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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
<= 3.0 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 - - - - - - -
DECEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 89.4 94.9 96.3 98.1 99.6 100.7 101.8
Weighted Avg. Price 90.3 94.9 96.3 98.1 99.6 100.9 101.7
Avg. Price Bottom 5 Trades 86.2 94.8 96.1 97.9 99.5 100.6 101.6
2nd Quartile Price 86.3 94.9 96.3 98.0 99.6 100.7 101.5
3rd Quartile Price 88.8 94.9 96.3 98.0 99.6 100.7 101.8
4th Quartile Price 91.0 94.9 96.3 98.1 99.7 100.7 102.0
Avg. Price Top 5 Trades 93.1 94.9 96.4 98.2 99.7 100.8 102.1
Standard Deviation 2.5 0.1 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 432,078.0 278,624.0 586,750.0 993,659.0 441,500.0 187,165.0 8,700.0
     NUMBER OF TRADES 62 19 31 72 43 18 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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 91.0 - * 98.0 99.5 100.8 *
Weighted Avg. Price 91.0 - * 98.0 99.5 100.9 *
Avg. Price Bottom 5 Trades 91.0 - * 98.0 99.5 100.7 *
2nd Quartile Price * - * 98.0 99.5 100.7 *
3rd Quartile Price * - * 98.0 99.5 100.7 *
4th Quartile Price * - * 98.0 99.5 101.0 *
Avg. Price Top 5 Trades 91.0 - * 98.0 99.5 100.8 *
Standard Deviation 1.5 - * - - 0.1 *
     VOLUME OF TRADES (000'S) 165,000.0 - * 444,000.0 223,365.0 119,092.0 *
     NUMBER OF TRADES 10 - * 28 23 6 *
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 - - - * 99.5 * *
Weighted Avg. Price - - - * 99.5 * *
Avg. Price Bottom 5 Trades - - - * 99.4 * *
2nd Quartile Price - - - * 99.4 * *
3rd Quartile Price - - - * 99.5 * *
4th Quartile Price - - - * 99.5 * *
Avg. Price Top 5 Trades - - - * 99.5 * *
Standard Deviation - - - * - * *
     VOLUME OF TRADES (000'S) - - - * 10,500.0 * *
     NUMBER OF TRADES - - - * 7 * *
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 - - - - 97.7 99.7 101.2
Weighted Avg. Price - - - - 96.9 99.3 101.2
Avg. Price Bottom 5 Trades - - - - 96.9 99.5 101.1
2nd Quartile Price - - - - 96.9 99.3 101.0
3rd Quartile Price - - - - 98.1 100.5 101.7
4th Quartile Price - - - - 98.7 100.9 101.7
Avg. Price Top 5 Trades - - - - 98.3 99.8 101.2
Standard Deviation - - - - 1.0 0.7 0.4
     VOLUME OF TRADES (000'S) - - - - 123,841.3 57,042.7 43,915.3
     NUMBER OF TRADES - - - - 9 6 6
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 - - - - - * 104.7
Weighted Avg. Price - - - - - * 104.5
Avg. Price Bottom 5 Trades - - - - - * 103.6
2nd Quartile Price - - - - - * 104.5
3rd Quartile Price - - - - - * 105.0
4th Quartile Price - - - - - * 105.4
Avg. Price Top 5 Trades - - - - - * 105.6
Standard Deviation - - - - - * 1.3
     VOLUME OF TRADES (000'S) - - - - - * 46,002.2
     NUMBER OF TRADES - - - - - * 12
DECEMBER Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.9 89.3 92.2 94.8 97.0 99.0 101.2
Weighted Avg. Price 83.7 89.2 92.2 94.8 97.0 99.0 101.2
Avg. Price Bottom 5 Trades 77.2 89.1 92.1 94.6 96.8 98.9 100.5
2nd Quartile Price 79.0 89.2 92.2 94.7 96.9 98.9 100.6
3rd Quartile Price 82.5 89.3 92.2 94.8 97.0 99.0 100.6
4th Quartile Price 85.8 89.3 92.3 94.8 97.0 99.0 102.0
Avg. Price Top 5 Trades 85.9 89.3 92.3 94.9 97.3 99.1 103.5
Standard Deviation 2.9 0.1 - 0.1 0.1 - 0.8
