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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 - - - - - - -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.2 98.2 99.7 101.0 102.2 103.2 -
Weighted Avg. Price 92.8 98.2 99.7 101.0 102.2 103.2 -
Avg. Price Bottom 5 Trades 89.3 98.1 99.7 101.0 102.2 103.2 -
2nd Quartile Price 91.7 98.2 99.7 101.0 102.2 * -
3rd Quartile Price 91.9 98.2 99.7 101.0 102.2 * -
4th Quartile Price 95.6 98.2 99.8 101.0 102.2 * -
Avg. Price Top 5 Trades 96.9 98.3 99.8 101.0 102.2 103.2 -
Standard Deviation 2.2 - - - - - -
     VOLUME OF TRADES (000'S) 931,771.0 114,945.0 861,892.4 2,005,783.0 811,438.8 238,593.0 -
     NUMBER OF TRADES 120 28 78 161 65 16 -
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 94.4 98.1 99.7 101.0 102.2 103.2 -
Weighted Avg. Price 95.3 98.1 99.7 101.0 102.2 103.2 -
Avg. Price Bottom 5 Trades 91.3 98.1 99.7 100.9 102.1 103.2 -
2nd Quartile Price 93.8 * 99.7 101.0 102.2 * -
3rd Quartile Price 95.6 * 99.7 101.0 102.2 * -
4th Quartile Price 95.6 * 99.7 101.0 102.2 * -
Avg. Price Top 5 Trades 96.1 98.1 99.7 101.0 102.2 103.2 -
Standard Deviation 2.1 - - - - - -
     VOLUME OF TRADES (000'S) 243,175.0 26,400.0 282,825.0 194,150.0 284,448.0 239,400.0 -
     NUMBER OF TRADES 21 6 25 19 21 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 - - - - - - -
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 98.0 99.6 100.9 102.1 - -
Weighted Avg. Price * 98.0 99.6 100.9 102.1 - -
Avg. Price Bottom 5 Trades * 98.0 99.6 100.8 102.1 - -
2nd Quartile Price * 97.9 99.6 100.9 * - -
3rd Quartile Price * 98.0 99.6 100.9 * - -
4th Quartile Price * 98.1 99.7 100.9 * - -
Avg. Price Top 5 Trades * 98.0 99.6 101.0 102.1 - -
Standard Deviation * 0.1 - 0.1 - - -
     VOLUME OF TRADES (000'S) * 29,400.0 19,400.0 84,000.0 15,500.0 - -
     NUMBER OF TRADES * 8 10 16 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 - - - - - - -

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 - - - - - - -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.3 93.3 96.2 98.6 100.6 102.2 103.9
Weighted Avg. Price 84.9 93.3 96.2 98.6 100.6 102.1 103.9
Avg. Price Bottom 5 Trades 75.3 93.2 96.1 98.5 100.4 102.1 103.5
2nd Quartile Price 83.0 93.3 96.1 98.5 100.5 102.1 103.6
3rd Quartile Price 86.6 93.3 96.2 98.6 100.6 102.2 103.6
4th Quartile Price 86.8 93.4 96.2 98.6 100.6 102.2 103.7
Avg. Price Top 5 Trades 90.4 93.4 96.3 98.7 102.2 103.7 105.2
Standard Deviation 3.9 0.1 0.1 0.1 0.1 0.2 0.6
     VOLUME OF TRADES (000'S) 12,714,171.6 2,146,374.5 2,708,828.8 16,219,684.2 29,600,358.2 22,284,890.0 6,618,735.0
     NUMBER OF TRADES 529 150 222 612 963 601 259
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 87.5 93.3 96.3 98.9 100.7 102.0 103.0
Weighted Avg. Price 86.6 93.3 96.3 98.9 100.7 102.0 102.9
Avg. Price Bottom 5 Trades 81.8 93.2 96.2 98.6 100.6 101.7 102.6
2nd Quartile Price 85.2 93.2 96.2 98.8 100.7 102.0 102.9
