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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 92.2 97.6 99.3 100.6 102.0 102.9 -
Weighted Avg. Price 92.2 97.6 99.3 100.6 102.0 102.9 -
Avg. Price Bottom 5 Trades 88.8 97.5 99.0 100.4 101.9 102.9 -
2nd Quartile Price 91.5 97.6 99.3 100.6 101.9 * -
3rd Quartile Price 91.5 97.6 99.3 100.6 102.0 * -
4th Quartile Price 93.5 97.7 99.3 100.7 102.0 * -
Avg. Price Top 5 Trades 96.4 97.7 99.5 100.8 102.2 102.9 -
Standard Deviation 2.1 0.2 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 736,768.0 133,176.0 685,252.0 1,635,450.0 767,481.7 116,608.0 -
     NUMBER OF TRADES 107 20 70 160 67 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 - - - - - - -
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.1 * 99.2 100.5 101.9 * -
Weighted Avg. Price 91.9 * 99.2 100.5 101.9 * -
Avg. Price Bottom 5 Trades 89.0 * 99.1 100.2 101.7 * -
2nd Quartile Price 91.4 * 99.2 100.5 101.9 * -
3rd Quartile Price 91.7 * 99.3 100.6 101.9 * -
4th Quartile Price 93.5 * 99.4 100.6 101.9 * -
Avg. Price Top 5 Trades 95.6 * 99.4 100.6 102.1 * -
Standard Deviation 2.1 * 0.2 0.2 0.2 * -
     VOLUME OF TRADES (000'S) 507,669.0 * 164,400.0 406,497.0 376,410.0 * -
     NUMBER OF TRADES 38 * 15 33 28 * -
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 * * 99.2 100.5 * - -
Weighted Avg. Price * * 99.2 100.5 * - -
Avg. Price Bottom 5 Trades * * 99.2 100.5 * - -
2nd Quartile Price * * 99.1 100.5 * - -
3rd Quartile Price * * 99.3 100.5 * - -
4th Quartile Price * * 99.4 100.6 * - -
Avg. Price Top 5 Trades * * 99.3 100.5 * - -
Standard Deviation * * 0.1 0.1 * - -
     VOLUME OF TRADES (000'S) * * 19,000.0 9,500.0 * - -
     NUMBER OF TRADES * * 7 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 - - - - - - -
NOVEMBER 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

AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.3 93.0 95.6 98.0 100.0 101.7 103.6
Weighted Avg. Price 85.4 93.0 95.6 97.9 100.0 101.7 103.4
Avg. Price Bottom 5 Trades 77.9 92.8 95.1 97.1 99.3 101.3 103.1
2nd Quartile Price 82.6 92.9 95.6 97.9 99.9 101.7 103.3
3rd Quartile Price 86.3 93.0 95.7 98.0 100.0 101.7 103.4
4th Quartile Price 90.0 93.1 95.7 98.1 100.0 101.8 103.4
Avg. Price Top 5 Trades 90.3 93.2 95.8 98.2 100.5 102.6 105.3
Standard Deviation 4.1 0.1 0.1 0.2 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 11,056,662.2 6,623,067.2 6,316,174.3 22,680,418.9 33,898,717.8 26,164,468.0 16,819,519.6
     NUMBER OF TRADES 619 256 344 729 1,048 886 421
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 86.4 92.8 95.6 98.2 100.2 101.7 102.9
Weighted Avg. Price 86.8 92.8 95.3 98.2 100.2 101.5 102.9
Avg. Price Bottom 5 Trades 80.9 92.7 94.7 97.9 99.6 101.1 101.4
2nd Quartile Price 84.5 92.7 95.6 98.1 100.2 101.6 102.8
3rd Quartile Price 87.9 92.9 95.7 98.2 100.2 101.6 102.8
4th Quartile Price 88.2 92.9 95.7 98.3 100.3 101.7 102.9
