As of

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

SEPTEMBER Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	94.3	98.8	100.2	101.3	102.3	103.2	104.0
Weighted Avg. Price	93.2	98.8	100.2	101.3	102.3	103.2	104.1
Avg. Price Bottom 5 Trades	89.9	98.7	100.2	101.2	102.2	103.2	104.0
2nd Quartile Price	92.4	98.8	100.2	101.2	102.2	103.2	*
3rd Quartile Price	94.5	98.8	100.2	101.3	102.3	103.2	*
4th Quartile Price	96.3	98.8	100.3	101.3	102.3	103.3	*
Avg. Price Top 5 Trades	97.4	98.9	100.3	101.3	102.3	103.3	104.0
Standard Deviation	2.4	-	-	-	-	-	0.4
VOLUME OF TRADES (000'S)	3,799,453.1	455,477.8	1,056,801.0	1,238,928.0	835,905.8	143,390.5	18,009.6
NUMBER OF TRADES	98	36	75	105	62	30	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	-	-	-	-	-	-	-

OCTOBER Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	94.4	98.8	100.2	101.3	102.3	103.2	103.7
Weighted Avg. Price	93.3	98.8	100.2	101.3	102.3	103.1	104.0
Avg. Price Bottom 5 Trades	90.0	98.7	100.2	101.2	102.2	103.2	103.7
2nd Quartile Price	92.5	98.8	100.2	101.3	102.3	103.2	*
3rd Quartile Price	94.5	98.8	100.2	101.3	102.3	103.3	*
4th Quartile Price	96.3	98.8	100.3	101.3	102.3	103.3	*
Avg. Price Top 5 Trades	97.4	98.9	100.3	101.3	102.3	103.3	103.7
Standard Deviation	2.1	-	-	-	-	0.1	0.5
VOLUME OF TRADES (000'S)	3,941,403.1	598,581.9	3,038,356.9	2,951,907.8	1,892,002.0	255,598.9	18,520.1
NUMBER OF TRADES	127	43	189	138	42	16	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	-	-	-	-	-	-	-

NOVEMBER Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	97.3	98.8	100.2	101.2	102.2	*	-
Weighted Avg. Price	97.2	98.8	100.2	101.2	102.2	*	-
Avg. Price Bottom 5 Trades	97.2	98.7	100.1	101.2	102.2	*	-
2nd Quartile Price	97.4	98.7	100.2	101.2	102.2	*	-
3rd Quartile Price	97.4	98.8	100.2	101.2	102.2	*	-
4th Quartile Price	97.4	98.8	100.2	101.2	102.3	*	-
Avg. Price Top 5 Trades	97.4	98.8	100.2	101.2	102.2	*	-
Standard Deviation	0.4	-	-	-	-	*	-
VOLUME OF TRADES (000'S)	30,500.0	52,000.0	409,500.0	341,250.0	17,000.0	*	-
NUMBER OF TRADES	8	9	45	22	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	-	-	-	-	-	-	-
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	-	-	-	-	-	-	-

