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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

NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.8 95.0 96.4 98.1 99.6 100.9 102.0
Weighted Avg. Price 91.2 94.9 96.4 98.1 99.6 100.9 102.0
Avg. Price Bottom 5 Trades 87.2 94.9 96.3 98.0 99.4 100.7 101.7
2nd Quartile Price 90.9 94.9 96.4 98.0 99.5 100.8 101.8
3rd Quartile Price 91.0 95.0 96.4 98.1 99.6 100.9 102.0
4th Quartile Price 92.9 95.2 96.6 98.2 99.7 101.0 102.1
Avg. Price Top 5 Trades 93.1 95.0 96.5 98.3 99.8 101.0 102.2
Standard Deviation 1.9 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 351,347.0 43,870.0 279,863.7 733,606.2 1,503,189.8 801,946.6 11,696.0
     NUMBER OF TRADES 42 8 21 30 129 27 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 89.9 95.0 96.4 98.1 99.5 100.8 102.1
Weighted Avg. Price 90.8 95.0 96.5 98.1 99.4 100.7 102.1
Avg. Price Bottom 5 Trades 87.9 95.0 96.4 98.0 99.4 100.6 102.1
2nd Quartile Price 89.0 * 96.4 98.1 99.4 100.7 *
3rd Quartile Price 91.0 * 96.4 98.1 99.5 100.8 *
4th Quartile Price 91.1 * 96.6 98.2 99.5 100.9 *
Avg. Price Top 5 Trades 91.5 95.0 96.5 98.2 99.7 100.9 102.1
Standard Deviation 2.1 0.1 0.1 0.1 0.1 0.2 0.7
     VOLUME OF TRADES (000'S) 226,766.0 34,082.0 200,745.7 532,400.2 1,387,294.8 977,046.6 7,496.0
     NUMBER OF TRADES 12 5 10 16 44 13 5
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 - - * * 99.4 100.6 *
Weighted Avg. Price - - * * 99.2 100.4 *
Avg. Price Bottom 5 Trades - - * * 99.3 100.6 *
2nd Quartile Price - - * * 99.4 100.6 *
3rd Quartile Price - - * * 99.4 100.6 *
4th Quartile Price - - * * 99.5 100.7 *
Avg. Price Top 5 Trades - - * * 99.5 100.7 *
Standard Deviation - - * * 0.1 0.1 *
     VOLUME OF TRADES (000'S) - - * * 358,000.0 357,500.0 *
     NUMBER OF TRADES - - * * 9 9 *
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 - - - - - - -
FEBRUARY 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

NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.9 89.0 92.0 94.6 96.9 98.9 101.2
Weighted Avg. Price 83.1 89.0 92.0 94.6 96.9 98.9 101.0
Avg. Price Bottom 5 Trades 74.7 88.8 91.7 94.3 96.6 98.7 100.4
2nd Quartile Price 82.2 88.9 91.9 94.5 96.8 98.8 100.5
3rd Quartile Price 82.4 89.0 92.0 94.6 96.9 98.9 100.7
4th Quartile Price 85.6 89.1 92.1 94.7 97.0 99.0 102.0
Avg. Price Top 5 Trades 85.8 89.3 92.3 95.3 98.5 100.1 104.1
Standard Deviation 2.8 0.1 0.2 0.2 0.2 0.1 0.9
     VOLUME OF TRADES (000'S) 21,893,667.3 9,664,311.4 11,295,045.7 20,440,428.6 39,783,455.6 63,964,370.1 48,462,683.5
     NUMBER OF TRADES 561 260 372 600 1,322 1,525 1,280
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 84.8 90.0 92.7 95.1 97.4 99.4 101.3
Weighted Avg. Price 85.6 90.0 92.8 95.1 97.4 99.4 101.1
Avg. Price Bottom 5 Trades 80.8 89.8 92.5 94.8 97.2 99.2 100.6
2nd Quartile Price 84.0 89.9 92.6 95.0 97.3 99.3 100.8
