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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/CDO 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 92.0 97.1 98.7 99.7 100.7 101.8 102.7
Weighted Avg. Price 91.7 97.2 98.7 99.8 100.6 101.9 102.7
Avg. Price Bottom 5 Trades 88.8 97.1 98.6 99.6 100.6 101.7 102.7
2nd Quartile Price 90.5 97.1 98.7 99.7 100.7 101.7 *
3rd Quartile Price 92.8 97.1 98.7 99.7 100.7 101.8 *
4th Quartile Price 92.9 97.2 98.8 99.8 100.8 101.9 *
Avg. Price Top 5 Trades 95.0 97.2 98.8 99.8 100.8 101.9 102.7
Standard Deviation 2.1 0.1 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 565,494.0 202,720.0 418,215.0 677,075.0 708,875.0 83,175.0 20,700.0
     NUMBER OF TRADES 50 20 64 71 49 12 6
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.3 * 98.6 99.8 100.8 * 0.0
Weighted Avg. Price 92.8 * 98.6 100.0 100.7 * 0.0
Avg. Price Bottom 5 Trades 91.6 * 98.6 99.7 100.7 * 0.0
2nd Quartile Price 92.8 * * 99.7 100.8 * 0.0
3rd Quartile Price 92.9 * * 99.8 100.8 * 0.0
4th Quartile Price 95.2 * * 100.1 100.8 * 0.0
Avg. Price Top 5 Trades 93.4 * 98.6 99.8 100.8 * 0.0
Standard Deviation 2.1 * 0.1 0.2 0.1 * 0.0
     VOLUME OF TRADES (000'S) 41,100.0 * 22,500.0 254,750.0 502,500.0 * 0.0
     NUMBER OF TRADES 7 * 6 7 13 * 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
DECEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 0.0 0.0 98.5 99.7 100.9 * 0.0
Weighted Avg. Price 0.0 0.0 98.6 99.7 100.9 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 98.5 99.7 100.8 * 0.0
2nd Quartile Price 0.0 0.0 * * 100.8 * 0.0
3rd Quartile Price 0.0 0.0 * * 101.0 * 0.0
4th Quartile Price 0.0 0.0 * * 101.2 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 98.5 99.7 101.0 * 0.0
Standard Deviation 0.0 0.0 0.1 0.1 0.2 * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 36,000.0 5,000.0 25,000.0 * 0.0
     NUMBER OF TRADES 0 0 6 5 7 * 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

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 85.4 92.0 94.9 97.3 99.2 100.6 102.3
Weighted Avg. Price 85.4 91.9 94.9 97.3 99.2 100.6 102.4
Avg. Price Bottom 5 Trades 80.9 91.9 94.8 97.1 99.1 100.5 101.6
2nd Quartile Price 85.0 91.9 94.8 97.3 99.2 100.5 101.7
3rd Quartile Price 85.1 92.0 94.9 97.3 99.2 100.6 101.9
4th Quartile Price 88.5 92.0 95.0 97.4 99.3 100.7 102.8
Avg. Price Top 5 Trades 89.1 92.1 95.2 97.9 99.8 101.2 104.0
Standard Deviation 2.6 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 10,576,928.0 6,451,877.0 9,492,974.3 20,654,205.5 46,387,399.0 41,729,574.7 73,911,687.7
     NUMBER OF TRADES 366 175 339 629 1,416 1,014 1,182
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 87.3 92.9 95.7 97.9 99.7 100.7 101.8
Weighted Avg. Price 87.8 93.1 95.8 98.0 99.7 100.7 101.7
Avg. Price Bottom 5 Trades 83.6 92.8 95.5 97.7 99.5 100.4 100.7
2nd Quartile Price 83.8 92.8 95.5 97.8 99.7 100.6 101.4
3rd Quartile Price 87.0 92.9 95.6 97.9 99.7 100.7 101.5
4th Quartile Price 90.1 92.9 95.7 97.9 99.8 100.7 102.2
Avg. Price Top 5 Trades 90.5 93.3 96.1 98.9 100.5 101.1 105.1
