058.4 64,026.5
     NUMBER OF TRADES - - - 5 12 14 8
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.1 94.8 97.6 99.7 101.2 102.5 104.1
Weighted Avg. Price 83.5 94.8 97.6 99.6 101.2 102.5 104.3
Avg. Price Bottom 5 Trades 78.8 94.7 97.5 99.6 101.1 102.5 103.8
2nd Quartile Price 84.6 94.8 97.5 99.6 101.2 102.5 103.9
3rd Quartile Price 88.4 94.8 97.6 99.6 101.2 102.5 103.9
4th Quartile Price 88.5 94.9 97.6 99.7 101.3 102.5 103.9
Avg. Price Top 5 Trades 92.4 94.9 97.8 99.8 101.3 102.6 105.2
Standard Deviation 3.9 0.1 0.2 - 0.1 - 0.4
     VOLUME OF TRADES (000'S) 17,267,495.6 1,967,890.0 2,610,099.0 18,141,810.4 12,173,260.9 12,321,734.0 6,606,039.4
     NUMBER OF TRADES 316 66 150 694 426 251 113
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 88.6 94.4 97.4 99.7 100.9 101.9 103.3
Weighted Avg. Price 89.5 94.4 97.4 99.7 100.9 101.9 103.3
Avg. Price Bottom 5 Trades 82.4 94.3 97.3 99.6 100.7 101.6 102.7
2nd Quartile Price 86.5 94.4 97.4 99.7 100.9 101.8 103.2
3rd Quartile Price 90.0 94.4 97.4 99.7 100.9 101.9 103.3
4th Quartile Price 90.3 94.4 97.5 99.7 100.9 101.9 103.4
Avg. Price Top 5 Trades 91.3 94.5 97.5 99.9 102.0 103.0 105.1
Standard Deviation 3.0 0.1 0.1 0.1 0.2 0.2 0.6
     VOLUME OF TRADES (000'S) 1,718,513.0 55,500.3 1,399,847.7 5,402,905.9 3,710,140.6 9,332,694.8 1,352,534.3
     NUMBER OF TRADES 104 24 79 139 197 150 79
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.8 94.8 97.5 99.5 101.1 102.5 104.1
Weighted Avg. Price 83.2 94.7 97.5 99.6 101.1 102.5 104.4
Avg. Price Bottom 5 Trades 81.0 94.7 97.4 99.5 101.1 102.4 103.8
2nd Quartile Price 88.4 94.7 97.4 99.5 101.1 102.5 103.9
3rd Quartile Price 88.4 94.8 97.5 99.6 101.1 102.5 103.9
4th Quartile Price 92.1 94.8 97.5 99.6 101.1 102.5 103.9
Avg. Price Top 5 Trades 92.1 94.9 97.5 99.6 101.2 102.5 105.2
Standard Deviation 3.4 0.1 - - 0.1 - 0.5
     VOLUME OF TRADES (000'S) 15,070,512.6 696,450.0 1,112,913.0 9,877,550.0 3,989,277.0 6,865,141.0 5,739,501.0
     NUMBER OF TRADES 85 21 47 263 176 92 54
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 89.4 * 97.3 99.5 101.0 102.0 103.3
Weighted Avg. Price 89.4 * 97.3 99.5 100.9 101.9 103.1
Avg. Price Bottom 5 Trades 87.3 * 97.3 99.5 100.7 101.5 103.0
2nd Quartile Price 89.8 * 97.3 99.5 100.8 101.8 103.1
3rd Quartile Price 89.9 * 97.3 99.5 100.8 101.8 103.2
4th Quartile Price 90.1 * 97.4 99.6 100.8 101.9 103.5
Avg. Price Top 5 Trades 90.7 * 97.4 99.6 102.8 103.8 104.0
Standard Deviation 2.1 * - - 0.5 0.6 0.4
     VOLUME OF TRADES (000'S) 942,875.0 * 1,025,200.0 4,131,000.0 2,692,700.0 8,486,500.0 1,083,750.0
     NUMBER OF TRADES 27 * 25 111 166 90 27
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 94.7 97.3 99.4 101.0 102.4 103.8
Weighted Avg. Price * 94.7 97.4 99.4 101.0 102.4 103.8
Avg. Price Bottom 5 Trades * 94.7 97.3 99.4 100.8 102.3 103.8
2nd Quartile Price * 94.7 97.3 99.4 101.0 102.4 *
3rd Quartile Price * 94.7 97.3 99.4 101.0 102.4 *
4th Quartile Price * 94.7 97.4 99.4 101.0 102.4 *
Avg. Price Top 5 Trades * 94.7 97.4 99.5 101.1 102.4 103.8
Standard Deviation * - - - 0.2 - -
     VOLUME OF TRADES (000'S) * 44,000.0 266,500.0 713,250.0 425,500.0 58,200.0 10,300.0
     NUMBER OF TRADES * 7 28 116 69 15 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 90.4 * 97.2 99.4 100.7 101.6 *
Weighted Avg. Price 90.0 * 97.2 99.4 100.7 101.7 *
Avg. Price Bottom 5 Trades 90.2 * 97.2 99.3 100.6 101.6 *
2nd Quartile Price 90.0 * 97.2 99.4 100.7 101.6 *
3rd Quartile Price 91.1 * 97.2 99.4 100.7 101.6 *
4th Quartile Price 91.1 * 97.3 99.4 100.7 101.7 *
Avg. Price Top 5 Trades 90.5 * 97.2 99.4 100.7 101.7 *
Standard Deviation 0.6 * - - - - *
     VOLUME OF TRADES (000'S) 1,022,000.0 * 78,400.0 287,250.0 312,750.0 1,144,500.0 *
     NUMBER OF TRADES 9 * 10 57 53 19 *
* 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].