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

OCTOBER 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 - - - - - - -
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 96.5 98.8 100.2 101.3 102.3 * -
Weighted Avg. Price 96.3 98.8 100.2 101.3 102.3 * -
Avg. Price Bottom 5 Trades 94.1 98.8 100.2 101.2 102.3 * -
2nd Quartile Price 96.5 98.8 100.2 101.2 102.3 * -
3rd Quartile Price 97.4 98.9 100.2 101.3 102.3 * -
4th Quartile Price 97.4 98.9 100.2 101.3 102.3 * -
Avg. Price Top 5 Trades 97.4 98.9 100.2 101.3 102.3 * -
Standard Deviation 1.9 - - - - * -
     VOLUME OF TRADES (000'S) 67,975.0 639,140.0 1,924,373.6 834,440.2 114,260.0 * -
     NUMBER OF TRADES 19 51 117 72 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 - - - - - - -
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 98.8 100.2 101.2 102.3 * -
Weighted Avg. Price * 98.8 100.2 101.2 102.3 * -
Avg. Price Bottom 5 Trades * 98.8 100.1 101.2 102.3 * -
2nd Quartile Price * 98.8 100.2 101.2 102.3 * -
3rd Quartile Price * 98.8 100.2 101.2 102.3 * -
4th Quartile Price * 98.8 100.2 101.3 102.3 * -
Avg. Price Top 5 Trades * 98.8 100.2 101.3 102.3 * -
Standard Deviation * - - - - * -
     VOLUME OF TRADES (000'S) * 578,125.0 1,117,275.9 559,890.0 121,278.0 * -
     NUMBER OF TRADES * 17 36 40 15 * -
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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 97.0 98.8 100.1 101.2 * - -
Weighted Avg. Price 97.2 98.8 100.1 101.2 * - -
Avg. Price Bottom 5 Trades 97.0 98.8 100.1 101.2 * - -
2nd Quartile Price * * 100.1 101.2 * - -
3rd Quartile Price * * 100.1 101.2 * - -
4th Quartile Price * * 100.2 101.2 * - -
Avg. Price Top 5 Trades 97.0 98.8 100.2 101.2 * - -
Standard Deviation 0.5 - - - * - -
     VOLUME OF TRADES (000'S) 7,500.0 24,500.0 86,000.0 16,000.0 * - -
     NUMBER OF TRADES 6 5 16 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 - - - - - - -

