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 91.3 96.2 98.0 99.6 101.0 102.1 -
Weighted Avg. Price 90.7 96.3 98.0 99.6 101.0 102.2 -
Avg. Price Bottom 5 Trades 87.9 96.1 97.9 99.4 100.9 102.1 -
2nd Quartile Price 89.3 96.2 98.0 99.5 100.9 102.1 -
3rd Quartile Price 91.3 96.3 98.0 99.5 101.0 102.1 -
4th Quartile Price 93.7 96.3 98.0 99.6 101.0 102.1 -
Avg. Price Top 5 Trades 94.9 96.3 98.1 99.7 101.1 102.2 -
Standard Deviation 2.4 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 618,423.0 153,262.0 378,662.0 2,012,922.0 1,742,200.0 273,650.0 -
     NUMBER OF TRADES 79 26 49 133 100 16 -
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 * - * 99.5 100.9 * -
Weighted Avg. Price * - * 99.5 100.9 * -
Avg. Price Bottom 5 Trades * - * 99.4 100.8 * -
2nd Quartile Price * - * 99.4 100.8 * -
3rd Quartile Price * - * 99.4 100.8 * -
4th Quartile Price * - * 99.5 100.9 * -
Avg. Price Top 5 Trades * - * 99.6 101.0 * -
Standard Deviation * - * 0.1 0.1 * -
     VOLUME OF TRADES (000'S) * - * 1,244,575.0 1,334,500.0 * -
     NUMBER OF TRADES * - * 29 52 * -
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 - * * 99.4 100.8 - -
Weighted Avg. Price - * * 99.4 100.8 - -
Avg. Price Bottom 5 Trades - * * 99.4 100.8 - -
2nd Quartile Price - * * * * - -
3rd Quartile Price - * * * * - -
4th Quartile Price - * * * * - -
Avg. Price Top 5 Trades - * * 99.4 100.8 - -
Standard Deviation - * * 0.1 0.1 - -
     VOLUME OF TRADES (000'S) - * * 12,500.0 53,000.0 - -
     NUMBER OF TRADES - * * 5 5 - -
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 - * - - 99.9 * -
Weighted Avg. Price - * - - 99.0 * -
Avg. Price Bottom 5 Trades - * - - 99.4 * -
2nd Quartile Price - * - - 99.7 * -
3rd Quartile Price - * - - 99.8 * -
4th Quartile Price - * - - 100.4 * -
Avg. Price Top 5 Trades - * - - 100.6 * -
Standard Deviation - * - - 0.7 * -
     VOLUME OF TRADES (000'S) - * - - 404,238.6 * -
     NUMBER OF TRADES - * - - 13 * -
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 - * - - 98.9 * *
Weighted Avg. Price - * - - 99.7 * *
Avg. Price Bottom 5 Trades - * - - 98.6 * *
2nd Quartile Price - * - - 98.3 * *
3rd Quartile Price - * - - 98.9 * *
4th Quartile Price - * - - 99.5 * *
Avg. Price Top 5 Trades - * - - 99.5 * *
Standard Deviation - * - - 0.7 * *
     VOLUME OF TRADES (000'S) - * - - 54,715.4 * *
     NUMBER OF TRADES - * - - 12 * *
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.3 90.7 93.3 95.9 98.2 100.4 102.5
Weighted Avg. Price 83.8 90.7 93.3 95.9 98.2 100.4 102.4
Avg. Price Bottom 5 Trades 74.9 90.4 93.1 95.7 98.0 100.2 102.2
2nd Quartile Price 80.6 90.5 93.2 95.7 98.1 100.3 102.2
3rd Quartile Price 84.0 90.8 93.2 96.0 98.2 100.3 102.3
4th Quartile Price 87.5 90.9 93.5 96.0 98.3 100.5 102.3
Avg. Price Top 5 Trades 88.0 91.0 93.6 96.1 98.5 100.6 104.2
Standard Deviation 3.6 0.2 0.2 0.2 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 14,979,277.4 3,806,343.5 7,977,751.3 22,122,384.5 41,250,867.0 33,588,407.0 13,197,804.3
     NUMBER OF TRADES 673 211 299 890 1,283 1,112 485
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 85.3 90.6 93.4 96.2 98.6 100.5 102.1
