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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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.1 98.4 99.8 101.0 102.2 103.4 -
Weighted Avg. Price 92.9 98.4 99.8 101.0 102.2 103.4 -
Avg. Price Bottom 5 Trades 89.6 98.4 99.7 101.0 102.2 103.4 -
2nd Quartile Price 92.0 98.4 99.8 101.0 102.2 * -
3rd Quartile Price 92.2 98.4 99.8 101.0 102.2 * -
4th Quartile Price 94.2 98.4 99.8 101.0 102.2 * -
Avg. Price Top 5 Trades 96.8 98.4 99.8 101.0 102.2 103.4 -
Standard Deviation 2.2 - - - - - -
     VOLUME OF TRADES (000'S) 1,696,371.5 379,022.6 1,592,233.8 982,466.6 540,415.0 353,100.0 -
     NUMBER OF TRADES 109 31 153 122 37 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 - - - - - - -
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.3 98.3 99.8 101.0 102.2 * -
Weighted Avg. Price 93.0 98.3 99.8 101.0 102.2 * -
Avg. Price Bottom 5 Trades 89.6 98.3 99.7 101.0 102.2 * -
2nd Quartile Price 92.1 98.3 99.8 101.0 102.2 * -
3rd Quartile Price 94.0 98.3 99.8 101.0 102.2 * -
4th Quartile Price 94.2 98.3 99.8 101.0 102.2 * -
Avg. Price Top 5 Trades 96.8 98.3 99.8 101.0 102.2 * -
Standard Deviation 2.0 - - - - * -
     VOLUME OF TRADES (000'S) 1,524,027.0 301,500.0 760,592.9 466,150.0 272,315.0 * -
     NUMBER OF TRADES 65 25 40 26 16 * -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 98.2 99.7 100.9 * * -
Weighted Avg. Price * 98.2 99.7 100.9 * * -
Avg. Price Bottom 5 Trades * 98.2 99.7 100.9 * * -
2nd Quartile Price * 98.2 99.7 100.9 * * -
3rd Quartile Price * 98.3 99.7 100.9 * * -
4th Quartile Price * 98.3 99.7 100.9 * * -
Avg. Price Top 5 Trades * 98.2 99.7 100.9 * * -
Standard Deviation * - - - * * -
     VOLUME OF TRADES (000'S) * 8,500.0 51,900.0 74,900.0 * * -
     NUMBER OF TRADES * 6 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 - - - - - - -
FEBRUARY 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 - - - - - - -

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.7 94.8 97.4 99.4 101.0 102.3 103.6
Weighted Avg. Price 86.1 94.7 97.4 99.4 101.0 102.2 103.6
Avg. Price Bottom 5 Trades 78.6 94.7 97.3 99.4 100.9 102.2 103.5
2nd Quartile Price 84.7 94.7 97.3 99.4 101.0 102.3 103.5
3rd Quartile Price 88.4 94.8 97.4 99.5 101.0 102.3 103.6
4th Quartile Price 88.5 94.8 97.4 99.5 101.0 102.3 103.6
Avg. Price Top 5 Trades 92.2 94.8 97.7 99.9 101.3 102.3 104.8
Standard Deviation 4.0 - 0.1 0.1 0.1 - 0.3
     VOLUME OF TRADES (000'S) 20,559,683.1 4,368,060.4 5,708,848.7 36,740,562.6 39,082,478.1 33,185,755.8 8,088,085.5
     NUMBER OF TRADES 660 148 253 1,096 860 503 176
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 88.6 94.5 97.4 99.7 100.9 101.9 103.5
Weighted Avg. Price 89.0 94.4 97.4 99.6 100.8 101.8 103.3
Avg. Price Bottom 5 Trades 82.9 94.3 96.9 99.4 100.7 101.7 102.6
2nd Quartile Price 86.5 94.4 97.4 99.6 100.8 101.7 103.0
3rd Quartile Price 89.8 94.5 97.5 99.6 100.8 101.8 103.1
4th Quartile Price 91.4 94.5 97.5 99.7 100.9 101.8 103.2
