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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

AUGUST Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.9 96.5 98.1 99.6 100.5 101.2 102.0
Weighted Avg. Price 92.0 96.5 98.1 99.5 100.4 101.1 102.1
Avg. Price Bottom 5 Trades 87.8 96.4 98.0 99.4 100.3 100.9 101.9
2nd Quartile Price 90.1 96.4 98.0 99.5 100.4 101.1 101.9
3rd Quartile Price 92.3 96.6 98.1 99.6 100.5 101.2 102.0
4th Quartile Price 94.5 96.6 98.2 99.6 100.5 101.3 102.2
Avg. Price Top 5 Trades 94.7 96.6 98.3 99.8 100.6 101.4 102.3
Standard Deviation 2.1 0.1 0.1 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 4,843,331.5 1,058,115.0 1,211,936.2 653,601.9 1,210,191.6 1,233,783.6 222,832.8
     NUMBER OF TRADES 71 23 42 39 92 93 47
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 92.1 96.6 98.2 99.6 100.5 101.2 102.1
Weighted Avg. Price 92.2 96.6 98.2 99.6 100.4 101.1 102.1
Avg. Price Bottom 5 Trades 88.7 96.5 98.1 99.5 100.3 101.0 101.9
2nd Quartile Price 90.3 96.5 98.1 99.5 100.4 101.1 102.0
3rd Quartile Price 92.5 96.7 98.2 99.6 100.5 101.2 102.1
4th Quartile Price 94.7 96.7 98.3 99.7 100.5 101.4 102.2
Avg. Price Top 5 Trades 94.8 96.7 98.3 99.7 100.7 101.4 102.2
Standard Deviation 2.2 0.1 0.1 0.1 0.1 0.2 0.1
     VOLUME OF TRADES (000'S) 4,722,344.5 1,056,921.1 1,072,261.2 756,285.2 1,153,572.8 1,130,122.4 154,924.1
     NUMBER OF TRADES 55 22 27 21 54 48 20
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 - - * * * * -
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 - - - - - - -
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

AUGUST Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.8 91.5 94.4 96.8 98.9 100.5 102.4
Weighted Avg. Price 86.2 91.5 94.4 96.9 98.9 100.4 102.5
Avg. Price Bottom 5 Trades 77.3 91.2 94.2 96.8 98.7 100.3 101.5
2nd Quartile Price 81.3 91.5 94.3 96.8 98.9 100.4 101.6
3rd Quartile Price 84.8 91.6 94.4 96.8 98.9 100.4 102.7
4th Quartile Price 88.1 91.6 94.4 96.9 98.9 100.4 102.8
Avg. Price Top 5 Trades 88.3 91.7 94.5 97.0 99.0 101.9 104.1
Standard Deviation 3.3 0.1 0.1 0.1 0.1 0.3 0.8
     VOLUME OF TRADES (000'S) 8,810,181.6 3,762,953.7 1,773,346.2 3,076,343.5 11,402,203.8 10,404,956.0 26,740,735.9
     NUMBER OF TRADES 214 86 69 100 157 219 581
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 87.3 92.6 95.0 97.4 99.3 100.5 102.0
Weighted Avg. Price 87.7 92.6 95.0 97.3 99.3 100.5 101.7
Avg. Price Bottom 5 Trades 83.5 92.5 94.9 97.2 99.2 100.3 101.2
2nd Quartile Price 86.8 92.6 95.0 97.3 99.2 100.5 101.3
3rd Quartile Price 86.9 92.6 95.0 97.4 99.3 100.5 101.9
4th Quartile Price 90.0 92.7 95.1 97.4 99.3 100.5 102.3
Avg. Price Top 5 Trades 90.2 92.8 95.2 97.5 99.4 100.7 104.5
Standard Deviation 2.3 0.1 0.1 0.2 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 6,152,927.4 3,105,719.6 2,264,983.1 2,663,069.4 1,209,908.0 1,595,830.9 6,333,526.8
     NUMBER OF TRADES 84 30 33 36 69 110 381
SEPTEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 85.5 91.6 94.5 96.9 98.9 100.4 102.2
Weighted Avg. Price 86.2 91.6 94.5 96.9 99.0 100.4 102.3
Avg. Price Bottom 5 Trades 77.4 91.4 94.3 96.8 98.8 100.3 101.4
2nd Quartile Price 84.8 91.6 94.4 96.9 98.9 100.4 101.6
3rd Quartile Price 85.0 91.6 94.5 96.9 98.9 100.4 101.7
4th Quartile Price 88.3 91.7 94.5 96.9 98.9 100.5 102.7
Avg. Price Top 5 Trades 88.4 91.8 94.6 97.1 99.0 100.7 104.1
Standard Deviation 3.0 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 10,554,579.1 7,113,543.9 2,529,517.0 8,878,406.5 20,685,818.4 23,356,760.6 41,808,906.7
     NUMBER OF TRADES 414 182 126 237 468 676 1,017
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 87.3 92.7 95.2 97.5 99.3 100.5 101.7
Weighted Avg. Price 87.9 92.7 95.1 97.4 99.3 100.5 101.6
Avg. Price Bottom 5 Trades 83.6 92.6 95.1 97.4 99.1 100.4 101.2
2nd Quartile Price 86.9 92.7 95.1 97.4 99.2 100.4 101.2
3rd Quartile Price 87.0 92.7 95.2 97.4 99.3 100.4 101.7
4th Quartile Price 90.1 92.8 95.3 97.5 99.3 100.5 101.9
Avg. Price Top 5 Trades 90.2 92.8 95.3 97.6 99.4 100.6 104.2
Standard Deviation 2.4 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 6,342,096.4 3,692,677.6 1,911,163.0 2,857,780.0 2,498,969.0 2,050,654.0 5,644,420.4
     NUMBER OF TRADES 70 27 22 42 153 174 257
OCTOBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * - 94.5 96.9 98.9 100.4 101.8
Weighted Avg. Price * - 94.5 96.9 98.9 100.4 101.7
Avg. Price Bottom 5 Trades * - 94.5 96.9 98.8 100.3 101.5
2nd Quartile Price * - * 96.9 98.9 100.3 101.5
3rd Quartile Price * - * 96.9 98.9 100.4 101.6
4th Quartile Price * - * 97.0 98.9 100.4 101.6
Avg. Price Top 5 Trades * - 94.5 97.0 99.0 100.5 102.8
Standard Deviation * - - - - - 0.4
     VOLUME OF TRADES (000'S) * - 219,675.0 44,675.0 576,900.0 2,187,950.0 1,548,950.0
     NUMBER OF TRADES * - 5 11 163 238 127
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 * * * 97.5 99.2 100.3 101.3
Weighted Avg. Price * * * 97.5 99.3 100.4 101.2
Avg. Price Bottom 5 Trades * * * 97.4 99.1 100.2 101.0
2nd Quartile Price * * * 97.4 99.1 100.3 101.1
3rd Quartile Price * * * 97.5 99.2 100.4 101.2
4th Quartile Price * * * 97.5 99.3 100.4 101.6
Avg. Price Top 5 Trades * * * 97.5 99.3 100.5 101.7
Standard Deviation * * * - 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) * * * 45,300.0 225,000.0 323,645.0 487,360.0
     NUMBER OF TRADES * * * 8 50 50 37
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 - - - - * - -
* 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].