3rd Quartile Price 88.6 93.3 96.3 98.9 100.7 102.0 102.9
4th Quartile Price 90.9 93.3 96.3 99.0 100.8 102.0 103.0
Avg. Price Top 5 Trades 91.1 93.4 96.4 99.1 101.6 102.8 103.7
Standard Deviation 3.3 0.1 0.1 0.1 0.1 0.2 0.2
     VOLUME OF TRADES (000'S) 2,036,147.5 407,405.4 2,197,446.6 8,141,659.5 12,623,023.9 8,252,124.4 1,114,968.5
     NUMBER OF TRADES 150 48 87 212 320 243 116
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.9 93.3 96.1 98.5 100.5 102.1 104.0
Weighted Avg. Price 85.0 93.3 96.0 98.5 100.5 102.0 104.0
Avg. Price Bottom 5 Trades 76.3 93.2 96.0 98.4 100.4 102.0 103.5
2nd Quartile Price 83.0 93.3 96.0 98.5 100.4 102.0 103.6
3rd Quartile Price 86.5 93.3 96.1 98.5 100.5 102.1 103.6
4th Quartile Price 90.3 93.3 96.1 98.6 100.5 102.1 105.1
Avg. Price Top 5 Trades 90.4 93.4 96.2 98.6 100.5 102.1 105.2
Standard Deviation 4.4 0.1 0.1 0.1 - - 0.7
     VOLUME OF TRADES (000'S) 5,719,526.0 494,509.0 1,436,767.0 4,382,888.0 10,408,892.0 10,941,766.0 3,650,875.0
     NUMBER OF TRADES 106 27 39 101 257 172 103
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 93.2 96.2 98.8 100.6 101.9 102.9
Weighted Avg. Price 86.1 93.2 96.2 98.8 100.6 101.9 102.8
Avg. Price Bottom 5 Trades 81.8 93.2 96.1 98.7 100.5 101.8 102.7
2nd Quartile Price 85.3 93.2 96.2 98.8 100.6 101.9 102.8
3rd Quartile Price 90.7 93.2 96.2 98.8 100.6 101.9 102.8
4th Quartile Price 90.8 93.3 96.3 98.9 100.7 101.9 102.8
Avg. Price Top 5 Trades 90.8 93.2 96.3 98.9 100.7 102.0 103.2
Standard Deviation 3.3 - 0.1 0.1 - 0.1 0.2
     VOLUME OF TRADES (000'S) 753,505.0 251,700.0 1,211,954.0 1,568,079.0 6,543,148.0 3,790,328.0 707,475.0
     NUMBER OF TRADES 41 10 24 80 230 103 36
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 96.0 98.5 100.4 102.0 104.0
Weighted Avg. Price * * 96.0 98.5 100.4 102.0 103.9
Avg. Price Bottom 5 Trades * * 96.0 98.4 100.0 101.9 103.5
2nd Quartile Price * * 96.0 98.4 100.4 102.0 103.5
3rd Quartile Price * * 96.0 98.5 100.4 102.0 103.5
4th Quartile Price * * 96.0 98.5 100.4 102.0 105.2
Avg. Price Top 5 Trades * * 96.1 98.6 100.5 102.0 105.2
Standard Deviation * * - 0.1 0.1 - 0.8
     VOLUME OF TRADES (000'S) * * 27,600.0 131,300.0 1,369,500.0 206,300.0 517,200.0
     NUMBER OF TRADES * * 12 46 200 64 37
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 * * 96.1 98.7 100.5 101.7 102.7
Weighted Avg. Price * * 96.1 98.7 100.5 101.8 102.7
Avg. Price Bottom 5 Trades * * 96.1 98.7 100.3 101.7 102.6
2nd Quartile Price * * 96.1 98.7 100.5 101.7 102.6
3rd Quartile Price * * 96.1 98.8 100.5 101.8 102.6
4th Quartile Price * * 96.2 98.8 100.5 101.8 102.7
Avg. Price Top 5 Trades * * 96.2 98.8 100.6 101.8 102.7
Standard Deviation * * 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) * * 42,750.0 79,000.0 597,700.0 191,500.0 127,000.0
     NUMBER OF TRADES * * 13 19 70 34 16
* 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].