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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 92.0 96.1 97.5 99.1 100.5 101.5 102.5
Weighted Avg. Price 91.3 96.1 97.5 99.1 100.5 101.5 102.5
Avg. Price Bottom 5 Trades 87.7 96.1 97.4 99.1 100.4 101.5 102.4
2nd Quartile Price 90.2 96.1 97.4 99.1 100.5 101.5 102.5
3rd Quartile Price 92.5 96.1 97.5 99.1 100.5 101.5 102.5
4th Quartile Price 94.6 96.1 97.5 99.2 100.5 101.5 102.5
Avg. Price Top 5 Trades 94.6 96.2 97.5 99.2 100.5 101.6 102.5
Standard Deviation 2.2 - - - - - 0.2
     VOLUME OF TRADES (000'S) 304,795.0 47,665.0 22,922.0 292,911.0 668,290.0 533,084.0 226,825.0
     NUMBER OF TRADES 94 19 18 58 66 39 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 - - - - - - -
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 90.9 * * 99.1 100.4 101.4 102.4
Weighted Avg. Price 90.5 * * 99.1 100.4 101.5 102.4
Avg. Price Bottom 5 Trades 88.7 * * 99.1 100.4 101.4 102.4
2nd Quartile Price 90.2 * * 99.1 100.4 101.4 *
3rd Quartile Price 90.2 * * 99.1 100.4 101.4 *
4th Quartile Price 92.4 * * 99.1 100.5 101.5 *
Avg. Price Top 5 Trades 93.8 * * 99.1 100.4 101.5 102.4
Standard Deviation 2.0 * * - - - -
     VOLUME OF TRADES (000'S) 162,325.0 * * 166,310.0 181,300.0 424,834.0 220,125.0
     NUMBER OF TRADES 22 * * 9 10 12 14
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 - - * * 100.4 101.3 -
Weighted Avg. Price - - * * 100.4 101.3 -
Avg. Price Bottom 5 Trades - - * * 100.3 101.3 -
2nd Quartile Price - - * * 100.4 * -
3rd Quartile Price - - * * 100.4 * -
4th Quartile Price - - * * 100.4 * -
Avg. Price Top 5 Trades - - * * 100.4 101.3 -
Standard Deviation - - * * - 0.1 -
     VOLUME OF TRADES (000'S) - - * * 27,500.0 33,000.0 -
     NUMBER OF TRADES - - * * 8 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 - - - - - - -
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 - - - - - - -
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 83.1 90.5 93.6 96.2 98.3 100.1 102.2
Weighted Avg. Price 82.9 90.5 93.6 96.2 98.3 100.1 102.1
Avg. Price Bottom 5 Trades 77.1 90.4 93.4 96.0 98.1 99.9 101.5
2nd Quartile Price 80.0 90.5 93.5 96.1 98.3 100.0 101.6
3rd Quartile Price 83.4 90.6 93.6 96.2 98.3 100.1 101.6
4th Quartile Price 87.0 90.6 93.6 96.3 98.3 100.1 103.0
Avg. Price Top 5 Trades 87.2 90.7 93.8 96.4 99.7 102.0 105.1
Standard Deviation 3.1 0.1 0.1 0.1 0.2 0.1 1.0
     VOLUME OF TRADES (000'S) 17,184,511.0 2,020,169.6 10,787,671.1 11,306,815.0 23,916,928.4 42,874,927.4 52,210,999.0
     NUMBER OF TRADES 591 190 297 391 728 1,219 1,666
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 86.0 91.7 94.2 96.5 98.7 100.3 101.8
Weighted Avg. Price 87.8 91.6 94.1 96.4 98.6 100.2 101.6
Avg. Price Bottom 5 Trades 82.0 91.5 94.0 96.3 98.5 100.2 101.2
2nd Quartile Price 85.3 91.6 94.1 96.4 98.6 100.2 101.3
