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 90.5 84.0 96.8 99.0 99.5 101.1 102.3
Weighted Avg. Price 91.3 97.1 97.3 99.2 100.5 101.9 102.9
Avg. Price Bottom 5 Trades 73.9 70.5 94.0 98.6 95.8 99.8 102.0
2nd Quartile Price 89.9 77.0 97.2 99.0 99.4 100.4 102.5
3rd Quartile Price 91.8 90.0 97.4 99.1 100.4 101.1 102.5
4th Quartile Price 93.4 96.1 98.3 99.2 100.5 101.9 102.7
Avg. Price Top 5 Trades 97.7 96.9 98.8 99.4 100.9 102.1 102.9
Standard Deviation 6.1 13.6 2.9 0.4 3.2 0.9 0.8
     VOLUME OF TRADES (000'S) 210,963.8 857.1 171,402.1 53,401.6 110,760.8 45,175.8 31,518.4
     NUMBER OF TRADES 109 53 27 33 57 48 21
FNMA
AVERAGE PRICE 92.3 * * 98.0 100.6 - -
Weighted Avg. Price 92.4 * * 98.3 100.4 - -
Avg. Price Bottom 5 Trades 87.3 * * 97.7 100.0 - -
2nd Quartile Price 90.6 * * 98.5 100.1 - -
3rd Quartile Price 95.4 * * 98.7 100.7 - -
4th Quartile Price 97.3 * * 98.7 101.0 - -
Avg. Price Top 5 Trades 97.1 * * 98.7 101.2 - -
Standard Deviation 5.1 * * 1.5 0.7 - -
     VOLUME OF TRADES (000'S) 85,507.6 * * 59,086.9 72,469.0 - -
     NUMBER OF TRADES 14 * * 10 12 - -
FHLMC
AVERAGE PRICE 96.0 89.1 95.0 99.1 100.1 - -
Weighted Avg. Price 96.2 97.7 96.2 99.1 100.0 - -
Avg. Price Bottom 5 Trades 96.0 89.1 95.0 98.4 100.0 - -
2nd Quartile Price * * * 98.8 100.0 - -
3rd Quartile Price * * * 99.1 100.1 - -
4th Quartile Price * * * 99.5 101.0 - -
Avg. Price Top 5 Trades 96.0 89.1 95.0 99.8 100.2 - -
Standard Deviation 0.9 6.7 1.4 0.5 0.4 - -
     VOLUME OF TRADES (000'S) 112.3 3,096.5 72,148.0 280,170.6 32,392.0 - -
     NUMBER OF TRADES 6 10 6 33 7 - -
GNMA
AVERAGE PRICE * - * 99.3 * 101.8 101.8
Weighted Avg. Price * - * 99.0 * 101.8 102.2
Avg. Price Bottom 5 Trades * - * 99.2 * 101.7 101.6
2nd Quartile Price * - * 99.3 * 101.7 101.8
3rd Quartile Price * - * 99.8 * 101.8 102.5
4th Quartile Price * - * 99.9 * 101.9 102.6
Avg. Price Top 5 Trades * - * 99.5 * 101.8 102.4
Standard Deviation * - * 0.6 * 0.1 1.3
     VOLUME OF TRADES (000'S) * - * 4,730.5 * 15,976.2 1,084.8
     NUMBER OF TRADES * - * 6 * 8 9
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 83.5 89.5 91.9 94.8 96.2 97.8 99.3
Weighted Avg. Price 83.3 91.2 93.2 96.2 98.0 100.1 103.6
Avg. Price Bottom 5 Trades 75.9 82.8 79.7 79.6 53.4 38.4 19.3
2nd Quartile Price 79.8 89.5 91.9 94.3 97.6 99.7 101.5
3rd Quartile Price 83.3 89.7 92.4 95.6 97.9 99.9 102.2
4th Quartile Price 86.5 89.9 93.0 96.1 98.3 100.2 103.8
Avg. Price Top 5 Trades 93.9 96.4 96.3 99.1 100.0 101.2 106.3
Standard Deviation 3.2 1.8 2.8 3.6 7.5 9.1 15.8
     VOLUME OF TRADES (000'S) 3,701,848.9 373,518.3 1,716,348.3 561,592.5 2,558,944.8 3,387,230.5 7,884,023.1
     NUMBER OF TRADES 1,327 613 560 326 322 331 314
FNMA
AVERAGE PRICE * 91.3 - * * - 82.2
Weighted Avg. Price * 90.3 - * * - 88.0
Avg. Price Bottom 5 Trades * 91.0 - * * - 78.9
2nd Quartile Price * 90.0 - * * - 81.0
3rd Quartile Price * 92.7 - * * - 98.8
4th Quartile Price * 92.9 - * * - 99.0
Avg. Price Top 5 Trades * 92.1 - * * - 88.9
Standard Deviation * 1.7 - * * - 18.6
     VOLUME OF TRADES (000'S) * 13,435.0 - * * - 1.3
     NUMBER OF TRADES * 7 - * * - 6
FHLMC
AVERAGE PRICE 85.8 89.0 90.9 94.5 94.1 73.1 61.1
Weighted Avg. Price 87.7 92.6 94.7 97.5 97.8 100.3 77.2
Avg. Price Bottom 5 Trades 83.3 82.6 75.5 91.9 94.1 73.1 57.3
2nd Quartile Price 86.4 89.5 92.4 94.6 * * 67.0
3rd Quartile Price 86.4 89.5 92.4 97.3 * * 88.0
4th Quartile Price 86.4 89.5 92.4 98.3 * * 88.0
Avg. Price Top 5 Trades 88.5 92.5 94.8 98.3 94.1 73.1 84.1
Standard Deviation 1.8 2.8 5.3 6.0 7.1 21.5 40.2
     VOLUME OF TRADES (000'S) 15,830.6 4,575.8 1,391.4 6,199.8 18,251.4 375.8 1.3
     NUMBER OF TRADES 53 71 82 22 5 5 11
GNMA
AVERAGE PRICE 84.9 91.6 93.1 95.0 96.4 97.3 100.0
Weighted Avg. Price 84.1 92.0 93.8 96.0 98.4 100.2 102.8
Avg. Price Bottom 5 Trades 77.3 88.8 89.8 83.2 59.9 66.6 37.4
2nd Quartile Price 83.1 91.5 92.0 95.7 98.2 98.5 101.2
3rd Quartile Price 85.1 92.1 93.5 96.1 98.7 100.1 102.4
4th Quartile Price 87.9 92.1 94.5 97.0 98.9 100.6 103.4
Avg. Price Top 5 Trades 89.2 93.0 95.4 99.0 101.9 105.1 107.7
Standard Deviation 3.1 1.3 2.0 6.0 7.9 7.9 9.7
     VOLUME OF TRADES (000'S) 3,464,903.0 81,571.7 98,147.2 2,636,823.4 715,550.6 2,354,287.5 1,863,090.8
     NUMBER OF TRADES 108 63 46 80 167 216 564
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 * - - 100.2 87.8
Weighted Avg. Price * - - 100.7 87.9
Avg. Price Bottom 5 Trades * - - 100.2 87.7
2nd Quartile Price * - - * 87.6
3rd Quartile Price * - - * 88.0
4th Quartile Price * - - * 88.2
Avg. Price Top 5 Trades * - - 100.2 87.9
Standard Deviation * - - 0.5 0.3
     VOLUME OF TRADES (000'S) * - - 20,171.3 29,258.5
     NUMBER OF TRADES * - - 8 11
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].

Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.7.7.20250312   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.