Weighted Avg. Price 83.7 90.6 93.4 96.3 98.6 100.7 101.9
Avg. Price Bottom 5 Trades 79.3 90.4 93.2 96.0 98.4 100.2 101.4
2nd Quartile Price 83.0 90.5 93.3 96.0 98.4 100.3 101.8
3rd Quartile Price 86.3 90.6 93.3 96.3 98.5 100.4 101.9
4th Quartile Price 88.0 90.8 93.6 96.3 98.7 100.5 101.9
Avg. Price Top 5 Trades 88.4 90.9 93.7 96.4 99.8 102.0 105.2
Standard Deviation 2.9 0.2 0.2 0.2 0.3 0.3 0.7
     VOLUME OF TRADES (000'S) 3,560,609.0 2,888,015.2 2,316,086.0 4,759,509.2 8,864,787.9 16,045,003.6 3,898,385.1
     NUMBER OF TRADES 148 63 69 91 217 282 176
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 82.8 90.7 93.3 95.8 98.1 100.2 102.3
Weighted Avg. Price 84.2 90.7 93.2 95.9 98.2 100.3 102.3
Avg. Price Bottom 5 Trades 77.1 90.4 93.1 95.6 97.9 100.1 102.0
2nd Quartile Price 80.7 90.5 93.1 95.6 98.0 100.1 102.1
3rd Quartile Price 83.8 90.8 93.2 95.7 98.1 100.2 102.1
4th Quartile Price 84.5 90.8 93.5 96.0 98.3 100.3 102.2
Avg. Price Top 5 Trades 87.9 90.8 93.5 96.0 98.3 100.4 103.9
Standard Deviation 3.5 0.2 0.2 0.2 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 6,259,890.4 1,128,219.5 4,395,200.0 7,443,220.2 19,056,687.0 11,057,865.0 8,590,285.3
     NUMBER OF TRADES 102 17 40 55 188 397 273
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 85.1 90.6 93.3 96.1 98.4 100.2 101.8
Weighted Avg. Price 82.7 90.6 93.5 96.2 98.5 100.3 101.8
Avg. Price Bottom 5 Trades 81.0 90.5 93.2 95.9 98.2 100.1 101.6
2nd Quartile Price 83.0 90.5 93.2 95.9 98.3 100.2 101.7
3rd Quartile Price 86.2 90.5 93.3 96.0 98.3 100.2 101.7
4th Quartile Price 88.1 90.6 93.6 96.2 98.5 100.2 101.8
Avg. Price Top 5 Trades 88.1 90.8 93.6 96.2 98.6 100.8 103.7
Standard Deviation 3.0 0.2 0.2 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 2,414,335.0 2,225,000.0 1,585,950.0 2,993,930.0 6,121,878.0 8,058,700.0 3,144,745.4
     NUMBER OF TRADES 39 20 14 30 117 216 161
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 93.1 95.7 98.0 100.1 102.1
Weighted Avg. Price * * 93.0 95.7 98.1 100.1 102.1
Avg. Price Bottom 5 Trades * * 93.1 95.5 97.8 100.0 101.9
2nd Quartile Price * * * 95.6 97.9 100.0 102.0
3rd Quartile Price * * * 95.8 97.9 100.1 102.0
4th Quartile Price * * * 95.9 98.1 100.1 102.1
Avg. Price Top 5 Trades * * 93.1 95.9 98.2 100.3 103.8
Standard Deviation * * 0.2 0.2 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) * * 10,500.0 132,000.0 268,000.0 2,585,750.0 552,250.0
     NUMBER OF TRADES * * 7 17 51 262 98
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 * * 93.3 96.0 98.2 100.1 101.6
Weighted Avg. Price * * 93.4 96.0 98.3 100.1 101.6
Avg. Price Bottom 5 Trades * * 93.1 95.8 98.0 100.0 101.5
2nd Quartile Price * * 93.1 95.9 98.1 100.0 101.5
3rd Quartile Price * * 93.3 96.1 98.2 100.1 101.6
4th Quartile Price * * 93.5 96.2 98.4 100.2 101.7
Avg. Price Top 5 Trades * * 93.5 96.2 98.5 100.2 101.7
Standard Deviation * * 0.2 0.2 0.2 0.1 0.1
     VOLUME OF TRADES (000'S) * * 143,000.0 53,000.0 270,270.0 721,100.0 382,500.0
     NUMBER OF TRADES * * 15 15 47 119 60
* 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].