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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.1 97.1 99.9 100.9 102.0 102.7 -
Weighted Avg. Price 93.4 98.9 100.3 101.3 102.8 103.7 -
Avg. Price Bottom 5 Trades 80.6 88.1 98.4 99.0 100.1 100.1 -
2nd Quartile Price 92.5 97.8 100.1 101.1 102.0 102.7 -
3rd Quartile Price 95.1 98.9 100.2 101.2 102.2 103.2 -
4th Quartile Price 97.4 99.3 100.4 101.2 102.3 103.4 -
Avg. Price Top 5 Trades 98.8 99.6 100.7 101.6 103.2 103.6 -
Standard Deviation 4.6 4.2 0.8 0.8 0.7 1.1 -
     VOLUME OF TRADES (000'S) 595,079.7 46,979.6 113,137.4 37,366.9 76,969.2 2,309.3 -
     NUMBER OF TRADES 201 34 41 77 112 65 -
FNMA
AVERAGE PRICE 98.3 99.0 100.8 102.5 * - -
Weighted Avg. Price 98.5 99.4 100.7 102.3 * - -
Avg. Price Bottom 5 Trades 96.1 98.0 100.0 102.1 * - -
2nd Quartile Price 98.4 98.9 100.6 102.1 * - -
3rd Quartile Price 98.5 99.5 101.0 102.5 * - -
4th Quartile Price 98.6 99.7 101.2 103.8 * - -
Avg. Price Top 5 Trades 98.9 99.8 101.2 102.7 * - -
Standard Deviation 0.9 1.1 0.5 0.7 * - -
     VOLUME OF TRADES (000'S) 773,048.5 54,663.7 120,599.1 53,484.0 * - -
     NUMBER OF TRADES 45 14 20 7 * - -
FHLMC
AVERAGE PRICE 91.9 94.8 100.3 101.3 - - -
Weighted Avg. Price 98.4 99.8 100.5 101.6 - - -
Avg. Price Bottom 5 Trades 74.7 82.5 99.5 101.1 - - -
2nd Quartile Price 90.8 99.6 100.0 101.3 - - -
3rd Quartile Price 94.5 99.8 100.3 101.7 - - -
4th Quartile Price 97.2 99.9 100.7 101.9 - - -
Avg. Price Top 5 Trades 98.3 100.0 101.2 101.6 - - -
Standard Deviation 8.6 20.3 0.6 0.6 - - -
     VOLUME OF TRADES (000'S) 66,693.0 65,029.9 333,803.4 35,851.1 - - -
     NUMBER OF TRADES 54 24 37 7 - - -
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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 90.6 95.6 97.9 100.1 101.4 102.7 101.6
Weighted Avg. Price 90.6 96.1 98.7 100.6 101.9 103.4 104.2
Avg. Price Bottom 5 Trades 75.8 56.5 67.7 93.4 86.4 88.9 81.2
2nd Quartile Price 89.8 95.9 98.3 100.1 101.5 102.4 103.6
3rd Quartile Price 89.8 95.9 98.4 100.2 101.5 103.2 104.1
4th Quartile Price 93.2 95.9 98.7 100.2 101.5 103.4 105.0
Avg. Price Top 5 Trades 97.7 99.3 100.9 102.0 103.6 105.0 105.9
Standard Deviation 3.1 2.3 3.3 1.0 2.0 2.2 8.6
     VOLUME OF TRADES (000'S) 2,923,992.7 227,765.1 523,764.3 1,450,030.4 2,877,992.3 2,495,661.0 270,174.8
     NUMBER OF TRADES 9,010 2,174 586 657 1,366 361 110
FNMA
AVERAGE PRICE 87.8 - * - - * *
Weighted Avg. Price 86.1 - * - - * *
Avg. Price Bottom 5 Trades 83.4 - * - - * *
2nd Quartile Price 84.0 - * - - * *
3rd Quartile Price 90.8 - * - - * *
