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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

NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.9 95.1 96.5 98.2 99.7 100.8 *
Weighted Avg. Price 91.3 95.0 96.5 98.3 99.7 100.9 *
Avg. Price Bottom 5 Trades 87.3 95.0 96.4 98.0 99.5 100.7 *
2nd Quartile Price 89.3 95.0 96.5 98.1 99.6 100.7 *
3rd Quartile Price 91.1 95.1 96.6 98.3 99.8 100.8 *
4th Quartile Price 93.2 95.1 96.8 98.3 99.8 101.0 *
Avg. Price Top 5 Trades 93.4 95.1 96.8 98.5 99.9 101.0 *
Standard Deviation 2.1 0.2 0.2 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) 567,066.0 110,898.0 154,000.0 631,000.0 652,315.0 34,700.0 *
     NUMBER OF TRADES 53 13 22 76 57 13 *
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 90.8 * 96.5 * 99.6 * *
Weighted Avg. Price 91.4 * 96.5 * 99.6 * *
Avg. Price Bottom 5 Trades 87.9 * 96.5 * 99.5 * *
2nd Quartile Price 91.1 * * * 99.5 * *
3rd Quartile Price 91.3 * * * 99.6 * *
4th Quartile Price 91.5 * * * 99.7 * *
Avg. Price Top 5 Trades 92.7 * 96.5 * 99.7 * *
Standard Deviation 1.9 * 0.1 * 0.1 * *
     VOLUME OF TRADES (000'S) 456,056.0 * 42,650.0 * 289,050.0 * *
     NUMBER OF TRADES 23 * 5 * 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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - * 98.2 99.6 100.7 *
Weighted Avg. Price - - * 98.2 99.6 100.8 *
Avg. Price Bottom 5 Trades - - * 98.2 99.6 100.7 *
2nd Quartile Price - - * * 99.6 * *
3rd Quartile Price - - * * 99.6 * *
4th Quartile Price - - * * 99.7 * *
Avg. Price Top 5 Trades - - * 98.2 99.7 100.7 *
Standard Deviation - - * 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) - - * 9,000.0 49,900.0 40,500.0 *
     NUMBER OF TRADES - - * 5 10 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 - - - - - - -
FEBRUARY 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

NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.4 89.4 92.4 95.0 97.3 99.2 101.3
Weighted Avg. Price 83.6 89.5 92.3 95.0 97.2 99.1 101.3
Avg. Price Bottom 5 Trades 77.7 89.0 92.0 94.6 96.9 98.9 100.5
2nd Quartile Price 82.5 89.3 92.2 94.8 97.1 99.0 100.6
3rd Quartile Price 82.8 89.4 92.4 95.0 97.3 99.2 100.8
4th Quartile Price 85.9 89.7 92.7 95.3 97.5 99.3 102.0
Avg. Price Top 5 Trades 86.5 89.9 92.8 95.5 99.3 100.0 104.0
Standard Deviation 2.6 0.2 0.2 0.2 0.3 0.2 0.9
     VOLUME OF TRADES (000'S) 24,625,250.3 9,044,680.4 7,645,257.3 18,074,584.1 32,682,725.1 40,399,522.8 35,941,613.6
     NUMBER OF TRADES 656 234 192 506 1,285 1,322 972
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 85.0 90.4 93.0 95.5 97.7 99.5 101.4
Weighted Avg. Price 85.4 90.4 93.1 95.3 97.6 99.4 101.2
Avg. Price Bottom 5 Trades 81.1 90.0 92.7 95.0 97.4 99.2 100.6
2nd Quartile Price 84.2 90.2 92.8 95.2 97.5 99.4 100.8
3rd Quartile Price 84.8 90.4 93.0 95.5 97.7 99.5 101.0