3rd Quartile Price 84.2 90.0 92.7 95.1 97.4 99.4 100.9
4th Quartile Price 87.2 90.1 92.8 95.2 97.5 99.5 101.8
Avg. Price Top 5 Trades 87.4 90.2 92.9 95.3 97.9 99.8 102.6
Standard Deviation 2.5 0.1 0.1 0.2 0.2 0.1 0.6
     VOLUME OF TRADES (000'S) 2,689,765.2 3,929,346.6 2,549,864.9 2,349,316.5 6,798,865.2 7,987,438.5 12,434,963.1
     NUMBER OF TRADES 96 70 69 115 262 286 442
DECEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.0 89.0 92.0 94.6 96.9 98.9 101.2
Weighted Avg. Price 82.7 89.0 92.0 94.6 96.8 98.9 101.0
Avg. Price Bottom 5 Trades 76.2 88.8 91.7 94.4 96.5 98.6 100.2
2nd Quartile Price 82.2 88.9 91.9 94.5 96.8 98.8 100.5
3rd Quartile Price 82.5 89.1 92.1 94.6 96.9 98.9 100.6
4th Quartile Price 85.5 89.1 92.1 94.7 97.0 99.0 102.0
Avg. Price Top 5 Trades 85.8 89.3 92.2 94.9 97.2 99.2 103.7
Standard Deviation 2.6 0.2 0.2 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 19,787,301.3 5,356,438.0 5,742,907.7 11,992,799.6 24,590,945.3 50,147,690.0 36,186,742.0
     NUMBER OF TRADES 231 58 66 145 318 457 582
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 84.7 90.0 92.7 95.1 97.3 99.3 101.0
Weighted Avg. Price 84.4 90.1 92.8 95.1 97.3 99.2 100.9
Avg. Price Bottom 5 Trades 80.8 89.9 92.5 94.8 97.1 99.0 100.5
2nd Quartile Price 81.0 89.9 92.6 95.0 97.2 99.2 100.7
3rd Quartile Price 87.1 90.0 92.8 95.1 97.3 99.3 100.7
4th Quartile Price 87.3 90.1 92.9 95.2 97.5 99.3 101.6
Avg. Price Top 5 Trades 87.3 90.1 92.9 95.3 97.6 99.5 102.4
Standard Deviation 2.8 0.1 0.2 0.2 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 2,718,955.2 3,376,943.6 1,915,735.9 1,563,360.4 4,651,649.5 5,291,192.2 7,237,863.1
     NUMBER OF TRADES 43 34 35 62 115 162 274
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * - * 94.6 96.9 98.8 100.9
Weighted Avg. Price * - * 94.6 96.8 98.8 100.9
Avg. Price Bottom 5 Trades * - * 94.5 96.8 98.6 100.3
2nd Quartile Price * - * 94.6 96.8 98.7 100.4
3rd Quartile Price * - * 94.6 96.9 98.8 100.5
4th Quartile Price * - * 94.7 96.9 98.9 100.7
Avg. Price Top 5 Trades * - * 94.7 97.0 99.0 103.4
Standard Deviation * - * 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) * - * 171,100.0 1,389,623.2 1,295,140.0 1,715,240.0
     NUMBER OF TRADES * - * 13 25 87 228
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 * * * 95.0 97.2 99.1 100.8
Weighted Avg. Price * * * 94.9 97.2 99.1 100.8
Avg. Price Bottom 5 Trades * * * 94.9 97.1 98.9 100.3
2nd Quartile Price * * * 94.9 97.2 99.0 100.5
3rd Quartile Price * * * 95.1 97.2 99.1 100.5
4th Quartile Price * * * 95.1 97.2 99.1 101.4
Avg. Price Top 5 Trades * * * 95.1 97.3 99.2 101.6
Standard Deviation * * * 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) * * * 234,350.0 62,750.0 675,550.0 2,255,000.0
     NUMBER OF TRADES * * * 15 16 64 92
FEBRUARY 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].