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

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.2 95.1 96.8 98.3 99.6 100.7 101.8
Weighted Avg. Price 89.4 95.1 96.9 98.3 99.6 100.7 101.7
Avg. Price Bottom 5 Trades 86.6 95.0 96.7 98.2 99.5 100.5 101.5
2nd Quartile Price 88.6 95.1 96.8 98.3 99.6 100.6 101.6
3rd Quartile Price 91.1 95.1 96.8 98.3 99.6 100.7 101.7
4th Quartile Price 91.3 95.2 96.9 98.3 99.7 100.8 101.8
Avg. Price Top 5 Trades 93.4 95.2 96.9 98.4 99.8 100.8 102.7
Standard Deviation 2.2 0.1 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 1,378,557.2 146,683.5 528,761.6 196,247.9 559,789.3 211,334.5 74,539.7
     NUMBER OF TRADES 95 17 28 34 82 42 34
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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.3 95.2 96.9 98.3 99.6 100.6 101.6
Weighted Avg. Price 89.6 95.2 96.9 98.4 99.5 100.6 101.6
Avg. Price Bottom 5 Trades 86.6 95.1 96.8 98.3 99.5 100.5 101.5
2nd Quartile Price 88.7 95.2 96.9 98.3 99.6 100.6 101.6
3rd Quartile Price 91.2 95.2 96.9 98.3 99.6 100.6 101.6
4th Quartile Price 91.3 95.3 97.0 98.4 99.6 100.7 101.7
Avg. Price Top 5 Trades 93.5 95.3 97.0 98.4 99.7 100.7 101.8
Standard Deviation 2.2 0.1 0.1 - 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 1,496,288.7 175,048.2 523,606.3 515,737.1 525,251.5 290,235.4 123,079.4
     NUMBER OF TRADES 104 22 25 47 64 45 29
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 - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - * 99.6 - *
Weighted Avg. Price - - - * 99.6 - *
Avg. Price Bottom 5 Trades - - - * 99.5 - *
2nd Quartile Price - - - * 99.6 - *
3rd Quartile Price - - - * 99.6 - *
4th Quartile Price - - - * 99.6 - *
Avg. Price Top 5 Trades - - - * 99.6 - *
Standard Deviation - - - * - - *
     VOLUME OF TRADES (000'S) - - - * 23,074.0 - *
     NUMBER OF TRADES - - - * 8 - *
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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
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 - - - - - - -

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - - * 100.6 102.4
Weighted Avg. Price - - - - * 100.4 101.7
Avg. Price Bottom 5 Trades - - - - * 100.5 101.7
2nd Quartile Price - - - - * 100.7 101.9
3rd Quartile Price - - - - * 100.8 102.1
4th Quartile Price - - - - * 101.2 104.4
Avg. Price Top 5 Trades - - - - * 100.8 102.9
Standard Deviation - - - - * 0.6 1.3
     VOLUME OF TRADES (000'S) - - - - * 12,940.3 25,482.5
     NUMBER OF TRADES - - - - * 6 7
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 86.1 91.2 93.8 96.1 98.3 99.9 101.4
Weighted Avg. Price 86.0 91.3 93.8 96.2 98.2 99.8 101.2
Avg. Price Bottom 5 Trades 79.1 90.7 92.6 94.9 98.1 99.7 100.4
2nd Quartile Price 85.3 91.2 93.8 96.1 98.2 99.8 100.9
3rd Quartile Price 88.3 91.2 93.8 96.2 98.3 99.8 101.5
4th Quartile Price 88.5 91.3 93.9 96.2 98.3 99.9 101.8
Avg. Price Top 5 Trades 88.6 91.4 94.0 96.4 98.6 101.3 103.8
Standard Deviation 3.0 0.5 0.5 0.6 0.1 0.2 0.6
     VOLUME OF TRADES (000'S) 9,063,799.1 3,435,065.6 3,525,298.3 3,283,688.4 9,442,042.0 9,147,632.1 11,746,919.7
