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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 - - - - - - -
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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.8 97.1 98.7 99.9 100.8 101.6 102.5
Weighted Avg. Price 91.8 97.1 98.7 99.9 100.8 101.6 102.5
Avg. Price Bottom 5 Trades 89.3 97.1 98.7 99.9 100.8 101.5 102.4
2nd Quartile Price 90.6 97.0 98.7 99.9 100.8 101.6 102.4
3rd Quartile Price 93.0 97.0 98.7 99.9 100.8 101.6 102.4
4th Quartile Price 95.1 97.2 98.8 100.0 100.8 101.6 102.4
Avg. Price Top 5 Trades 95.1 97.1 98.8 100.0 100.8 101.6 102.5
Standard Deviation 2.5 0.1 0.1 0.1 - - 0.3
     VOLUME OF TRADES (000'S) 213,592.0 93,095.0 133,285.0 806,625.0 682,425.0 635,095.0 60,300.0
     NUMBER OF TRADES 28 15 25 42 90 35 15
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 * * 98.8 100.0 100.8 101.6 102.7
Weighted Avg. Price * * 98.8 100.0 100.8 101.6 102.9
Avg. Price Bottom 5 Trades * * 98.8 100.0 100.8 101.6 102.7
2nd Quartile Price * * * 100.0 100.8 101.6 *
3rd Quartile Price * * * 100.0 100.8 101.6 *
4th Quartile Price * * * 100.0 100.9 101.6 *
Avg. Price Top 5 Trades * * 98.8 100.0 100.9 101.6 102.7
Standard Deviation * * - - - 0.1 0.5
     VOLUME OF TRADES (000'S) * * 18,350.0 466,600.0 117,400.0 431,564.0 15,575.0
     NUMBER OF TRADES * * 5 14 13 8 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 - - - - - - -
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 - - - - - - -
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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 86.0 92.4 95.2 97.6 99.5 100.9 102.6
Weighted Avg. Price 85.5 92.4 95.2 97.6 99.5 100.9 102.6
Avg. Price Bottom 5 Trades 82.1 92.3 95.1 97.5 99.4 100.8 101.9
2nd Quartile Price 85.6 92.3 95.1 97.6 99.5 100.9 102.0
3rd Quartile Price 85.7 92.4 95.2 97.6 99.5 100.9 102.0
4th Quartile Price 89.0 92.4 95.2 97.6 99.5 100.9 103.1
Avg. Price Top 5 Trades 89.1 92.5 95.3 97.7 99.6 103.0 104.5
Standard Deviation 2.5 0.1 - - - 0.2 0.7
     VOLUME OF TRADES (000'S) 7,917,519.0 3,251,050.0 4,568,827.0 9,084,585.0 17,265,269.0 17,028,317.9 44,146,870.5
     NUMBER OF TRADES 378 105 163 303 543 757 913
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 88.8 93.4 95.9 98.1 99.9 100.9 102.1
Weighted Avg. Price 87.3 93.4 95.9 98.1 99.9 100.8 101.9
Avg. Price Bottom 5 Trades 84.4 93.3 95.8 98.1 99.8 100.7 100.7
2nd Quartile Price 87.7 93.4 95.9 98.1 99.9 100.8 101.6
3rd Quartile Price 90.7 93.4 95.9 98.1 99.9 100.8 102.1
4th Quartile Price 90.8 93.5 95.9 98.2 100.0 100.9 102.2
Avg. Price Top 5 Trades 90.8 93.5 95.9 98.2 100.5 101.9 105.5
Standard Deviation 2.3 0.1 - - 0.1 0.2 0.7
     VOLUME OF TRADES (000'S) 2,404,166.2 446,600.0 591,411.3 3,919,413.6 7,609,186.8 11,710,442.0 8,120,418.0
     NUMBER OF TRADES 70 24 31 116 295 303 540
OCTOBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 85.5 92.5 95.2 97.6 99.5 100.9 102.5
Weighted Avg. Price 85.3 92.5 95.2 97.6 99.5 100.9 102.6
Avg. Price Bottom 5 Trades 81.8 92.4 95.2 97.6 99.5 100.8 101.9
2nd Quartile Price 82.4 92.4 95.2 97.6 99.5 100.8 102.0
3rd Quartile Price 85.8 92.5 95.3 97.6 99.5 100.9 102.0
4th Quartile Price 89.1 92.6 95.3 97.7 99.5 100.9 103.0
Avg. Price Top 5 Trades 89.2 92.6 95.3 97.7 100.2 101.6 104.0
Standard Deviation 3.0 0.1 - - 0.1 0.2 0.7
     VOLUME OF TRADES (000'S) 3,811,079.0 2,230,883.0 2,144,678.0 3,982,640.0 8,949,411.0 4,616,725.0 32,815,690.7
     NUMBER OF TRADES 54 15 19 48 211 235 304
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 93.5 95.9 98.2 99.8 100.8 101.8
Weighted Avg. Price 87.1 93.5 95.9 98.2 99.9 100.8 101.8
Avg. Price Bottom 5 Trades 86.2 93.5 95.9 98.1 99.8 100.7 101.4
2nd Quartile Price 87.8 93.5 95.9 98.2 99.8 100.8 101.5
3rd Quartile Price 87.9 93.5 95.9 98.2 99.9 100.8 101.6
4th Quartile Price 90.9 93.6 96.0 98.2 99.9 100.8 102.1
Avg. Price Top 5 Trades 90.5 93.5 96.0 98.3 99.9 101.5 104.0
Standard Deviation 2.6 - - - - 0.1 0.5
     VOLUME OF TRADES (000'S) 1,958,977.0 179,439.0 145,063.3 2,073,700.0 6,060,336.0 8,472,753.0 5,344,169.0
     NUMBER OF TRADES 16 10 18 47 234 197 233
NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * - * 97.7 99.5 100.9 102.0
Weighted Avg. Price * - * 97.7 99.6 100.9 102.0
Avg. Price Bottom 5 Trades * - * 97.7 99.5 100.8 101.8
2nd Quartile Price * - * 97.7 99.5 100.8 101.9
3rd Quartile Price * - * 97.7 99.5 100.9 101.9
4th Quartile Price * - * 97.7 99.5 100.9 102.0
Avg. Price Top 5 Trades * - * 97.7 99.8 100.9 103.0
Standard Deviation * - * 0.1 0.1 - 0.4
     VOLUME OF TRADES (000'S) * - * 54,000.0 499,750.0 811,050.0 366,900.0
     NUMBER OF TRADES * - * 12 138 140 41
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 - * - 98.2 99.8 100.7 101.7
Weighted Avg. Price - * - 98.2 99.8 100.7 101.6
Avg. Price Bottom 5 Trades - * - 98.1 99.7 100.6 101.3
2nd Quartile Price - * - 98.2 99.7 100.7 101.4
3rd Quartile Price - * - 98.2 99.8 100.7 101.8
4th Quartile Price - * - 98.3 99.8 100.8 102.0
Avg. Price Top 5 Trades - * - 98.2 99.8 100.8 102.2
Standard Deviation - * - 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) - * - 58,000.0 458,000.0 183,000.0 75,000.0
     NUMBER OF TRADES - * - 11 65 49 20
* 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].