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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 - - - - - - -
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 - - - - - - -
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.4 98.4 99.9 101.0 102.2 103.1 *
Weighted Avg. Price 93.6 98.4 99.9 101.0 102.1 103.2 *
Avg. Price Bottom 5 Trades 89.4 98.3 99.8 101.0 102.1 103.1 *
2nd Quartile Price 91.9 98.3 99.9 101.0 102.2 103.1 *
3rd Quartile Price 94.0 98.4 99.9 101.0 102.2 103.1 *
4th Quartile Price 95.8 98.4 99.9 101.0 102.2 103.2 *
Avg. Price Top 5 Trades 96.9 98.4 99.9 101.1 102.2 103.2 *
Standard Deviation 2.6 - - - - - *
     VOLUME OF TRADES (000'S) 165,058.9 146,000.0 1,787,267.0 1,393,826.0 372,625.0 64,900.0 *
     NUMBER OF TRADES 49 35 114 146 60 22 *
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 * * 99.8 101.0 102.2 * -
Weighted Avg. Price * * 99.8 101.0 102.1 * -
Avg. Price Bottom 5 Trades * * 99.8 101.0 102.1 * -
2nd Quartile Price * * 99.8 101.0 102.1 * -
3rd Quartile Price * * 99.8 101.0 102.2 * -
4th Quartile Price * * 99.8 101.0 102.2 * -
Avg. Price Top 5 Trades * * 99.8 101.0 102.2 * -
Standard Deviation * * - - - * -
     VOLUME OF TRADES (000'S) * * 332,657.0 155,555.0 222,000.0 * -
     NUMBER OF TRADES * * 22 19 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 - - - - - - -
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 99.8 100.9 * - -
Weighted Avg. Price * * 99.8 101.0 * - -
Avg. Price Bottom 5 Trades * * 99.8 100.9 * - -
2nd Quartile Price * * * 101.0 * - -
3rd Quartile Price * * * 101.0 * - -
4th Quartile Price * * * 101.0 * - -
Avg. Price Top 5 Trades * * 99.8 101.0 * - -
Standard Deviation * * - - * - -
     VOLUME OF TRADES (000'S) * * 57,000.0 47,500.0 * - -
     NUMBER OF TRADES * * 11 18 * - -
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 - - - * 102.8 * *
Weighted Avg. Price - - - * 102.8 * *
Avg. Price Bottom 5 Trades - - - * 102.8 * *
2nd Quartile Price - - - * * * *
3rd Quartile Price - - - * * * *
4th Quartile Price - - - * * * *
Avg. Price Top 5 Trades - - - * 102.8 * *
Standard Deviation - - - * 0.7 * *
     VOLUME OF TRADES (000'S) - - - * 5,815.8 * *
     NUMBER OF TRADES - - - * 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 - - - - * * *
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.7 94.5 97.2 99.3 100.9 102.2 103.7
Weighted Avg. Price 86.0 94.5 97.2 99.3 100.9 102.2 103.5
Avg. Price Bottom 5 Trades 79.9 94.4 97.1 99.2 100.9 102.1 103.3
2nd Quartile Price 84.4 94.4 97.2 99.3 100.9 102.2 103.4
3rd Quartile Price 88.0 94.5 97.2 99.3 100.9 102.2 103.4
4th Quartile Price 91.5 94.5 97.2 99.3 100.9 102.2 104.5
Avg. Price Top 5 Trades 91.6 94.6 97.3 99.5 102.3 103.6 104.9
Standard Deviation 3.9 - - - 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 15,411,561.8 25,433,730.0 13,656,724.7 37,114,652.1 34,662,155.3 68,938,703.0 48,990,894.0
     NUMBER OF TRADES 408 274 412 866 875 838 624
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 94.3 97.2 99.5 100.8 101.8 102.8
Weighted Avg. Price 88.2 94.3 97.2 99.5 100.8 101.7 102.7
