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 92.1 95.9 96.7 99.1 99.8 100.6 101.5
Weighted Avg. Price 89.5 98.0 98.1 99.0 100.5 101.5 102.9
Avg. Price Bottom 5 Trades 87.6 90.0 95.1 98.3 97.9 98.0 98.8
2nd Quartile Price 90.2 96.1 96.5 99.0 99.1 99.7 100.3
3rd Quartile Price 92.4 96.8 97.5 99.1 100.4 101.2 102.4
4th Quartile Price 94.2 98.2 98.4 99.5 100.4 101.6 102.8
Avg. Price Top 5 Trades 97.2 98.0 98.5 99.7 100.7 101.8 103.2
Standard Deviation 2.5 3.6 2.2 0.7 1.0 1.2 1.7
     VOLUME OF TRADES (000'S) 212,839.8 27,563.5 2,497.8 61,328.1 79,652.4 69,673.6 1,894.3
     NUMBER OF TRADES 101 31 12 25 59 79 40
FNMA
AVERAGE PRICE 87.6 93.6 * 97.7 99.5 * -
Weighted Avg. Price 88.5 94.0 * 98.4 99.7 * -
Avg. Price Bottom 5 Trades 83.1 93.1 * 97.3 99.5 * -
2nd Quartile Price 84.3 94.8 * 98.2 * * -
3rd Quartile Price 84.8 95.3 * 98.5 * * -
4th Quartile Price 96.9 96.4 * 100.0 * * -
Avg. Price Top 5 Trades 90.9 94.3 * 98.3 99.5 * -
Standard Deviation 6.6 2.7 * 2.2 0.7 * -
     VOLUME OF TRADES (000'S) 17,194.4 686.2 * 3,510.0 6,385.0 * -
     NUMBER OF TRADES 8 6 * 7 6 * -
FHLMC
AVERAGE PRICE 96.7 * 97.4 99.0 100.8 - *
Weighted Avg. Price 96.6 * 98.2 98.9 100.7 - *
Avg. Price Bottom 5 Trades 96.7 * 97.4 98.5 100.5 - *
2nd Quartile Price * * * 98.8 100.5 - *
3rd Quartile Price * * * 99.1 100.6 - *
4th Quartile Price * * * 100.0 101.5 - *
Avg. Price Top 5 Trades 96.7 * 97.4 99.3 100.9 - *
Standard Deviation 0.1 * 2.5 0.7 0.5 - *
     VOLUME OF TRADES (000'S) 52,281.9 * 25,198.6 15,947.1 10,540.0 - *
     NUMBER OF TRADES 5 * 5 10 11 - *
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 (Specified) - Single Family 30Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 84.1 89.6 91.8 95.6 97.8 99.8 101.9
Weighted Avg. Price 84.7 91.1 93.2 95.3 98.0 99.9 102.1
Avg. Price Bottom 5 Trades 76.5 81.7 80.8 91.4 92.0 97.6 84.7
2nd Quartile Price 82.8 89.6 92.3 95.2 97.8 99.7 101.5
3rd Quartile Price 83.2 89.7 92.8 95.5 97.9 99.8 102.0
4th Quartile Price 86.2 90.4 93.3 96.1 98.2 100.2 103.1
Avg. Price Top 5 Trades 93.8 94.3 96.0 98.2 100.1 100.9 104.9
Standard Deviation 3.0 2.1 3.5 1.1 1.1 0.7 2.9
     VOLUME OF TRADES (000'S) 886,001.7 176,431.1 565,231.5 899,184.9 596,641.7 1,253,631.4 2,121,144.3
     NUMBER OF TRADES 756 375 304 261 242 194 269
FNMA
AVERAGE PRICE 85.2 * - - * - 102.4
Weighted Avg. Price 86.0 * - - * - 103.3
Avg. Price Bottom 5 Trades 85.2 * - - * - 100.7
2nd Quartile Price * * - - * - 101.3
3rd Quartile Price * * - - * - 103.0
4th Quartile Price * * - - * - 106.0
Avg. Price Top 5 Trades 85.2 * - - * - 103.9
Standard Deviation 1.1 * - - * - 2.2
     VOLUME OF TRADES (000'S) 4,232.5 * - - * - 4,575.6
     NUMBER OF TRADES 8 * - - * - 11
FHLMC
AVERAGE PRICE 86.5 89.4 92.2 94.4 * 97.4 *
Weighted Avg. Price 88.5 91.8 94.9 95.7 * 98.4 *
Avg. Price Bottom 5 Trades 81.6 86.0 87.8 93.9 * 97.2 *
2nd Quartile Price 86.2 89.6 92.8 95.4 * 97.8 *
3rd Quartile Price 86.2 89.6 92.8 96.0 * 98.2 *
4th Quartile Price 88.2 91.1 94.3 97.4 * 98.4 *
Avg. Price Top 5 Trades 91.2 92.6 96.4 95.1 * 98.2 *
Standard Deviation 3.5 2.3 3.3 3.1 * 1.5 *
     VOLUME OF TRADES (000'S) 3,602.8 480.5 32,353.8 6.1 * 7.5 *
     NUMBER OF TRADES 45 45 46 7 * 8 *
GNMA
AVERAGE PRICE 85.4 91.6 93.4 95.9 97.4 100.8 99.9
Weighted Avg. Price 86.3 92.1 93.7 96.3 98.8 100.6 102.3
Avg. Price Bottom 5 Trades 79.2 88.5 87.6 93.8 87.8 95.3 74.6
2nd Quartile Price 82.2 91.7 93.9 96.0 97.8 100.4 100.1
3rd Quartile Price 85.2 92.3 94.1 96.4 99.2 100.9 102.5
4th Quartile Price 89.3 92.3 94.1 97.0 99.5 101.6 103.4
Avg. Price Top 5 Trades 90.2 92.5 94.4 97.1 100.4 103.0 106.0
Standard Deviation 3.5 2.0 3.1 2.7 4.1 1.6 7.2
     VOLUME OF TRADES (000'S) 146,767.0 7,976.9 19,571.0 96,689.4 40,644.6 802,873.4 985,573.9
     NUMBER OF TRADES 105 39 53 62 89 162 316
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 - - - * *
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 - - * - -
* 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 8.8.27.20250619   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.