As of
Download

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 (Specified) - Single Family 15Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 89.3 91.9 94.4 95.3 97.7 98.3 99.8
Weighted Avg. Price 90.6 94.8 96.2 97.8 99.5 100.8 101.7
Avg. Price Bottom 5 Trades 79.9 87.6 92.0 93.5 94.8 95.8 97.4
2nd Quartile Price 87.3 90.0 93.5 94.2 96.3 96.8 97.8
3rd Quartile Price 89.6 91.8 95.2 95.5 99.2 97.9 101.3
4th Quartile Price 92.8 94.3 96.1 97.5 99.5 100.3 102.3
Avg. Price Top 5 Trades 97.1 96.9 96.6 97.8 99.7 101.0 101.9
Standard Deviation 4.2 3.1 2.7 2.5 2.0 2.1 2.4
     VOLUME OF TRADES (000'S) 33,707.9 541.8 952.1 1,827.8 19,662.6 3,756.7 490.5
     NUMBER OF TRADES 147 47 20 18 49 41 15
FNMA
AVERAGE PRICE * - * * 99.3 * *
Weighted Avg. Price * - * * 99.7 * *
Avg. Price Bottom 5 Trades * - * * 99.3 * *
2nd Quartile Price * - * * * * *
3rd Quartile Price * - * * * * *
4th Quartile Price * - * * * * *
Avg. Price Top 5 Trades * - * * 99.3 * *
Standard Deviation * - * * 1.1 * *
     VOLUME OF TRADES (000'S) * - * * 18,886.0 * *
     NUMBER OF TRADES * - * * 5 * *
FHLMC
AVERAGE PRICE 90.9 92.0 95.6 * * - -
Weighted Avg. Price 92.2 94.0 96.1 * * - -
Avg. Price Bottom 5 Trades 89.0 92.0 95.6 * * - -
2nd Quartile Price 91.0 * * * * - -
3rd Quartile Price 93.1 * * * * - -
4th Quartile Price 93.5 * * * * - -
Avg. Price Top 5 Trades 93.6 92.0 95.6 * * - -
Standard Deviation 3.6 3.4 3.0 * * - -
     VOLUME OF TRADES (000'S) 18.4 12.8 372.4 * * - -
     NUMBER OF TRADES 13 5 6 * * - -
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 (Specified) - Single Family 30Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 81.9 87.6 90.7 93.6 96.0 98.2 101.1
Weighted Avg. Price 81.8 88.6 91.9 94.1 96.5 98.9 101.7
Avg. Price Bottom 5 Trades 74.1 77.1 82.4 88.2 90.4 92.7 94.7
2nd Quartile Price 80.8 87.5 90.3 93.5 96.1 98.1 100.5
3rd Quartile Price 81.4 88.1 91.0 93.7 96.2 98.5 101.1
4th Quartile Price 84.5 88.2 91.4 94.5 96.4 98.8 102.4
Avg. Price Top 5 Trades 89.9 93.3 93.9 97.4 98.5 100.3 104.2
Standard Deviation 2.9 1.9 2.1 1.6 1.4 1.9 2.6
     VOLUME OF TRADES (000'S) 222,885.7 42,569.9 128,317.0 305,500.1 1,186,658.6 646,799.4 1,282,504.9
     NUMBER OF TRADES 817 516 400 312 264 227 170
FNMA
AVERAGE PRICE * - * * * 99.1 101.3
Weighted Avg. Price * - * * * 99.0 101.3
Avg. Price Bottom 5 Trades * - * * * 99.0 101.3
2nd Quartile Price * - * * * 99.0 *
3rd Quartile Price * - * * * 99.2 *
4th Quartile Price * - * * * 99.8 *
Avg. Price Top 5 Trades * - * * * 99.2 101.3
Standard Deviation * - * * * 0.4 0.5
     VOLUME OF TRADES (000'S) * - * * * 18,101.1 38,062.6
     NUMBER OF TRADES * - * * * 6 7
FHLMC
AVERAGE PRICE 83.8 88.0 91.6 93.0 * - 90.3
Weighted Avg. Price 82.9 88.8 92.9 88.9 * - 100.9
Avg. Price Bottom 5 Trades 80.7 86.2 88.6 92.7 * - 90.3
2nd Quartile Price 83.4 87.5 91.1 92.6 * - *
3rd Quartile Price 84.5 88.2 92.9 94.7 * - *
4th Quartile Price 84.7 88.5 92.9 94.7 * - *
Avg. Price Top 5 Trades 86.1 89.9 92.9 93.4 * - 90.3
Standard Deviation 2.2 1.4 1.9 3.0 * - 13.5
     VOLUME OF TRADES (000'S) 3,454.8 310.6 6,874.3 6,108.0 * - 27,757.4
     NUMBER OF TRADES 41 47 66 24 * - 7
GNMA
AVERAGE PRICE 81.9 86.7 91.2 94.1 96.8 99.0 98.4
Weighted Avg. Price 81.1 89.3 92.5 94.8 97.0 99.2 101.1
Avg. Price Bottom 5 Trades 73.0 82.3 88.5 91.4 91.1 90.6 69.5
2nd Quartile Price 79.6 86.7 91.1 94.4 96.6 99.1 100.0
3rd Quartile Price 82.6 87.2 92.5 94.6 97.3 99.2 101.1
4th Quartile Price 83.3 89.2 93.2 95.5 98.8 100.0 103.4
Avg. Price Top 5 Trades 87.0 89.6 94.7 96.4 99.3 103.0 106.4
Standard Deviation 3.1 3.5 4.2 3.3 3.3 3.8 10.0
     VOLUME OF TRADES (000'S) 85,274.0 18,706.9 7,190.9 120,068.6 51,547.3 340,877.3 992,031.8
     NUMBER OF TRADES 122 31 13 33 66 70 153
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 * - - * -
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 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].

Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.5.28.4.20241202   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.