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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 CBO/CDO/CLO

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
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 - - - - - - -
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.0 98.1 99.7 101.0 102.2 103.2 -
Weighted Avg. Price 94.8 98.1 99.7 101.0 102.2 103.2 -
Avg. Price Bottom 5 Trades 90.3 98.1 99.7 100.9 102.2 103.2 -
2nd Quartile Price 91.8 98.1 99.7 101.0 102.2 103.2 -
3rd Quartile Price 95.5 98.2 99.7 101.0 102.2 103.2 -
4th Quartile Price 96.8 98.2 99.7 101.0 102.2 103.2 -
Avg. Price Top 5 Trades 96.7 98.2 99.8 101.0 102.2 103.2 -
Standard Deviation 2.7 0.1 - - - - -
     VOLUME OF TRADES (000'S) 148,188.0 354,900.0 1,307,126.0 1,091,445.5 1,125,000.0 274,197.0 -
     NUMBER OF TRADES 37 47 125 142 78 22 -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.7 98.1 99.7 100.9 102.2 103.2 -
Weighted Avg. Price 93.4 98.1 99.7 100.9 102.2 103.2 -
Avg. Price Bottom 5 Trades 94.7 98.0 99.6 100.9 102.1 103.2 -
2nd Quartile Price * 98.0 99.7 100.9 102.2 * -
3rd Quartile Price * 98.1 99.7 100.9 102.2 * -
4th Quartile Price * 98.2 99.7 101.0 102.2 * -
Avg. Price Top 5 Trades 94.7 98.1 99.7 101.0 102.2 103.2 -
Standard Deviation 2.4 0.1 - - - - -
     VOLUME OF TRADES (000'S) 53,000.0 172,500.0 344,000.0 190,000.0 167,100.0 30,547.0 -
     NUMBER OF TRADES 6 19 31 24 18 6 -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 98.1 99.6 100.9 * - -
Weighted Avg. Price * 98.1 99.6 100.9 * - -
Avg. Price Bottom 5 Trades * 98.1 99.6 100.9 * - -
2nd Quartile Price * * 99.6 100.9 * - -
3rd Quartile Price * * 99.6 100.9 * - -
4th Quartile Price * * 99.6 100.9 * - -
Avg. Price Top 5 Trades * 98.1 99.6 100.9 * - -
Standard Deviation * - - - * - -
     VOLUME OF TRADES (000'S) * 11,500.0 50,000.0 24,500.0 * - -
     NUMBER OF TRADES * 8 11 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 - - - - - - -

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
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 - - - - - - -
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.6 93.3 96.1 98.6 100.6 102.2 103.9
Weighted Avg. Price 85.9 93.3 96.1 98.6 100.6 102.2 103.9
Avg. Price Bottom 5 Trades 78.8 93.2 96.0 98.5 100.5 102.1 103.6
2nd Quartile Price 83.2 93.2 96.1 98.5 100.5 102.1 103.6
3rd Quartile Price 86.7 93.3 96.1 98.6 100.6 102.2 103.6
4th Quartile Price 90.2 93.3 96.2 98.6 100.6 102.2 103.6
Avg. Price Top 5 Trades 90.4 93.4 96.3 98.7 101.4 102.8 105.2
Standard Deviation 3.8 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 10,669,958.0 3,692,414.1 6,397,875.0 15,699,353.0 24,694,454.5 33,189,234.8 10,537,349.0
     NUMBER OF TRADES 386 155 323 485 835 676 327
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 88.9 93.2 96.3 98.9 100.8 102.0 103.0
Weighted Avg. Price 89.0 93.2 96.3 98.9 100.7 102.0 102.9
Avg. Price Bottom 5 Trades 81.9 93.2 96.1 98.7 100.6 101.2 102.0
