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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

NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.8 98.4 99.8 101.0 102.2 103.4 -
Weighted Avg. Price 94.1 98.4 99.8 101.0 102.3 103.4 -
Avg. Price Bottom 5 Trades 89.6 98.4 99.8 101.0 102.2 103.4 -
2nd Quartile Price 92.1 98.4 99.8 101.0 102.2 * -
3rd Quartile Price 94.1 98.4 99.8 101.0 102.2 * -
4th Quartile Price 95.8 98.5 99.8 101.0 102.2 * -
Avg. Price Top 5 Trades 96.9 98.5 100.0 101.1 102.3 103.4 -
Standard Deviation 2.0 - - - 0.1 - -
     VOLUME OF TRADES (000'S) 7,572,994.2 107,764.0 2,515,928.0 4,642,974.0 1,421,544.3 18,600.0 -
     NUMBER OF TRADES 121 21 162 159 44 9 -
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 93.9 98.3 99.8 101.0 102.2 103.4 -
Weighted Avg. Price 94.1 98.3 99.8 101.0 102.3 103.4 -
Avg. Price Bottom 5 Trades 89.8 98.3 99.8 101.0 102.1 103.4 -
2nd Quartile Price 92.1 * 99.8 101.0 102.2 * -
3rd Quartile Price 94.1 * 99.8 101.0 102.2 * -
4th Quartile Price 95.8 * 99.8 101.1 102.2 * -
Avg. Price Top 5 Trades 96.9 98.3 99.8 101.1 102.3 103.4 -
Standard Deviation 1.9 - - 0.1 0.1 - -
     VOLUME OF TRADES (000'S) 7,440,081.2 34,863.6 1,511,326.0 3,091,028.5 1,379,679.6 11,400.0 -
     NUMBER OF TRADES 73 8 34 59 29 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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 96.5 98.3 99.7 100.9 * * -
Weighted Avg. Price 96.6 98.3 99.7 100.9 * * -
Avg. Price Bottom 5 Trades 96.5 98.3 99.7 100.9 * * -
2nd Quartile Price * * 99.7 100.9 * * -
3rd Quartile Price * * 99.7 101.0 * * -
4th Quartile Price * * 99.8 101.0 * * -
Avg. Price Top 5 Trades 96.5 98.3 99.8 101.0 * * -
Standard Deviation 0.5 - - - * * -
     VOLUME OF TRADES (000'S) 6,500.0 36,500.0 230,109.4 23,800.0 * * -
     NUMBER OF TRADES 5 6 15 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 - - - - - - -
FEBRUARY 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

NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.1 94.9 97.6 99.6 101.1 102.3 103.8
Weighted Avg. Price 85.0 94.9 97.5 99.5 101.0 102.3 103.6
Avg. Price Bottom 5 Trades 77.2 94.7 97.4 99.4 101.0 102.1 103.4
2nd Quartile Price 84.9 94.9 97.5 99.5 101.0 102.3 103.6
3rd Quartile Price 88.5 94.9 97.5 99.5 101.1 102.3 103.6
4th Quartile Price 92.1 94.9 97.6 99.6 101.1 102.3 103.6
Avg. Price Top 5 Trades 92.3 95.5 99.2 100.9 103.2 104.2 105.4
Standard Deviation 4.0 0.2 0.2 0.1 0.2 0.2 0.5
     VOLUME OF TRADES (000'S) 37,111,027.7 11,172,670.9 11,887,115.3 45,487,733.8 41,424,746.5 38,206,498.4 18,918,902.7
     NUMBER OF TRADES 760 226 447 1,224 1,068 719 375
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 94.5 97.6 99.7 100.9 101.8 103.0
Weighted Avg. Price 89.5 94.4 97.6 99.7 100.9 101.8 103.0
Avg. Price Bottom 5 Trades 83.1 94.2 97.4 99.6 100.6 101.3 102.0
2nd Quartile Price 86.7 94.5 97.6 99.7 100.8 101.7 103.0
3rd Quartile Price 89.9 94.6 97.6 99.7 100.9 101.8 103.0
