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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 - - - - - - -
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 - - - - - - -
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.7 98.4 99.9 101.0 102.1 103.1 *
Weighted Avg. Price 94.9 98.4 99.9 101.0 102.1 103.1 *
Avg. Price Bottom 5 Trades 91.3 98.4 99.9 101.0 102.1 103.1 *
2nd Quartile Price 94.0 98.4 99.9 101.0 102.1 103.1 *
3rd Quartile Price 95.8 98.4 99.9 101.0 102.1 103.1 *
4th Quartile Price 96.9 98.5 99.9 101.0 102.1 103.1 *
Avg. Price Top 5 Trades 97.0 98.4 99.9 101.1 102.1 103.1 *
Standard Deviation 2.2 - - - - - *
     VOLUME OF TRADES (000'S) 134,703.0 304,989.1 1,548,577.3 1,140,715.0 816,460.3 78,005.0 *
     NUMBER OF TRADES 39 27 134 101 68 10 *
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 96.5 98.4 99.9 101.0 102.1 * -
Weighted Avg. Price 96.4 98.4 99.9 101.0 102.1 * -
Avg. Price Bottom 5 Trades 96.5 98.4 99.8 101.0 102.1 * -
2nd Quartile Price 95.9 * 99.9 101.0 * * -
3rd Quartile Price 96.9 * 99.9 101.0 * * -
4th Quartile Price 96.9 * 99.9 101.0 * * -
Avg. Price Top 5 Trades 96.6 98.4 99.9 101.0 102.1 * -
Standard Deviation 0.6 - - - - * -
     VOLUME OF TRADES (000'S) 43,000.0 30,500.0 320,075.0 325,050.0 121,800.0 * -
     NUMBER OF TRADES 8 5 36 23 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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 98.4 99.8 100.9 * - -
Weighted Avg. Price * 98.4 99.8 100.9 * - -
Avg. Price Bottom 5 Trades * 98.4 99.8 100.9 * - -
2nd Quartile Price * 98.4 99.8 100.9 * - -
3rd Quartile Price * 98.4 99.8 100.9 * - -
4th Quartile Price * 98.4 99.8 101.0 * - -
Avg. Price Top 5 Trades * 98.4 99.8 101.0 * - -
Standard Deviation * - - - * - -
     VOLUME OF TRADES (000'S) * 43,000.0 88,000.0 48,500.0 * - -
     NUMBER OF TRADES * 7 24 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 - - - - - - -

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 * - - * 102.4 * -
Weighted Avg. Price * - - * 102.2 * -
Avg. Price Bottom 5 Trades * - - * 102.0 * -
2nd Quartile Price * - - * 102.2 * -
3rd Quartile Price * - - * 102.6 * -
4th Quartile Price * - - * 102.9 * -
Avg. Price Top 5 Trades * - - * 102.9 * -
Standard Deviation * - - * 0.6 * -
     VOLUME OF TRADES (000'S) * - - * 24,868.6 * -
     NUMBER OF TRADES * - - * 10 * -
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 * - * * * * 102.7
Weighted Avg. Price * - * * * * 102.7
Avg. Price Bottom 5 Trades * - * * * * 102.7
2nd Quartile Price * - * * * * 102.7
3rd Quartile Price * - * * * * 102.7
4th Quartile Price * - * * * * 102.8
Avg. Price Top 5 Trades * - * * * * 102.7
Standard Deviation * - * * * * 0.1
     VOLUME OF TRADES (000'S) * - * * * * 12,397.8
     NUMBER OF TRADES * - * * * * 7
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.3 94.6 97.3 99.4 101.0 102.3 103.7
Weighted Avg. Price 88.3 94.6 97.3 99.4 101.0 102.3 103.6
Avg. Price Bottom 5 Trades 80.2 94.5 97.2 99.3 100.9 102.2 103.4
2nd Quartile Price 84.4 94.5 97.3 99.4 101.0 102.3 103.5
3rd Quartile Price 88.1 94.5 97.3 99.4 101.0 102.3 103.5
4th Quartile Price 91.6 94.6 97.4 99.5 101.0 102.3 103.5
Avg. Price Top 5 Trades 91.8 94.7 97.4 99.7 102.2 102.6 104.7
Standard Deviation 4.1 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 12,882,599.0 4,924,968.3 13,272,481.3 28,856,113.4 30,869,323.8 35,908,794.3 20,694,777.1