4th Quartile Price 87.4 90.6 93.3 95.7 97.9 99.6 101.8
Avg. Price Top 5 Trades 88.0 90.8 93.4 95.9 98.1 100.6 104.0
Standard Deviation 2.5 0.3 0.3 0.3 0.2 0.2 0.8
     VOLUME OF TRADES (000'S) 5,600,297.0 2,456,954.5 1,343,017.0 3,037,285.9 5,905,099.7 9,064,721.6 5,580,101.9
     NUMBER OF TRADES 110 57 51 130 263 400 370
DECEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.5 89.4 92.3 95.0 97.2 99.1 101.3
Weighted Avg. Price 83.8 89.4 92.3 95.0 97.2 99.1 101.3
Avg. Price Bottom 5 Trades 77.7 89.0 92.0 94.6 96.9 98.8 100.4
2nd Quartile Price 82.5 89.2 92.2 94.8 97.1 98.9 100.6
3rd Quartile Price 83.1 89.3 92.3 94.9 97.2 99.1 100.8
4th Quartile Price 85.9 89.5 92.5 95.1 97.5 99.3 102.0
Avg. Price Top 5 Trades 86.5 89.9 92.9 95.4 97.7 99.4 103.6
Standard Deviation 2.6 0.2 0.2 0.2 0.2 0.2 0.9
     VOLUME OF TRADES (000'S) 20,425,281.3 7,092,146.4 6,336,825.8 11,134,725.7 17,539,388.4 22,939,395.2 27,196,684.9
     NUMBER OF TRADES 327 98 86 161 346 342 408
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 85.1 90.4 93.2 95.5 97.7 99.4 101.0
Weighted Avg. Price 85.5 90.4 93.2 95.4 97.6 99.3 101.2
Avg. Price Bottom 5 Trades 81.1 90.0 92.9 95.1 97.3 99.1 100.5
2nd Quartile Price 84.2 90.1 93.1 95.3 97.5 99.3 100.6
3rd Quartile Price 84.9 90.5 93.2 95.5 97.7 99.4 100.8
4th Quartile Price 87.4 90.8 93.3 95.8 97.8 99.5 101.5
Avg. Price Top 5 Trades 88.0 90.7 93.4 95.9 98.0 99.7 102.2
Standard Deviation 2.5 0.3 0.2 0.3 0.2 0.2 0.5
     VOLUME OF TRADES (000'S) 5,152,650.0 1,713,633.5 1,099,552.0 2,010,559.0 3,166,484.8 7,128,727.4 4,152,826.0
     NUMBER OF TRADES 83 18 17 54 79 212 210
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * - * 95.1 97.2 99.0 100.9
Weighted Avg. Price * - * 95.2 97.3 99.1 100.9
Avg. Price Bottom 5 Trades * - * 94.8 96.9 98.8 100.4
2nd Quartile Price * - * 94.9 97.0 98.8 100.5
3rd Quartile Price * - * 95.0 97.2 99.0 100.7
4th Quartile Price * - * 95.4 97.4 99.3 100.8
Avg. Price Top 5 Trades * - * 95.4 97.5 99.3 103.0
Standard Deviation * - * 0.3 0.2 0.2 0.6
     VOLUME OF TRADES (000'S) * - * 82,000.0 420,550.0 530,350.0 875,860.0
     NUMBER OF TRADES * - * 15 43 92 188
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 * 90.4 93.2 95.4 97.6 99.2 100.8
Weighted Avg. Price * 90.6 93.2 95.7 97.6 99.2 101.0
Avg. Price Bottom 5 Trades * 90.4 93.1 95.2 97.3 99.1 100.3
2nd Quartile Price * * 93.0 95.3 97.5 99.1 100.5
3rd Quartile Price * * 93.3 95.3 97.6 99.2 100.6
4th Quartile Price * * 93.5 95.7 97.8 99.4 101.4
Avg. Price Top 5 Trades * 90.4 93.3 95.8 97.9 99.5 101.5
Standard Deviation * 0.3 0.3 0.3 0.2 0.1 0.5
     VOLUME OF TRADES (000'S) * 142,100.0 57,600.0 331,700.0 1,014,200.0 1,910,846.0 1,323,375.0
     NUMBER OF TRADES * 6 9 17 38 67 64
FEBRUARY 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 - * * - - - -
* 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].