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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

SEPTEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 88.5 93.6 95.3 96.8 98.2 99.5 100.6
Weighted Avg. Price 88.3 93.7 95.3 96.8 98.2 99.4 100.5
Avg. Price Bottom 5 Trades 85.1 93.5 95.2 96.6 98.1 99.3 100.4
2nd Quartile Price 86.9 93.6 95.3 96.8 98.2 99.4 100.6
3rd Quartile Price 89.2 93.7 95.4 96.8 98.2 99.5 100.7
4th Quartile Price 89.4 93.7 95.4 96.8 98.3 99.6 100.8
Avg. Price Top 5 Trades 91.7 93.7 95.4 96.9 98.4 99.6 100.7
Standard Deviation 1.9 0.1 0.1 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 1,840,707.0 137,839.0 460,765.0 1,478,050.0 480,670.0 433,650.0 417,400.0
     NUMBER OF TRADES 63 11 28 47 51 33 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 - - - - - - -
OCTOBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 88.5 * 95.3 96.8 98.2 99.4 100.5
Weighted Avg. Price 88.4 * 95.3 96.8 98.2 99.3 100.4
Avg. Price Bottom 5 Trades 86.0 * 95.3 96.7 98.1 99.3 100.3
2nd Quartile Price 87.0 * 95.3 96.7 98.2 99.3 100.5
3rd Quartile Price 89.3 * 95.4 96.8 98.2 99.4 100.6
4th Quartile Price 89.4 * 95.5 96.9 98.3 99.4 100.7
Avg. Price Top 5 Trades 90.1 * 95.4 96.9 98.3 99.5 100.6
Standard Deviation 1.7 * 0.1 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 1,564,256.0 * 285,000.0 852,935.0 120,820.0 248,750.0 419,100.0
     NUMBER OF TRADES 32 * 7 19 18 15 15
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 - - - - - - -
NOVEMBER 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 - - - - - - -
DECEMBER 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 - - - - - - -

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

SEPTEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.7 88.2 91.2 93.8 96.1 98.0 100.4
Weighted Avg. Price 82.2 88.2 91.2 93.8 96.0 98.0 100.0
Avg. Price Bottom 5 Trades 73.8 88.0 91.0 93.6 95.9 97.9 99.4
2nd Quartile Price 81.6 88.2 91.2 93.7 96.0 98.0 99.6
3rd Quartile Price 84.7 88.2 91.2 93.8 96.0 98.0 99.8
4th Quartile Price 84.9 88.3 91.2 93.8 96.1 98.0 101.0
Avg. Price Top 5 Trades 85.1 88.4 91.5 94.5 96.9 99.7 104.7
Standard Deviation 2.6 0.1 0.1 0.1 0.1 0.2 0.9
     VOLUME OF TRADES (000'S) 42,046,519.7 21,469,493.6 11,600,613.0 13,331,150.0 21,459,623.3 28,188,114.5 53,078,721.4
     NUMBER OF TRADES 678 477 270 339 529 694 1,443
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 84.5 89.8 92.0 94.3 96.5 98.4 100.5
Weighted Avg. Price 84.7 89.9 92.0 94.3 96.5 98.4 100.3
Avg. Price Bottom 5 Trades 81.1 89.6 91.2 94.2 96.3 98.2 99.6
2nd Quartile Price 83.7 89.7 92.1 94.3 96.4 98.3 99.9
3rd Quartile Price 84.0 89.7 92.2 94.3 96.5 98.4 100.0
4th Quartile Price 86.8 89.8 92.2 94.4 96.5 98.4 100.9
Avg. Price Top 5 Trades 87.0 90.0 92.3 94.4 96.8 99.4 104.1
Standard Deviation 2.1 0.1 0.6 0.1 0.1 0.2 0.8
     VOLUME OF TRADES (000'S) 3,514,995.0 1,877,412.0 990,160.0 4,183,035.0 662,590.0 2,051,994.1 8,210,565.4
     NUMBER OF TRADES 81 62 42 65 67 190 584
OCTOBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.2 88.3 91.3 93.9 96.1 98.0 100.3
Weighted Avg. Price 82.1 88.3 91.2 93.9 96.1 98.0 100.0
Avg. Price Bottom 5 Trades 74.1 88.1 91.1 93.7 95.9 97.9 99.4
2nd Quartile Price 81.4 88.2 91.2 93.8 96.0 98.0 99.6
3rd Quartile Price 81.8 88.3 91.3 93.8 96.1 98.0 99.8
4th Quartile Price 85.0 88.3 91.3 93.9 96.1 98.0 101.0
Avg. Price Top 5 Trades 85.2 88.5 91.5 94.1 96.3 98.4 102.5
Standard Deviation 3.0 0.1 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 36,759,748.1 21,677,035.6 8,422,409.0 10,154,562.0 15,695,734.0 19,635,364.0 38,589,805.7
     NUMBER OF TRADES 298 222 87 134 146 254 698
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 85.0 89.8 91.9 94.4 96.5 98.4 100.3
Weighted Avg. Price 85.0 89.9 92.0 94.3 96.6 98.4 100.2
Avg. Price Bottom 5 Trades 81.8 89.6 91.1 94.3 96.4 98.3 99.7
2nd Quartile Price 83.9 89.7 92.1 94.3 96.4 98.3 99.8
3rd Quartile Price 84.0 89.8 92.2 94.3 96.5 98.3 100.7
4th Quartile Price 86.8 90.0 92.4 94.4 96.5 98.4 100.7
Avg. Price Top 5 Trades 87.0 89.9 92.3 94.5 96.7 98.5 102.0
Standard Deviation 1.9 0.2 0.9 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 2,800,217.0 759,285.0 801,850.0 3,676,380.0 209,845.0 1,083,530.0 3,543,189.9
     NUMBER OF TRADES 43 17 16 39 40 85 280
NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * * * 93.9 96.1 98.0 100.4
Weighted Avg. Price * * * 93.9 96.1 98.1 100.5
Avg. Price Bottom 5 Trades * * * 93.9 96.0 97.9 99.4
2nd Quartile Price * * * * 96.0 97.9 99.6
3rd Quartile Price * * * * 96.1 98.0 100.9
4th Quartile Price * * * * 96.1 98.0 100.9
Avg. Price Top 5 Trades * * * 93.9 96.1 98.1 102.2
Standard Deviation * * * 0.1 - 0.1 0.7
     VOLUME OF TRADES (000'S) * * * 4,750.0 49,500.0 468,700.0 2,459,700.0
     NUMBER OF TRADES * * * 5 8 48 382
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 - * * * 96.5 98.3 100.1
Weighted Avg. Price - * * * 96.6 98.4 100.1
Avg. Price Bottom 5 Trades - * * * 96.5 98.3 99.7
2nd Quartile Price - * * * 96.5 98.3 99.7
3rd Quartile Price - * * * 96.5 98.3 99.9
4th Quartile Price - * * * 96.7 98.4 100.6
Avg. Price Top 5 Trades - * * * 96.5 98.5 101.3
Standard Deviation - * * * 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) - * * * 46,000.0 177,000.0 1,000,200.0
     NUMBER OF TRADES - * * * 7 23 166
DECEMBER 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 - - - - - - -
* 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].