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 97.9 99.4 101.1 101.6 102.1 98.0 102.9
Weighted Avg. Price 97.8 99.9 100.8 103.1 103.7 103.4 103.8
Avg. Price Bottom 5 Trades 95.8 96.8 96.7 98.8 100.8 98.0 101.4
2nd Quartile Price 97.5 98.9 100.6 101.1 100.9 * 102.4
3rd Quartile Price 98.3 99.6 101.6 101.8 101.5 * 105.0
4th Quartile Price 98.4 100.2 102.1 102.5 103.5 * 106.5
Avg. Price Top 5 Trades 99.4 100.4 102.2 102.9 103.9 98.0 105.5
Standard Deviation 0.8 1.0 1.4 1.5 1.5 3.3 4.0
     VOLUME OF TRADES (000'S) 376,106.8 429,117.0 205,116.3 9,943.6 9,419.0 1,156.3 2,256.9
     NUMBER OF TRADES 124 122 131 66 28 45 10
FHLMC
AVERAGE PRICE 97.8 99.3 101.3 101.3 101.5 102.1 103.9
Weighted Avg. Price 98.5 99.6 101.9 102.7 101.5 102.8 109.0
Avg. Price Bottom 5 Trades 96.3 98.2 100.4 100.4 101.1 102.1 101.5
2nd Quartile Price 96.9 99.2 100.8 100.3 100.8 * 101.8
3rd Quartile Price 97.5 99.5 101.0 100.8 101.4 * 103.7
4th Quartile Price 99.0 99.7 101.9 102.1 102.3 * 105.6
Avg. Price Top 5 Trades 99.6 100.0 102.1 103.3 102.3 102.1 106.9
Standard Deviation 1.2 0.6 0.6 1.2 1.1 1.0 3.3
     VOLUME OF TRADES (000'S) 35,140.5 339,579.3 13,189.9 4,272.3 1,016.5 407.1 1,144.0
     NUMBER OF TRADES 31 57 61 37 14 7 12
GNMA
AVERAGE PRICE 98.2 100.2 102.7 104.0 0.0 * *
Weighted Avg. Price 98.2 100.3 102.6 103.8 0.0 * *
Avg. Price Bottom 5 Trades 98.2 100.1 102.5 103.2 0.0 * *
2nd Quartile Price * 100.1 102.6 103.4 0.0 * *
3rd Quartile Price * 100.3 102.6 104.7 0.0 * *
4th Quartile Price * 100.4 103.1 104.7 0.0 * *
Avg. Price Top 5 Trades 98.2 100.3 102.8 104.2 0.0 * *
Standard Deviation 0.2 0.2 0.3 0.8 0.0 * *
     VOLUME OF TRADES (000'S) 8,222.6 14,487.7 14,458.7 1,789.9 0.0 * *
     NUMBER OF TRADES 9 9 9 14 0 * *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 94.1 96.8 99.5 102.1 103.7 104.3 103.2
Weighted Avg. Price 95.0 97.0 100.1 102.8 105.5 107.0 111.4
Avg. Price Bottom 5 Trades 93.9 94.4 96.7 98.6 81.9 92.6 40.4
2nd Quartile Price 93.7 96.4 99.3 102.2 104.0 104.0 102.0
3rd Quartile Price 93.8 96.7 99.7 102.4 104.6 106.6 108.9
4th Quartile Price 93.8 97.1 99.9 102.6 105.3 106.9 110.8
Avg. Price Top 5 Trades 94.2 99.7 101.8 103.7 106.0 107.5 116.9
Standard Deviation 1.4 1.2 1.0 1.2 4.8 5.1 18.5
     VOLUME OF TRADES (000'S) 5,548.3 669,288.5 773,634.7 797,124.4 602,525.9 84,668.1 48,166.6
     NUMBER OF TRADES 21 133 251 322 341 129 267
FHLMC
AVERAGE PRICE 94.8 96.7 99.6 102.2 104.3 105.8 102.9
Weighted Avg. Price 93.8 96.8 99.9 102.8 105.3 107.1 110.2
Avg. Price Bottom 5 Trades 94.8 95.1 97.4 100.0 100.8 102.4 76.4
