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 91.9 93.6 98.2 100.5 101.4 102.7 -
Weighted Avg. Price 92.0 97.9 99.3 100.7 102.0 102.9 -
Avg. Price Bottom 5 Trades 80.3 86.0 95.2 99.7 100.3 101.9 -
2nd Quartile Price 90.9 97.0 98.4 100.3 101.2 102.5 -
3rd Quartile Price 92.9 97.8 99.3 100.6 101.6 102.8 -
4th Quartile Price 94.9 99.0 99.3 100.8 102.0 103.0 -
Avg. Price Top 5 Trades 98.1 98.5 99.5 100.8 102.0 103.0 -
Standard Deviation 4.5 8.0 2.3 0.4 0.6 0.5 -
     VOLUME OF TRADES (000'S) 63,978.4 5,235.6 68,134.5 58,750.6 18,309.2 433.0 -
     NUMBER OF TRADES 126 13 22 47 43 24 -
FNMA
AVERAGE PRICE 95.8 - 99.1 * - - -
Weighted Avg. Price 98.1 - 99.9 * - - -
Avg. Price Bottom 5 Trades 90.0 - 97.7 * - - -
2nd Quartile Price 96.8 - 98.6 * - - -
3rd Quartile Price 98.2 - 100.0 * - - -
4th Quartile Price 98.8 - 100.5 * - - -
Avg. Price Top 5 Trades 98.9 - 100.4 * - - -
Standard Deviation 4.4 - 1.6 * - - -
     VOLUME OF TRADES (000'S) 26,810.1 - 96,286.0 * - - -
     NUMBER OF TRADES 17 - 11 * - - -
FHLMC
AVERAGE PRICE 96.2 98.0 * - - - -
Weighted Avg. Price 95.5 98.3 * - - - -
Avg. Price Bottom 5 Trades 95.2 97.8 * - - - -
2nd Quartile Price 95.1 98.8 * - - - -
3rd Quartile Price 96.4 99.2 * - - - -
4th Quartile Price 97.7 99.2 * - - - -
Avg. Price Top 5 Trades 98.0 98.6 * - - - -
Standard Deviation 1.4 2.0 * - - - -
     VOLUME OF TRADES (000'S) 1,346.0 30,251.9 * - - - -
     NUMBER OF TRADES 19 8 * - - - -
GNMA
AVERAGE PRICE 94.5 * 99.6 * * * -
Weighted Avg. Price 92.5 * 99.6 * * * -
Avg. Price Bottom 5 Trades 94.5 * 99.6 * * * -
2nd Quartile Price * * * * * * -
3rd Quartile Price * * * * * * -
4th Quartile Price * * * * * * -
Avg. Price Top 5 Trades 94.5 * 99.6 * * * -
Standard Deviation 2.5 * 0.3 * * * -
     VOLUME OF TRADES (000'S) 2,065.9 * 6,629.5 * * * -
     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 86.1 92.0 94.0 97.7 99.5 101.9 102.9
Weighted Avg. Price 85.7 93.3 96.0 98.5 100.3 102.4 104.5
Avg. Price Bottom 5 Trades 74.0 80.3 60.9 94.4 91.5 98.6 95.4
2nd Quartile Price 82.6 91.8 94.3 97.1 99.6 101.8 103.4
3rd Quartile Price 86.4 93.2 95.4 97.8 100.0 102.1 103.8
4th Quartile Price 90.0 93.2 95.8 98.2 100.4 102.6 104.3
Avg. Price Top 5 Trades 96.3 98.2 97.5 100.2 101.5 103.8 105.5
Standard Deviation 4.1 3.1 7.7 1.1 3.4 2.1 4.4
     VOLUME OF TRADES (000'S) 330,861.1 125,344.7 579,436.1 1,254,495.7 1,585,681.9 1,123,107.1 828,791.0
     NUMBER OF TRADES 847 255 197 197 158 112 47
FNMA
AVERAGE PRICE 84.5 - * * - * -
Weighted Avg. Price 84.1 - * * - * -
