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

NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.7 98.3 99.8 100.9 102.2 103.4 *
Weighted Avg. Price 92.8 98.4 99.8 100.9 102.2 103.4 *
Avg. Price Bottom 5 Trades 89.3 98.1 99.7 100.7 102.2 103.4 *
2nd Quartile Price 91.8 98.3 99.7 100.9 102.2 103.4 *
3rd Quartile Price 94.1 98.3 99.8 100.9 102.2 103.4 *
4th Quartile Price 95.9 98.3 99.8 101.0 102.2 103.4 *
Avg. Price Top 5 Trades 96.9 98.7 99.9 101.3 102.3 103.6 *
Standard Deviation 2.6 0.2 0.1 0.2 - 0.1 *
     VOLUME OF TRADES (000'S) 4,247,020.5 955,908.1 2,012,182.5 952,248.8 359,239.7 268,728.4 *
     NUMBER OF TRADES 183 67 73 74 41 34 *
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 93.8 98.3 99.7 100.9 102.2 103.4 *
Weighted Avg. Price 93.0 98.3 99.7 100.9 102.2 103.4 *
Avg. Price Bottom 5 Trades 89.4 98.1 99.6 100.7 102.2 103.4 *
2nd Quartile Price 91.9 98.2 99.6 100.9 102.2 103.4 *
3rd Quartile Price 94.1 98.2 99.7 100.9 102.2 103.4 *
4th Quartile Price 96.0 98.3 99.8 101.0 102.3 103.4 *
Avg. Price Top 5 Trades 96.9 98.8 99.8 101.3 102.3 103.5 *
Standard Deviation 2.6 0.2 0.1 0.1 - 0.1 *
     VOLUME OF TRADES (000'S) 4,451,597.5 1,866,769.7 3,005,478.5 1,375,967.2 813,991.4 321,963.7 *
     NUMBER OF TRADES 210 123 159 116 75 41 *
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 * 98.2 99.6 100.9 102.2 - -
Weighted Avg. Price * 98.1 99.6 100.9 102.2 - -
Avg. Price Bottom 5 Trades * 98.1 99.6 100.8 102.2 - -
2nd Quartile Price * 98.1 99.6 100.8 * - -
3rd Quartile Price * 98.1 99.6 100.9 * - -
4th Quartile Price * 98.2 99.6 100.9 * - -
Avg. Price Top 5 Trades * 98.2 99.7 100.9 102.2 - -
Standard Deviation * 0.1 0.1 - - - -
     VOLUME OF TRADES (000'S) * 108,700.0 479,467.0 229,350.0 136,400.0 - -
     NUMBER OF TRADES * 15 25 23 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 - - - - - - -
FEBRUARY 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

NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - * 100.3 * 103.2 -
Weighted Avg. Price - - * 99.5 * 103.2 -
Avg. Price Bottom 5 Trades - - * 99.7 * 103.1 -
2nd Quartile Price - - * 100.2 * 103.3 -
3rd Quartile Price - - * 100.5 * 103.4 -
4th Quartile Price - - * 100.9 * 103.6 -
Avg. Price Top 5 Trades - - * 101.0 * 103.3 -
Standard Deviation - - * 0.6 * 0.4 -
     VOLUME OF TRADES (000'S) - - * 261,398.9 * 1,513,729.9 -
     NUMBER OF TRADES - - * 17 * 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 87.6 94.2 97.3 99.6 100.9 101.9 103.2
Weighted Avg. Price 86.8 94.3 97.3 99.6 100.7 101.6 103.0
Avg. Price Bottom 5 Trades 82.6 94.1 96.8 99.4 100.4 101.5 102.5
2nd Quartile Price 83.2 94.2 97.2 99.5 100.7 101.6 102.9
3rd Quartile Price 89.6 94.2 97.3 99.6 100.7 101.6 103.0
4th Quartile Price 91.0 94.3 97.4 99.7 100.8 101.7 103.0
Avg. Price Top 5 Trades 91.5 94.5 97.6 100.1 102.9 104.1 108.0
Standard Deviation 3.3 0.1 0.2 0.1 0.5 0.6 1.0
     VOLUME OF TRADES (000'S) 14,825,671.4 3,760,022.8 5,850,808.3 12,029,144.7 10,887,303.5 5,075,816.1 3,905,301.8
     NUMBER OF TRADES 244 62 129 413 450 279 264
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.1 94.7 97.2 99.3 100.8 102.1 103.7
