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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

OCTOBER 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 - - - - - - -
NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 86.9 * 93.1 94.6 96.2 97.9 99.5
Weighted Avg. Price 87.2 * 93.1 94.6 96.2 97.9 99.3
Avg. Price Bottom 5 Trades 82.1 * 93.1 94.5 96.1 97.8 99.2
2nd Quartile Price 86.8 * 93.1 94.5 96.1 97.8 99.3
3rd Quartile Price 87.0 * 93.1 94.6 96.2 97.8 99.3
4th Quartile Price 89.0 * 93.2 94.6 96.3 97.9 99.5
Avg. Price Top 5 Trades 89.2 * 93.2 94.7 96.3 98.1 100.3
Standard Deviation 2.1 * 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 457,413.0 * 116,135.0 496,850.0 866,480.0 497,600.0 1,062,700.0
     NUMBER OF TRADES 61 * 15 38 81 37 48
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 * - - - * * 99.4
Weighted Avg. Price * - - - * * 99.2
Avg. Price Bottom 5 Trades * - - - * * 99.2
2nd Quartile Price * - - - * * 99.2
3rd Quartile Price * - - - * * 99.3
4th Quartile Price * - - - * * 99.4
Avg. Price Top 5 Trades * - - - * * 99.8
Standard Deviation * - - - * * 0.4
     VOLUME OF TRADES (000'S) * - - - * * 642,500.0
     NUMBER OF TRADES * - - - * * 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 - - - - - - -
JANUARY 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

OCTOBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * - * * * * 99.0
Weighted Avg. Price * - * * * * 98.3
Avg. Price Bottom 5 Trades * - * * * * 98.4
2nd Quartile Price * - * * * * 99.0
3rd Quartile Price * - * * * * 99.2
4th Quartile Price * - * * * * 100.0
Avg. Price Top 5 Trades * - * * * * 99.7
Standard Deviation * - * * * * 1.2
     VOLUME OF TRADES (000'S) * - * * * * 165,676.0
     NUMBER OF TRADES * - * * * * 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 80.9 85.7 88.2 90.5 93.0 95.5 99.1
Weighted Avg. Price 80.5 85.6 88.2 90.5 93.0 95.5 98.6
Avg. Price Bottom 5 Trades 76.4 85.5 87.8 89.9 92.5 95.1 97.2
2nd Quartile Price 79.9 85.5 88.1 90.4 93.0 95.4 97.8
3rd Quartile Price 80.4 85.7 88.3 90.5 93.0 95.5 99.5
4th Quartile Price 82.9 85.8 88.3 90.6 93.1 95.6 99.6
Avg. Price Top 5 Trades 83.2 86.0 88.5 90.9 93.3 96.1 102.6
Standard Deviation 2.2 0.2 0.2 0.3 0.2 0.2 1.3
     VOLUME OF TRADES (000'S) 9,250,539.0 2,421,489.7 2,695,329.1 5,650,673.9 6,295,726.5 8,094,776.8 11,445,040.9
     NUMBER OF TRADES 168 54 65 95 145 202 770
NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 77.3 83.9 86.9 89.8 92.4 94.9 98.5
Weighted Avg. Price 77.1 83.9 86.9 89.7 92.4 94.8 98.5
Avg. Price Bottom 5 Trades 73.0 83.7 86.7 89.5 92.2 94.7 97.0
2nd Quartile Price 74.1 83.8 86.8 89.7 92.3 94.8 97.2
3rd Quartile Price 77.3 83.9 86.9 89.7 92.4 94.9 99.1
4th Quartile Price 80.5 83.9 87.0 89.8 92.5 94.9 99.2
Avg. Price Top 5 Trades 80.8 84.2 87.2 90.1 92.9 95.2 101.6
Standard Deviation 2.7 0.1 0.1 0.1 0.1 0.1 1.3
     VOLUME OF TRADES (000'S) 16,336,901.8 6,848,710.0 13,752,817.0 8,961,411.0 24,439,057.0 24,827,336.7 61,535,758.4
     NUMBER OF TRADES 473 168 214 276 514 633 1,959
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 80.9 85.7 88.3 90.5 93.0 95.5 98.9
Weighted Avg. Price 80.5 85.7 88.4 90.6 93.0 95.5 98.6
Avg. Price Bottom 5 Trades 76.4 85.5 87.9 90.2 92.9 95.3 97.5
2nd Quartile Price 79.9 85.6 88.2 90.4 92.9 95.4 97.8
3rd Quartile Price 80.5 85.7 88.3 90.5 93.0 95.5 99.3
4th Quartile Price 82.9 85.8 88.4 90.6 93.1 95.5 99.4
Avg. Price Top 5 Trades 83.3 86.0 88.7 91.0 93.4 95.8 101.6
Standard Deviation 2.2 0.1 0.2 0.2 0.1 0.1 1.1
     VOLUME OF TRADES (000'S) 9,445,809.0 2,819,041.7 3,854,297.7 6,485,839.1 7,405,594.7 8,005,940.7 14,106,623.3
     NUMBER OF TRADES 175 68 90 108 174 214 757
DECEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 77.2 84.1 87.0 89.9 92.5 94.8 99.2
Weighted Avg. Price 76.6 84.1 87.0 89.9 92.4 94.8 98.4
Avg. Price Bottom 5 Trades 74.0 83.8 86.8 89.7 92.2 94.7 97.0
2nd Quartile Price 74.1 83.9 86.9 89.7 92.3 94.8 99.0
3rd Quartile Price 77.3 84.1 87.1 89.9 92.4 94.8 99.1
4th Quartile Price 80.6 84.3 87.1 90.0 92.6 94.8 100.6
Avg. Price Top 5 Trades 80.8 84.3 87.3 90.1 92.7 94.9 101.1
Standard Deviation 3.0 0.2 0.2 0.2 0.2 0.1 1.4
     VOLUME OF TRADES (000'S) 9,129,796.9 3,241,400.0 7,965,485.0 2,264,370.0 13,720,379.4 10,909,228.0 23,141,043.3
     NUMBER OF TRADES 70 28 25 31 44 36 401
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 80.6 * 88.5 * 92.9 95.4 99.1
Weighted Avg. Price 80.2 * 88.9 * 92.9 95.5 99.2
Avg. Price Bottom 5 Trades 80.6 * 88.5 * 92.9 95.3 97.4
2nd Quartile Price * * * * 92.9 95.4 99.0
3rd Quartile Price * * * * 92.9 95.4 99.2
4th Quartile Price * * * * 93.0 95.5 99.4
Avg. Price Top 5 Trades 80.6 * 88.5 * 93.0 95.6 100.7
Standard Deviation 1.1 * 0.4 * 0.1 0.1 1.1
     VOLUME OF TRADES (000'S) 100,500.0 * 748,500.0 * 25,250.0 120,100.0 1,314,600.0
     NUMBER OF TRADES 7 * 6 * 8 22 179
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - * * * 99.2
Weighted Avg. Price - - - * * * 99.4
Avg. Price Bottom 5 Trades - - - * * * 97.0
2nd Quartile Price - - - * * * 98.9
3rd Quartile Price - - - * * * 99.0
4th Quartile Price - - - * * * 100.4
Avg. Price Top 5 Trades - - - * * * 101.1
Standard Deviation - - - * * * 1.0
     VOLUME OF TRADES (000'S) - - - * * * 782,800.0
     NUMBER OF TRADES - - - * * * 117
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].