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 (TBA, STIP, $ ROLLS) - Single Family 15Y

MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 90.2 96.5 98.3 99.8 101.1 102.2 -
Weighted Avg. Price 90.1 96.5 98.2 99.8 101.1 102.2 -
Avg. Price Bottom 5 Trades 89.8 96.5 98.2 99.7 101.1 102.2 -
2nd Quartile Price 89.8 * 98.2 99.8 101.1 102.2 -
3rd Quartile Price 89.9 * 98.3 99.8 101.1 102.2 -
4th Quartile Price 90.0 * 98.3 99.8 101.1 102.2 -
Avg. Price Top 5 Trades 90.8 96.5 98.3 99.8 101.1 102.2 -
Standard Deviation 0.8 - - - - - -
     VOLUME OF TRADES (000'S) 47,325.0 210,000.0 592,850.0 324,508.2 731,200.0 76,700.0 -
     NUMBER OF TRADES 17 6 41 45 36 11 -
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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * - 98.2 99.7 101.0 102.2 -
Weighted Avg. Price * - 98.2 99.7 101.0 102.2 -
Avg. Price Bottom 5 Trades * - 98.2 99.6 101.0 102.2 -
2nd Quartile Price * - 98.2 99.7 101.0 * -
3rd Quartile Price * - 98.2 99.7 101.0 * -
4th Quartile Price * - 98.3 99.8 101.0 * -
Avg. Price Top 5 Trades * - 98.2 99.8 101.0 102.2 -
Standard Deviation * - - 0.1 - - -
     VOLUME OF TRADES (000'S) * - 300,000.0 112,500.0 608,500.0 45,000.0 -
     NUMBER OF TRADES * - 7 15 16 6 -
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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
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

MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - - 100.3 - -
Weighted Avg. Price - - - - 100.1 - -
Avg. Price Bottom 5 Trades - - - - 99.9 - -
2nd Quartile Price - - - - 99.8 - -
3rd Quartile Price - - - - 100.3 - -
4th Quartile Price - - - - 101.1 - -
Avg. Price Top 5 Trades - - - - 100.6 - -
Standard Deviation - - - - 0.6 - -
     VOLUME OF TRADES (000'S) - - - - 21,687.9 - -
     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 * * - * 99.0 100.6 102.9
Weighted Avg. Price * * - * 99.3 100.8 102.0
Avg. Price Bottom 5 Trades * * - * 98.7 100.6 101.7
2nd Quartile Price * * - * 99.0 * 101.7
3rd Quartile Price * * - * 99.2 * 102.3
4th Quartile Price * * - * 99.5 * 106.3
Avg. Price Top 5 Trades * * - * 99.3 100.6 103.9
Standard Deviation * * - * 0.4 0.7 2.0
     VOLUME OF TRADES (000'S) * * - * 43,204.2 6,647.9 182,213.8
     NUMBER OF TRADES * * - * 9 6 9
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.5 91.3 93.9 96.4 98.6 100.7 102.7
Weighted Avg. Price 84.3 91.2 93.9 96.4 98.6 100.7 102.8
Avg. Price Bottom 5 Trades 77.2 91.1 93.7 96.2 98.5 100.6 102.4
2nd Quartile Price 81.1 91.2 93.9 96.3 98.6 100.7 102.5
3rd Quartile Price 84.8 91.3 93.9 96.4 98.6 100.7 102.5
4th Quartile Price 88.2 91.3 93.9 96.4 98.7 100.7 102.5
Avg. Price Top 5 Trades 88.5 91.4 94.0 96.5 99.3 101.0 104.4
Standard Deviation 3.9 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 23,374,903.1 4,572,867.3 10,028,242.8 14,504,504.0 22,527,898.8 33,625,349.7 18,719,626.9
     NUMBER OF TRADES 414 158 218 547 764 798 340
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 85.9 91.3 94.0 96.7 99.0 100.6 102.2
