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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

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

OCTOBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
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 - - - - - - -
NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.2 95.6 97.1 98.6 99.8 100.8 -
Weighted Avg. Price 90.0 95.6 97.1 98.5 99.8 100.8 -
Avg. Price Bottom 5 Trades 87.7 95.6 97.0 98.5 99.7 100.8 -
2nd Quartile Price 89.2 * 97.1 98.5 99.8 100.8 -
3rd Quartile Price 89.3 * 97.1 98.6 99.8 100.8 -
4th Quartile Price 91.5 * 97.2 98.7 99.8 100.9 -
Avg. Price Top 5 Trades 93.6 95.6 97.2 98.8 100.0 100.9 -
Standard Deviation 2.1 - 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 570,785.0 103,569.0 210,524.0 826,253.0 780,230.0 112,300.0 -
     NUMBER OF TRADES 44 6 20 71 80 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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * * * * 99.8 - -
Weighted Avg. Price * * * * 99.8 - -
Avg. Price Bottom 5 Trades * * * * 99.8 - -
2nd Quartile Price * * * * * - -
3rd Quartile Price * * * * * - -
4th Quartile Price * * * * * - -
Avg. Price Top 5 Trades * * * * 99.8 - -
Standard Deviation * * * * - - -
     VOLUME OF TRADES (000'S) * * * * 148,000.0 - -
     NUMBER OF TRADES * * * * 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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
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
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
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 * - - - 98.1 * 102.9
Weighted Avg. Price * - - - 98.0 * 103.0
Avg. Price Bottom 5 Trades * - - - 98.1 * 102.3
2nd Quartile Price * - - - 98.0 * 102.2
3rd Quartile Price * - - - 98.3 * 103.1
4th Quartile Price * - - - 98.5 * 103.7
Avg. Price Top 5 Trades * - - - 98.2 * 103.5
Standard Deviation * - - - 0.2 * 0.6
     VOLUME OF TRADES (000'S) * - - - 46,042.9 * 17,584.0
     NUMBER OF TRADES * - - - 6 * 11
NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.2 90.1 93.1 95.5 97.6 99.4 101.2
Weighted Avg. Price 83.9 90.1 93.1 95.5 97.6 99.4 101.2
Avg. Price Bottom 5 Trades 79.7 89.9 92.8 95.2 97.3 99.2 100.8
2nd Quartile Price 83.1 89.9 92.9 95.4 97.5 99.3 100.9
3rd Quartile Price 83.5 90.0 93.1 95.5 97.6 99.4 100.9
4th Quartile Price 86.5 90.2 93.2 95.6 97.7 99.5 101.0
Avg. Price Top 5 Trades 87.0 90.4 93.3 95.7 98.8 100.1 103.9
Standard Deviation 2.6 0.2 0.2 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 5,053,930.5 4,353,192.0 6,935,031.0 6,525,512.0 34,351,831.2 27,281,002.2 57,431,933.0
     NUMBER OF TRADES 303 182 204 349 1,010 1,006 888
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 84.9 91.0 93.6 95.9 98.0 99.7 101.3
Weighted Avg. Price 83.3 91.1 93.7 95.9 98.3 99.7 101.3
Avg. Price Bottom 5 Trades 81.8 90.7 93.5 95.7 97.6 99.3 100.5
2nd Quartile Price 82.1 90.8 93.5 95.8 97.9 99.6 100.8
3rd Quartile Price 85.2 91.0 93.6 95.9 98.0 99.6 100.8
4th Quartile Price 88.3 91.2 93.8 96.0 98.1 99.7 101.7
Avg. Price Top 5 Trades 88.5 91.2 93.8 96.2 100.2 100.5 104.4
Standard Deviation 2.6 0.2 0.1 0.1 0.4 0.2 0.7
     VOLUME OF TRADES (000'S) 7,208,889.5 1,873,309.0 2,938,828.0 2,981,741.1 4,401,752.7 4,473,929.8 4,811,402.6
     NUMBER OF TRADES 55 33 38 113 177 200 249
DECEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.1 90.1 93.1 95.5 97.5 99.3 101.2
Weighted Avg. Price 83.7 90.2 93.1 95.5 97.5 99.3 101.2
Avg. Price Bottom 5 Trades 79.0 90.0 92.9 95.3 97.3 99.1 100.7
2nd Quartile Price 83.2 90.0 93.1 95.4 97.4 99.2 100.8
3rd Quartile Price 86.6 90.1 93.1 95.6 97.5 99.2 100.9
4th Quartile Price 86.8 90.3 93.3 95.7 97.6 99.3 100.9
Avg. Price Top 5 Trades 86.8 90.3 93.3 95.7 97.7 99.5 103.7
Standard Deviation 3.3 0.2 0.1 0.2 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 1,245,490.0 253,600.0 2,905,950.0 1,943,050.0 13,625,050.0 10,822,450.0 37,255,781.7
     NUMBER OF TRADES 24 11 22 59 112 226 315
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 85.5 91.2 93.8 95.9 97.9 99.5 100.9
Weighted Avg. Price 84.3 91.2 93.8 95.9 98.0 99.6 101.3
Avg. Price Bottom 5 Trades 82.1 91.2 93.6 95.7 97.7 99.4 100.5
2nd Quartile Price 82.3 * 93.7 95.7 97.8 99.4 100.6
3rd Quartile Price 85.5 * 93.8 95.9 97.9 99.5 100.6
4th Quartile Price 88.4 * 93.9 95.9 98.0 99.6 101.6
Avg. Price Top 5 Trades 88.5 91.2 94.0 96.0 98.1 99.6 102.4
Standard Deviation 2.6 0.1 0.3 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 4,407,121.5 1,832,638.0 2,683,650.0 1,557,045.0 2,381,720.0 2,762,590.0 3,279,470.0
     NUMBER OF TRADES 25 10 14 31 91 153 163
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * 93.0 95.4 97.5 99.2 101.1
Weighted Avg. Price - * 93.0 95.4 97.5 99.2 101.1
Avg. Price Bottom 5 Trades - * 92.9 95.4 97.3 99.1 100.7
2nd Quartile Price - * 92.9 95.4 97.4 99.1 100.7
3rd Quartile Price - * 93.0 95.5 97.5 99.2 100.8
4th Quartile Price - * 93.2 95.6 97.6 99.3 100.9
Avg. Price Top 5 Trades - * 93.1 95.5 97.7 99.4 102.9
Standard Deviation - * 0.2 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) - * 159,500.0 226,500.0 387,000.0 785,950.0 560,850.0
     NUMBER OF TRADES - * 10 10 41 115 114
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 * * 93.7 95.7 97.8 99.4 100.7
Weighted Avg. Price * * 93.7 95.8 97.7 99.4 100.7
Avg. Price Bottom 5 Trades * * 93.6 95.6 97.6 99.3 100.5
2nd Quartile Price * * 93.6 95.7 97.7 99.3 100.5
3rd Quartile Price * * 93.7 95.7 97.8 99.4 100.5
4th Quartile Price * * 93.8 95.8 97.8 99.4 101.4
Avg. Price Top 5 Trades * * 93.7 95.8 97.9 99.6 101.5
Standard Deviation * * 0.2 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) * * 92,000.0 301,000.0 379,500.0 349,500.0 139,500.0
     NUMBER OF TRADES * * 8 16 31 42 26
* 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].