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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

SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.7 98.2 99.8 101.0 102.2 103.2 -
Weighted Avg. Price 93.3 98.2 99.8 101.0 102.2 103.2 -
Avg. Price Bottom 5 Trades 89.8 98.2 99.7 100.9 102.2 103.2 -
2nd Quartile Price 91.8 98.2 99.8 101.0 102.2 * -
3rd Quartile Price 93.8 98.2 99.8 101.0 102.2 * -
4th Quartile Price 95.6 98.3 99.8 101.0 102.2 * -
Avg. Price Top 5 Trades 96.8 98.2 99.9 101.1 102.2 103.2 -
Standard Deviation 2.1 0.1 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) 487,025.0 19,703.0 733,700.0 1,146,999.0 419,171.0 75,500.0 -
     NUMBER OF TRADES 77 9 61 108 60 14 -
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 93.4 * 99.7 101.0 102.2 103.2 -
Weighted Avg. Price 93.6 * 99.7 101.0 102.2 103.2 -
Avg. Price Bottom 5 Trades 90.0 * 99.7 100.9 102.2 103.2 -
2nd Quartile Price 92.0 * 99.8 101.0 102.2 * -
3rd Quartile Price 93.9 * 99.8 101.0 102.2 * -
4th Quartile Price 95.6 * 99.8 101.0 102.2 * -
Avg. Price Top 5 Trades 96.2 * 99.8 101.0 102.2 103.2 -
Standard Deviation 2.4 * - - - - -
     VOLUME OF TRADES (000'S) 359,073.0 * 383,000.0 533,424.0 74,933.0 56,000.0 -
     NUMBER OF TRADES 22 * 22 26 10 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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 99.7 100.9 102.1 - -
Weighted Avg. Price * * 99.7 100.9 102.1 - -
Avg. Price Bottom 5 Trades * * 99.7 100.9 102.1 - -
2nd Quartile Price * * * 100.9 * - -
3rd Quartile Price * * * 100.9 * - -
4th Quartile Price * * * 101.0 * - -
Avg. Price Top 5 Trades * * 99.7 101.0 102.1 - -
Standard Deviation * * - - - - -
     VOLUME OF TRADES (000'S) * * 40,000.0 129,500.0 8,000.0 - -
     NUMBER OF TRADES * * 7 24 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 - - - - - - -
DECEMBER 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

SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.8 93.4 96.2 98.7 100.6 102.2 103.8
Weighted Avg. Price 85.1 93.4 96.2 98.7 100.6 102.2 104.3
Avg. Price Bottom 5 Trades 75.4 93.1 95.9 98.4 100.4 102.0 103.5
2nd Quartile Price 79.5 93.4 96.2 98.7 100.6 102.2 103.6
3rd Quartile Price 86.3 93.4 96.3 98.7 100.6 102.2 103.6
4th Quartile Price 86.9 93.5 96.3 98.7 100.6 102.2 103.6
Avg. Price Top 5 Trades 90.5 93.5 96.4 99.7 102.1 102.5 105.2
Standard Deviation 4.3 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 13,719,039.9 4,342,557.5 10,572,450.9 30,529,382.3 45,552,888.5 43,616,659.6 35,043,186.3
     NUMBER OF TRADES 597 225 393 839 1,111 963 529
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 87.3 93.2 96.3 99.0 100.7 102.1 103.3
Weighted Avg. Price 86.7 93.2 96.2 99.0 100.7 102.0 103.0
Avg. Price Bottom 5 Trades 81.1 92.9 95.7 98.8 100.4 101.0 102.3
2nd Quartile Price 85.0 93.1 96.2 99.0 100.7 102.0 102.9
3rd Quartile Price 88.6 93.3 96.4 99.0 100.7 102.0 102.9