4th Quartile Price 91.5 - * - - * *
Avg. Price Top 5 Trades 92.1 - * - - * *
Standard Deviation 4.5 - * - - * *
     VOLUME OF TRADES (000'S) 8,344.4 - * - - * *
     NUMBER OF TRADES 18 - * - - * *
FHLMC
AVERAGE PRICE 92.0 95.5 95.2 99.9 92.3 85.9 86.5
Weighted Avg. Price 94.0 98.4 100.3 101.1 102.0 101.4 80.7
Avg. Price Bottom 5 Trades 81.6 90.9 84.0 99.7 81.4 81.0 86.5
2nd Quartile Price 89.9 95.2 95.5 99.8 99.0 82.0 *
3rd Quartile Price 92.5 96.0 98.7 99.8 100.1 82.7 *
4th Quartile Price 93.8 96.9 99.2 101.0 102.1 96.6 *
Avg. Price Top 5 Trades 97.5 99.6 100.2 100.3 101.3 96.0 86.5
Standard Deviation 3.7 2.5 6.7 1.2 18.5 8.5 43.1
     VOLUME OF TRADES (000'S) 9,461.4 35,525.7 3,062.5 3,635.4 37.0 98.9 0.1
     NUMBER OF TRADES 85 55 31 9 11 18 7
GNMA
AVERAGE PRICE 89.2 94.5 98.6 99.8 99.2 95.9 99.5
Weighted Avg. Price 88.4 96.2 98.5 100.2 101.7 102.4 106.8
Avg. Price Bottom 5 Trades 80.2 90.1 88.8 90.8 83.7 74.3 53.7
2nd Quartile Price 86.5 92.7 98.2 99.9 98.3 95.6 100.0
3rd Quartile Price 90.2 95.6 98.5 100.2 100.3 100.0 103.4
4th Quartile Price 92.6 96.6 99.0 100.6 102.0 102.3 107.0
Avg. Price Top 5 Trades 96.1 97.9 109.0 103.8 104.2 104.4 107.6
Standard Deviation 4.3 3.3 6.1 3.4 5.2 12.8 13.9
     VOLUME OF TRADES (000'S) 502,532.5 22,207.7 282,644.9 471,019.8 308,110.5 1,038,371.1 306,847.4
     NUMBER OF TRADES 123 29 54 81 101 107 208
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 - - * 100.3 *
Weighted Avg. Price - - * 100.9 *
Avg. Price Bottom 5 Trades - - * 99.0 *
2nd Quartile Price - - * 100.7 *
3rd Quartile Price - - * 101.0 *
4th Quartile Price - - * 101.3 *
Avg. Price Top 5 Trades - - * 101.9 *
Standard Deviation - - * 2.7 *
     VOLUME OF TRADES (000'S) - - * 110,332.8 *
     NUMBER OF TRADES - - * 11 *
FHLMC
AVERAGE PRICE * - - 97.3 -
Weighted Avg. Price * - - 98.8 -
Avg. Price Bottom 5 Trades * - - 95.9 -
2nd Quartile Price * - - 94.6 -
3rd Quartile Price * - - 99.2 -
4th Quartile Price * - - 99.8 -
Avg. Price Top 5 Trades * - - 100.0 -
Standard Deviation * - - 2.7 -
     VOLUME OF TRADES (000'S) * - - 61,712.3 -
     NUMBER OF TRADES * - - 12 -
GNMA
AVERAGE PRICE - - 99.9 - -
Weighted Avg. Price - - 100.0 - -
Avg. Price Bottom 5 Trades - - 99.5 - -
2nd Quartile Price - - 99.3 - -
3rd Quartile Price - - 101.9 - -
4th Quartile Price - - 102.0 - -
Avg. Price Top 5 Trades - - 100.4 - -
Standard Deviation - - 2.0 - -
     VOLUME OF TRADES (000'S) - - 11,514.1 - -
     NUMBER OF TRADES - - 6 - -
* 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 8.10.12.3.20251013   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.