Standard Deviation 2.7 0.3 0.3 0.3 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 6,284,964.7 2,064,825.1 1,026,717.6 3,701,342.2 8,579,963.3 6,155,513.4 9,600,053.0
     NUMBER OF TRADES 96 33 32 146 332 224 345
NOVEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 85.7 92.0 94.9 97.3 99.2 100.6 102.5
Weighted Avg. Price 85.2 92.0 94.9 97.4 99.3 100.6 102.5
Avg. Price Bottom 5 Trades 80.0 91.9 94.8 97.2 99.1 100.5 101.7
2nd Quartile Price 85.1 92.0 94.8 97.3 99.2 100.6 101.8
3rd Quartile Price 85.2 92.0 94.9 97.3 99.2 100.6 102.8
4th Quartile Price 88.6 92.0 94.9 97.4 99.3 100.7 102.8
Avg. Price Top 5 Trades 89.1 92.1 95.1 97.8 99.6 100.9 103.9
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 6,669,853.0 4,135,782.0 5,689,283.8 8,735,083.4 17,578,704.3 25,532,287.4 51,097,782.0
     NUMBER OF TRADES 132 73 86 151 407 365 452
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 87.1 93.1 95.9 97.8 99.6 100.6 101.6
Weighted Avg. Price 88.3 93.2 96.0 98.0 99.6 100.6 101.6
Avg. Price Bottom 5 Trades 83.7 93.0 95.5 97.7 99.5 100.5 101.3
2nd Quartile Price 83.9 93.0 95.6 97.7 99.5 100.5 101.4
3rd Quartile Price 87.3 93.1 95.7 97.8 99.6 100.6 101.4
4th Quartile Price 90.2 93.1 96.4 97.9 99.6 100.6 102.0
Avg. Price Top 5 Trades 90.4 93.2 96.6 98.2 99.9 100.8 102.4
Standard Deviation 2.8 0.3 0.9 0.2 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 5,134,308.0 1,832,680.0 791,384.0 1,813,447.0 4,613,506.4 3,532,401.0 5,717,571.8
     NUMBER OF TRADES 38 13 23 69 211 164 156
DECEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 0.0 * 94.9 97.3 99.2 100.6 102.1
Weighted Avg. Price 0.0 * 94.9 97.3 99.2 100.6 102.0
Avg. Price Bottom 5 Trades 0.0 * 94.9 97.2 99.1 100.4 101.6
2nd Quartile Price 0.0 * 94.9 97.2 99.1 100.5 101.7
3rd Quartile Price 0.0 * 94.9 97.3 99.2 100.5 101.7
4th Quartile Price 0.0 * 95.1 97.3 99.2 100.6 102.8
Avg. Price Top 5 Trades 0.0 * 95.0 97.8 99.6 100.9 103.2
Standard Deviation 0.0 * 0.1 0.2 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 0.0 * 51,850.0 220,000.0 1,079,000.0 1,410,110.0 810,950.0
     NUMBER OF TRADES 0 * 9 43 226 194 89
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE * 92.9 95.6 97.7 99.5 100.5 101.4
Weighted Avg. Price * 92.9 95.5 97.7 99.5 100.6 101.6
Avg. Price Bottom 5 Trades * 92.9 95.4 97.6 99.3 100.4 101.2
2nd Quartile Price * 92.8 95.5 97.7 99.4 100.5 101.3
3rd Quartile Price * 92.9 95.5 97.7 99.5 100.5 101.3
4th Quartile Price * 92.9 95.6 97.8 99.5 100.6 101.4
Avg. Price Top 5 Trades * 92.9 95.7 98.2 99.7 100.7 102.2
Standard Deviation * 0.0 0.2 0.2 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) * 259,000.0 211,500.0 811,750.0 1,253,421.4 878,200.0 326,050.0
     NUMBER OF TRADES * 7 12 52 118 93 64
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 0.0 0.0 * * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * * 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 * * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * * 0 0 0
* 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 Listor 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].