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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 92.3 98.4 99.9 99.9 101.2 101.8 -
Weighted Avg. Price 93.4 98.6 100.1 101.2 102.4 104.2 -
Avg. Price Bottom 5 Trades 71.3 96.7 98.9 96.5 97.5 98.7 -
2nd Quartile Price 91.8 98.4 99.9 99.1 100.6 101.0 -
3rd Quartile Price 94.3 98.5 100.0 101.0 102.3 102.5 -
4th Quartile Price 97.4 98.7 100.1 101.1 102.4 103.6 -
Avg. Price Top 5 Trades 98.9 99.6 100.6 101.5 102.6 103.8 -
Standard Deviation 10.4 1.1 0.6 1.8 1.8 2.0 -
     VOLUME OF TRADES (000'S) 198,585.5 52,040.7 120,830.9 64,625.2 236,080.6 11,079.6 -
     NUMBER OF TRADES 104 35 36 54 64 34 -
FNMA
AVERAGE PRICE 94.8 99.3 100.2 102.1 - * -
Weighted Avg. Price 92.6 99.6 100.4 102.0 - * -
Avg. Price Bottom 5 Trades 86.9 99.0 98.6 101.7 - * -
2nd Quartile Price 90.5 99.1 100.0 101.6 - * -
3rd Quartile Price 98.4 99.5 100.4 102.3 - * -
4th Quartile Price 98.8 99.8 100.9 102.5 - * -
Avg. Price Top 5 Trades 99.2 99.7 101.3 102.4 - * -
Standard Deviation 4.9 0.4 1.2 0.5 - * -
     VOLUME OF TRADES (000'S) 135,185.9 87,361.2 799,203.0 95,500.8 - * -
     NUMBER OF TRADES 37 14 30 10 - * -
FHLMC
AVERAGE PRICE 95.7 99.5 100.3 * - - -
Weighted Avg. Price 94.5 99.4 99.9 * - - -
Avg. Price Bottom 5 Trades 87.8 99.3 99.7 * - - -
2nd Quartile Price 96.8 99.4 100.1 * - - -
3rd Quartile Price 97.9 99.6 100.3 * - - -
4th Quartile Price 98.5 99.7 101.1 * - - -
Avg. Price Top 5 Trades 99.1 99.7 101.1 * - - -
Standard Deviation 5.0 0.3 0.6 * - - -
     VOLUME OF TRADES (000'S) 5,862.3 125,978.3 52,140.0 * - - -
     NUMBER OF TRADES 43 11 23 * - - -
GNMA
AVERAGE PRICE * * * 100.9 - - -
Weighted Avg. Price * * * 100.9 - - -
Avg. Price Bottom 5 Trades * * * 100.9 - - -
2nd Quartile Price * * * * - - -
3rd Quartile Price * * * * - - -
4th Quartile Price * * * * - - -
Avg. Price Top 5 Trades * * * 100.9 - - -
Standard Deviation * * * 0.3 - - -
     VOLUME OF TRADES (000'S) * * * 4,444.2 - - -
     NUMBER OF TRADES * * * 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 88.1 93.9 96.9 99.5 100.7 102.1 103.8
Weighted Avg. Price 87.1 95.9 98.3 100.3 102.1 103.3 104.7
Avg. Price Bottom 5 Trades 73.5 86.9 76.5 87.7 84.5 89.3 93.6
2nd Quartile Price 85.0 93.1 97.0 99.6 100.9 102.3 104.0
3rd Quartile Price 88.7 93.9 97.9 99.8 101.3 102.6 105.2
4th Quartile Price 91.9 95.6 98.4 100.2 102.0 103.5 105.6
Avg. Price Top 5 Trades 97.3 99.5 100.6 101.4 103.2 104.9 105.9
Standard Deviation 3.9 2.6 3.7 2.4 3.5 3.0 9.4
     VOLUME OF TRADES (000'S) 2,247,265.7 261,498.5 1,577,631.8 6,097,229.0 5,051,042.1 2,681,301.2 883,649.9
     NUMBER OF TRADES 1,475 569 368 384 331 209 127
FNMA
AVERAGE PRICE 91.9 - * - - * *
Weighted Avg. Price 92.4 - * - - * *
Avg. Price Bottom 5 Trades 88.4 - * - - * *
2nd Quartile Price 90.2 - * - - * *
3rd Quartile Price 93.5 - * - - * *
4th Quartile Price 97.6 - * - - * *
Avg. Price Top 5 Trades 96.1 - * - - * *
Standard Deviation 4.6 - * - - * *
     VOLUME OF TRADES (000'S) 12,118.5 - * - - * *
     NUMBER OF TRADES 11 - * - - * *
FHLMC
AVERAGE PRICE 87.6 92.4 92.1 * 98.7 * 85.5
Weighted Avg. Price 90.5 94.9 99.6 * 97.2 * 83.5
Avg. Price Bottom 5 Trades 65.5 85.0 90.9 * 98.7 * 85.5
2nd Quartile Price 88.2 91.3 90.0 * * * *
3rd Quartile Price 91.9 93.9 97.0 * * * *
4th Quartile Price 92.0 95.4 97.0 * * * *
Avg. Price Top 5 Trades 96.4 96.5 94.0 * 98.7 * 85.5
Standard Deviation 9.0 4.7 6.0 * 2.1 * 7.4
     VOLUME OF TRADES (000'S) 7,722.1 6,494.4 144.2 * 1.4 * 0.1
     NUMBER OF TRADES 71 67 18 * 7 * 8
GNMA
AVERAGE PRICE 89.6 93.7 97.0 99.0 100.8 99.2 100.5
Weighted Avg. Price 87.3 94.9 97.5 99.8 101.4 103.3 103.4
Avg. Price Bottom 5 Trades 81.3 88.4 90.2 92.3 92.1 63.6 45.2
2nd Quartile Price 86.7 94.1 97.3 99.1 100.5 100.0 102.2
3rd Quartile Price 91.0 94.7 97.5 99.8 101.2 102.1 103.1
4th Quartile Price 92.4 95.6 98.1 100.1 101.9 103.2 104.3
Avg. Price Top 5 Trades 94.9 98.1 100.0 101.7 103.3 104.9 107.2
Standard Deviation 3.8 4.8 3.2 2.3 2.7 9.5 10.5
     VOLUME OF TRADES (000'S) 486,316.2 61,571.3 550,424.7 1,895,754.4 1,745,715.1 431,333.9 714,239.5
     NUMBER OF TRADES 79 37 82 147 164 189 304
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.

Effective January 10th, 2026 the “Structured Trading Activity Report”, “CBO/CDO/CLO” row and the “CBO/CDO/CLO” Pricing Table was revised for the As Of Dates of December 1, 2025 through December 12, 2025. This was due to an issue where trades were not being classified into the CBO/CDO/CLO NON-AAA IG bucket when those reports were first published.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].

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