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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 94.3 99.0 100.4 101.4 102.3 103.3 *
Weighted Avg. Price 94.1 99.0 100.4 101.4 102.3 103.2 *
Avg. Price Bottom 5 Trades 90.0 98.9 100.3 101.3 102.3 103.2 *
2nd Quartile Price 92.6 99.0 100.4 101.3 102.3 103.2 *
3rd Quartile Price 94.6 99.0 100.4 101.4 102.3 103.3 *
4th Quartile Price 96.5 99.0 100.4 101.4 102.4 103.3 *
Avg. Price Top 5 Trades 97.6 99.1 100.5 101.4 102.4 103.3 *
Standard Deviation 2.7 0.1 - - - 0.1 *
     VOLUME OF TRADES (000'S) 5,280,447.4 516,338.5 956,617.2 1,777,630.6 1,947,063.7 498,918.2 *
     NUMBER OF TRADES 203 51 63 100 84 34 *
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 94.3 99.0 100.4 101.4 102.3 103.3 *
Weighted Avg. Price 94.2 99.0 100.4 101.4 102.3 103.3 *
Avg. Price Bottom 5 Trades 90.1 98.9 100.3 101.3 102.3 103.2 *
2nd Quartile Price 92.7 99.0 100.4 101.3 102.3 103.2 *
3rd Quartile Price 94.6 99.0 100.4 101.4 102.3 103.3 *
4th Quartile Price 96.5 99.0 100.4 101.4 102.3 103.3 *
Avg. Price Top 5 Trades 97.7 99.0 100.4 101.4 102.4 103.3 *
Standard Deviation 2.6 - - - - - *
     VOLUME OF TRADES (000'S) 5,321,926.2 572,955.2 1,899,706.8 1,586,758.8 2,862,398.6 1,165,886.8 *
     NUMBER OF TRADES 212 58 144 137 122 62 *
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 * 99.0 100.4 101.3 102.3 * -
Weighted Avg. Price * 99.0 100.4 101.3 102.3 * -
Avg. Price Bottom 5 Trades * 99.0 100.3 101.1 102.3 * -
2nd Quartile Price * 99.0 100.3 101.3 102.3 * -
3rd Quartile Price * 99.0 100.4 101.3 102.3 * -
4th Quartile Price * 99.0 100.4 101.4 102.3 * -
Avg. Price Top 5 Trades * 99.0 100.4 101.3 102.3 * -
Standard Deviation * - - 0.2 - * -
     VOLUME OF TRADES (000'S) * 61,000.0 231,750.0 72,250.0 22,500.0 * -
     NUMBER OF TRADES * 6 28 15 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 - - * * 102.0 * -
Weighted Avg. Price - - * * 101.5 * -
Avg. Price Bottom 5 Trades - - * * 102.0 * -
2nd Quartile Price - - * * * * -
3rd Quartile Price - - * * * * -
4th Quartile Price - - * * * * -
Avg. Price Top 5 Trades - - * * 102.0 * -
Standard Deviation - - * * 0.9 * -
     VOLUME OF TRADES (000'S) - - * * 43,370.8 * -
     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 88.4 95.1 98.0 100.2 101.3 102.3 103.1
Weighted Avg. Price 87.8 95.1 98.0 100.2 101.2 102.1 102.9
Avg. Price Bottom 5 Trades 82.2 94.9 97.7 100.0 101.0 101.6 102.1
2nd Quartile Price 86.8 95.0 98.0 100.1 101.2 102.0 102.8
3rd Quartile Price 90.3 95.1 98.0 100.2 101.3 102.0 102.8
4th Quartile Price 90.5 95.2 98.1 100.2 101.3 102.1 102.9
Avg. Price Top 5 Trades 93.0 95.3 98.2 100.7 102.3 104.6 106.5
Standard Deviation 3.4 0.1 0.1 0.1 0.3 0.6 0.7
     VOLUME OF TRADES (000'S) 11,753,436.6 2,874,427.1 2,710,576.8 7,108,085.1 8,863,440.2 4,341,108.7 5,521,331.9
     NUMBER OF TRADES 200 50 76 165 326 339 307
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.7 95.2 97.9 99.9 101.3 102.4 103.7
Weighted Avg. Price 88.1 95.2 97.9 99.9 101.3 102.4 103.7
Avg. Price Bottom 5 Trades 80.6 95.0 97.7 99.7 101.2 102.4 103.6
