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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

JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.0 97.0 98.8 100.3 101.5 102.6 *
Weighted Avg. Price 91.6 97.0 98.8 100.3 101.5 102.6 *
Avg. Price Bottom 5 Trades 88.1 97.0 98.7 100.2 101.5 102.6 *
2nd Quartile Price 90.7 * 98.7 100.3 101.5 * *
3rd Quartile Price 90.8 * 98.8 100.3 101.5 * *
4th Quartile Price 94.6 * 98.8 100.3 101.5 * *
Avg. Price Top 5 Trades 95.8 97.0 98.8 100.4 101.6 102.6 *
Standard Deviation 2.1 - - - - - *
     VOLUME OF TRADES (000'S) 3,095,034.0 4,900.0 1,598,679.0 3,028,323.4 2,175,760.3 160,677.7 *
     NUMBER OF TRADES 92 5 56 142 80 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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.2 * 98.7 100.2 101.5 102.6 -
Weighted Avg. Price 91.7 * 98.7 100.2 101.5 102.6 -
Avg. Price Bottom 5 Trades 88.2 * 98.7 100.2 101.5 102.6 -
2nd Quartile Price 90.8 * 98.7 100.2 101.5 102.6 -
3rd Quartile Price 92.7 * 98.7 100.2 101.5 102.6 -
4th Quartile Price 94.7 * 98.8 100.2 101.5 102.6 -
Avg. Price Top 5 Trades 95.4 * 98.8 100.3 101.5 102.6 -
Standard Deviation 2.1 * - - - - -
     VOLUME OF TRADES (000'S) 2,821,714.0 * 1,428,598.0 2,140,704.0 1,661,209.0 190,077.7 -
     NUMBER OF TRADES 61 * 30 45 31 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 - - - - - - -
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 98.7 100.2 101.4 * -
Weighted Avg. Price * * 98.7 100.2 101.4 * -
Avg. Price Bottom 5 Trades * * 98.7 100.2 101.4 * -
2nd Quartile Price * * 98.7 100.2 101.4 * -
3rd Quartile Price * * 98.7 100.2 101.4 * -
4th Quartile Price * * 98.7 100.2 101.4 * -
Avg. Price Top 5 Trades * * 98.7 100.2 101.4 * -
Standard Deviation * * - - - * -
     VOLUME OF TRADES (000'S) * * 17,500.0 83,500.0 15,000.0 * -
     NUMBER OF TRADES * * 7 16 7 * -
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 - - - - - - -
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

JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.4 92.0 94.7 97.2 99.4 101.3 103.6
Weighted Avg. Price 84.2 92.0 94.7 97.2 99.4 101.3 103.3
Avg. Price Bottom 5 Trades 73.9 91.9 94.6 97.1 99.3 101.2 103.0
2nd Quartile Price 81.9 91.9 94.6 97.1 99.3 101.3 103.1
3rd Quartile Price 85.5 92.0 94.7 97.2 99.4 101.3 103.1
4th Quartile Price 89.0 92.0 94.7 97.2 99.4 101.3 103.2
Avg. Price Top 5 Trades 89.2 92.1 94.8 97.8 101.1 102.4 105.4
Standard Deviation 4.1 0.1 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) 62,735,870.2 12,583,803.1 18,346,281.1 32,744,110.5 69,866,030.8 62,840,590.5 25,878,493.1
     NUMBER OF TRADES 1,206 395 419 720 1,221 1,257 1,135
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 86.0 92.4 94.8 97.5 99.6 101.4 102.9
Weighted Avg. Price 84.9 92.4 94.8 97.4 99.6 101.2 102.9
Avg. Price Bottom 5 Trades 80.6 92.3 94.6 97.3 99.6 100.7 101.6
2nd Quartile Price 84.1 92.4 94.8 97.4 99.6 101.2 102.6
3rd Quartile Price 87.4 92.4 94.8 97.5 99.6 101.2 102.7
