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

JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.2 96.8 98.4 100.0 101.5 102.5 103.7
Weighted Avg. Price 92.2 96.9 98.4 100.0 101.6 102.5 103.7
Avg. Price Bottom 5 Trades 87.7 96.8 98.3 100.0 101.4 102.4 103.7
2nd Quartile Price 90.3 96.8 98.4 100.0 101.5 102.4 *
3rd Quartile Price 92.3 96.8 98.5 100.0 101.5 102.5 *
4th Quartile Price 94.4 96.9 98.5 100.1 101.6 102.6 *
Avg. Price Top 5 Trades 95.5 96.9 98.5 100.2 101.6 102.6 103.7
Standard Deviation 2.4 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 2,243,740.1 188,733.3 318,883.4 486,988.5 700,747.5 437,762.5 30,000.0
     NUMBER OF TRADES 154 22 40 52 64 44 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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.1 96.8 98.4 100.0 101.3 102.5 103.6
Weighted Avg. Price 92.2 96.9 98.4 100.0 101.4 102.5 103.6
Avg. Price Bottom 5 Trades 87.8 96.8 98.2 99.9 101.2 102.4 103.6
2nd Quartile Price 90.4 96.8 98.3 100.0 101.3 102.4 *
3rd Quartile Price 92.3 96.8 98.4 100.0 101.3 102.5 *
4th Quartile Price 94.3 96.9 98.5 100.0 101.4 102.5 *
Avg. Price Top 5 Trades 95.6 96.9 98.5 100.1 101.4 102.6 103.6
Standard Deviation 2.4 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 2,343,411.1 201,889.2 547,668.9 1,453,434.8 893,653.0 460,773.1 30,000.0
     NUMBER OF TRADES 177 29 50 100 79 49 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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - * * 99.9 101.2 * -
Weighted Avg. Price - * * 99.9 101.2 * -
Avg. Price Bottom 5 Trades - * * 99.8 101.2 * -
2nd Quartile Price - * * 99.9 101.2 * -
3rd Quartile Price - * * 99.9 101.2 * -
4th Quartile Price - * * 99.9 101.2 * -
Avg. Price Top 5 Trades - * * 99.9 101.2 * -
Standard Deviation - * * - - * -
     VOLUME OF TRADES (000'S) - * * 549,852.1 92,500.0 * -
     NUMBER OF TRADES - * * 22 18 * -
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 - - - - - - -
SEPTEMBER 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

JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - * * 100.4 * -
Weighted Avg. Price - - * * 100.4 * -
Avg. Price Bottom 5 Trades - - * * 99.9 * -
2nd Quartile Price - - * * 100.4 * -
3rd Quartile Price - - * * 100.7 * -
4th Quartile Price - - * * 100.8 * -
Avg. Price Top 5 Trades - - * * 100.8 * -
Standard Deviation - - * * 0.7 * -
     VOLUME OF TRADES (000'S) - - * * 30,340.6 * -
     NUMBER OF TRADES - - * * 9 * -
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 85.8 91.7 94.4 97.1 99.3 101.1 102.4
Weighted Avg. Price 85.4 91.7 94.4 97.1 99.3 101.0 102.3
Avg. Price Bottom 5 Trades 80.2 91.5 94.3 97.0 99.2 100.6 101.4
2nd Quartile Price 83.8 91.6 94.4 97.1 99.3 101.0 102.2
3rd Quartile Price 87.3 91.7 94.4 97.1 99.3 101.0 102.2
4th Quartile Price 89.2 91.8 94.5 97.2 99.4 101.1 102.3
Avg. Price Top 5 Trades 89.5 91.8 94.6 97.4 100.0 102.5 104.2
Standard Deviation 3.2 0.1 0.1 0.1 0.1 0.3 0.5
     VOLUME OF TRADES (000'S) 12,992,427.4 2,397,757.3 7,720,001.9 8,691,493.0 12,950,957.6 10,691,349.4 10,653,687.1
     NUMBER OF TRADES 242 86 154 191 386 469 409
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.1 91.7 94.4 96.8 99.0 101.0 103.2