Avg. Price Bottom 5 Trades 83.5 - * * - * -
2nd Quartile Price 83.0 - * * - * -
3rd Quartile Price 84.3 - * * - * -
4th Quartile Price 92.3 - * * - * -
Avg. Price Top 5 Trades 85.5 - * * - * -
Standard Deviation 5.1 - * * - * -
     VOLUME OF TRADES (000'S) 3,227.8 - * * - * -
     NUMBER OF TRADES 10 - * * - * -
FHLMC
AVERAGE PRICE 88.1 92.4 92.3 * - * *
Weighted Avg. Price 85.7 95.2 101.2 * - * *
Avg. Price Bottom 5 Trades 84.5 92.2 90.7 * - * *
2nd Quartile Price 86.3 92.8 89.5 * - * *
3rd Quartile Price 88.7 92.8 100.8 * - * *
4th Quartile Price 90.0 92.8 101.7 * - * *
Avg. Price Top 5 Trades 92.0 92.7 95.4 * - * *
Standard Deviation 2.4 2.0 10.2 * - * *
     VOLUME OF TRADES (000'S) 3,744.9 112.3 1,500.3 * - * *
     NUMBER OF TRADES 69 39 7 * - * *
GNMA
AVERAGE PRICE 87.2 90.5 92.5 97.4 99.6 100.1 100.9
Weighted Avg. Price 87.4 93.1 96.0 98.1 100.1 102.1 104.2
Avg. Price Bottom 5 Trades 81.1 87.6 85.0 85.1 88.5 74.9 54.6
2nd Quartile Price 85.0 86.6 94.6 98.1 99.9 101.4 102.5
3rd Quartile Price 88.0 92.9 95.6 98.4 100.2 102.0 103.7
4th Quartile Price 90.4 94.0 97.0 98.6 100.5 103.0 105.0
Avg. Price Top 5 Trades 92.2 94.0 98.0 100.0 101.4 103.6 105.9
Standard Deviation 3.8 3.9 6.6 3.8 3.0 7.4 14.0
     VOLUME OF TRADES (000'S) 52,866.3 26,703.2 62,763.3 119,682.9 1,013,742.4 1,683,968.9 536,799.3
     NUMBER OF TRADES 60 17 32 85 135 232 143
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 * - - 99.1 *
Weighted Avg. Price * - - 100.4 *
Avg. Price Bottom 5 Trades * - - 95.3 *
2nd Quartile Price * - - 100.3 *
3rd Quartile Price * - - 100.8 *
4th Quartile Price * - - 101.1 *
Avg. Price Top 5 Trades * - - 101.2 *
Standard Deviation * - - 3.5 *
     VOLUME OF TRADES (000'S) * - - 61,420.9 *
     NUMBER OF TRADES * - - 15 *
FHLMC
AVERAGE PRICE 100.4 - * * *
Weighted Avg. Price 99.7 - * * *
Avg. Price Bottom 5 Trades 100.4 - * * *
2nd Quartile Price * - * * *
3rd Quartile Price * - * * *
4th Quartile Price * - * * *
Avg. Price Top 5 Trades 100.4 - * * *
Standard Deviation 1.1 - * * *
     VOLUME OF TRADES (000'S) 31,792.8 - * * *
     NUMBER OF TRADES 5 - * * *
GNMA
AVERAGE PRICE 96.0 - * - -
Weighted Avg. Price 100.4 - * - -
Avg. Price Bottom 5 Trades 93.7 - * - -
2nd Quartile Price 100.0 - * - -
3rd Quartile Price 100.8 - * - -
4th Quartile Price 101.0 - * - -
Avg. Price Top 5 Trades 98.1 - * - -
Standard Deviation 11.2 - * - -
     VOLUME OF TRADES (000'S) 708.1 - * - -
     NUMBER OF TRADES 13 - * - -
* 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.