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 (Specified) - Single Family 15Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.5 91.6 93.8 98.6 99.6 100.2 101.7
Weighted Avg. Price 93.1 96.7 97.1 98.8 100.4 101.6 102.5
Avg. Price Bottom 5 Trades 85.9 89.5 92.1 97.0 97.4 98.7 99.3
2nd Quartile Price 91.5 92.8 92.1 98.8 99.3 99.5 101.5
3rd Quartile Price 92.9 93.6 93.1 98.9 100.2 100.3 101.8
4th Quartile Price 95.0 95.3 94.7 99.1 100.3 101.3 102.6
Avg. Price Top 5 Trades 98.1 95.1 95.3 99.5 100.9 101.6 102.5
Standard Deviation 3.6 4.9 2.2 1.0 1.1 1.2 1.1
     VOLUME OF TRADES (000'S) 96,933.0 1,043.4 276.6 57,104.2 272,843.6 91,483.1 4,514.3
     NUMBER OF TRADES 61 13 17 25 71 55 43
FNMA
AVERAGE PRICE 93.2 - * * 101.0 * -
Weighted Avg. Price 95.0 - * * 101.0 * -
Avg. Price Bottom 5 Trades 90.2 - * * 100.8 * -
2nd Quartile Price 96.6 - * * 100.7 * -
3rd Quartile Price 96.9 - * * 101.2 * -
4th Quartile Price 97.8 - * * 101.6 * -
Avg. Price Top 5 Trades 97.4 - * * 101.2 * -
Standard Deviation 8.1 - * * 0.5 * -
     VOLUME OF TRADES (000'S) 26,553.7 - * * 15,197.3 * -
     NUMBER OF TRADES 10 - * * 7 * -
FHLMC
AVERAGE PRICE 87.5 93.4 98.0 99.4 * - -
Weighted Avg. Price 89.2 98.3 97.7 99.5 * - -
Avg. Price Bottom 5 Trades 84.3 93.4 97.8 98.8 * - -
2nd Quartile Price 86.4 * 97.9 98.8 * - -
3rd Quartile Price 92.6 * 98.2 99.5 * - -
4th Quartile Price 94.2 * 98.8 100.0 * - -
Avg. Price Top 5 Trades 92.9 93.4 98.3 99.9 * - -
Standard Deviation 7.8 3.2 0.5 0.6 * - -
     VOLUME OF TRADES (000'S) 1,145.0 161.1 7,939.6 20,423.8 * - -
     NUMBER OF TRADES 13 8 7 12 * - -
GNMA
AVERAGE PRICE * * * - 100.5 101.6 *
Weighted Avg. Price * * * - 100.4 101.6 *
Avg. Price Bottom 5 Trades * * * - 100.4 101.5 *
2nd Quartile Price * * * - 100.4 101.6 *
3rd Quartile Price * * * - 100.6 101.6 *
4th Quartile Price * * * - 100.8 101.7 *
Avg. Price Top 5 Trades * * * - 100.6 101.6 *
Standard Deviation * * * - 0.2 0.1 *
     VOLUME OF TRADES (000'S) * * * - 17,765.3 19,790.6 *
     NUMBER OF TRADES * * * - 8 9 *
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 83.3 87.9 90.3 92.8 96.7 98.8 101.1
Weighted Avg. Price 83.0 91.2 92.7 95.9 97.6 99.5 101.8
Avg. Price Bottom 5 Trades 73.5 76.3 67.8 73.5 88.5 87.7 91.8
2nd Quartile Price 81.8 86.8 90.0 93.3 96.8 99.0 101.0
3rd Quartile Price 83.2 88.7 91.5 94.3 97.2 99.3 101.2
4th Quartile Price 85.6 89.1 92.1 94.7 97.5 99.5 101.9
Avg. Price Top 5 Trades 93.2 92.9 95.1 99.2 99.7 100.6 104.5
Standard Deviation 3.2 2.7 5.2 5.8 2.5 2.7 2.2