4th Quartile Price 89.8 92.5 94.9 97.5 99.6 101.3 102.8
Avg. Price Top 5 Trades 90.1 92.6 95.0 97.6 100.3 103.5 105.9
Standard Deviation 3.4 0.1 0.1 0.1 0.1 0.5 0.6
     VOLUME OF TRADES (000'S) 22,698,110.0 1,796,552.0 6,086,740.6 4,581,679.7 9,514,376.4 6,714,906.6 3,551,491.5
     NUMBER OF TRADES 223 108 87 126 265 352 274
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.9 92.0 94.6 97.1 99.3 101.2 103.3
Weighted Avg. Price 84.0 91.9 94.6 97.1 99.3 101.2 103.1
Avg. Price Bottom 5 Trades 73.9 91.9 94.6 97.0 99.2 101.1 102.9
2nd Quartile Price 81.8 91.9 94.6 97.1 99.3 101.2 102.9
3rd Quartile Price 85.4 92.0 94.6 97.1 99.3 101.2 102.9
4th Quartile Price 89.0 92.0 94.7 97.2 99.3 101.2 103.0
Avg. Price Top 5 Trades 89.2 92.2 94.8 97.3 99.9 101.6 104.9
Standard Deviation 4.2 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 55,484,610.8 30,826,411.9 30,525,138.3 86,906,826.5 77,243,810.4 69,548,005.4 37,126,285.8
     NUMBER OF TRADES 776 207 224 349 606 773 669
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 85.7 92.2 94.8 97.4 99.5 101.1 102.5
Weighted Avg. Price 84.7 92.2 94.8 97.4 99.5 101.0 102.6
Avg. Price Bottom 5 Trades 80.6 92.1 94.7 97.3 99.5 101.0 102.3
2nd Quartile Price 80.9 92.1 94.8 97.4 99.5 101.0 102.4
3rd Quartile Price 87.4 92.2 94.8 97.4 99.5 101.1 102.4
4th Quartile Price 87.7 92.3 94.8 97.4 99.6 101.1 102.5
Avg. Price Top 5 Trades 89.7 92.3 95.0 97.5 99.6 101.1 103.2
Standard Deviation 3.4 0.1 0.1 0.1 - - 0.2
     VOLUME OF TRADES (000'S) 21,140,642.4 3,220,694.0 6,213,409.2 4,523,581.0 7,847,765.9 5,526,228.9 3,245,353.8
     NUMBER OF TRADES 130 63 58 89 202 217 133
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 91.9 94.6 97.1 99.2 101.1 103.2
Weighted Avg. Price * 91.9 94.6 97.1 99.2 101.1 102.9
Avg. Price Bottom 5 Trades * 91.9 94.6 97.0 99.1 101.0 102.7
2nd Quartile Price * 91.9 94.6 97.0 99.2 101.1 102.8
3rd Quartile Price * 92.0 94.6 97.1 99.2 101.1 102.8
4th Quartile Price * 92.0 94.7 97.1 99.3 101.1 102.9
Avg. Price Top 5 Trades * 92.0 94.7 97.2 99.3 101.2 104.7
Standard Deviation * 0.1 0.1 0.1 - - 0.8
     VOLUME OF TRADES (000'S) * 20,447,397.1 12,309,600.0 59,163,700.0 14,838,000.0 13,885,000.0 14,830,400.0
     NUMBER OF TRADES * 16 17 77 217 309 146
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 * 92.1 94.7 97.3 99.4 100.9 102.3
Weighted Avg. Price * 92.1 94.8 97.4 99.4 100.9 102.3
Avg. Price Bottom 5 Trades * 92.1 94.7 97.3 99.3 100.8 102.1
2nd Quartile Price * 92.1 94.7 97.3 99.4 100.9 102.2
3rd Quartile Price * 92.2 94.8 97.4 99.4 100.9 102.2
4th Quartile Price * 92.2 94.8 97.4 99.4 100.9 102.2
Avg. Price Top 5 Trades * 92.1 94.8 97.4 99.5 100.9 102.7
Standard Deviation * 0.1 0.1 0.1 0.1 - 0.2
     VOLUME OF TRADES (000'S) * 1,355,900.0 291,100.0 99,600.0 306,711.0 517,850.0 141,800.0
     NUMBER OF TRADES * 7 12 16 53 77 34
OCTOBER 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 * - * - * - -
* 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].