2nd Quartile Price 88.4 93.2 96.2 98.9 100.7 101.9 102.8
3rd Quartile Price 90.7 93.2 96.3 98.9 100.7 102.0 102.9
4th Quartile Price 91.0 93.3 96.3 98.9 100.7 102.0 102.9
Avg. Price Top 5 Trades 91.1 93.3 96.4 99.0 101.8 103.3 105.4
Standard Deviation 2.6 0.1 0.1 0.1 0.2 0.3 0.7
     VOLUME OF TRADES (000'S) 3,025,219.3 662,115.9 4,285,003.6 1,917,547.4 7,689,965.1 6,462,448.7 1,878,080.8
     NUMBER OF TRADES 123 35 103 102 250 232 183
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.8 93.3 96.1 98.5 100.5 102.1 104.0
Weighted Avg. Price 85.7 93.2 96.1 98.5 100.5 102.1 103.9
Avg. Price Bottom 5 Trades 79.4 93.2 96.0 98.4 100.4 102.0 103.5
2nd Quartile Price 86.6 93.3 96.0 98.5 100.5 102.1 103.6
3rd Quartile Price 90.2 93.3 96.1 98.5 100.5 102.1 103.6
4th Quartile Price 90.3 93.3 96.1 98.6 100.5 102.1 103.7
Avg. Price Top 5 Trades 90.4 93.3 96.1 98.8 100.5 102.1 105.2
Standard Deviation 3.7 0.1 0.1 0.2 - - 0.7
     VOLUME OF TRADES (000'S) 4,928,674.0 1,210,310.0 2,730,722.0 7,822,815.0 9,852,907.6 23,100,012.0 8,102,938.0
     NUMBER OF TRADES 75 19 73 100 251 199 117
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 89.1 93.2 96.3 98.8 100.6 101.9 102.9
Weighted Avg. Price 88.7 93.2 96.2 98.8 100.6 101.9 102.8
Avg. Price Bottom 5 Trades 84.5 93.2 96.2 98.7 100.5 101.8 102.7
2nd Quartile Price 88.4 93.2 96.2 98.8 100.6 101.8 102.8
3rd Quartile Price 90.7 93.2 96.3 98.8 100.6 101.8 102.8
4th Quartile Price 90.8 93.3 96.3 98.9 100.6 101.9 102.8
Avg. Price Top 5 Trades 90.8 93.3 96.3 98.9 101.5 103.6 103.3
Standard Deviation 2.5 0.1 - - 0.2 0.4 0.3
     VOLUME OF TRADES (000'S) 1,759,392.0 383,000.0 384,100.0 920,950.0 2,153,491.5 1,702,200.0 292,314.0
     NUMBER OF TRADES 47 13 19 63 179 115 33
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 96.1 98.5 100.4 102.0 104.3
Weighted Avg. Price * * 96.0 98.5 100.4 102.0 104.4
Avg. Price Bottom 5 Trades * * 96.0 98.4 100.3 101.9 103.5
2nd Quartile Price * * 96.0 98.5 100.4 102.0 103.5
3rd Quartile Price * * 96.1 98.5 100.4 102.0 103.6
4th Quartile Price * * 96.1 98.5 100.4 102.0 105.1
Avg. Price Top 5 Trades * * 96.1 98.5 100.4 102.0 105.2
Standard Deviation * * 0.1 0.1 - - 0.8
     VOLUME OF TRADES (000'S) * * 41,400.0 107,650.0 772,750.0 360,550.0 420,600.0
     NUMBER OF TRADES * * 12 29 204 69 36
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 90.6 * 96.2 98.7 100.5 101.7 102.6
Weighted Avg. Price 90.6 * 96.2 98.7 100.6 101.8 102.7
Avg. Price Bottom 5 Trades 90.6 * 96.2 98.6 100.4 101.6 102.5
2nd Quartile Price * * 96.2 98.7 100.5 101.7 102.6
3rd Quartile Price * * 96.2 98.7 100.5 101.7 102.6
4th Quartile Price * * 96.2 98.7 100.5 101.8 102.7
Avg. Price Top 5 Trades 90.6 * 96.2 98.7 100.5 101.8 102.7
Standard Deviation - * 0.1 - - - 0.1
     VOLUME OF TRADES (000'S) 59,000.0 * 94,500.0 116,500.0 1,279,000.0 466,100.0 77,500.0
     NUMBER OF TRADES 5 * 13 18 52 60 11
* 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].