As of
Download

FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO
Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 100.4 102.4 103.7 103.6 104.0 101.6 102.1
Weighted Avg. Price 100.9 103.1 104.3 100.7 105.5 105.5 105.5
Avg. Price Bottom 5 Trades 99.0 100.4 101.4 100.6 100.3 98.7 96.8
2nd Quartile Price 100.1 101.7 103.2 102.9 102.8 95.0 100.0
3rd Quartile Price 100.3 102.8 103.9 104.1 104.9 102.6 103.0
4th Quartile Price 100.9 102.8 104.3 104.7 105.7 105.4 106.0
Avg. Price Top 5 Trades 101.4 103.3 104.9 105.2 106.0 106.8 107.6
Standard Deviation 0.6 0.7 0.9 1.4 2.1 6.0 4.2
     VOLUME OF TRADES (000'S) 313,236.0 829,076.2 184,414.7 10,636.8 5,975.7 10,378.1 407.2
     NUMBER OF TRADES 85 195 78 54 27 12 27
FHLMC
AVERAGE PRICE 100.7 102.4 103.7 104.5 103.5 100.5 105.1
Weighted Avg. Price 101.1 103.1 104.7 106.2 103.9 105.8 105.1
Avg. Price Bottom 5 Trades 99.5 101.4 102.6 103.2 102.2 97.6 102.1
2nd Quartile Price 100.0 101.7 103.2 104.3 102.6 98.0 104.9
3rd Quartile Price 101.0 102.4 103.5 104.6 103.7 104.9 105.4
4th Quartile Price 101.2 103.2 104.6 104.9 105.1 106.1 106.6
Avg. Price Top 5 Trades 101.7 103.2 105.0 105.8 105.3 101.8 108.0
Standard Deviation 0.8 0.8 0.8 1.0 1.4 6.5 3.2
     VOLUME OF TRADES (000'S) 42,578.0 566,854.6 116,557.0 15,948.3 1,734.0 208.9 2,778.5
     NUMBER OF TRADES 36 51 51 30 17 9 20
GNMA
AVERAGE PRICE * * 0.0 105.5 * 104.0 106.4
Weighted Avg. Price * * 0.0 105.3 * 104.4 106.9
Avg. Price Bottom 5 Trades * * 0.0 105.0 * 102.4 102.5
2nd Quartile Price * * 0.0 105.2 * 102.7 104.3
3rd Quartile Price * * 0.0 105.6 * 105.4 106.3
4th Quartile Price * * 0.0 105.9 * 106.1 109.9
Avg. Price Top 5 Trades * * 0.0 105.8 * 105.7 110.9
Standard Deviation * * 0.0 0.4 * 2.2 5.1
     VOLUME OF TRADES (000'S) * * 0.0 6,711.3 * 1,207.5 670.8
     NUMBER OF TRADES * * 0 21 * 9 14
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 97.6 100.2 102.6 105.2 107.0 108.0 107.5
Weighted Avg. Price 98.8 100.4 103.3 105.9 108.4 110.4 113.3
Avg. Price Bottom 5 Trades 97.3 98.4 99.7 103.0 97.4 102.8 28.3
2nd Quartile Price 96.8 99.8 102.6 105.0 107.1 108.1 108.2
3rd Quartile Price 96.8 100.2 102.6 105.2 107.2 108.6 112.8
4th Quartile Price 99.4 100.2 103.0 105.6 107.7 110.0 112.8
Avg. Price Top 5 Trades 99.2 102.6 104.7 106.9 109.8 111.0 118.8
Standard Deviation 1.2 1.0 0.9 0.8 3.0 2.9 15.8
     VOLUME OF TRADES (000'S) 1,361,353.4 572,601.8 1,294,915.7 557,371.8 53,900.4 43,205.4 228,275.3
     NUMBER OF TRADES 14 96 222 126 178 54 309
FHLMC
AVERAGE PRICE * 100.3 102.6 105.0 107.4 109.2 107.1
Weighted Avg. Price * 100.5 103.0 105.6 107.9 109.9 113.7
Avg. Price Bottom 5 Trades * 99.2 100.4 102.9 106.6 108.1 92.7
