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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

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

JULY Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 93.9 96.4 98.4 100.0 100.9 102.1 *
Weighted Avg. Price 94.2 96.3 98.5 100.0 100.9 102.1 *
Avg. Price Bottom 5 Trades 91.9 96.2 98.3 99.8 100.9 101.9 *
2nd Quartile Price 94.1 96.3 98.3 99.9 100.9 102.1 *
3rd Quartile Price 94.1 96.4 98.4 100.0 100.9 102.1 *
4th Quartile Price 94.3 96.5 98.4 100.0 101.0 102.1 *
Avg. Price Top 5 Trades 94.4 96.6 98.5 100.1 101.1 102.1 *
Standard Deviation 0.9 0.2 0.1 0.1 0.1 0.3 *
     VOLUME OF TRADES (000'S) 399,435.0 276,640.0 530,235.0 372,684.6 324,359.0 165,400.0 *
     NUMBER OF TRADES 39 19 62 50 46 24 *
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 - - - - - - -
SEPTEMBER Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE * 96.2 98.3 99.9 100.7 101.8 *
Weighted Avg. Price * 96.2 98.4 99.9 100.8 101.8 *
Avg. Price Bottom 5 Trades * 96.2 98.3 99.8 100.6 101.8 *
2nd Quartile Price * * 98.3 99.8 100.7 * *
3rd Quartile Price * * 98.3 99.9 100.8 * *
4th Quartile Price * * 98.5 100.0 100.8 * *
Avg. Price Top 5 Trades * 96.2 98.3 99.9 100.8 101.8 *
Standard Deviation * 0.2 0.1 0.1 0.1 - *
     VOLUME OF TRADES (000'S) * 223,250.0 204,900.0 152,200.0 62,900.0 35,000.0 *
     NUMBER OF TRADES * 9 7 14 10 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 - - - - - - -
OCTOBER Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE - - * * 100.5 - -
Weighted Avg. Price - - * * 100.5 - -
Avg. Price Bottom 5 Trades - - * * 100.5 - -
2nd Quartile Price - - * * 100.5 - -
3rd Quartile Price - - * * 100.5 - -
4th Quartile Price - - * * 100.6 - -
Avg. Price Top 5 Trades - - * * 100.6 - -
Standard Deviation - - * * 0.1 - -
     VOLUME OF TRADES (000'S) - - * * 15,000.0 - -
     NUMBER OF TRADES - - * * 9 - -
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

JULY Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
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 - - - - - * -
AUGUST Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 88.6 92.1 95.1 97.7 99.4 100.8 102.0
Weighted Avg. Price 88.7 92.0 95.1 97.7 99.4 100.8 102.0
Avg. Price Bottom 5 Trades 86.4 91.6 94.8 97.5 99.2 100.5 101.6
2nd Quartile Price 88.7 91.8 94.9 97.6 99.3 100.6 101.8
3rd Quartile Price 88.7 92.2 95.0 97.6 99.4 100.7 101.9
4th Quartile Price 88.8 92.3 95.2 97.9 99.6 100.9 102.0
Avg. Price Top 5 Trades 89.2 92.4 95.4 98.0 100.8 102.5 104.2
Standard Deviation 0.8 0.3 0.2 0.2 0.2 0.2 0.4
     VOLUME OF TRADES (000'S) 10,162,309.0 6,983,647.0 7,876,954.7 10,227,600.3 14,450,529.5 16,003,358.3 11,765,041.2
     NUMBER OF TRADES 155 370 433 408 634 791 623
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 90.8 93.6 96.1 98.3 100.1 101.2 102.0
Weighted Avg. Price 91.1 93.8 96.1 98.2 100.1 101.2 102.0
Avg. Price Bottom 5 Trades 90.2 92.7 95.4 97.7 99.7 100.9 101.7
2nd Quartile Price 90.8 93.5 96.0 98.2 100.1 101.1 101.9
3rd Quartile Price 91.1 93.8 96.1 98.3 100.1 101.2 101.9
4th Quartile Price 91.2 93.8 96.3 98.5 100.3 101.3 102.0
Avg. Price Top 5 Trades 91.2 94.0 96.4 98.5 100.4 101.8 103.5
Standard Deviation 0.9 0.6 0.3 0.3 0.2 0.2 0.4
     VOLUME OF TRADES (000'S) 249,445.0 672,689.0 1,093,994.0 780,256.7 2,610,927.5 3,980,107.2 2,742,106.8
     NUMBER OF TRADES 13 29 57 56 122 194 205
SEPTEMBER Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 88.7 91.8 94.9 97.5 99.3 100.5 101.7
Weighted Avg. Price 88.7 91.8 94.9 97.5 99.2 100.6 101.8
Avg. Price Bottom 5 Trades 88.6 91.7 94.7 97.2 99.0 100.3 101.4
2nd Quartile Price 88.7 91.7 94.8 97.3 99.1 100.4 101.5
3rd Quartile Price 88.7 91.7 95.0 97.4 99.2 100.5 101.6
4th Quartile Price 88.8 91.8 95.1 97.6 99.4 100.6 101.7
Avg. Price Top 5 Trades 88.9 91.8 95.2 97.7 100.0 101.8 103.2
Standard Deviation 0.1 0.1 0.2 0.2 0.2 0.3 0.4
     VOLUME OF TRADES (000'S) 7,485,395.0 1,213,000.0 2,070,500.0 5,669,575.0 4,576,025.0 3,904,750.0 5,860,066.3
     NUMBER OF TRADES 30 17 29 114 90 198 224
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 - - * * 99.9 100.9 101.7
Weighted Avg. Price - - * * 100.0 100.9 101.8
Avg. Price Bottom 5 Trades - - * * 99.7 100.8 101.4
2nd Quartile Price - - * * 99.9 100.8 101.5
3rd Quartile Price - - * * 99.9 100.9 101.6
4th Quartile Price - - * * 100.0 101.0 101.7
Avg. Price Top 5 Trades - - * * 100.2 101.1 103.6
Standard Deviation - - * * 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) - - * * 1,871,050.0 849,700.0 1,371,850.0
     NUMBER OF TRADES - - * * 56 88 153
OCTOBER Settlement
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE - * * 97.3 99.1 100.3 101.5
Weighted Avg. Price - * * 97.4 99.2 100.5 101.6
Avg. Price Bottom 5 Trades - * * 97.2 98.9 100.2 101.2
2nd Quartile Price - * * 97.3 98.9 100.2 101.3
3rd Quartile Price - * * 97.3 99.0 100.3 101.3
4th Quartile Price - * * 97.5 99.3 100.5 101.5
Avg. Price Top 5 Trades - * * 97.5 99.4 101.0 103.1
Standard Deviation - * * 0.1 0.2 0.2 0.4
     VOLUME OF TRADES (000'S) - * * 2,175,000.0 1,620,750.0 2,097,250.0 1,059,600.0
     NUMBER OF TRADES - * * 31 48 167 163
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 - - * * 99.7 100.7 101.4
Weighted Avg. Price - - * * 99.8 100.8 101.4
Avg. Price Bottom 5 Trades - - * * 99.5 100.6 101.1
2nd Quartile Price - - * * 99.6 100.6 101.2
3rd Quartile Price - - * * 99.7 100.7 101.3
4th Quartile Price - - * * 99.9 100.8 101.4
Avg. Price Top 5 Trades - - * * 100.0 100.9 102.2
Standard Deviation - - * * 0.2 0.1 0.3
     VOLUME OF TRADES (000'S) - - * * 325,250.0 623,000.0 695,700.0
     NUMBER OF TRADES - - * * 35 73 78
* 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].