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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

OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.0 98.5 100.0 101.1 102.2 103.3 104.0
Weighted Avg. Price 93.9 98.5 100.0 101.1 102.2 103.3 104.0
Avg. Price Bottom 5 Trades 89.6 98.4 99.9 101.0 102.1 103.3 104.0
2nd Quartile Price 92.2 98.5 100.0 101.1 102.2 103.3 *
3rd Quartile Price 94.4 98.6 100.0 101.1 102.2 103.3 *
4th Quartile Price 96.1 98.6 100.1 101.1 102.2 103.4 *
Avg. Price Top 5 Trades 97.2 98.7 100.1 101.2 102.3 103.4 104.0
Standard Deviation 2.6 0.1 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) 4,020,592.7 499,063.7 3,274,372.0 2,196,828.4 548,204.2 425,681.2 25,613.1
     NUMBER OF TRADES 157 35 119 137 65 33 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 - - - - - - -
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.9 98.5 100.0 101.1 102.2 103.3 *
Weighted Avg. Price 94.0 98.5 100.0 101.1 102.2 103.3 *
Avg. Price Bottom 5 Trades 89.7 98.4 99.9 101.0 102.1 103.3 *
2nd Quartile Price 92.3 98.5 100.0 101.1 102.2 103.3 *
3rd Quartile Price 94.4 98.5 100.0 101.1 102.2 103.3 *
4th Quartile Price 96.2 98.6 100.0 101.1 102.2 103.3 *
Avg. Price Top 5 Trades 97.2 98.6 100.1 101.2 102.3 103.4 *
Standard Deviation 2.5 0.1 0.1 - - - *
     VOLUME OF TRADES (000'S) 3,837,021.6 497,266.1 4,218,885.9 2,836,622.0 972,688.4 654,090.7 *
     NUMBER OF TRADES 140 37 186 156 89 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 - - - - - - -
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 * 98.5 100.0 101.1 * * -
Weighted Avg. Price * 98.5 100.0 101.1 * * -
Avg. Price Bottom 5 Trades * 98.5 99.9 101.0 * * -
2nd Quartile Price * 98.5 100.0 101.1 * * -
3rd Quartile Price * 98.5 100.0 101.1 * * -
4th Quartile Price * 98.6 100.0 101.1 * * -
Avg. Price Top 5 Trades * 98.6 100.0 101.1 * * -
Standard Deviation * 0.1 - - * * -
     VOLUME OF TRADES (000'S) * 24,500.0 478,500.0 549,000.0 * * -
     NUMBER OF TRADES * 8 24 17 * * -
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 - - - - - - -
JANUARY 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

OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * - * 99.2 101.7 102.3 103.8
Weighted Avg. Price * - * 99.5 101.4 102.2 103.8
Avg. Price Bottom 5 Trades * - * 99.2 101.0 102.3 103.4
2nd Quartile Price * - * * 101.1 * 103.4
3rd Quartile Price * - * * 102.1 * 103.5
4th Quartile Price * - * * 102.7 * 104.6
Avg. Price Top 5 Trades * - * 99.2 102.2 102.3 104.0
Standard Deviation * - * 0.9 0.8 0.1 0.7
     VOLUME OF TRADES (000'S) * - * 103,870.3 33,079.4 101,158.3 172,457.5
     NUMBER OF TRADES * - * 6 9 6 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 88.7 94.4 97.4 99.7 100.8 101.8 102.7
Weighted Avg. Price 88.2 94.4 97.4 99.7 100.8 101.7 102.6
Avg. Price Bottom 5 Trades 83.0 94.0 97.1 99.4 100.6 101.0 102.1
2nd Quartile Price 86.7 94.4 97.4 99.6 100.8 101.6 102.5
3rd Quartile Price 89.9 94.5 97.5 99.7 100.8 101.7 102.6
4th Quartile Price 91.4 94.6 97.5 99.8 100.8 101.7 102.7
Avg. Price Top 5 Trades 91.6 94.6 97.6 100.2 101.9 104.4 104.8
Standard Deviation 2.8 0.2 0.1 0.2 0.2 0.5 0.5
     VOLUME OF TRADES (000'S) 9,936,464.2 3,909,880.2 5,514,592.8 7,320,650.9 9,493,960.0 3,807,423.1 4,615,000.9