     NUMBER OF TRADES 584 208 413 887 982 652 432
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 97.4 99.7 100.9 101.8 102.8
Weighted Avg. Price 88.9 94.5 97.4 99.7 100.9 101.8 102.7
Avg. Price Bottom 5 Trades 82.8 94.4 97.3 99.4 100.7 101.6 102.7
2nd Quartile Price 86.4 94.4 97.3 99.6 100.9 101.8 102.7
3rd Quartile Price 89.8 94.5 97.4 99.7 100.9 101.8 102.7
4th Quartile Price 91.9 94.5 97.4 99.7 100.9 101.8 102.8
Avg. Price Top 5 Trades 92.0 94.5 97.4 99.8 102.2 102.4 103.1
Standard Deviation 3.5 - 0.1 0.1 0.2 0.1 0.2
     VOLUME OF TRADES (000'S) 9,183,406.1 2,378,602.1 2,985,365.0 4,279,901.1 5,230,104.0 5,413,104.2 2,974,320.7
     NUMBER OF TRADES 173 47 63 134 214 159 114
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.2 94.5 97.3 99.4 101.0 102.3 103.9
Weighted Avg. Price 89.7 94.6 97.3 99.3 101.0 102.3 103.6
Avg. Price Bottom 5 Trades 82.8 94.5 97.2 99.3 100.9 102.2 103.5
2nd Quartile Price 88.1 94.5 97.2 99.3 100.9 102.3 103.5
3rd Quartile Price 91.6 94.6 97.3 99.4 101.0 102.3 103.5
4th Quartile Price 91.7 94.6 97.3 99.4 101.0 102.3 104.7
Avg. Price Top 5 Trades 91.7 94.6 97.4 99.4 101.0 102.3 104.8
Standard Deviation 3.4 0.1 0.1 - - - 0.6
     VOLUME OF TRADES (000'S) 2,672,660.0 1,567,500.0 4,336,424.0 12,477,825.0 7,913,500.0 20,851,116.9 15,710,400.0
     NUMBER OF TRADES 45 22 92 264 207 122 91
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 89.4 94.5 97.3 99.5 100.8 101.8 102.7
Weighted Avg. Price 89.2 94.5 97.4 99.6 100.8 101.8 102.7
Avg. Price Bottom 5 Trades 83.5 94.4 97.3 99.4 100.7 101.7 102.6
2nd Quartile Price 86.4 94.4 97.3 99.5 100.8 101.7 102.7
3rd Quartile Price 91.7 94.5 97.3 99.5 100.8 101.8 102.7
4th Quartile Price 91.8 94.5 97.4 99.6 100.8 101.8 102.7
Avg. Price Top 5 Trades 91.8 94.5 97.4 99.6 101.0 101.8 102.8
Standard Deviation 3.2 0.1 0.1 - 0.1 - 0.1
     VOLUME OF TRADES (000'S) 7,687,525.0 2,262,440.0 2,062,075.0 3,874,455.0 2,338,750.0 4,035,850.0 2,110,500.0
     NUMBER OF TRADES 67 31 34 205 144 86 53
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 94.5 97.2 99.3 100.9 102.2 103.7
Weighted Avg. Price * 94.5 97.3 99.3 100.9 102.2 103.6
Avg. Price Bottom 5 Trades * 94.5 97.1 99.2 100.8 102.1 103.5
2nd Quartile Price * * 97.2 99.2 100.8 102.2 103.5
3rd Quartile Price * * 97.2 99.3 100.9 102.2 103.5
4th Quartile Price * * 97.3 99.3 100.9 102.2 103.6
Avg. Price Top 5 Trades * 94.5 97.3 99.3 100.9 102.2 104.2
Standard Deviation * 0.1 0.1 - - - 0.4
     VOLUME OF TRADES (000'S) * 34,000.0 521,600.0 936,850.0 458,500.0 2,024,100.0 4,783,000.0
     NUMBER OF TRADES * 5 17 130 97 26 29
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 91.5 94.4 97.3 99.4 100.7 101.7 102.7
Weighted Avg. Price 91.6 94.4 97.3 99.4 100.7 101.7 102.7
Avg. Price Bottom 5 Trades 91.2 94.4 97.2 99.3 100.7 101.7 102.7
2nd Quartile Price 91.6 94.3 97.3 99.4 100.7 101.7 102.7
3rd Quartile Price 91.6 94.4 97.3 99.4 100.7 101.7 102.7
4th Quartile Price 91.8 94.4 97.3 99.4 100.7 101.7 102.7
Avg. Price Top 5 Trades 91.7 94.4 97.3 99.5 100.8 101.7 102.8
Standard Deviation 0.6 0.1 0.1 - - - 0.1
     VOLUME OF TRADES (000'S) 623,275.4 36,000.0 53,500.0 966,750.0 282,750.0 284,000.0 459,600.0
     NUMBER OF TRADES 12 6 9 68 45 24 16
* 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].