Weighted Avg. Price 85.0 91.7 94.4 96.9 99.0 101.0 103.2
Avg. Price Bottom 5 Trades 77.7 91.6 94.2 96.6 98.8 100.9 102.7
2nd Quartile Price 81.6 91.6 94.3 96.8 98.9 100.9 102.8
3rd Quartile Price 85.2 91.7 94.4 96.8 99.0 101.0 102.8
4th Quartile Price 88.7 91.8 94.5 96.9 99.0 101.0 102.8
Avg. Price Top 5 Trades 88.9 91.8 94.5 97.0 99.1 101.1 104.8
Standard Deviation 3.7 0.1 0.1 0.1 0.1 - 0.8
     VOLUME OF TRADES (000'S) 6,990,836.0 3,310,612.5 5,290,816.6 15,752,767.4 17,802,972.3 18,800,065.6 8,241,287.7
     NUMBER OF TRADES 384 131 198 622 772 812 399
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 85.8 91.6 94.4 97.1 99.2 100.9 102.4
Weighted Avg. Price 85.3 91.6 94.4 97.1 99.3 100.9 102.3
Avg. Price Bottom 5 Trades 80.2 91.5 94.2 97.0 99.1 100.7 102.1
2nd Quartile Price 83.8 91.5 94.3 97.0 99.2 100.8 102.1
3rd Quartile Price 87.2 91.6 94.4 97.1 99.2 100.9 102.2
4th Quartile Price 89.2 91.7 94.4 97.1 99.3 100.9 102.2
Avg. Price Top 5 Trades 89.5 91.8 94.5 97.4 99.5 101.7 104.7
Standard Deviation 3.2 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 13,317,258.5 2,702,040.3 7,098,859.7 8,045,974.6 12,616,720.4 11,547,330.8 11,327,073.6
     NUMBER OF TRADES 281 83 144 174 354 382 387
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.2 91.7 94.3 96.8 98.9 100.8 103.0
Weighted Avg. Price 84.2 91.7 94.4 96.8 99.0 100.9 103.8
Avg. Price Bottom 5 Trades 81.0 91.6 94.2 96.7 98.8 100.8 102.6
2nd Quartile Price 85.1 91.6 94.3 96.7 98.8 100.8 102.6
3rd Quartile Price 88.6 91.7 94.3 96.8 98.9 100.8 102.7
4th Quartile Price 88.7 91.7 94.4 96.9 99.0 100.8 102.7
Avg. Price Top 5 Trades 88.7 91.7 94.5 96.9 99.0 100.9 104.5
Standard Deviation 3.5 0.1 0.1 0.1 0.1 - 0.7
     VOLUME OF TRADES (000'S) 1,402,450.0 1,849,712.5 2,676,175.0 10,484,749.3 6,195,550.0 6,201,669.5 8,860,807.0
     NUMBER OF TRADES 23 23 32 41 137 295 122
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 88.6 91.6 94.3 97.0 99.1 100.7 102.2
Weighted Avg. Price 88.7 91.7 94.3 97.1 99.1 100.7 102.9
Avg. Price Bottom 5 Trades 88.5 91.5 94.3 96.9 98.9 100.6 101.8
2nd Quartile Price 89.1 91.5 94.3 96.9 99.1 100.7 102.0
3rd Quartile Price 89.1 91.6 94.3 97.0 99.1 100.7 102.0
4th Quartile Price 89.2 91.7 94.4 97.0 99.1 100.7 102.1
Avg. Price Top 5 Trades 88.8 91.8 94.4 97.1 99.2 100.8 103.7
Standard Deviation 1.0 0.2 0.1 0.1 0.1 - 0.6
     VOLUME OF TRADES (000'S) 213,000.0 389,656.0 843,000.0 133,500.0 664,500.0 1,823,432.6 783,270.0
     NUMBER OF TRADES 7 13 29 32 89 199 84
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 91.6 * 96.7 98.8 100.7 103.1
Weighted Avg. Price * 91.6 * 96.6 98.8 100.7 104.2
Avg. Price Bottom 5 Trades * 91.5 * 96.6 98.7 100.6 102.5
2nd Quartile Price * 91.5 * 96.6 98.8 100.7 102.5
3rd Quartile Price * 91.6 * 96.7 98.8 100.7 102.5
4th Quartile Price * 91.6 * 96.8 98.8 100.7 104.3
Avg. Price Top 5 Trades * 91.6 * 96.7 98.9 100.8 104.3
Standard Deviation * - * 0.1 0.1 - 0.8
     VOLUME OF TRADES (000'S) * 39,500.0 * 5,044,500.0 238,750.0 861,500.0 5,405,500.0
     NUMBER OF TRADES * 8 * 10 45 108 43
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].