Avg. Price Top 5 Trades 90.7 93.0 95.9 98.4 101.0 103.2 105.0
Standard Deviation 3.1 0.1 0.3 0.2 0.2 0.3 0.5
     VOLUME OF TRADES (000'S) 3,200,610.0 750,051.0 3,319,576.6 3,908,116.0 6,544,655.7 11,994,815.7 1,903,340.8
     NUMBER OF TRADES 130 44 84 119 253 337 173
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.2 93.0 95.6 98.0 99.9 101.6 103.6
Weighted Avg. Price 84.9 92.9 95.6 97.8 100.0 101.6 103.4
Avg. Price Bottom 5 Trades 76.2 92.5 94.9 97.5 99.2 101.2 103.1
2nd Quartile Price 82.7 92.9 95.5 97.9 99.9 101.6 103.3
3rd Quartile Price 86.3 93.0 95.6 98.0 100.0 101.7 103.3
4th Quartile Price 89.9 93.1 95.7 98.1 100.0 101.7 103.3
Avg. Price Top 5 Trades 90.2 93.2 95.8 98.2 100.3 102.1 105.2
Standard Deviation 4.2 0.3 0.3 0.2 0.2 0.1 0.7
     VOLUME OF TRADES (000'S) 4,163,214.0 1,094,416.0 1,688,599.0 10,023,038.0 13,745,850.0 9,066,645.5 10,887,935.9
     NUMBER OF TRADES 103 41 48 155 307 265 169
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 85.9 92.8 95.5 98.1 100.1 101.5 102.7
Weighted Avg. Price 87.2 92.7 95.1 98.1 100.0 101.4 102.7
Avg. Price Bottom 5 Trades 80.7 92.5 94.8 97.5 99.5 101.1 102.5
2nd Quartile Price 83.8 92.7 95.5 98.1 100.1 101.5 102.6
3rd Quartile Price 87.2 92.8 95.6 98.2 100.1 101.5 102.7
4th Quartile Price 88.3 92.9 95.7 98.3 100.1 101.5 102.7
Avg. Price Top 5 Trades 90.5 93.0 95.9 98.3 100.2 102.7 102.9
Standard Deviation 3.4 0.2 0.4 0.2 0.1 0.2 0.2
     VOLUME OF TRADES (000'S) 2,728,795.0 432,885.0 2,537,978.0 1,226,420.0 4,776,841.1 8,801,888.3 665,373.0
     NUMBER OF TRADES 76 21 49 76 176 227 56
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.4 92.9 95.4 97.8 99.8 101.5 103.7
Weighted Avg. Price 86.8 92.8 95.5 97.7 99.8 101.2 103.7
Avg. Price Bottom 5 Trades 87.8 92.7 95.2 97.5 99.1 101.1 103.1
2nd Quartile Price 86.4 92.9 95.4 97.8 99.8 101.5 103.2
3rd Quartile Price 90.1 93.0 95.5 97.9 99.9 101.6 103.2
4th Quartile Price 90.1 93.1 95.7 98.0 99.9 101.6 105.0
Avg. Price Top 5 Trades 88.8 93.1 95.7 98.0 100.0 101.6 105.2
Standard Deviation 2.1 0.3 0.3 0.2 0.2 0.1 0.9
     VOLUME OF TRADES (000'S) 364,500.0 263,000.0 252,930.0 161,600.0 1,045,550.0 1,701,000.0 91,000.0
     NUMBER OF TRADES 7 14 16 30 176 169 30
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 89.6 * 95.6 98.1 100.0 101.3 102.5
Weighted Avg. Price 89.4 * 95.6 98.1 100.0 101.3 102.6
Avg. Price Bottom 5 Trades 88.7 * 95.5 98.0 99.8 101.1 102.4
2nd Quartile Price 89.9 * 95.5 98.1 99.9 101.3 102.5
3rd Quartile Price 90.2 * 95.6 98.2 100.0 101.3 102.5
4th Quartile Price 90.3 * 95.7 98.2 100.0 101.3 102.6
Avg. Price Top 5 Trades 90.2 * 95.7 98.2 100.0 101.3 102.7
Standard Deviation 1.0 * 0.1 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 909,000.0 * 185,250.0 100,350.0 292,100.0 811,470.0 212,400.0
     NUMBER OF TRADES 13 * 19 24 55 69 30
NOVEMBER 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].