2nd Quartile Price 85.0 95.2 97.8 99.8 101.2 102.4 103.6
3rd Quartile Price 88.7 95.2 97.9 99.9 101.3 102.4 103.6
4th Quartile Price 92.3 95.3 98.0 100.0 101.3 102.5 103.6
Avg. Price Top 5 Trades 92.5 95.4 98.1 100.0 101.4 102.6 105.0
Standard Deviation 4.1 0.1 0.1 0.1 - - 0.4
     VOLUME OF TRADES (000'S) 12,977,566.0 15,776,201.0 21,416,660.1 27,982,388.4 29,662,361.4 17,821,780.7 11,870,101.6
     NUMBER OF TRADES 652 311 507 1,274 960 675 286
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 87.9 95.1 98.0 100.1 101.2 102.1 102.9
Weighted Avg. Price 87.7 95.1 98.0 100.1 101.1 102.0 102.8
Avg. Price Bottom 5 Trades 83.4 95.0 97.8 99.9 100.9 101.9 102.6
2nd Quartile Price 83.7 95.1 98.0 100.1 101.1 101.9 102.8
3rd Quartile Price 87.0 95.1 98.0 100.1 101.1 102.0 102.8
4th Quartile Price 90.4 95.2 98.1 100.1 101.2 102.0 102.8
Avg. Price Top 5 Trades 92.8 95.3 98.1 100.4 102.5 104.0 103.9
Standard Deviation 3.2 0.1 0.1 0.1 0.2 0.4 0.2
     VOLUME OF TRADES (000'S) 12,721,405.5 3,432,428.1 4,297,450.7 9,378,771.7 10,048,941.1 4,254,709.3 5,031,072.0
     NUMBER OF TRADES 242 62 139 280 273 194 210
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 91.9 95.2 97.9 99.8 101.2 102.4 103.8
Weighted Avg. Price 92.2 95.2 97.9 99.8 101.2 102.4 103.6
Avg. Price Bottom 5 Trades 91.1 95.2 97.7 99.7 101.1 102.4 103.6
2nd Quartile Price 92.2 95.2 97.8 99.8 101.2 102.4 103.6
3rd Quartile Price 92.3 95.2 97.9 99.8 101.2 102.4 103.6
4th Quartile Price 92.3 95.3 97.9 99.9 101.2 102.4 103.7
Avg. Price Top 5 Trades 92.4 95.3 98.3 100.2 101.3 102.4 105.0
Standard Deviation 1.2 0.1 0.3 0.1 - - 0.5
     VOLUME OF TRADES (000'S) 1,027,027.0 7,165,406.0 10,278,800.0 6,950,850.0 6,796,000.0 3,511,909.0 7,126,550.0
     NUMBER OF TRADES 17 25 55 281 179 79 64
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 92.1 95.1 97.9 100.0 101.0 101.9 102.7
Weighted Avg. Price 91.1 95.1 98.0 100.0 101.0 101.9 102.7
Avg. Price Bottom 5 Trades 92.1 95.1 97.8 99.9 100.9 101.8 102.7
2nd Quartile Price * 95.1 97.9 100.0 101.0 101.8 102.7
3rd Quartile Price * 95.1 98.0 100.0 101.1 101.9 102.7
4th Quartile Price * 95.2 98.0 100.0 101.1 101.9 102.7
Avg. Price Top 5 Trades 92.1 95.2 98.0 100.1 101.1 101.9 102.8
Standard Deviation 1.0 0.1 0.1 - - - -
     VOLUME OF TRADES (000'S) 76,000.0 62,000.0 216,500.0 1,237,867.8 734,830.0 443,850.0 515,000.0
     NUMBER OF TRADES 5 13 34 168 101 56 37
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 95.1 97.7 99.7 101.1 102.3 103.6
Weighted Avg. Price * 95.1 97.7 99.7 101.1 102.3 103.6
Avg. Price Bottom 5 Trades * 95.1 97.6 99.6 101.0 102.2 103.6
2nd Quartile Price * * 97.7 99.7 101.1 102.3 *
3rd Quartile Price * * 97.8 99.8 101.1 102.3 *
4th Quartile Price * * 97.8 99.8 101.1 102.3 *
Avg. Price Top 5 Trades * 95.1 97.8 99.8 101.2 102.3 103.6
Standard Deviation * 0.1 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) * 23,000.0 131,000.0 670,500.0 504,450.0 191,400.0 156,100.0
     NUMBER OF TRADES * 5 20 100 64 25 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].