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

OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - 102.1 * * -
Weighted Avg. Price - - - 102.0 * * -
Avg. Price Bottom 5 Trades - - - 102.1 * * -
2nd Quartile Price - - - * * * -
3rd Quartile Price - - - * * * -
4th Quartile Price - - - * * * -
Avg. Price Top 5 Trades - - - 102.1 * * -
Standard Deviation - - - 0.6 * * -
     VOLUME OF TRADES (000'S) - - - 4,176.2 * * -
     NUMBER OF TRADES - - - 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 89.3 95.7 98.2 100.1 101.4 102.4 103.8
Weighted Avg. Price 90.1 95.7 98.2 100.1 101.4 102.4 103.7
Avg. Price Bottom 5 Trades 81.9 95.6 98.1 100.0 101.3 102.4 103.5
2nd Quartile Price 85.8 95.7 98.2 100.0 101.4 102.4 103.6
3rd Quartile Price 89.5 95.7 98.2 100.1 101.4 102.4 103.6
4th Quartile Price 93.1 95.7 98.2 100.1 101.4 102.5 103.6
Avg. Price Top 5 Trades 93.2 95.9 98.3 100.2 101.7 102.5 104.9
Standard Deviation 3.9 0.1 0.1 0.1 0.1 - 0.5
     VOLUME OF TRADES (000'S) 15,026,912.0 6,097,003.3 9,776,809.5 34,690,623.4 35,715,456.1 19,905,921.6 7,457,171.3
     NUMBER OF TRADES 644 180 359 1,041 982 515 228
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 88.7 95.5 98.3 100.1 101.2 102.1 103.1
Weighted Avg. Price 88.6 95.5 98.3 100.1 101.1 101.9 103.1
Avg. Price Bottom 5 Trades 83.9 95.4 98.2 99.7 100.3 101.7 102.3
2nd Quartile Price 84.2 95.4 98.3 100.0 101.0 101.8 103.0
3rd Quartile Price 90.8 95.4 98.3 100.1 101.1 101.9 103.1
4th Quartile Price 92.4 95.5 98.3 100.1 101.1 101.9 103.1
Avg. Price Top 5 Trades 92.6 95.6 98.4 100.5 102.7 104.2 103.5
Standard Deviation 3.3 0.1 0.1 0.1 0.4 0.6 0.3
     VOLUME OF TRADES (000'S) 2,679,052.1 763,275.0 2,156,023.0 6,003,047.3 4,221,773.6 3,955,144.4 1,902,605.8
     NUMBER OF TRADES 118 25 57 242 283 196 93
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 91.7 95.7 98.2 100.0 101.3 102.4 103.7
Weighted Avg. Price 90.9 95.7 98.2 100.0 101.3 102.4 103.6
Avg. Price Bottom 5 Trades 82.6 95.6 98.0 99.9 101.2 102.4 103.6
2nd Quartile Price 92.9 95.6 98.1 100.0 101.3 102.4 103.6
3rd Quartile Price 93.0 95.7 98.2 100.0 101.3 102.4 103.6
4th Quartile Price 93.0 95.7 98.2 100.0 101.3 102.5 103.7
Avg. Price Top 5 Trades 93.1 95.8 98.4 100.1 101.4 102.5 103.9
Standard Deviation 2.7 0.1 0.2 - - - 0.2
     VOLUME OF TRADES (000'S) 8,631,317.0 3,133,485.0 3,656,175.0 17,151,309.0 17,661,015.0 10,252,879.0 1,142,300.0
     NUMBER OF TRADES 168 44 102 271 242 103 31
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 89.4 95.4 98.2 100.0 101.0 101.8 102.9
Weighted Avg. Price 88.5 95.5 98.2 100.0 101.0 101.8 102.9
Avg. Price Bottom 5 Trades 83.9 95.4 98.1 99.9 100.9 101.8 102.9
2nd Quartile Price 87.5 95.4 98.2 99.9 101.0 101.8 102.9
3rd Quartile Price 90.9 95.5 98.2 100.0 101.0 101.8 102.9
4th Quartile Price 92.4 95.5 98.2 100.0 101.0 101.9 103.0
Avg. Price Top 5 Trades 92.5 95.5 98.3 100.1 101.3 101.9 103.0
Standard Deviation 3.4 0.1 0.1 - 0.1 - -
     VOLUME OF TRADES (000'S) 1,523,367.1 255,500.0 1,093,763.0 3,549,775.0 1,960,930.0 2,172,810.0 2,022,250.0
     NUMBER OF TRADES 31 10 49 155 133 72 62
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 95.6 98.1 99.9 101.2 102.4 103.8
Weighted Avg. Price * 95.6 98.1 99.9 101.2 102.3 103.6
Avg. Price Bottom 5 Trades * 95.6 98.0 99.8 101.2 102.3 103.6
2nd Quartile Price * 95.6 98.1 99.9 101.2 102.3 103.6
3rd Quartile Price * 95.6 98.1 100.0 101.2 102.4 103.7
4th Quartile Price * 95.7 98.1 100.0 101.3 102.4 104.8
Avg. Price Top 5 Trades * 95.7 98.2 100.0 101.3 102.4 103.8
Standard Deviation * - 0.1 - - - 0.4
     VOLUME OF TRADES (000'S) * 47,000.0 195,000.0 1,468,700.0 491,000.0 691,450.0 193,000.0
     NUMBER OF TRADES * 9 31 211 67 18 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 * 95.4 98.1 99.9 100.9 101.7 102.7
Weighted Avg. Price * 95.4 98.1 99.9 100.9 101.8 102.7
Avg. Price Bottom 5 Trades * 95.4 98.1 99.8 100.8 101.6 102.6
2nd Quartile Price * 95.4 98.1 99.9 100.9 101.7 102.7
3rd Quartile Price * 95.4 98.1 99.9 100.9 101.7 102.7
4th Quartile Price * 95.5 98.1 99.9 100.9 101.8 102.7
Avg. Price Top 5 Trades * 95.5 98.2 99.9 100.9 101.8 102.8
Standard Deviation * 0.1 - - - 0.2 0.1
     VOLUME OF TRADES (000'S) * 64,500.0 157,750.0 1,152,500.0 580,750.0 1,125,750.0 782,800.0
     NUMBER OF TRADES * 9 33 95 67 49 33
* 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].