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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 92.5 98.9 100.1 101.1 101.6 103.1 -
Weighted Avg. Price 94.9 99.0 100.2 101.3 102.3 104.7 -
Avg. Price Bottom 5 Trades 68.7 97.5 99.4 99.9 99.9 101.4 -
2nd Quartile Price 91.1 98.8 100.2 101.2 100.9 102.9 -
3rd Quartile Price 94.8 98.9 100.2 101.3 102.3 103.6 -
4th Quartile Price 97.0 99.4 100.2 101.3 102.3 103.6 -
Avg. Price Top 5 Trades 98.7 99.5 100.5 101.4 102.3 103.9 -
Standard Deviation 10.8 0.8 0.4 0.5 1.0 1.4 -
     VOLUME OF TRADES (000'S) 30,327.7 53,614.9 104,957.3 209,538.1 2,913.9 21,050.6 -
     NUMBER OF TRADES 166 35 38 39 32 16 -
FNMA
AVERAGE PRICE 93.8 98.8 100.0 * - - -
Weighted Avg. Price 89.1 98.8 100.4 * - - -
Avg. Price Bottom 5 Trades 88.5 97.6 98.5 * - - -
2nd Quartile Price 93.1 98.0 99.8 * - - -
3rd Quartile Price 95.8 99.2 100.3 * - - -
4th Quartile Price 99.0 100.0 101.1 * - - -
Avg. Price Top 5 Trades 98.4 99.7 101.0 * - - -
Standard Deviation 5.6 1.1 1.6 * - - -
     VOLUME OF TRADES (000'S) 157,934.7 117,163.3 76,590.6 * - - -
     NUMBER OF TRADES 14 16 19 * - - -
FHLMC
AVERAGE PRICE 93.8 79.7 100.0 - - - -
Weighted Avg. Price 96.9 99.6 99.6 - - - -
Avg. Price Bottom 5 Trades 88.8 79.7 99.3 - - - -
2nd Quartile Price 92.0 * 99.8 - - - -
3rd Quartile Price 96.8 * 100.0 - - - -
4th Quartile Price 97.0 * 100.6 - - - -
Avg. Price Top 5 Trades 96.8 79.7 100.6 - - - -
Standard Deviation 4.7 44.6 0.6 - - - -
     VOLUME OF TRADES (000'S) 186.6 97,494.0 339,464.3 - - - -
     NUMBER OF TRADES 16 5 17 - - - -
GNMA
AVERAGE PRICE 98.6 * 97.0 101.3 * * -
Weighted Avg. Price 98.2 * 100.4 101.3 * * -
Avg. Price Bottom 5 Trades 98.5 * 97.0 101.3 * * -
2nd Quartile Price 98.4 * * * * * -
3rd Quartile Price 98.4 * * * * * -
4th Quartile Price 99.0 * * * * * -
Avg. Price Top 5 Trades 98.6 * 97.0 101.3 * * -
Standard Deviation 0.4 * 8.3 - * * -
     VOLUME OF TRADES (000'S) 1,109.5 * 4,050.9 1,372.1 * * -
     NUMBER OF TRADES 16 * 6 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 87.4 93.6 97.6 100.0 101.5 101.7 104.1
Weighted Avg. Price 88.1 95.6 98.0 100.3 101.8 103.4 104.8
Avg. Price Bottom 5 Trades 76.2 79.0 90.6 89.4 92.3 63.5 96.9
2nd Quartile Price 84.6 91.9 97.7 99.9 101.4 102.9 104.2
3rd Quartile Price 88.3 95.3 98.0 100.2 101.6 103.8 104.8
4th Quartile Price 91.3 95.5 98.6 100.7 102.4 104.0 105.0
Avg. Price Top 5 Trades 96.0 98.1 99.6 101.7 103.5 105.6 107.2
Standard Deviation 4.3 3.7 2.0 1.8 2.3 12.8 3.3
     VOLUME OF TRADES (000'S) 2,004,433.4 1,914,426.4 2,596,838.4 2,588,765.4 4,166,773.3 1,481,370.0 573,489.0
     NUMBER OF TRADES 1,010 411 256 375 336 201 88
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 85.3 92.7 96.9 * 94.4 * *
Weighted Avg. Price 82.4 98.1 98.0 * 100.0 * *
Avg. Price Bottom 5 Trades 71.3 75.4 96.9 * 92.8 * *
2nd Quartile Price 81.0 88.0 * * 95.0 * *
3rd Quartile Price 85.1 95.3 * * 99.9 * *
4th Quartile Price 90.2 98.1 * * 100.3 * *
Avg. Price Top 5 Trades 92.6 97.9 96.9 * 98.0 * *
Standard Deviation 5.7 6.6 3.0 * 7.6 * *
     VOLUME OF TRADES (000'S) 1,547.9 58,208.9 9.5 * 30,005.4 * *
     NUMBER OF TRADES 99 106 11 * 9 * *
GNMA
AVERAGE PRICE 87.9 95.8 97.6 100.0 101.2 101.5 101.3
Weighted Avg. Price 85.8 95.9 97.7 100.0 101.8 103.0 104.1
Avg. Price Bottom 5 Trades 81.6 94.1 94.9 96.8 93.3 82.5 89.0
2nd Quartile Price 83.9 95.5 97.5 99.9 101.2 101.3 100.0
3rd Quartile Price 87.2 96.4 97.7 100.1 101.5 102.7 103.1
4th Quartile Price 90.6 96.9 98.0 100.3 102.5 104.1 104.3
Avg. Price Top 5 Trades 96.0 96.9 98.9 101.2 105.7 106.2 107.5
Standard Deviation 4.4 1.3 1.4 1.0 2.7 4.9 5.4
     VOLUME OF TRADES (000'S) 830,394.8 50,337.6 894,587.1 4,394,860.1 1,096,786.7 1,494,788.2 203,034.2
     NUMBER OF TRADES 100 22 77 146 171 148 107
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 102.5 - - - -
Weighted Avg. Price 102.5 - - - -
Avg. Price Bottom 5 Trades 102.5 - - - -
2nd Quartile Price * - - - -
3rd Quartile Price * - - - -
4th Quartile Price * - - - -
Avg. Price Top 5 Trades 102.5 - - - -
Standard Deviation - - - - -
     VOLUME OF TRADES (000'S) 197.8 - - - -
     NUMBER OF TRADES 6 - - - -
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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