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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

SEPTEMBER 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 - - - - - - -
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.8 98.8 100.3 101.3 102.2 * -
Weighted Avg. Price 93.7 98.9 100.3 101.3 102.2 * -
Avg. Price Bottom 5 Trades 90.0 98.7 100.1 101.2 102.2 * -
2nd Quartile Price 92.4 98.8 100.2 101.2 102.2 * -
3rd Quartile Price 94.5 98.9 100.3 101.3 102.2 * -
4th Quartile Price 96.3 98.9 100.3 101.3 102.3 * -
Avg. Price Top 5 Trades 97.5 98.9 100.4 101.3 102.3 * -
Standard Deviation 2.4 0.1 0.1 - - * -
     VOLUME OF TRADES (000'S) 629,191.0 145,028.0 1,567,077.0 2,031,300.0 1,120,750.0 * -
     NUMBER OF TRADES 46 28 186 142 52 * -
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 * 98.8 100.2 101.2 102.2 - -
Weighted Avg. Price * 98.8 100.2 101.2 102.2 - -
Avg. Price Bottom 5 Trades * 98.8 100.1 101.2 102.2 - -
2nd Quartile Price * * 100.1 101.2 102.2 - -
3rd Quartile Price * * 100.2 101.2 102.2 - -
4th Quartile Price * * 100.3 101.3 102.3 - -
Avg. Price Top 5 Trades * 98.8 100.3 101.3 102.2 - -
Standard Deviation * 0.1 0.1 - - - -
     VOLUME OF TRADES (000'S) * 36,000.0 83,250.0 256,150.0 12,750.0 - -
     NUMBER OF TRADES * 7 26 17 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 - - - - - - -
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 98.8 100.1 101.2 * * -
Weighted Avg. Price * 98.9 100.1 101.2 * * -
Avg. Price Bottom 5 Trades * 98.7 100.1 101.2 * * -
2nd Quartile Price * 98.8 100.1 101.2 * * -
3rd Quartile Price * 98.8 100.2 101.2 * * -
4th Quartile Price * 98.9 100.2 101.2 * * -
Avg. Price Top 5 Trades * 98.9 100.2 101.2 * * -
Standard Deviation * 0.1 0.1 - * * -
     VOLUME OF TRADES (000'S) * 49,500.0 59,500.0 34,500.0 * * -
     NUMBER OF TRADES * 12 12 12 * * -
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

SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - - * 102.5 *
Weighted Avg. Price - - - - * 102.5 *
Avg. Price Bottom 5 Trades - - - - * 102.5 *
2nd Quartile Price - - - - * * *
3rd Quartile Price - - - - * * *
4th Quartile Price - - - - * * *
Avg. Price Top 5 Trades - - - - * 102.5 *
Standard Deviation - - - - * - *
     VOLUME OF TRADES (000'S) - - - - * 32,066.5 *
     NUMBER OF TRADES - - - - * 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 89.2 95.3 98.1 100.2 101.2 102.0 102.8
Weighted Avg. Price 88.0 95.3 98.1 100.2 101.1 101.9 102.6
Avg. Price Bottom 5 Trades 83.1 94.8 97.7 99.9 100.7 101.3 102.1
2nd Quartile Price 87.1 95.2 98.1 100.2 101.1 101.8 102.6
3rd Quartile Price 90.5 95.3 98.2 100.2 101.1 101.9 102.6
4th Quartile Price 92.6 95.3 98.2 100.3 101.2 101.9 102.7
Avg. Price Top 5 Trades 93.1 95.6 98.4 100.8 102.3 104.5 106.3
Standard Deviation 3.3 0.2 0.1 0.2 0.2 0.5 0.7
     VOLUME OF TRADES (000'S) 25,430,850.0 7,030,488.5 6,991,872.5 5,483,706.7 9,958,093.8 9,290,394.7 7,723,064.3
     NUMBER OF TRADES 396 111 159 195 404 519 364
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.8 95.3 98.0 99.9 101.2 102.4 103.7
Weighted Avg. Price 88.2 95.3 98.0 99.9 101.2 102.4 103.6