     VOLUME OF TRADES (000'S) 9,931,969.1 2,966,657.0 7,741,683.5 9,498,590.8 18,601,347.4 24,621,413.2 27,775,147.3
     NUMBER OF TRADES 348 150 144 277 626 735 743
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 90.2 92.8 95.3 97.6 99.5 101.1
Weighted Avg. Price 85.2 90.3 92.8 95.3 97.6 99.5 101.1
Avg. Price Bottom 5 Trades 81.0 90.1 92.7 95.1 97.2 99.3 100.5
2nd Quartile Price 84.3 90.2 92.7 95.2 97.6 99.4 100.7
3rd Quartile Price 84.5 90.2 92.8 95.3 97.6 99.5 100.7
4th Quartile Price 87.5 90.3 92.8 95.3 97.6 99.5 101.6
Avg. Price Top 5 Trades 87.7 90.3 92.8 95.4 97.7 99.8 102.7
Standard Deviation 2.5 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 5,034,235.0 2,165,072.3 2,606,951.0 6,853,666.3 2,809,833.8 4,611,720.1 6,291,071.6
     NUMBER OF TRADES 81 57 24 65 105 178 224
JANUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.2 89.3 92.2 94.8 97.0 98.9 101.2
Weighted Avg. Price 85.0 89.3 92.2 94.8 97.0 98.9 101.2
Avg. Price Bottom 5 Trades 79.0 89.2 92.1 94.7 96.9 98.8 100.4
2nd Quartile Price 82.5 89.3 92.2 94.8 96.9 98.9 100.5
3rd Quartile Price 85.8 89.3 92.2 94.8 97.0 98.9 100.6
4th Quartile Price 85.9 89.4 92.2 94.8 97.0 99.0 102.0
Avg. Price Top 5 Trades 86.0 89.4 92.3 94.9 97.1 99.1 103.4
Standard Deviation 2.4 0.1 - 0.1 0.1 0.1 0.8
     VOLUME OF TRADES (000'S) 5,253,523.0 1,728,061.0 5,955,602.0 5,841,000.0 10,386,210.0 13,351,066.0 19,761,979.4
     NUMBER OF TRADES 74 56 56 86 112 199 376
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 85.2 90.2 92.8 95.3 97.5 99.4 100.9
Weighted Avg. Price 85.6 90.4 92.9 95.3 97.5 99.4 101.0
Avg. Price Bottom 5 Trades 81.8 90.2 92.8 95.2 97.4 99.3 100.5
2nd Quartile Price 84.3 90.2 * 95.2 97.5 99.4 100.6
3rd Quartile Price 84.5 90.2 * 95.3 97.6 99.4 100.6
4th Quartile Price 87.5 90.3 * 95.3 97.6 99.4 101.4
Avg. Price Top 5 Trades 87.6 90.3 92.8 95.4 97.6 99.5 102.4
Standard Deviation 2.2 0.1 0.1 0.1 0.1 - 0.5
     VOLUME OF TRADES (000'S) 3,619,736.0 1,381,025.0 2,468,100.0 6,125,800.0 1,713,561.0 1,691,408.0 5,004,078.0
     NUMBER OF TRADES 28 9 13 41 63 125 219
FEBRUARY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - * * 94.7 97.0 98.9 100.8
Weighted Avg. Price - * * 94.7 97.0 98.9 100.8
Avg. Price Bottom 5 Trades - * * 94.6 96.9 98.8 100.4
2nd Quartile Price - * * 94.7 97.0 98.8 100.5
3rd Quartile Price - * * 94.7 97.0 98.9 100.5
4th Quartile Price - * * 94.8 97.0 98.9 100.5
Avg. Price Top 5 Trades - * * 94.8 97.0 98.9 102.8
Standard Deviation - * * 0.1 - - 0.7
     VOLUME OF TRADES (000'S) - * * 38,100.0 146,200.0 192,750.0 634,250.0
     NUMBER OF TRADES - * * 11 16 45 123
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 * 90.2 92.8 95.2 97.5 99.3 100.7
Weighted Avg. Price * 90.3 92.9 95.3 97.5 99.3 101.0
Avg. Price Bottom 5 Trades * 90.2 92.8 95.2 97.4 99.2 100.4
2nd Quartile Price * * * 95.2 97.5 99.3 100.5
3rd Quartile Price * * * 95.2 97.5 99.3 100.5
4th Quartile Price * * * 95.3 97.5 99.3 100.6
Avg. Price Top 5 Trades * 90.2 92.8 95.3 97.5 99.4 101.8
Standard Deviation * 0.1 0.1 - - 0.1 0.5
     VOLUME OF TRADES (000'S) * 33,000.0 63,200.0 139,100.0 91,900.0 342,500.0 504,600.0
     NUMBER OF TRADES * 5 7 8 19 47 49
* 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].