DECEMBER 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

SEPTEMBER Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	-	-	-	100.3	*	104.2	-
Weighted Avg. Price	-	-	-	99.8	*	104.4	-
Avg. Price Bottom 5 Trades	-	-	-	100.0	*	104.1	-
2nd Quartile Price	-	-	-	99.8	*	104.0	-
3rd Quartile Price	-	-	-	101.3	*	105.1	-
4th Quartile Price	-	-	-	101.9	*	105.1	-
Avg. Price Top 5 Trades	-	-	-	100.5	*	104.4	-
Standard Deviation	-	-	-	1.0	*	0.7	-
VOLUME OF TRADES (000'S)	-	-	-	88,240.6	*	557,244.2	-
NUMBER OF TRADES	-	-	-	6	*	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	87.9	94.7	97.7	100.0	101.2	102.3	103.1
Weighted Avg. Price	87.3	94.7	97.6	100.0	101.1	102.1	102.9
Avg. Price Bottom 5 Trades	83.0	94.6	97.6	99.8	100.9	100.9	102.1
2nd Quartile Price	86.4	94.7	97.7	99.9	101.1	102.0	102.8
3rd Quartile Price	89.6	94.8	97.7	100.0	101.1	102.0	102.9
4th Quartile Price	90.0	94.8	97.7	100.0	101.2	102.3	103.1
Avg. Price Top 5 Trades	92.6	94.8	97.8	100.2	102.2	104.2	106.3
Standard Deviation	3.3	0.1	0.1	0.1	0.3	0.6	0.8
VOLUME OF TRADES (000'S)	11,493,770.5	3,241,987.3	6,635,574.8	1,575,269.8	7,779,328.0	3,691,527.6	2,997,080.7
NUMBER OF TRADES	113	28	63	84	147	204	167

OCTOBER Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	87.4	94.8	97.5	99.6	101.1	102.4	103.7
Weighted Avg. Price	87.6	94.7	97.5	99.6	101.1	102.4	103.6
Avg. Price Bottom 5 Trades	80.7	94.6	97.4	99.4	101.0	102.3	103.6
2nd Quartile Price	84.6	94.7	97.4	99.5	101.1	102.4	103.6
3rd Quartile Price	88.2	94.7	97.5	99.6	101.1	102.4	103.6
4th Quartile Price	91.8	94.8	97.6	99.6	101.1	102.4	103.6
Avg. Price Top 5 Trades	92.0	94.9	97.6	99.8	101.6	102.6	105.3
Standard Deviation	3.7	0.1	0.1	0.1	0.1	-	0.4
VOLUME OF TRADES (000'S)	12,827,189.0	4,068,834.4	11,541,695.9	34,264,367.1	30,228,851.8	22,422,260.1	5,623,105.1
NUMBER OF TRADES	654	230	402	1,157	942	598	241
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	88.9	94.7	97.6	99.9	101.1	102.0	102.9
Weighted Avg. Price	87.8	94.7	97.6	99.9	101.1	102.0	102.9
Avg. Price Bottom 5 Trades	83.0	94.6	97.4	99.8	100.9	101.8	102.8
2nd Quartile Price	86.5	94.7	97.6	99.8	101.0	101.9	102.8
3rd Quartile Price	90.0	94.8	97.6	99.9	101.0	102.0	102.8
4th Quartile Price	92.2	94.8	97.7	99.9	101.1	102.0	102.9
Avg. Price Top 5 Trades	92.4	94.8	97.7	100.1	101.9	103.3	103.3
Standard Deviation	3.3	0.1	0.1	0.1	0.1	0.3	0.1
VOLUME OF TRADES (000'S)	10,062,902.9	4,343,249.0	8,499,697.8	5,362,453.5	11,826,099.4	3,637,626.3	3,418,953.1
NUMBER OF TRADES	165	45	127	262	326	194	153