2nd Quartile Price * 96.3 99.6 102.1 103.7 105.0 104.3
3rd Quartile Price * 96.7 99.7 102.3 104.6 107.2 108.7
4th Quartile Price * 97.2 99.9 102.6 105.2 107.4 110.8
Avg. Price Top 5 Trades 94.8 98.4 101.3 103.7 106.3 107.3 111.7
Standard Deviation 1.5 0.7 0.8 0.9 1.4 2.3 17.0
     VOLUME OF TRADES (000'S) 16,892.5 979,458.4 1,075,597.8 787,531.1 308,421.3 8,686.1 8,367.4
     NUMBER OF TRADES 25 174 175 193 152 49 99
GNMA
AVERAGE PRICE * 97.9 100.5 102.9 104.8 105.0 100.6
Weighted Avg. Price * 97.7 100.5 103.3 104.4 106.9 109.2
Avg. Price Bottom 5 Trades * 97.3 99.4 99.4 100.7 98.2 36.0
2nd Quartile Price * 97.7 100.1 103.0 104.5 103.7 99.9
3rd Quartile Price * 97.8 100.6 103.3 105.4 105.5 105.0
4th Quartile Price * 98.0 100.8 103.3 105.9 107.2 108.9
Avg. Price Top 5 Trades * 98.7 102.0 103.9 105.9 108.7 114.5
Standard Deviation * 0.6 0.5 1.3 1.5 2.8 16.2
     VOLUME OF TRADES (000'S) * 201,006.6 1,348,373.0 873,821.2 710,708.5 64,191.9 25,813.1
     NUMBER OF TRADES * 42 148 114 125 101 333
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 101.6 0.0 101.1 100.7 100.1
Weighted Avg. Price 105.2 0.0 100.4 100.5 100.1
Avg. Price Bottom 5 Trades 100.2 0.0 100.3 99.8 99.8
2nd Quartile Price 100.0 0.0 100.5 100.1 99.9
3rd Quartile Price 102.1 0.0 101.9 100.5 100.2
4th Quartile Price 102.8 0.0 102.0 101.6 100.4
Avg. Price Top 5 Trades 103.2 0.0 101.6 102.1 100.4
Standard Deviation 1.7 0.0 0.9 1.0 0.4
     VOLUME OF TRADES (000'S) 3,213.2 0.0 50,675.9 160,795.9 92,375.5
     NUMBER OF TRADES 52 0 11 25 10
FHLMC
AVERAGE PRICE 104.0 0.0 * 101.2 100.9
Weighted Avg. Price 104.0 0.0 * 100.2 99.6
Avg. Price Bottom 5 Trades 104.0 0.0 * 99.9 99.1
2nd Quartile Price 103.9 0.0 * 100.4 98.8
3rd Quartile Price 104.1 0.0 * 100.8 99.8
4th Quartile Price 104.1 0.0 * 103.3 104.1
Avg. Price Top 5 Trades 104.0 0.0 * 102.7 102.1
Standard Deviation 0.4 0.0 * 1.5 2.5
     VOLUME OF TRADES (000'S) 7,392.7 0.0 * 86,407.1 43,167.8
     NUMBER OF TRADES 62 0 * 14 11
GNMA
AVERAGE PRICE 102.8 * 100.7 0.0 0.0
Weighted Avg. Price 103.0 * 99.8 0.0 0.0
Avg. Price Bottom 5 Trades 102.5 * 98.9 0.0 0.0
2nd Quartile Price 102.8 * 100.6 0.0 0.0
3rd Quartile Price 103.0 * 100.6 0.0 0.0
4th Quartile Price 103.3 * 101.8 0.0 0.0
Avg. Price Top 5 Trades 103.1 * 102.0 0.0 0.0
Standard Deviation 0.6 * 1.6 0.0 0.0
     VOLUME OF TRADES (000'S) 1,910.8 * 41,388.7 0.0 0.0
     NUMBER OF TRADES 15 * 16 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 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.