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
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 91.6 93.8 95.7 99.9 101.2 102.3 *
Weighted Avg. Price 93.4 96.5 98.8 99.9 101.6 102.4 *
Avg. Price Bottom 5 Trades 83.1 88.8 90.7 98.3 95.9 96.8 *
2nd Quartile Price 91.7 92.1 95.1 99.9 101.3 102.4 *
3rd Quartile Price 92.4 95.5 97.3 99.9 101.3 102.4 *
4th Quartile Price 92.4 96.6 98.2 99.9 101.3 102.4 *
Avg. Price Top 5 Trades 96.8 96.9 98.8 100.4 101.6 102.4 *
Standard Deviation 2.6 3.9 4.3 0.2 0.5 0.7 *
     VOLUME OF TRADES (000'S) 52,459.8 1,934.1 22,114.3 180,166.4 66,782.1 4,772.3 *
     NUMBER OF TRADES 225 19 24 829 871 649 *
FNMA
AVERAGE PRICE 95.3 96.7 98.9 100.3 * - -
Weighted Avg. Price 95.6 95.4 98.5 100.1 * - -
Avg. Price Bottom 5 Trades 92.8 96.4 98.7 100.3 * - -
2nd Quartile Price 96.3 97.6 99.2 * * - -
3rd Quartile Price 96.8 98.0 99.5 * * - -
4th Quartile Price 97.0 98.1 99.6 * * - -
Avg. Price Top 5 Trades 97.2 97.2 99.3 100.3 * - -
Standard Deviation 3.1 1.8 1.2 0.4 * - -
     VOLUME OF TRADES (000'S) 9,712.1 8,560.0 63,350.0 56,883.0 * - -
     NUMBER OF TRADES 12 6 6 6 * - -
FHLMC
AVERAGE PRICE 91.7 * * - - - *
Weighted Avg. Price 87.7 * * - - - *
Avg. Price Bottom 5 Trades 87.4 * * - - - *
2nd Quartile Price 87.5 * * - - - *
3rd Quartile Price 94.1 * * - - - *
4th Quartile Price 95.2 * * - - - *
Avg. Price Top 5 Trades 95.8 * * - - - *
Standard Deviation 3.7 * * - - - *
     VOLUME OF TRADES (000'S) 2,652.6 * * - - - *
     NUMBER OF TRADES 27 * * - - - *
GNMA
AVERAGE PRICE 86.9 * 98.4 * * * -
Weighted Avg. Price 88.9 * 98.5 * * * -
Avg. Price Bottom 5 Trades 86.9 * 98.4 * * * -
2nd Quartile Price * * * * * * -
3rd Quartile Price * * * * * * -
4th Quartile Price * * * * * * -
Avg. Price Top 5 Trades 86.9 * 98.4 * * * -
Standard Deviation 2.4 * 0.2 * * * -
     VOLUME OF TRADES (000'S) 5,075.4 * 5,440.8 * * * -
     NUMBER OF TRADES 7 * 5 * * * -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.9 90.5 92.6 96.0 98.6 100.9 103.1
Weighted Avg. Price 83.9 92.2 95.7 96.9 99.1 101.0 103.1
Avg. Price Bottom 5 Trades 73.6 81.3 82.4 90.2 94.2 96.4 100.2
2nd Quartile Price 81.2 90.4 92.9 95.6 98.5 100.7 102.6
3rd Quartile Price 84.6 90.8 93.6 96.3 98.7 101.0 103.0
4th Quartile Price 87.5 91.5 94.1 96.6 99.1 101.4 104.0
Avg. Price Top 5 Trades 93.2 95.2 96.4 99.0 100.8 102.3 105.2
Standard Deviation 3.9 2.6 3.7 1.5 1.1 1.0 1.2
     VOLUME OF TRADES (000'S) 967,806.9 294,474.7 149,067.1 536,926.1 1,375,595.8 2,926,207.2 483,482.4
     NUMBER OF TRADES 997 262 173 317 364 289 93
FNMA
AVERAGE PRICE 86.0 - - - * 94.3 93.8
Weighted Avg. Price 88.4 - - - * 95.1 93.7
Avg. Price Bottom 5 Trades 86.0 - - - * 94.3 93.8
2nd Quartile Price * - - - * * *
3rd Quartile Price * - - - * * *
4th Quartile Price * - - - * * *
Avg. Price Top 5 Trades 86.0 - - - * 94.3 93.8
Standard Deviation 4.5 - - - * 1.6 0.4
     VOLUME OF TRADES (000'S) 25,355.5 - - - * 8.4 2.5
     NUMBER OF TRADES 7 - - - * 9 6
FHLMC
AVERAGE PRICE 86.1 89.4 92.2 - * - *
Weighted Avg. Price 87.0 90.4 97.5 - * - *
Avg. Price Bottom 5 Trades 82.2 86.4 92.2 - * - *
2nd Quartile Price 84.7 89.6 * - * - *
3rd Quartile Price 86.9 90.8 * - * - *
4th Quartile Price 87.5 90.8 * - * - *
Avg. Price Top 5 Trades 89.2 91.1 92.2 - * - *
Standard Deviation 2.4 2.5 4.1 - * - *
     VOLUME OF TRADES (000'S) 3,741.5 51.3 233.9 - * - *
     NUMBER OF TRADES 67 30 6 - * - *
GNMA
AVERAGE PRICE 84.8 90.7 93.5 96.5 98.6 100.3 101.2
Weighted Avg. Price 87.0 91.5 94.2 96.7 99.0 101.2 103.0
Avg. Price Bottom 5 Trades 77.2 87.3 89.6 88.2 87.5 80.8 80.6
2nd Quartile Price 83.1 91.2 93.5 96.5 98.4 100.7 101.3
3rd Quartile Price 85.3 91.3 93.9 96.9 99.0 101.3 102.6
4th Quartile Price 87.9 91.9 94.4 97.9 99.4 102.2 104.2
Avg. Price Top 5 Trades 90.3 92.7 95.7 99.7 101.3 103.3 106.5
Standard Deviation 3.6 2.7 1.8 3.1 2.5 4.6 5.3
     VOLUME OF TRADES (000'S) 170,534.7 119,910.3 373,721.8 362,577.4 1,453,443.8 1,094,238.8 291,559.7
     NUMBER OF TRADES 102 29 51 98 180 227 234
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 - - * 100.1 -
Weighted Avg. Price - - * 100.4 -
Avg. Price Bottom 5 Trades - - * 100.1 -
2nd Quartile Price - - * 100.1 -
3rd Quartile Price - - * 100.4 -
4th Quartile Price - - * 100.5 -
Avg. Price Top 5 Trades - - * 100.2 -
Standard Deviation - - * 0.4 -
     VOLUME OF TRADES (000'S) - - * 61,779.8 -
     NUMBER OF TRADES - - * 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 - * 99.5 - -
Weighted Avg. Price - * 99.7 - -
Avg. Price Bottom 5 Trades - * 99.4 - -
2nd Quartile Price - * 99.7 - -
3rd Quartile Price - * 99.8 - -
4th Quartile Price - * 100.1 - -
Avg. Price Top 5 Trades - * 99.8 - -
Standard Deviation - * 0.7 - -
     VOLUME OF TRADES (000'S) - * 19,279.9 - -
     NUMBER OF TRADES - * 7 - -
* 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.