Weighted Avg. Price 87.1 94.7 97.2 99.3 100.8 102.1 103.6
Avg. Price Bottom 5 Trades 80.1 94.5 96.9 99.1 100.7 102.0 103.4
2nd Quartile Price 84.7 94.6 97.1 99.2 100.8 102.1 103.5
3rd Quartile Price 88.3 94.7 97.1 99.2 100.8 102.1 103.5
4th Quartile Price 91.9 94.8 97.3 99.3 100.9 102.1 103.5
Avg. Price Top 5 Trades 92.2 94.9 97.4 100.2 102.4 102.2 104.8
Standard Deviation 3.7 0.1 0.1 0.1 0.1 - 0.5
     VOLUME OF TRADES (000'S) 17,451,920.7 2,914,985.0 7,494,763.5 34,644,747.0 26,088,846.6 63,061,448.8 15,119,625.2
     NUMBER OF TRADES 489 154 392 1,144 851 528 233
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 87.8 94.2 97.2 99.4 100.7 101.7 102.8
Weighted Avg. Price 86.8 94.2 97.3 99.4 100.7 101.7 102.8
Avg. Price Bottom 5 Trades 82.7 94.1 97.1 99.3 100.5 101.5 102.6
2nd Quartile Price 86.2 94.2 97.1 99.4 100.6 101.6 102.8
3rd Quartile Price 89.6 94.2 97.2 99.4 100.6 101.7 102.8
4th Quartile Price 91.0 94.3 97.3 99.5 100.7 101.7 102.9
Avg. Price Top 5 Trades 91.5 94.5 97.5 99.6 101.9 102.0 103.1
Standard Deviation 3.2 0.1 0.1 0.1 0.2 0.2 0.1
     VOLUME OF TRADES (000'S) 13,386,362.4 3,777,792.3 7,584,715.7 14,130,366.3 10,661,805.4 7,061,800.3 3,839,629.0
     NUMBER OF TRADES 271 66 140 438 401 193 208
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.9 94.8 97.1 99.1 100.7 102.1 103.9
Weighted Avg. Price 86.7 94.6 97.1 99.2 100.7 102.1 103.7
Avg. Price Bottom 5 Trades 81.2 94.5 97.0 99.0 100.7 102.0 103.5
2nd Quartile Price 85.0 94.6 97.1 99.1 100.7 102.1 103.5
3rd Quartile Price 91.8 94.8 97.1 99.1 100.7 102.1 103.6
4th Quartile Price 92.1 94.8 97.3 99.2 100.7 102.1 104.8
Avg. Price Top 5 Trades 92.1 95.4 97.4 99.3 100.8 102.2 104.8
Standard Deviation 4.0 0.9 0.1 0.1 0.1 - 0.6
     VOLUME OF TRADES (000'S) 12,511,197.2 355,200.0 1,673,975.0 13,859,832.0 8,715,890.0 55,353,285.0 14,030,250.0
     NUMBER OF TRADES 96 30 62 273 199 166 68
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 89.5 94.1 97.1 99.2 100.5 101.6 102.6
Weighted Avg. Price 86.6 94.1 97.2 99.3 100.5 101.6 102.6
Avg. Price Bottom 5 Trades 89.5 94.1 97.0 99.1 100.4 101.5 102.5
2nd Quartile Price * 94.0 97.0 99.2 100.5 101.6 102.6
3rd Quartile Price * 94.1 97.1 99.2 100.5 101.6 102.6
4th Quartile Price * 94.4 97.2 99.3 100.6 101.6 102.6
Avg. Price Top 5 Trades 89.5 94.2 97.3 99.4 100.6 101.7 102.6
Standard Deviation 1.9 0.2 0.1 0.1 0.1 - -
     VOLUME OF TRADES (000'S) 308,500.0 2,034,000.0 2,081,625.0 2,899,250.0 1,440,250.0 2,557,950.0 251,000.0
     NUMBER OF TRADES 5 8 31 138 135 79 32
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 94.5 97.1 99.0 100.6 102.0 103.5
Weighted Avg. Price * 94.4 97.0 99.1 100.6 102.0 103.5
Avg. Price Bottom 5 Trades * 94.5 97.0 99.0 100.6 102.0 103.5
2nd Quartile Price * * 97.0 99.0 100.6 102.0 103.5
3rd Quartile Price * * 97.0 99.0 100.6 102.0 103.5
4th Quartile Price * * 97.2 99.0 100.6 102.1 103.5
Avg. Price Top 5 Trades * 94.5 97.2 99.2 100.7 102.1 103.5
Standard Deviation * 0.1 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) * 57,000.0 80,800.0 946,200.0 430,500.0 127,200.0 83,000.0
     NUMBER OF TRADES * 5 11 85 70 23 10
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].