Avg. Price Bottom 5 Trades 80.3 94.9 97.6 99.6 101.0 102.2 103.4
2nd Quartile Price 85.2 95.2 97.9 99.8 101.2 102.3 103.5
3rd Quartile Price 88.8 95.3 98.0 99.9 101.3 102.4 103.5
4th Quartile Price 92.4 95.4 98.0 100.0 101.3 102.4 103.5
Avg. Price Top 5 Trades 92.6 95.6 98.4 100.2 101.6 102.7 104.8
Standard Deviation 4.1 0.2 0.2 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 17,716,853.4 11,410,376.8 19,095,614.3 58,091,908.0 37,989,061.2 43,695,842.5 22,805,567.9
     NUMBER OF TRADES 822 390 741 1,585 1,207 1,000 426
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 89.4 95.3 98.1 100.1 101.1 101.9 102.8
Weighted Avg. Price 88.3 95.3 98.1 100.1 101.1 101.9 102.7
Avg. Price Bottom 5 Trades 83.1 94.9 97.7 99.8 100.7 101.5 102.4
2nd Quartile Price 87.1 95.2 98.0 100.0 101.0 101.8 102.7
3rd Quartile Price 90.6 95.3 98.1 100.1 101.1 101.9 102.7
4th Quartile Price 92.6 95.3 98.2 100.2 101.1 101.9 102.8
Avg. Price Top 5 Trades 93.0 95.6 98.3 100.6 102.1 104.1 104.9
Standard Deviation 3.3 0.2 0.2 0.1 0.2 0.3 0.4
     VOLUME OF TRADES (000'S) 24,786,991.4 7,677,160.7 8,058,039.6 7,914,339.9 13,369,260.6 10,514,922.2 7,287,586.0
     NUMBER OF TRADES 451 116 189 325 500 524 308
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.6 95.3 97.8 99.7 101.1 102.3 103.6
Weighted Avg. Price 87.7 95.4 97.9 99.8 101.2 102.3 103.6
Avg. Price Bottom 5 Trades 84.6 95.1 97.5 99.5 100.9 102.2 103.5
2nd Quartile Price 88.8 95.3 97.7 99.6 101.0 102.3 103.5
3rd Quartile Price 89.2 95.3 97.9 99.8 101.1 102.3 103.5
4th Quartile Price 92.4 95.4 98.0 99.9 101.2 102.4 103.5
Avg. Price Top 5 Trades 92.4 95.4 98.1 100.1 101.3 102.5 104.8
Standard Deviation 4.2 0.1 0.2 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 1,200,980.0 2,414,000.0 4,786,000.0 32,872,439.4 15,967,585.0 23,476,820.0 16,433,450.0
     NUMBER OF TRADES 15 37 97 557 380 179 101
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 92.2 95.0 97.9 99.9 100.9 101.8 103.1
Weighted Avg. Price 92.1 95.1 97.9 99.9 100.9 102.0 104.1
Avg. Price Bottom 5 Trades 91.1 94.9 97.6 99.7 100.7 101.7 102.6
2nd Quartile Price 92.2 94.9 97.7 99.8 100.9 101.8 102.6
3rd Quartile Price 92.5 95.0 98.0 99.9 100.9 101.8 102.6
4th Quartile Price 92.7 95.2 98.1 100.0 101.0 101.8 102.8
Avg. Price Top 5 Trades 92.7 95.0 98.1 100.2 101.1 103.2 104.7
Standard Deviation 1.1 0.1 0.2 0.1 0.1 0.5 1.4
     VOLUME OF TRADES (000'S) 1,046,090.0 51,500.0 543,090.0 2,047,150.0 1,490,300.0 891,700.0 274,000.0
     NUMBER OF TRADES 29 7 47 299 241 91 23
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 95.3 97.7 99.7 101.0 102.2 103.6
Weighted Avg. Price * 95.3 97.8 99.7 101.1 102.2 103.5
Avg. Price Bottom 5 Trades * 95.3 97.5 99.4 100.8 102.2 103.4
2nd Quartile Price * * 97.6 99.5 100.9 102.2 103.5
3rd Quartile Price * * 97.7 99.7 101.0 102.2 103.5
4th Quartile Price * * 97.9 99.8 101.1 102.3 103.5
Avg. Price Top 5 Trades * 95.3 98.0 100.0 101.2 102.3 103.7
Standard Deviation * 0.2 0.2 0.2 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) * 50,000.0 159,500.0 2,193,250.0 1,528,500.0 1,208,400.0 137,950.0
     NUMBER OF TRADES * 7 26 239 129 23 18
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].