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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

OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.4 98.6 100.1 101.2 102.3 103.5 104.0
Weighted Avg. Price 94.4 98.6 100.1 101.1 102.2 103.4 104.0
Avg. Price Bottom 5 Trades 89.9 98.6 100.0 101.0 102.1 103.3 104.0
2nd Quartile Price 92.3 98.6 100.1 101.1 102.2 103.3 *
3rd Quartile Price 94.4 98.6 100.1 101.2 102.2 103.4 *
4th Quartile Price 96.2 98.7 100.1 101.2 102.3 103.4 *
Avg. Price Top 5 Trades 97.2 98.7 100.1 101.7 103.0 104.3 104.0
Standard Deviation 2.2 - - 0.1 0.2 0.3 -
     VOLUME OF TRADES (000'S) 3,501,589.2 685,071.4 1,452,523.7 1,679,162.2 972,554.6 361,755.1 32,944.5
     NUMBER OF TRADES 248 71 75 102 82 37 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 94.4 98.6 100.1 101.2 102.2 103.4 *
Weighted Avg. Price 94.1 98.6 100.1 101.1 102.2 103.3 *
Avg. Price Bottom 5 Trades 90.0 98.6 100.0 101.0 102.1 103.3 *
2nd Quartile Price 92.5 98.6 100.1 101.1 102.2 103.3 *
3rd Quartile Price 94.5 98.6 100.1 101.2 102.2 103.3 *
4th Quartile Price 96.2 98.7 100.1 101.2 102.3 103.4 *
Avg. Price Top 5 Trades 97.3 98.7 100.2 101.3 102.3 103.4 *
Standard Deviation 2.1 - - 0.1 - 0.1 *
     VOLUME OF TRADES (000'S) 3,090,783.2 596,370.5 1,880,592.2 1,571,955.9 1,144,228.6 408,569.6 *
     NUMBER OF TRADES 204 61 129 125 92 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 - - - - - - -
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 95.4 98.6 100.0 101.1 * * -
Weighted Avg. Price 96.0 98.6 100.0 101.1 * * -
Avg. Price Bottom 5 Trades 94.0 98.6 100.0 101.1 * * -
2nd Quartile Price 96.3 98.6 100.0 101.1 * * -
3rd Quartile Price 97.1 98.6 100.1 101.1 * * -
4th Quartile Price 97.2 98.6 100.1 101.1 * * -
Avg. Price Top 5 Trades 97.0 98.6 100.1 101.2 * * -
Standard Deviation 3.0 - - - * * -
     VOLUME OF TRADES (000'S) 14,500.0 51,500.0 227,500.0 80,500.0 * * -
     NUMBER OF TRADES 9 8 23 19 * * -
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
<= 3.5 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 - - - - - - -

