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
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 92.8 95.9 97.3 99.6 100.7 101.4 102.6
Weighted Avg. Price 92.7 97.9 98.8 100.1 100.9 101.8 105.2
Avg. Price Bottom 5 Trades 87.0 90.2 95.4 98.9 100.2 100.0 101.0
2nd Quartile Price 90.8 96.0 96.3 99.3 100.4 101.3 101.9
3rd Quartile Price 93.0 97.1 98.5 99.9 100.6 101.4 102.3
4th Quartile Price 95.1 97.1 98.9 100.0 100.9 101.8 102.5
Avg. Price Top 5 Trades 96.7 97.6 99.1 100.2 101.5 102.4 105.4
Standard Deviation 2.7 2.6 2.3 0.7 0.4 0.7 2.0
     VOLUME OF TRADES (000'S) 239,601.8 12,692.6 34,887.2 10,888.7 22,864.4 4,454.1 15,095.3
     NUMBER OF TRADES 104 66 39 24 45 67 21
FNMA
AVERAGE PRICE 95.1 97.4 97.4 * * 104.4 *
Weighted Avg. Price 94.9 97.5 97.2 * * 104.4 *
Avg. Price Bottom 5 Trades 92.4 96.6 97.2 * * 104.3 *
2nd Quartile Price 94.2 97.4 97.4 * * 104.3 *
3rd Quartile Price 96.1 97.8 97.8 * * 105.2 *
4th Quartile Price 98.0 98.1 98.0 * * 105.2 *
Avg. Price Top 5 Trades 98.3 98.1 97.8 * * 104.6 *
Standard Deviation 3.0 1.1 0.7 * * 0.7 *
     VOLUME OF TRADES (000'S) 28,811.0 22,000.7 18,754.9 * * 38,989.6 *
     NUMBER OF TRADES 15 11 7 * * 6 *
FHLMC
AVERAGE PRICE 95.3 96.5 98.4 * * - *
Weighted Avg. Price 92.3 96.5 98.8 * * - *
Avg. Price Bottom 5 Trades 93.8 96.5 98.2 * * - *
2nd Quartile Price 95.4 * 98.6 * * - *
3rd Quartile Price 95.8 * 98.8 * * - *
4th Quartile Price 96.5 * 99.1 * * - *
Avg. Price Top 5 Trades 96.7 96.5 98.9 * * - *
Standard Deviation 1.9 1.2 0.9 * * - *
     VOLUME OF TRADES (000'S) 13,203.5 8,799.0 6,387.0 * * - *
     NUMBER OF TRADES 16 9 8 * * - *
GNMA
AVERAGE PRICE 97.5 - - - - - 112.1
Weighted Avg. Price 97.2 - - - - - 113.4
Avg. Price Bottom 5 Trades 93.7 - - - - - 111.0
2nd Quartile Price 97.3 - - - - - 112.5
3rd Quartile Price 97.6 - - - - - 112.5
4th Quartile Price 98.1 - - - - - 115.0
Avg. Price Top 5 Trades 98.5 - - - - - 113.5
Standard Deviation 0.9 - - - - - 3.0
     VOLUME OF TRADES (000'S) 1,191,522.9 - - - - - 9,281.7
     NUMBER OF TRADES 204 - - - - - 15
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 86.7 92.1 94.7 96.1 99.2 100.7 102.1
Weighted Avg. Price 86.8 92.9 95.5 97.9 99.5 101.3 102.9
Avg. Price Bottom 5 Trades 74.5 87.0 86.6 42.4 88.9 83.4 85.9
2nd Quartile Price 85.6 92.2 94.9 97.4 99.3 100.8 102.0
3rd Quartile Price 85.8 92.3 95.0 97.4 99.5 100.8 102.7
4th Quartile Price 88.9 92.4 95.2 97.6 99.5 100.8 103.6
Avg. Price Top 5 Trades 94.1 96.4 98.2 100.4 101.7 102.9 107.8
Standard Deviation 2.3 1.1 2.0 8.2 2.3 2.5 4.3
     VOLUME OF TRADES (000'S) 911,684.4 183,784.7 157,935.2 596,132.9 3,523,423.8 1,507,201.2 961,518.4
     NUMBER OF TRADES 1,672 697 494 534 539 538 158
FNMA
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 88.4 90.7 90.0 97.1 * * 99.2
Weighted Avg. Price 91.3 94.2 96.2 98.8 * * 105.4
Avg. Price Bottom 5 Trades 84.6 83.3 74.9 97.1 * * 99.2
2nd Quartile Price 86.4 92.2 90.5 * * * *
3rd Quartile Price 88.9 92.2 95.0 * * * *
4th Quartile Price 90.0 92.4 96.5 * * * *
Avg. Price Top 5 Trades 92.5 94.9 97.5 97.1 * * 99.2
Standard Deviation 2.8 4.0 10.9 1.7 * * 10.1
     VOLUME OF TRADES (000'S) 4,767.2 823.6 14,524.7 68.7 * * 5,950.6
     NUMBER OF TRADES 32 52 39 6 * * 9
GNMA
AVERAGE PRICE 88.5 93.1 94.7 96.7 99.2 100.4 102.5
Weighted Avg. Price 86.8 94.6 95.2 98.1 100.1 101.9 104.2
Avg. Price Bottom 5 Trades 83.9 89.7 93.1 93.9 91.4 91.3 71.2
2nd Quartile Price 87.6 93.3 92.8 96.6 99.0 100.3 101.6
3rd Quartile Price 88.7 93.5 95.2 98.0 100.0 100.9 102.7
4th Quartile Price 90.8 94.1 96.8 98.3 101.2 101.8 104.0
Avg. Price Top 5 Trades 91.2 95.4 96.3 99.2 101.3 104.3 115.4
Standard Deviation 2.3 2.1 1.9 2.9 3.8 3.4 7.4
     VOLUME OF TRADES (000'S) 173,350.6 6,443.5 5,670.2 699,323.2 571,475.4 146,868.8 521,766.6
     NUMBER OF TRADES 63 30 16 26 84 144 334
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 * - * 97.7 *
Weighted Avg. Price * - * 97.3 *
Avg. Price Bottom 5 Trades * - * 97.7 *
2nd Quartile Price * - * * *
3rd Quartile Price * - * * *
4th Quartile Price * - * * *
Avg. Price Top 5 Trades * - * 97.7 *
Standard Deviation * - * 5.3 *
     VOLUME OF TRADES (000'S) * - * 7,556.7 *
     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 - - * - -
* 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.