2nd Quartile Price * 99.8 102.6 104.8 106.8 108.2 103.0
3rd Quartile Price * 99.8 102.7 105.0 107.4 109.5 110.3
4th Quartile Price * 100.4 103.0 105.5 107.9 110.5 114.0
Avg. Price Top 5 Trades * 102.3 103.8 106.7 108.3 110.7 115.3
Standard Deviation * 1.0 0.7 0.8 0.8 1.4 8.4
     VOLUME OF TRADES (000'S) * 131,635.5 1,434,978.4 473,217.2 440,591.4 64,491.5 2,816.8
     NUMBER OF TRADES * 70 170 189 69 16 47
GNMA
AVERAGE PRICE * 101.4 103.2 104.8 107.4 105.6 105.7
Weighted Avg. Price * 101.7 103.9 105.9 107.4 108.0 111.4
Avg. Price Bottom 5 Trades * 99.9 100.4 100.3 102.6 96.9 73.2
2nd Quartile Price * 101.5 102.2 104.0 107.1 104.6 101.0
3rd Quartile Price * 101.7 104.1 105.5 107.4 106.8 106.3
4th Quartile Price * 101.9 104.3 106.0 109.5 108.3 110.0
Avg. Price Top 5 Trades * 102.4 104.5 107.6 109.7 110.8 115.0
Standard Deviation * 1.0 1.4 1.9 2.3 4.2 8.7
     VOLUME OF TRADES (000'S) * 49,424.2 397,863.1 730,070.5 441,415.5 12,034.8 24,160.8
     NUMBER OF TRADES * 28 54 149 69 61 419
Pricing Table: Agency Pass-Thru (Specified) - Adjustable/Hybrid
METRIC INITIAL FIXED RATE PERIOD
ARM/SEASONED 3/1 5/1 7/1 10/1
FNMA
AVERAGE PRICE 102.8 0.0 103.5 102.4 101.4
Weighted Avg. Price 103.2 0.0 103.7 102.6 101.4
Avg. Price Bottom 5 Trades 99.8 0.0 102.0 102.0 101.1
2nd Quartile Price 102.1 0.0 102.4 102.3 101.2
3rd Quartile Price 103.0 0.0 103.3 102.5 101.5
4th Quartile Price 103.3 0.0 105.3 103.3 101.5
Avg. Price Top 5 Trades 105.0 0.0 105.3 102.9 101.8
Standard Deviation 1.4 0.0 1.5 0.6 0.8
     VOLUME OF TRADES (000'S) 7,616.7 0.0 48,296.7 75,738.2 37,505.8
     NUMBER OF TRADES 68 0 15 11 8
FHLMC
AVERAGE PRICE 103.4 0.0 0.0 102.5 *
Weighted Avg. Price 103.4 0.0 0.0 102.3 *
Avg. Price Bottom 5 Trades 102.6 0.0 0.0 102.4 *
2nd Quartile Price 103.3 0.0 0.0 102.3 *
3rd Quartile Price 103.3 0.0 0.0 102.3 *
4th Quartile Price 103.3 0.0 0.0 103.0 *
Avg. Price Top 5 Trades 104.7 0.0 0.0 102.5 *
Standard Deviation 0.7 0.0 0.0 0.4 *
     VOLUME OF TRADES (000'S) 6,137.3 0.0 0.0 39,935.6 *
     NUMBER OF TRADES 38 0 0 8 *
GNMA
AVERAGE PRICE 102.7 100.4 102.5 * 0.0
Weighted Avg. Price 102.9 99.9 102.5 * 0.0
Avg. Price Bottom 5 Trades 102.2 100.0 102.2 * 0.0
2nd Quartile Price 102.1 99.8 101.5 * 0.0
3rd Quartile Price 103.0 100.7 102.9 * 0.0
4th Quartile Price 103.0 101.0 103.3 * 0.0
Avg. Price Top 5 Trades 103.1 100.9 103.1 * 0.0
Standard Deviation 0.5 0.8 0.9 * 0.0
     VOLUME OF TRADES (000'S) 6,695.8 7,797.6 4,369.0 * 0.0
     NUMBER OF TRADES 57 8 8 * 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 tracedataservices@finra.org.

Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.1.17.3.20240320   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.