4th Quartile Price 91.2 93.3 96.4 99.1 100.8 102.0 102.9
Avg. Price Top 5 Trades 91.3 93.4 96.5 99.4 101.4 103.4 108.2
Standard Deviation 3.8 0.1 0.2 0.1 0.1 0.3 1.3
     VOLUME OF TRADES (000'S) 12,242,790.7 1,524,185.0 3,119,924.1 3,541,691.4 6,204,971.8 7,727,248.5 5,211,950.1
     NUMBER OF TRADES 272 59 90 165 312 354 232
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.8 93.3 96.2 98.6 100.5 102.1 103.9
Weighted Avg. Price 85.6 93.3 96.2 98.6 100.5 102.1 104.5
Avg. Price Bottom 5 Trades 76.3 93.1 95.8 98.3 100.3 102.0 103.5
2nd Quartile Price 83.0 93.2 96.2 98.6 100.5 102.1 103.6
3rd Quartile Price 86.3 93.4 96.2 98.6 100.5 102.1 103.6
4th Quartile Price 86.8 93.4 96.3 98.7 100.5 102.1 103.6
Avg. Price Top 5 Trades 90.5 93.5 96.3 98.7 101.0 103.1 105.2
Standard Deviation 4.1 0.1 0.2 0.1 0.1 0.2 0.7
     VOLUME OF TRADES (000'S) 6,141,080.0 1,474,396.8 4,624,279.3 19,986,102.0 25,493,786.0 19,009,213.0 29,893,096.6
     NUMBER OF TRADES 134 56 89 166 387 278 155
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 88.6 93.2 96.3 98.9 100.7 102.0 102.9
Weighted Avg. Price 87.6 93.1 96.2 99.0 100.7 101.9 102.8
Avg. Price Bottom 5 Trades 81.8 93.0 96.0 98.7 100.5 101.8 102.7
2nd Quartile Price 88.3 93.1 96.3 98.9 100.6 101.9 102.8
3rd Quartile Price 90.9 93.3 96.4 98.9 100.6 101.9 102.8
4th Quartile Price 91.0 93.3 96.4 99.0 100.7 101.9 102.9
Avg. Price Top 5 Trades 91.1 93.4 96.4 99.1 101.5 103.3 104.0
Standard Deviation 3.1 0.2 0.1 0.1 0.2 0.3 0.3
     VOLUME OF TRADES (000'S) 8,979,441.4 1,355,505.0 2,764,750.0 2,815,465.0 3,570,191.0 5,424,210.0 3,610,762.0
     NUMBER OF TRADES 130 28 49 96 223 176 89
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 96.1 98.5 100.4 102.0 103.8
Weighted Avg. Price * * 96.1 98.5 100.4 102.0 103.8
Avg. Price Bottom 5 Trades * * 96.1 98.3 100.2 101.9 103.5
2nd Quartile Price * * 96.1 98.5 100.4 102.0 103.5
3rd Quartile Price * * 96.2 98.5 100.4 102.0 103.5
4th Quartile Price * * 96.2 98.6 100.4 102.0 103.6
Avg. Price Top 5 Trades * * 96.2 98.6 100.5 102.0 105.2
Standard Deviation * * 0.1 0.1 0.1 - 0.6
     VOLUME OF TRADES (000'S) * * 24,500.0 359,250.0 2,221,225.0 696,850.0 804,050.0
     NUMBER OF TRADES * * 15 78 192 92 45
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 90.8 * 96.3 98.8 100.5 101.8 102.6
Weighted Avg. Price 90.8 * 96.3 98.8 100.5 101.8 102.6
Avg. Price Bottom 5 Trades 90.8 * 96.3 98.6 100.4 101.6 102.6
2nd Quartile Price 90.8 * 96.3 98.8 100.5 101.8 102.6
3rd Quartile Price 90.8 * 96.3 98.8 100.5 101.8 102.7
4th Quartile Price 90.8 * 96.4 98.8 100.5 101.8 102.7
Avg. Price Top 5 Trades 90.8 * 96.4 98.9 100.6 101.8 102.6
Standard Deviation - * 0.1 0.1 - 0.1 0.1
     VOLUME OF TRADES (000'S) 350,000.0 * 49,000.0 656,750.0 545,750.0 308,100.0 23,500.0
     NUMBER OF TRADES 14 * 10 53 90 61 7
DECEMBER 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].