3rd Quartile Price 85.7 91.7 94.2 96.5 98.7 100.2 101.4
4th Quartile Price 88.9 91.7 94.3 96.5 98.7 100.3 102.0
Avg. Price Top 5 Trades 89.1 91.8 94.3 96.6 98.8 101.6 104.6
Standard Deviation 2.6 0.1 0.1 0.1 - 0.2 0.6
     VOLUME OF TRADES (000'S) 6,244,556.9 1,322,269.9 1,225,930.1 4,773,166.9 5,388,641.2 11,636,843.9 14,005,082.9
     NUMBER OF TRADES 145 67 42 99 150 292 494
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.1 90.5 93.6 96.1 98.3 100.0 102.4
Weighted Avg. Price 82.8 90.6 93.6 96.0 98.2 100.0 102.4
Avg. Price Bottom 5 Trades 76.6 90.5 93.4 95.9 98.1 99.8 101.4
2nd Quartile Price 79.9 90.5 93.5 96.0 98.2 100.0 101.5
3rd Quartile Price 83.4 90.6 93.6 96.1 98.3 100.0 102.8
4th Quartile Price 87.0 90.6 93.6 96.1 98.3 100.0 102.9
Avg. Price Top 5 Trades 87.1 90.6 93.7 96.2 98.4 100.1 104.6
Standard Deviation 3.4 0.1 0.1 0.1 0.1 - 1.1
     VOLUME OF TRADES (000'S) 11,566,163.0 597,935.0 5,978,578.7 4,653,928.4 11,757,867.0 21,983,013.8 31,396,651.0
     NUMBER OF TRADES 92 24 72 103 132 299 491
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 86.6 91.6 94.1 96.4 98.6 100.1 101.5
Weighted Avg. Price 87.9 91.5 94.1 96.4 98.5 100.2 101.6
Avg. Price Bottom 5 Trades 82.6 91.4 94.0 96.4 98.5 100.0 101.1
2nd Quartile Price 85.6 91.6 94.0 96.4 98.6 100.1 101.2
3rd Quartile Price 85.7 91.6 94.1 96.4 98.6 100.1 101.3
4th Quartile Price 88.9 91.7 94.2 96.5 98.6 100.2 101.9
Avg. Price Top 5 Trades 89.0 91.7 94.2 96.5 98.7 100.3 102.7
Standard Deviation 2.4 0.1 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 5,632,425.0 1,323,650.0 1,124,420.0 3,843,175.0 3,748,200.0 5,049,900.0 8,316,493.6
     NUMBER OF TRADES 38 43 19 28 64 205 255
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * - 93.5 96.0 98.2 99.9 101.9
Weighted Avg. Price * - 93.5 96.0 98.2 99.9 103.1
Avg. Price Bottom 5 Trades * - 93.4 96.0 98.0 99.8 101.3
2nd Quartile Price * - 93.4 96.0 98.2 99.9 101.3
3rd Quartile Price * - 93.5 96.0 98.2 99.9 101.4
4th Quartile Price * - 93.6 96.1 98.2 99.9 102.8
Avg. Price Top 5 Trades * - 93.6 96.1 98.2 100.0 104.5
Standard Deviation * - 0.1 - 0.1 - 1.0
     VOLUME OF TRADES (000'S) * - 274,800.0 421,080.4 531,900.0 1,032,200.0 4,297,829.0
     NUMBER OF TRADES * - 8 20 60 213 176
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 - * 94.0 96.4 98.5 100.0 101.4
Weighted Avg. Price - * 94.0 96.4 98.5 100.0 101.6
Avg. Price Bottom 5 Trades - * 94.0 96.4 98.4 99.9 100.9
2nd Quartile Price - * * 96.4 98.5 99.9 101.1
3rd Quartile Price - * * 96.4 98.5 100.0 101.1
4th Quartile Price - * * 96.5 98.5 100.0 101.8
Avg. Price Top 5 Trades - * 94.0 96.4 98.6 100.1 102.7
Standard Deviation - * 0.1 - 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) - * 66,000.0 74,500.0 168,500.0 393,000.0 1,238,300.0
     NUMBER OF TRADES - * 6 11 46 73 86
* 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].