NOVEMBER Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	85.9	*	97.5	99.5	101.0	102.3	103.7
Weighted Avg. Price	87.0	*	97.4	99.5	101.0	102.3	103.7
Avg. Price Bottom 5 Trades	83.5	*	97.3	99.4	101.0	102.3	103.6
2nd Quartile Price	84.6	*	97.4	99.5	101.0	102.3	103.6
3rd Quartile Price	88.0	*	97.5	99.5	101.0	102.3	103.6
4th Quartile Price	91.8	*	97.5	99.6	101.1	102.4	103.6
Avg. Price Top 5 Trades	89.6	*	97.6	99.6	101.1	102.4	104.7
Standard Deviation	4.1	*	0.1	0.1	-	-	0.4
VOLUME OF TRADES (000'S)	727,330.0	*	1,481,600.0	8,210,815.9	4,683,250.0	5,194,160.0	3,080,978.9
NUMBER OF TRADES	11	*	35	370	259	100	65
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	91.3	94.7	97.6	99.7	100.9	101.8	102.8
Weighted Avg. Price	88.8	94.8	97.6	99.7	100.9	101.8	102.8
Avg. Price Bottom 5 Trades	89.7	94.7	97.5	99.6	100.8	101.7	102.8
2nd Quartile Price	92.1	94.7	97.5	99.7	100.9	101.8	102.8
3rd Quartile Price	92.1	94.7	97.6	99.8	100.9	101.9	102.8
4th Quartile Price	92.2	94.8	97.6	99.8	101.0	101.9	102.8
Avg. Price Top 5 Trades	92.2	94.8	97.6	99.8	101.0	101.9	103.0
Standard Deviation	2.4	-	0.1	-	0.1	-	0.1
VOLUME OF TRADES (000'S)	1,173,000.0	431,000.0	526,500.0	2,197,617.6	994,250.0	426,350.0	361,000.0
NUMBER OF TRADES	18	16	25	172	123	59	29

DECEMBER Settlement

METRIC	COUPON
	<= 3.5	4	4.5	5	5.5	6	> 6
UMBS
AVERAGE PRICE	-	*	97.4	99.5	100.9	102.3	103.5
Weighted Avg. Price	-	*	97.4	99.5	101.0	102.3	103.5
Avg. Price Bottom 5 Trades	-	*	97.4	99.4	100.9	102.2	103.5
2nd Quartile Price	-	*	97.4	99.5	100.9	102.3	103.5
3rd Quartile Price	-	*	97.4	99.5	101.0	102.3	103.6
4th Quartile Price	-	*	97.5	99.5	101.0	102.3	103.6
Avg. Price Top 5 Trades	-	*	97.4	99.5	101.0	102.3	103.6
Standard Deviation	-	*	0.1	-	-	-	-
VOLUME OF TRADES (000'S)	-	*	144,500.0	652,150.0	888,950.0	226,500.0	28,000.0
NUMBER OF TRADES	-	*	8	87	66	21	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	-	-	-	-	-	-	-

* 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

For each region, the evaluation system is operational during the Extended Hours. In addition, the evaluation desks are staffed during the Core Hours providing further system inputs and oversight.

	Core Hours	Extended Hours
ASIA Corps & Sovs (AU)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (JP)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (NZ)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (Other Currencies)	9:00 AM HKT – 6:00 PM HKT	3:00 AM HKT – 12:00 AM HKT
ASIA Money Markets (AU)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (JP)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (NZ)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (Other Currencies)	9:00 AM HKT – 6:00 PM HKT	3:00 AM HKT – 12:00 AM HKT
EMEA Corps & Sovs	8:00 AM GMT/BST – 6:00 PM GMT/BST	3:00 AM GMT/BST – 12:00 AM GMT/BST
EMEA Money Markets	8:00 AM GMT/BST – 6:00 PM GMT/BST	3:00 AM GMT/BST – 12:00 AM GMT/BST
US Agencies	8:00 AM ET – 5:30 PM ET	3:00 AM ET – 12:00 AM ET
US Corporate HY	8:00 AM ET – 5:30 PM ET	3:00 AM ET – 12:00 AM ET
US Corporate IG	8:00 AM ET – 5:30 PM ET	3:00 AM ET – 12:00 AM ET
US MBS (TBA & Pass-through)	8:00 AM ET – 5:30 PM ET	3:00 AM ET – 12:00 AM ET
US Municipals	8:00 AM ET – 5:30 PM ET	3:00 AM ET – 12:00 AM ET
US Treasuries & Strips	8:00 AM ET – 5:30 PM ET	3:00 AM ET – 12:00 AM ET
Leveraged Loan	8:00 AM ET – 5:30 PM ET	3:00 AM ET – 12:00 AM ET

Subject
Recipient Email *
Sender Name *
Sender Email *
Comment