Avg. Price Top 5 Trades 91.5 94.6 97.6 100.1 102.2 104.0 107.6
Standard Deviation 3.0 0.1 0.2 0.1 0.3 0.5 1.3
     VOLUME OF TRADES (000'S) 3,436,029.9 533,698.1 3,658,439.4 7,167,863.4 4,778,807.7 3,724,553.3 547,635.0
     NUMBER OF TRADES 114 30 73 245 271 171 74
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.7 94.7 97.4 99.4 100.9 102.2 103.7
Weighted Avg. Price 85.8 94.7 97.3 99.4 100.9 102.2 103.6
Avg. Price Bottom 5 Trades 80.0 94.6 97.2 99.3 100.8 102.2 103.5
2nd Quartile Price 84.6 94.7 97.3 99.4 100.9 102.2 103.6
3rd Quartile Price 88.4 94.7 97.3 99.4 100.9 102.2 103.6
4th Quartile Price 88.6 94.8 97.4 99.4 101.0 102.3 103.6
Avg. Price Top 5 Trades 92.1 94.8 98.0 99.5 101.0 102.3 105.1
Standard Deviation 4.1 0.1 0.2 0.1 - - 0.4
     VOLUME OF TRADES (000'S) 14,605,209.7 3,803,250.7 7,912,514.0 34,508,607.0 33,733,799.0 38,732,918.5 8,206,038.0
     NUMBER OF TRADES 234 70 86 346 275 146 96
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 94.4 97.4 99.5 100.8 101.7 102.9
Weighted Avg. Price 88.5 94.4 97.4 99.5 100.7 101.7 103.0
Avg. Price Bottom 5 Trades 82.9 94.4 97.3 99.4 100.7 101.7 102.8
2nd Quartile Price 86.6 94.4 97.4 99.5 100.7 101.7 102.9
3rd Quartile Price 89.8 94.4 97.4 99.5 100.7 101.7 102.9
4th Quartile Price 91.4 94.5 97.4 99.5 100.8 101.7 103.0
Avg. Price Top 5 Trades 91.5 94.5 97.5 99.9 101.8 101.9 103.0
Standard Deviation 3.0 0.1 0.1 0.1 0.3 0.1 0.1
     VOLUME OF TRADES (000'S) 9,884,163.0 2,591,245.0 4,410,745.0 7,086,207.0 4,508,180.1 6,215,983.8 1,426,156.0
     NUMBER OF TRADES 61 24 54 145 125 88 51
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 90.5 94.7 97.3 99.3 100.9 102.2 103.6
Weighted Avg. Price 90.3 94.7 97.3 99.3 100.9 102.2 103.6
Avg. Price Bottom 5 Trades 90.5 94.7 97.2 99.2 100.8 102.2 103.6
2nd Quartile Price * * 97.2 99.3 100.8 102.2 103.6
3rd Quartile Price * * 97.3 99.3 100.9 102.2 103.6
4th Quartile Price * * 97.3 99.3 100.9 102.2 103.6
Avg. Price Top 5 Trades 90.5 94.7 97.5 99.5 100.9 102.2 103.6
Standard Deviation 1.9 - 0.3 0.1 - - -
     VOLUME OF TRADES (000'S) 41,867.0 28,000.0 5,135,000.0 11,348,050.0 7,122,250.0 10,195,600.0 1,015,500.0
     NUMBER OF TRADES 5 5 22 205 155 49 21
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 90.3 94.4 97.3 99.4 100.6 101.7 102.7
Weighted Avg. Price 88.4 94.4 97.3 99.4 100.6 101.7 102.7
Avg. Price Bottom 5 Trades 88.4 94.4 97.3 99.3 100.6 101.6 102.7
2nd Quartile Price 91.3 * 97.3 99.4 100.6 101.6 102.7
3rd Quartile Price 91.4 * 97.3 99.4 100.6 101.7 102.7
4th Quartile Price 91.5 * 97.3 99.4 100.6 101.7 102.7
Avg. Price Top 5 Trades 91.4 94.4 97.3 99.5 100.7 101.7 102.7
Standard Deviation 2.6 - - - - - -
     VOLUME OF TRADES (000'S) 7,136,000.0 2,090,000.0 2,095,000.0 3,336,200.0 2,333,500.0 2,489,000.0 1,103,500.0
     NUMBER OF TRADES 13 7 22 95 68 34 30
FEBRUARY 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 - - - - - - -
* 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].