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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
<= 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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.0 * 97.3 98.8 99.9 100.7 101.6
Weighted Avg. Price 89.4 * 97.3 98.8 99.9 100.7 101.6
Avg. Price Bottom 5 Trades 88.1 * 97.2 98.8 99.8 100.6 101.6
2nd Quartile Price 88.8 * 97.2 98.8 99.9 100.8 101.6
3rd Quartile Price 89.1 * 97.3 98.8 99.9 100.8 101.6
4th Quartile Price 91.4 * 97.3 98.8 99.9 100.8 101.7
Avg. Price Top 5 Trades 92.7 * 97.3 98.9 99.9 100.8 101.7
Standard Deviation 2.1 * 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 348,050.0 * 27,943.0 252,135.3 438,300.0 110,800.0 194,730.0
     NUMBER OF TRADES 20 * 11 28 64 23 13
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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 89.0 * * * 99.9 100.7 101.6
Weighted Avg. Price 89.0 * * * 99.9 100.7 101.6
Avg. Price Bottom 5 Trades 89.0 * * * 99.9 100.7 101.6
2nd Quartile Price * * * * * 100.7 101.6
3rd Quartile Price * * * * * 100.8 101.6
4th Quartile Price * * * * * 100.8 101.6
Avg. Price Top 5 Trades 89.0 * * * 99.9 100.7 101.6
Standard Deviation 0.1 * * * - - -
     VOLUME OF TRADES (000'S) 241,250.0 * * * 22,000.0 83,680.0 185,340.0
     NUMBER OF TRADES 5 * * * 5 7 7
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 - - * * 99.8 - -
Weighted Avg. Price - - * * 99.8 - -
Avg. Price Bottom 5 Trades - - * * 99.8 - -
2nd Quartile Price - - * * 99.9 - -
3rd Quartile Price - - * * 99.9 - -
4th Quartile Price - - * * 99.9 - -
Avg. Price Top 5 Trades - - * * 99.9 - -
Standard Deviation - - * * 0.1 - -
     VOLUME OF TRADES (000'S) - - * * 23,000.0 - -
     NUMBER OF TRADES - - * * 7 - -
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
<= 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 - - - - - - *
AUGUST Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.6 89.8 92.8 95.5 97.8 99.6 101.6
Weighted Avg. Price 83.4 89.8 92.8 95.5 97.8 99.6 101.5
Avg. Price Bottom 5 Trades 78.8 89.5 92.7 95.2 97.5 99.4 100.8
2nd Quartile Price 82.8 89.8 92.8 95.4 97.8 99.6 101.0
3rd Quartile Price 83.0 89.8 92.8 95.5 97.8 99.6 101.0
4th Quartile Price 86.3 89.9 92.9 95.5 97.9 99.6 102.3
Avg. Price Top 5 Trades 86.4 89.9 92.9 95.6 98.0 99.7 104.2
Standard Deviation 2.6 0.1 0.1 0.1 0.2 0.1 0.8
     VOLUME OF TRADES (000'S) 8,329,045.0 2,649,707.0 3,024,530.0 4,743,634.4 4,822,847.2 12,076,385.7 19,206,513.0
     NUMBER OF TRADES 330 99 113 187 267 531 789
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 91.1 93.7 96.1 98.3 100.0 101.4
Weighted Avg. Price 85.0 91.1 93.7 96.1 98.3 99.9 101.2
Avg. Price Bottom 5 Trades 82.1 91.0 93.5 95.9 98.1 99.6 100.5
2nd Quartile Price 84.9 91.0 93.6 96.0 98.3 99.9 100.9
3rd Quartile Price 85.4 91.1 93.7 96.1 98.4 100.0 100.9
4th Quartile Price 88.4 91.2 93.7 96.2 98.4 100.0 101.8
Avg. Price Top 5 Trades 88.4 91.2 93.8 96.2 98.4 100.5 105.0
Standard Deviation 2.5 0.1 0.1 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 1,909,788.9 160,085.0 590,987.0 3,578,261.5 2,815,362.0 5,623,530.4 4,882,513.2
     NUMBER OF TRADES 68 24 36 64 66 172 353
SEPTEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.0 89.8 92.8 95.5 97.9 99.7 101.4
Weighted Avg. Price 83.6 89.8 92.8 95.5 97.8 99.7 101.6
Avg. Price Bottom 5 Trades 79.7 89.7 92.8 95.4 97.7 99.5 100.8
2nd Quartile Price 83.0 89.8 * 95.5 97.8 99.6 101.0
3rd Quartile Price 83.1 89.8 * 95.5 97.9 99.6 101.0
4th Quartile Price 86.4 89.9 * 95.6 97.9 99.7 102.3
Avg. Price Top 5 Trades 86.5 89.9 92.8 95.6 97.9 100.1 103.3
Standard Deviation 2.5 0.1 0.2 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 3,625,768.0 793,460.0 10,500.0 104,365.9 579,470.5 2,485,007.7 7,657,111.6
     NUMBER OF TRADES 50 11 6 16 44 197 319
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 85.2 * 93.8 96.2 98.4 99.9 101.2
Weighted Avg. Price 85.4 * 93.8 96.2 98.4 99.9 101.2
Avg. Price Bottom 5 Trades 83.9 * 93.8 96.1 98.3 99.8 100.7
2nd Quartile Price 82.4 * * 96.2 98.4 99.9 100.8
3rd Quartile Price 85.5 * * 96.2 98.4 99.9 100.8
4th Quartile Price 88.4 * * 96.2 98.4 100.0 101.6
Avg. Price Top 5 Trades 87.6 * 93.8 96.3 98.4 100.0 102.5
Standard Deviation 2.8 * - 0.1 - 0.1 0.5
     VOLUME OF TRADES (000'S) 754,135.0 * 119,844.0 2,153,160.0 2,172,247.0 4,324,939.8 2,346,990.0
     NUMBER OF TRADES 14 * 16 25 53 137 195
OCTOBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - * 95.6 97.8 99.6 101.3
Weighted Avg. Price - - * 95.6 97.8 99.6 101.3
Avg. Price Bottom 5 Trades - - * 95.6 97.7 99.5 100.8
2nd Quartile Price - - * * 97.8 99.6 101.0
3rd Quartile Price - - * * 97.9 99.6 101.0
4th Quartile Price - - * * 97.9 99.6 101.0
Avg. Price Top 5 Trades - - * 95.6 97.9 99.6 102.9
Standard Deviation - - * - 0.1 - 0.6
     VOLUME OF TRADES (000'S) - - * 67,654.0 103,500.0 271,000.0 742,090.0
     NUMBER OF TRADES - - * 8 21 108 108
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 * * * 96.2 98.3 99.9 101.0
Weighted Avg. Price * * * 96.2 98.3 99.8 101.2
Avg. Price Bottom 5 Trades * * * 96.2 98.3 99.8 100.6
2nd Quartile Price * * * 96.2 98.3 99.9 100.7
3rd Quartile Price * * * 96.2 98.4 99.9 100.8
4th Quartile Price * * * 96.3 98.4 99.9 101.4
Avg. Price Top 5 Trades * * * 96.3 98.4 99.9 101.7
Standard Deviation * * * 0.1 0.1 - 0.4
     VOLUME OF TRADES (000'S) * * * 109,038.0 286,200.0 571,950.0 604,450.0
     NUMBER OF TRADES * * * 13 16 56 34
* 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].