Avg. Price Bottom 5 Trades 82.7 94.2 97.1 99.5 100.1 100.6 102.6
2nd Quartile Price 86.2 94.2 97.2 99.5 100.8 101.7 102.6
3rd Quartile Price 89.6 94.3 97.2 99.5 100.8 101.7 102.7
4th Quartile Price 91.4 94.3 97.2 99.5 100.8 101.7 102.7
Avg. Price Top 5 Trades 91.6 94.3 97.3 99.7 101.7 103.9 105.4
Standard Deviation 3.2 - - - 0.2 0.5 0.6
     VOLUME OF TRADES (000'S) 4,820,896.2 1,892,334.0 4,483,196.4 6,172,903.7 13,743,818.7 5,847,788.8 3,559,496.2
     NUMBER OF TRADES 175 49 100 222 282 263 130
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.1 94.4 97.2 99.2 100.9 102.2 103.8
Weighted Avg. Price 85.3 94.5 97.2 99.3 100.9 102.2 103.6
Avg. Price Bottom 5 Trades 80.6 94.4 97.1 99.1 100.8 101.8 103.4
2nd Quartile Price 84.5 94.4 97.1 99.2 100.8 102.2 103.4
3rd Quartile Price 88.0 94.5 97.2 99.2 100.8 102.2 103.5
4th Quartile Price 91.5 94.5 97.2 99.3 100.9 102.2 104.6
Avg. Price Top 5 Trades 91.6 94.5 97.2 99.3 100.9 102.2 104.7
Standard Deviation 3.8 - - - - 0.1 0.6
     VOLUME OF TRADES (000'S) 11,360,986.9 20,269,842.0 8,086,200.0 23,578,513.0 22,372,133.0 55,038,798.0 45,245,562.1
     NUMBER OF TRADES 119 50 87 266 279 232 259
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 89.4 94.2 97.2 99.4 100.7 101.7 102.7
Weighted Avg. Price 88.2 94.3 97.2 99.4 100.7 101.7 102.7
Avg. Price Bottom 5 Trades 82.7 94.2 97.1 99.3 100.7 101.7 102.6
2nd Quartile Price 86.2 94.2 97.1 99.4 100.7 101.7 102.7
3rd Quartile Price 91.4 94.2 97.2 99.4 100.7 101.7 102.7
4th Quartile Price 91.5 94.3 97.2 99.4 100.7 101.8 102.8
Avg. Price Top 5 Trades 91.6 94.3 97.2 99.5 100.8 101.9 102.8
Standard Deviation 2.9 - 0.1 - - 0.1 0.1
     VOLUME OF TRADES (000'S) 3,433,100.0 852,340.0 2,124,900.0 5,312,618.0 11,238,250.0 2,748,450.0 1,600,685.0
     NUMBER OF TRADES 89 16 39 160 172 95 41
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 94.4 97.1 99.1 100.8 102.1 103.5
Weighted Avg. Price * 94.5 97.1 99.2 100.8 102.1 103.5
Avg. Price Bottom 5 Trades * 94.4 97.0 99.1 100.7 102.1 103.4
2nd Quartile Price * * 97.0 99.1 100.7 102.1 103.5
3rd Quartile Price * * 97.1 99.1 100.8 102.1 103.5
4th Quartile Price * * 97.1 99.1 100.8 102.1 103.5
Avg. Price Top 5 Trades * 94.4 97.2 99.2 100.8 102.1 103.7
Standard Deviation * 0.1 0.1 - - - 0.2
     VOLUME OF TRADES (000'S) * 37,000.0 91,850.0 552,500.0 898,675.0 270,250.0 5,159,000.0
     NUMBER OF TRADES * 6 24 127 111 41 39
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 91.4 94.2 97.0 99.3 100.6 101.7 102.7
Weighted Avg. Price 91.4 94.2 97.1 99.3 100.6 101.7 102.7
Avg. Price Bottom 5 Trades 91.3 94.2 97.0 99.2 100.6 101.6 102.6
2nd Quartile Price 91.3 * 97.0 99.3 100.6 101.7 102.6
3rd Quartile Price 91.4 * 97.0 99.3 100.6 101.7 102.7
4th Quartile Price 91.4 * 97.1 99.3 100.6 101.7 102.8
Avg. Price Top 5 Trades 91.4 94.2 97.1 99.3 100.7 101.7 102.7
Standard Deviation 0.1 - - - - - 0.1
     VOLUME OF TRADES (000'S) 376,000.0 97,000.0 58,675.0 760,500.0 586,400.0 936,500.0 34,000.0
     NUMBER OF TRADES 20 7 17 90 72 36 11
* 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].