     NUMBER OF TRADES 180 58 94 175 271 228 166
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.5 94.7 97.4 99.5 101.0 102.2 103.6
Weighted Avg. Price 88.9 94.7 97.4 99.4 101.0 102.2 103.6
Avg. Price Bottom 5 Trades 79.8 94.6 97.3 99.0 100.9 102.2 103.3
2nd Quartile Price 84.9 94.6 97.4 99.4 101.0 102.2 103.4
3rd Quartile Price 88.5 94.7 97.4 99.5 101.0 102.2 103.4
4th Quartile Price 91.8 94.8 97.5 99.5 101.0 102.2 103.4
Avg. Price Top 5 Trades 92.0 94.9 97.9 99.9 101.6 103.1 104.8
Standard Deviation 3.5 0.1 0.2 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 6,363,696.3 3,297,797.0 6,156,102.0 26,570,797.8 22,699,705.2 19,157,388.0 7,679,499.0
     NUMBER OF TRADES 332 178 273 945 879 488 228
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 88.8 94.4 97.4 99.6 100.8 101.7 102.7
Weighted Avg. Price 88.4 94.4 97.4 99.6 100.7 101.7 102.7
Avg. Price Bottom 5 Trades 83.0 94.2 97.2 99.4 100.5 101.6 102.5
2nd Quartile Price 86.7 94.3 97.4 99.6 100.7 101.7 102.7
3rd Quartile Price 89.9 94.5 97.5 99.6 100.8 101.7 102.7
4th Quartile Price 91.4 94.5 97.5 99.7 100.8 101.7 102.7
Avg. Price Top 5 Trades 91.7 94.6 97.6 100.2 101.8 102.5 103.0
Standard Deviation 2.7 0.1 0.1 0.1 0.2 0.2 0.2
     VOLUME OF TRADES (000'S) 11,649,070.2 4,498,626.7 6,823,132.6 9,356,493.0 11,113,944.4 4,582,816.6 13,433,053.5
     NUMBER OF TRADES 200 63 125 288 345 173 95
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.5 94.7 97.4 99.4 100.9 102.2 103.7
Weighted Avg. Price 89.1 94.8 97.4 99.3 100.9 102.2 103.6
Avg. Price Bottom 5 Trades 89.5 94.7 97.3 99.2 100.8 102.1 103.4
2nd Quartile Price * 94.7 97.4 99.3 100.9 102.2 103.4
3rd Quartile Price * 94.8 97.4 99.4 100.9 102.2 103.4
4th Quartile Price * 94.8 97.4 99.4 100.9 102.2 103.5
Avg. Price Top 5 Trades 89.5 94.8 97.5 99.5 101.0 102.2 104.8
Standard Deviation 4.3 0.1 0.1 0.1 0.1 - 0.5
     VOLUME OF TRADES (000'S) 729,196.9 203,600.0 472,400.0 9,808,335.0 6,703,200.0 8,648,500.0 5,849,500.0
     NUMBER OF TRADES 6 12 33 289 264 120 69
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 * * 97.4 99.5 100.6 101.6 102.6
Weighted Avg. Price * * 97.4 99.5 100.6 101.6 102.6
Avg. Price Bottom 5 Trades * * 97.3 99.3 100.5 101.6 102.5
2nd Quartile Price * * 97.3 99.4 100.6 101.6 102.6
3rd Quartile Price * * 97.4 99.5 100.6 101.6 102.6
4th Quartile Price * * 97.4 99.5 100.7 101.7 102.6
Avg. Price Top 5 Trades * * 97.4 99.6 100.7 101.7 102.7
Standard Deviation * * 0.1 0.1 0.1 - 0.1
     VOLUME OF TRADES (000'S) * * 76,000.0 910,500.0 923,330.0 244,250.0 8,443,400.0
     NUMBER OF TRADES * * 14 102 91 37 19
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - 94.7 97.3 99.3 100.8 102.1 *
Weighted Avg. Price - 94.7 97.3 99.3 100.8 102.1 *
Avg. Price Bottom 5 Trades - 94.7 97.2 99.2 100.7 102.1 *
2nd Quartile Price - 94.7 97.3 99.3 100.8 * *
3rd Quartile Price - 94.7 97.3 99.3 100.8 * *
4th Quartile Price - 94.8 97.4 99.3 100.8 * *
Avg. Price Top 5 Trades - 94.7 97.3 99.4 100.8 102.1 *
Standard Deviation - 0.1 0.1 0.1 - - *
     VOLUME OF TRADES (000'S) - 54,000.0 68,750.0 541,750.0 469,750.0 96,250.0 *
     NUMBER OF TRADES - 7 10 36 33 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 * * - - - - -
* 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].