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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 - - - - - - -
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 - - - - - - -
OCTOBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 87.1 92.5 94.5 96.0 97.4 99.0 100.3
Weighted Avg. Price 86.7 92.6 94.4 96.0 97.4 99.0 100.3
Avg. Price Bottom 5 Trades 83.1 92.4 94.4 95.9 97.3 98.8 100.3
2nd Quartile Price 85.7 92.4 94.4 96.0 97.4 98.9 100.3
3rd Quartile Price 88.0 92.4 94.5 96.0 97.4 99.0 100.3
4th Quartile Price 88.3 92.5 94.7 96.0 97.5 99.0 100.3
Avg. Price Top 5 Trades 90.6 92.6 94.5 96.0 97.6 99.1 100.3
Standard Deviation 2.3 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 500,903.0 34,745.6 28,496.0 75,251.0 467,705.0 107,425.0 156,780.0
     NUMBER OF TRADES 88 12 11 23 73 26 11
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 87.5 * * * 97.4 * 100.3
Weighted Avg. Price 86.9 * * * 97.4 * 100.3
Avg. Price Bottom 5 Trades 84.9 * * * 97.4 * 100.2
2nd Quartile Price 86.0 * * * 97.4 * 100.2
3rd Quartile Price 86.0 * * * 97.4 * 100.3
4th Quartile Price 90.4 * * * 97.5 * 100.3
Avg. Price Top 5 Trades 90.6 * * * 97.5 * 100.3
Standard Deviation 2.4 * * * 0.1 * 0.1
     VOLUME OF TRADES (000'S) 206,025.0 * * * 68,125.0 * 187,000.0
     NUMBER OF TRADES 24 * * * 11 * 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 - - - - - - -
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 - - - - - * -
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 - - - - - - *
OCTOBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 79.8 86.2 89.2 92.0 94.5 96.8 99.7
Weighted Avg. Price 80.0 86.3 89.3 92.0 94.5 96.8 99.7
Avg. Price Bottom 5 Trades 71.7 85.9 88.4 91.7 94.3 96.2 98.6
2nd Quartile Price 76.6 86.0 89.1 91.9 94.4 96.7 98.8
3rd Quartile Price 79.9 86.2 89.2 92.0 94.5 96.8 99.1
4th Quartile Price 82.7 86.4 89.4 92.2 94.7 97.0 100.5
Avg. Price Top 5 Trades 83.4 86.6 89.6 92.3 94.8 98.0 102.4
Standard Deviation 3.0 0.2 0.3 0.2 0.2 0.2 1.0
     VOLUME OF TRADES (000'S) 14,279,757.1 4,080,050.9 2,540,613.0 3,470,389.0 9,475,498.8 13,269,057.9 23,075,470.7
     NUMBER OF TRADES 528 177 150 214 517 567 1,066
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 82.3 87.7 90.3 92.5 94.9 97.1 100.2
Weighted Avg. Price 82.8 87.9 90.3 92.8 94.9 97.1 99.9
Avg. Price Bottom 5 Trades 78.1 87.5 90.0 92.3 94.7 96.9 99.0
2nd Quartile Price 81.6 87.6 90.1 92.4 94.8 97.1 99.3
3rd Quartile Price 82.2 87.7 90.3 92.4 94.9 97.1 100.6
4th Quartile Price 84.8 87.8 90.5 92.7 95.0 97.2 100.7
Avg. Price Top 5 Trades 85.3 87.9 90.6 92.8 95.2 97.4 103.7
Standard Deviation 2.3 0.1 0.2 0.2 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 2,003,679.9 1,022,762.0 1,259,878.8 6,005,769.4 2,311,199.2 2,819,021.4 5,741,029.0
     NUMBER OF TRADES 123 52 42 59 94 126 461
NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 80.5 86.4 89.3 92.0 94.6 96.8 100.1
Weighted Avg. Price 80.7 86.4 89.3 91.9 94.6 96.9 100.1
Avg. Price Bottom 5 Trades 73.7 86.0 89.1 91.8 94.3 96.6 98.5
2nd Quartile Price 79.7 86.1 89.2 91.8 94.5 96.6 99.0
3rd Quartile Price 80.1 86.4 89.3 91.9 94.6 96.8 100.4
4th Quartile Price 83.0 86.6 89.5 92.1 94.8 96.9 100.6
Avg. Price Top 5 Trades 83.4 86.7 89.6 92.2 94.9 97.1 102.0
Standard Deviation 2.9 0.2 0.2 0.2 0.2 0.2 1.0
     VOLUME OF TRADES (000'S) 6,016,332.0 1,301,075.0 733,865.0 642,375.0 3,169,797.8 1,457,425.0 8,521,345.0
     NUMBER OF TRADES 97 31 23 32 46 68 426
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 83.1 87.8 90.4 92.6 94.9 97.1 99.9
Weighted Avg. Price 83.6 87.8 90.2 92.9 94.8 97.0 99.7
Avg. Price Bottom 5 Trades 80.1 87.7 90.3 92.4 94.8 97.0 98.9
2nd Quartile Price 81.9 87.7 90.2 92.4 94.8 97.0 99.1
3rd Quartile Price 84.7 87.9 90.6 92.7 94.9 97.1 100.4
4th Quartile Price 85.0 88.3 90.7 92.8 95.2 97.2 100.5
Avg. Price Top 5 Trades 85.3 87.9 90.5 92.8 95.0 97.4 101.6
Standard Deviation 2.2 0.3 0.3 0.2 0.2 0.1 0.8
     VOLUME OF TRADES (000'S) 943,255.0 90,875.0 833,900.0 5,398,590.0 95,850.0 700,615.0 2,325,740.0
     NUMBER OF TRADES 25 7 8 13 9 42 253
DECEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * * * * 94.4 96.7 99.9
Weighted Avg. Price * * * * 94.4 96.7 99.8
Avg. Price Bottom 5 Trades * * * * 94.3 96.6 98.5
2nd Quartile Price * * * * 94.3 96.6 99.0
3rd Quartile Price * * * * 94.4 96.7 100.3
4th Quartile Price * * * * 94.5 96.8 100.4
Avg. Price Top 5 Trades * * * * 94.5 96.8 101.9
Standard Deviation * * * * 0.2 0.1 0.8
     VOLUME OF TRADES (000'S) * * * * 146,650.0 131,500.0 2,510,380.0
     NUMBER OF TRADES * * * * 11 11 298
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 - - - * 94.7 96.9 99.8
Weighted Avg. Price - - - * 94.8 97.1 99.7
Avg. Price Bottom 5 Trades - - - * 94.7 96.8 98.8
2nd Quartile Price - - - * 94.8 96.8 99.0
3rd Quartile Price - - - * 94.8 97.0 100.2
4th Quartile Price - - - * 94.8 97.0 100.3
Avg. Price Top 5 Trades - - - * 94.8 97.1 101.2
Standard Deviation - - - * 0.1 0.2 0.7
     VOLUME OF TRADES (000'S) - - - * 67,750.0 33,250.0 695,075.0
     NUMBER OF TRADES - - - * 10 10 124
* 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].