4th Quartile Price 91.4 94.6 97.6 99.7 100.9 101.8 103.1
Avg. Price Top 5 Trades 91.8 94.7 97.7 100.7 101.9 103.6 103.6
Standard Deviation 2.8 0.2 0.1 0.1 0.2 0.4 0.4
     VOLUME OF TRADES (000'S) 8,423,774.6 3,351,573.3 3,953,099.8 11,075,086.8 9,002,678.8 6,344,774.3 1,326,530.4
     NUMBER OF TRADES 181 47 116 372 335 241 104
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.8 94.9 97.5 99.5 101.0 102.3 103.8
Weighted Avg. Price 84.8 94.9 97.5 99.5 101.0 102.2 103.7
Avg. Price Bottom 5 Trades 77.3 94.7 97.3 99.4 100.9 102.1 103.5
2nd Quartile Price 84.9 94.8 97.5 99.5 101.0 102.2 103.6
3rd Quartile Price 88.5 94.9 97.5 99.5 101.0 102.3 103.6
4th Quartile Price 88.7 94.9 97.5 99.5 101.0 102.3 103.7
Avg. Price Top 5 Trades 92.2 95.0 97.6 99.6 101.1 103.5 104.9
Standard Deviation 4.1 0.1 0.1 - - 0.2 0.4
     VOLUME OF TRADES (000'S) 33,526,183.5 9,214,622.9 6,562,746.6 36,141,179.5 37,119,623.6 36,216,808.4 22,859,552.2
     NUMBER OF TRADES 314 93 146 468 409 245 148
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 89.2 94.5 97.5 99.6 100.8 101.7 102.9
Weighted Avg. Price 89.6 94.4 97.5 99.6 100.8 101.7 102.9
Avg. Price Bottom 5 Trades 83.1 94.3 97.5 99.5 100.7 101.7 102.8
2nd Quartile Price 86.9 94.5 97.5 99.6 100.7 101.7 102.9
3rd Quartile Price 89.9 94.5 97.6 99.6 100.8 101.7 102.9
4th Quartile Price 91.4 94.6 97.6 99.6 100.8 101.8 103.0
Avg. Price Top 5 Trades 91.6 94.6 97.7 99.7 100.9 101.9 103.0
Standard Deviation 2.5 0.1 0.1 - - - 0.1
     VOLUME OF TRADES (000'S) 7,159,820.0 3,275,134.0 3,382,567.0 7,417,703.4 5,688,902.0 4,707,024.0 796,425.0
     NUMBER OF TRADES 102 29 71 214 152 97 42
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.7 94.8 97.5 99.4 100.9 102.2 103.9
Weighted Avg. Price 88.8 94.8 97.4 99.4 100.9 102.2 103.7
Avg. Price Bottom 5 Trades 87.9 94.8 97.4 99.3 100.9 102.2 103.6
2nd Quartile Price 88.6 94.8 97.4 99.4 100.9 102.2 103.6
3rd Quartile Price 92.1 94.8 97.5 99.4 100.9 102.2 103.6
4th Quartile Price 92.1 94.9 97.5 99.4 100.9 102.3 103.8
Avg. Price Top 5 Trades 91.5 94.9 97.5 99.5 100.9 102.3 104.9
Standard Deviation 2.4 - - - - - 0.5
     VOLUME OF TRADES (000'S) 2,407,942.8 60,225.0 213,650.0 6,595,167.6 10,531,500.0 7,545,500.0 7,244,000.0
     NUMBER OF TRADES 10 15 36 229 171 70 44
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 91.6 * 97.5 99.5 100.7 101.7 102.7
Weighted Avg. Price 91.6 * 97.5 99.5 100.7 101.7 102.7
Avg. Price Bottom 5 Trades 91.6 * 97.4 99.4 100.6 101.6 102.6
2nd Quartile Price * * 97.5 99.5 100.7 101.7 102.6
3rd Quartile Price * * 97.5 99.5 100.7 101.7 102.7
4th Quartile Price * * 97.5 99.5 100.7 101.7 102.7
Avg. Price Top 5 Trades 91.6 * 97.5 99.6 100.7 101.7 102.7
Standard Deviation 0.1 * 0.1 - - - -
     VOLUME OF TRADES (000'S) 128,500.0 * 130,000.0 1,230,476.9 1,216,080.0 1,209,000.0 471,000.0
     NUMBER OF TRADES 6 * 21 97 85 38 18
FEBRUARY 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].