     VOLUME OF TRADES (000'S) 1,476,240.8 87,962.1 107,354.5 165,908.4 861,110.8 1,739,212.5 969,708.4
     NUMBER OF TRADES 811 380 262 205 265 275 195
FNMA
AVERAGE PRICE 81.5 88.1 92.1 * * * *
Weighted Avg. Price 82.3 87.7 94.2 * * * *
Avg. Price Bottom 5 Trades 79.3 88.1 92.1 * * * *
2nd Quartile Price 78.2 * * * * * *
3rd Quartile Price 82.8 * * * * * *
4th Quartile Price 85.4 * * * * * *
Avg. Price Top 5 Trades 83.7 88.1 92.1 * * * *
Standard Deviation 3.5 0.7 1.9 * * * *
     VOLUME OF TRADES (000'S) 29,075.5 22,719.0 2,086.5 * * * *
     NUMBER OF TRADES 11 5 7 * * * *
FHLMC
AVERAGE PRICE 82.7 81.1 83.6 90.7 * * *
Weighted Avg. Price 81.2 90.2 95.5 96.7 * * *
Avg. Price Bottom 5 Trades 73.6 69.0 74.4 87.1 * * *
2nd Quartile Price 80.4 78.4 77.0 87.6 * * *
3rd Quartile Price 85.0 81.8 90.5 91.0 * * *
4th Quartile Price 85.5 88.7 91.6 94.4 * * *
Avg. Price Top 5 Trades 88.6 89.4 92.6 93.3 * * *
Standard Deviation 5.5 8.9 10.6 4.0 * * *
     VOLUME OF TRADES (000'S) 27,034.7 1,929.3 50.9 619.1 * * *
     NUMBER OF TRADES 43 38 30 16 * * *
GNMA
AVERAGE PRICE 85.9 90.6 91.4 95.1 96.1 97.2 100.3
Weighted Avg. Price 87.7 90.8 92.7 94.9 97.6 99.7 101.6
Avg. Price Bottom 5 Trades 79.3 88.7 86.3 92.0 88.0 83.2 82.6
2nd Quartile Price 84.1 90.3 91.7 94.8 97.0 97.2 99.5
3rd Quartile Price 87.7 90.9 92.5 95.1 97.6 99.6 101.3
4th Quartile Price 87.9 90.9 93.8 96.6 98.7 99.7 102.6
Avg. Price Top 5 Trades 88.5 91.6 93.8 96.8 99.3 100.8 106.7
Standard Deviation 3.0 0.9 3.4 2.1 4.9 5.0 4.4
     VOLUME OF TRADES (000'S) 1,436,727.9 338,960.6 55,195.2 129,003.0 723,720.2 1,718,161.7 1,996,679.5
     NUMBER OF TRADES 86 68 42 50 77 137 312
Pricing Table: Agency Pass-Thru (Specified) - Adjustable/Hybrid
METRIC INITIAL FIXED RATE PERIOD
ARM/SEASONED 3/1 5/1 7/1 10/1
FNMA
AVERAGE PRICE - - - 100.3 -
Weighted Avg. Price - - - 99.9 -
Avg. Price Bottom 5 Trades - - - 100.3 -
2nd Quartile Price - - - * -
3rd Quartile Price - - - * -
4th Quartile Price - - - * -
Avg. Price Top 5 Trades - - - 100.3 -
Standard Deviation - - - 0.6 -
     VOLUME OF TRADES (000'S) - - - 40,250.0 -
     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 96.6 - - - -
Weighted Avg. Price 97.4 - - - -
Avg. Price Bottom 5 Trades 94.9 - - - -
2nd Quartile Price 96.9 - - - -
3rd Quartile Price 98.0 - - - -
4th Quartile Price 98.0 - - - -
Avg. Price Top 5 Trades 97.6 - - - -
Standard Deviation 2.9 - - - -
     VOLUME OF TRADES (000'S) 23.3 - - - -
     NUMBER OF TRADES 12 - - - -
* 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
Build 8.7.7.20250312   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.