Weighted Avg. Price 85.3 91.3 94.0 96.7 98.9 100.6 102.1
Avg. Price Bottom 5 Trades 80.0 91.2 93.9 96.6 98.8 100.2 101.9
2nd Quartile Price 83.6 91.2 94.0 96.7 98.9 100.6 102.0
3rd Quartile Price 87.0 91.3 94.0 96.7 99.0 100.6 102.0
4th Quartile Price 88.7 91.3 94.0 96.8 99.0 100.7 102.1
Avg. Price Top 5 Trades 88.9 91.4 94.1 96.8 99.5 101.6 104.0
Standard Deviation 2.8 0.1 0.1 0.1 0.1 0.2 0.6
     VOLUME OF TRADES (000'S) 11,254,965.0 4,597,330.8 4,949,872.5 2,032,769.4 3,967,346.0 6,466,905.4 2,183,686.5
     NUMBER OF TRADES 123 48 46 78 226 262 121
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.5 91.2 93.9 96.3 98.5 100.6 102.5
Weighted Avg. Price 84.7 91.1 93.9 96.3 98.5 100.6 102.7
Avg. Price Bottom 5 Trades 77.4 91.0 93.7 96.2 98.4 100.5 102.3
2nd Quartile Price 81.1 91.2 93.8 96.3 98.5 100.5 102.4
3rd Quartile Price 84.8 91.3 93.9 96.3 98.6 100.6 102.4
4th Quartile Price 88.1 91.3 93.9 96.4 98.6 100.6 102.4
Avg. Price Top 5 Trades 88.4 91.3 94.0 96.4 98.7 100.7 104.1
Standard Deviation 4.0 0.1 0.1 0.1 0.1 - 0.5
     VOLUME OF TRADES (000'S) 17,544,599.8 2,472,052.3 5,509,848.0 6,746,334.8 12,649,150.0 22,371,960.0 15,060,262.0
     NUMBER OF TRADES 81 24 55 67 126 303 158
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 86.2 91.3 94.0 96.6 98.8 100.5 101.9
Weighted Avg. Price 85.2 91.3 94.0 96.7 98.8 100.5 101.9
Avg. Price Bottom 5 Trades 82.5 91.2 93.9 96.5 98.7 100.4 101.8
2nd Quartile Price 84.0 91.3 94.0 96.6 98.8 100.5 101.8
3rd Quartile Price 87.0 91.3 94.0 96.6 98.8 100.5 101.9
4th Quartile Price 88.6 91.3 94.1 96.7 98.8 100.5 101.9
Avg. Price Top 5 Trades 88.7 91.3 94.1 96.7 98.9 100.6 102.4
Standard Deviation 2.4 0.1 0.1 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 9,639,300.0 4,142,800.0 4,013,990.0 709,660.4 1,442,080.0 3,322,050.0 873,750.0
     NUMBER OF TRADES 37 17 21 20 91 192 92
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 93.8 96.2 98.4 100.5 102.4
Weighted Avg. Price * * 93.9 96.3 98.5 100.5 102.3
Avg. Price Bottom 5 Trades * * 93.8 96.2 98.4 100.3 102.2
2nd Quartile Price * * 93.8 96.3 98.4 100.4 102.3
3rd Quartile Price * * 93.9 96.3 98.5 100.5 102.3
4th Quartile Price * * 93.9 96.3 98.5 100.5 102.3
Avg. Price Top 5 Trades * * 93.9 96.3 98.5 100.5 103.9
Standard Deviation * * 0.1 0.1 - - 0.4
     VOLUME OF TRADES (000'S) * * 57,000.0 32,000.0 225,450.0 1,431,100.0 368,850.0
     NUMBER OF TRADES * * 7 13 46 154 72
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 * * 93.9 96.5 98.7 100.3 101.7
Weighted Avg. Price * * 93.9 96.5 98.7 100.3 101.7
Avg. Price Bottom 5 Trades * * 93.9 96.4 98.6 100.2 101.6
2nd Quartile Price * * 93.9 96.4 98.7 100.3 101.7
3rd Quartile Price * * 93.9 96.5 98.7 100.3 101.7
4th Quartile Price * * 94.0 96.6 98.7 100.4 101.8
Avg. Price Top 5 Trades * * 94.0 96.6 98.7 100.4 101.8
Standard Deviation * * 0.1 0.1 - 0.1 0.1
     VOLUME OF TRADES (000'S) * * 110,000.0 27,000.0 251,000.0 358,250.0 101,950.0
     NUMBER OF TRADES * * 14 12 33 60 29
* 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].