     NUMBER OF TRADES 137 41 77 87 166 325 700
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.8 89.8 92.8 95.4 97.7 99.5 101.3
Weighted Avg. Price 83.7 89.8 92.8 95.4 97.6 99.5 101.4
Avg. Price Bottom 5 Trades 78.7 89.8 92.8 95.3 97.6 99.4 100.8
2nd Quartile Price 82.9 89.8 92.8 95.4 97.6 99.5 100.9
3rd Quartile Price 83.0 89.8 92.8 95.4 97.7 99.5 100.9
4th Quartile Price 86.3 89.8 92.9 95.4 97.7 99.5 102.1
Avg. Price Top 5 Trades 86.5 90.0 92.9 95.5 97.7 99.8 103.1
Standard Deviation 2.4 0.1 - - - 0.1 0.6
     VOLUME OF TRADES (000'S) 8,631,621.2 4,017,735.0 6,527,883.0 15,354,689.0 36,478,220.8 45,241,157.9 64,140,866.9
     NUMBER OF TRADES 495 154 220 252 480 943 1,065
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 86.1 91.3 93.9 96.2 98.3 99.8 101.2
Weighted Avg. Price 86.1 91.3 93.9 96.2 98.3 99.8 101.1
Avg. Price Bottom 5 Trades 82.0 91.2 93.8 96.1 98.2 99.7 100.7
2nd Quartile Price 85.3 91.3 93.9 96.2 98.2 99.8 100.8
3rd Quartile Price 85.5 91.3 93.9 96.2 98.3 99.8 100.8
4th Quartile Price 88.5 91.3 93.9 96.2 98.3 99.8 101.6
Avg. Price Top 5 Trades 88.6 91.5 94.1 96.3 98.5 100.3 103.1
Standard Deviation 2.6 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 10,344,920.4 4,033,802.0 3,419,756.2 3,897,137.1 11,548,395.7 11,028,007.4 13,929,646.9
     NUMBER OF TRADES 190 53 77 72 183 341 606
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 85.5 * 92.9 95.4 97.7 99.5 101.3
Weighted Avg. Price 85.1 * 92.9 95.4 97.6 99.5 101.4
Avg. Price Bottom 5 Trades 85.1 * 92.8 95.4 97.5 99.4 100.8
2nd Quartile Price 86.4 * 92.8 95.4 97.7 99.5 100.9
3rd Quartile Price 86.4 * 92.9 95.4 97.7 99.5 100.9
4th Quartile Price 86.5 * 92.9 95.4 97.7 99.5 102.0
Avg. Price Top 5 Trades 86.4 * 92.9 95.5 97.7 99.6 102.9
Standard Deviation 1.7 * - - 0.1 - 0.6
     VOLUME OF TRADES (000'S) 801,975.0 * 1,086,450.0 8,150,000.0 26,698,910.0 25,940,550.0 43,854,233.0
     NUMBER OF TRADES 7 * 23 40 88 273 418
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 87.7 - 93.9 96.3 98.3 99.7 101.1
Weighted Avg. Price 88.1 - 93.9 96.4 98.4 99.8 101.5
Avg. Price Bottom 5 Trades 87.7 - 93.9 96.2 98.2 99.7 100.6
2nd Quartile Price * - * 96.2 98.2 99.7 100.7
3rd Quartile Price * - * 96.3 98.3 99.8 100.7
4th Quartile Price * - * 96.4 98.3 99.8 101.4
Avg. Price Top 5 Trades 87.7 - 93.9 96.3 98.3 99.8 106.8
Standard Deviation 1.5 - - 0.1 0.1 - 1.1
     VOLUME OF TRADES (000'S) 1,020,000.0 - 140,000.0 637,500.0 402,000.0 534,000.0 1,368,640.0
     NUMBER OF TRADES 14 - 6 7 28 78 177
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE - - - * 97.7 99.4 101.1
Weighted Avg. Price - - - * 97.7 99.5 101.0
Avg. Price Bottom 5 Trades - - - * 97.7 99.3 100.7
2nd Quartile Price - - - * 97.7 99.4 100.8
3rd Quartile Price - - - * 97.7 99.5 100.8
4th Quartile Price - - - * 97.7 99.5 101.9
Avg. Price Top 5 Trades - - - * 97.7 99.5 102.1
Standard Deviation - - - * - 0.1 0.5
     VOLUME OF TRADES (000'S) - - - * 64,500.0 444,750.0 585,850.0
     NUMBER OF TRADES - - - * 16 63 80
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 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].