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

OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * - - * 101.2 * -
Weighted Avg. Price * - - * 101.2 * -
Avg. Price Bottom 5 Trades * - - * 101.0 * -
2nd Quartile Price * - - * 101.1 * -
3rd Quartile Price * - - * 101.6 * -
4th Quartile Price * - - * 101.7 * -
Avg. Price Top 5 Trades * - - * 101.3 * -
Standard Deviation * - - * 0.5 * -
     VOLUME OF TRADES (000'S) * - - * 19,409.2 * -
     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 88.3 94.7 97.6 99.8 101.0 102.0 102.9
Weighted Avg. Price 87.3 94.7 97.6 99.7 100.9 101.8 102.8
Avg. Price Bottom 5 Trades 83.0 94.5 97.4 99.4 100.4 101.1 101.7
2nd Quartile Price 86.7 94.6 97.5 99.7 100.8 101.8 102.7
3rd Quartile Price 89.9 94.6 97.6 99.8 100.9 101.8 102.7
4th Quartile Price 90.4 94.8 97.7 99.9 100.9 101.9 102.8
Avg. Price Top 5 Trades 91.8 94.8 98.1 100.6 102.6 105.1 106.3
Standard Deviation 2.9 0.1 0.2 0.2 0.4 0.6 0.6
     VOLUME OF TRADES (000'S) 32,952,336.4 5,304,156.5 8,490,447.0 12,963,195.1 19,569,251.5 14,754,886.7 6,004,146.9
     NUMBER OF TRADES 331 125 211 427 676 651 437
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.3 95.0 97.6 99.6 101.1 102.2 103.5
Weighted Avg. Price 88.4 95.0 97.7 99.6 101.1 102.3 104.1
Avg. Price Bottom 5 Trades 79.3 94.8 97.5 99.5 101.0 102.2 103.3
2nd Quartile Price 85.2 94.9 97.5 99.6 101.0 102.2 103.4
3rd Quartile Price 88.7 95.0 97.7 99.6 101.1 102.3 103.4
4th Quartile Price 92.1 95.0 97.7 99.7 101.1 102.3 103.4
Avg. Price Top 5 Trades 92.3 95.1 98.5 100.1 101.2 102.3 105.2
Standard Deviation 3.8 0.1 0.2 0.1 0.1 - 0.4
     VOLUME OF TRADES (000'S) 6,431,121.9 4,499,136.6 5,529,271.0 19,383,463.8 27,374,847.4 26,174,089.9 6,712,162.7
     NUMBER OF TRADES 331 203 274 973 960 456 165
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 88.2 94.7 97.6 99.7 100.9 101.8 102.8
Weighted Avg. Price 87.2 94.7 97.5 99.7 100.8 101.8 102.8
Avg. Price Bottom 5 Trades 83.0 94.5 97.4 99.5 100.5 101.6 102.6
2nd Quartile Price 86.7 94.6 97.5 99.6 100.8 101.7 102.7
3rd Quartile Price 89.9 94.6 97.6 99.7 100.8 101.8 102.8
4th Quartile Price 90.3 94.7 97.7 99.8 100.9 101.8 102.8
Avg. Price Top 5 Trades 91.8 94.9 97.8 100.4 102.0 104.0 103.3
Standard Deviation 2.9 0.1 0.1 0.1 0.2 0.3 0.1
     VOLUME OF TRADES (000'S) 33,239,863.1 5,351,261.2 9,681,294.3 11,749,323.6 18,365,787.1 15,189,957.5 8,274,540.9
     NUMBER OF TRADES 354 105 193 451 558 404 275
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.2 95.0 97.6 99.6 101.0 102.4 103.6
Weighted Avg. Price 86.4 94.9 97.6 99.6 101.0 102.2 104.5
Avg. Price Bottom 5 Trades 83.9 94.9 97.4 99.4 100.5 102.1 103.4
2nd Quartile Price 85.2 95.0 97.5 99.5 101.0 102.2 103.4
3rd Quartile Price 88.4 95.0 97.6 99.6 101.0 102.2 103.4
4th Quartile Price 91.9 95.0 97.6 99.6 101.0 102.2 103.4
Avg. Price Top 5 Trades 90.8 95.0 97.7 99.8 101.9 103.6 104.9
Standard Deviation 3.7 0.1 0.1 0.1 0.2 0.4 0.7
     VOLUME OF TRADES (000'S) 1,450,295.1 860,175.0 1,297,300.0 6,216,625.0 11,637,500.0 14,905,470.0 4,574,733.5
     NUMBER OF TRADES 13 8 55 307 284 133 54
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 * 94.6 97.5 99.6 100.7 101.8 102.9
Weighted Avg. Price * 94.7 97.5 99.6 100.7 101.9 102.8
Avg. Price Bottom 5 Trades * 94.6 97.4 99.4 100.6 101.6 102.6
2nd Quartile Price * * 97.5 99.5 100.7 101.7 102.7
3rd Quartile Price * * 97.6 99.6 100.7 101.7 102.7
4th Quartile Price * * 97.6 99.6 100.8 101.8 102.7
Avg. Price Top 5 Trades * 94.6 97.7 99.7 100.8 102.5 104.6
Standard Deviation * - 0.1 0.1 0.1 0.6 1.0
     VOLUME OF TRADES (000'S) * 25,500.0 248,000.0 1,344,400.0 1,458,500.0 2,021,071.5 2,429,495.0
     NUMBER OF TRADES * 7 41 141 120 75 46
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 94.9 97.5 99.5 100.9 102.1 103.4
Weighted Avg. Price * 94.9 97.5 99.5 100.9 102.2 103.4
Avg. Price Bottom 5 Trades * 94.8 97.4 99.3 100.8 102.1 103.4
2nd Quartile Price * 94.9 97.5 99.4 100.8 102.1 103.4
3rd Quartile Price * 94.9 97.5 99.5 100.9 102.1 103.4
4th Quartile Price * 94.9 97.6 99.5 100.9 102.2 103.4
Avg. Price Top 5 Trades * 94.9 97.6 99.5 100.9 102.2 103.4
Standard Deviation * 0.1 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) * 77,700.0 166,500.0 828,550.0 662,200.0 181,500.0 33,500.0
     NUMBER OF TRADES * 9 16 97 68 20 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 * * * - - - -
* 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].