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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 92.4 99.2 100.3 100.4 101.4 103.4 -
Weighted Avg. Price 94.0 99.2 100.2 101.5 102.6 104.4 -
Avg. Price Bottom 5 Trades 82.1 98.8 100.2 98.4 100.5 101.7 -
2nd Quartile Price 91.5 98.9 100.2 100.2 100.5 103.1 -
3rd Quartile Price 92.9 99.1 100.2 100.8 101.7 103.9 -
4th Quartile Price 95.2 99.4 100.4 101.5 102.5 103.9 -
Avg. Price Top 5 Trades 98.2 99.6 100.7 101.6 102.6 104.0 -
Standard Deviation 4.2 0.3 0.2 1.6 1.1 1.2 -
     VOLUME OF TRADES (000'S) 185,730.8 159,081.7 204,264.4 91,803.2 1,726.8 81,751.4 -
     NUMBER OF TRADES 163 42 43 54 51 50 -
FNMA
AVERAGE PRICE 96.8 - - - - - -
Weighted Avg. Price 97.1 - - - - - -
Avg. Price Bottom 5 Trades 96.8 - - - - - -
2nd Quartile Price * - - - - - -
3rd Quartile Price * - - - - - -
4th Quartile Price * - - - - - -
Avg. Price Top 5 Trades 96.8 - - - - - -
Standard Deviation 0.6 - - - - - -
     VOLUME OF TRADES (000'S) 1,387.5 - - - - - -
     NUMBER OF TRADES 5 - - - - - -
FHLMC
AVERAGE PRICE 92.4 - - - - - -
Weighted Avg. Price 98.2 - - - - - -
Avg. Price Bottom 5 Trades 88.9 - - - - - -
2nd Quartile Price 92.3 - - - - - -
3rd Quartile Price 94.8 - - - - - -
4th Quartile Price 95.7 - - - - - -
Avg. Price Top 5 Trades 95.8 - - - - - -
Standard Deviation 4.7 - - - - - -
     VOLUME OF TRADES (000'S) 131.1 - - - - - -
     NUMBER OF TRADES 18 - - - - - -
GNMA
AVERAGE PRICE * 99.1 100.0 * - * -
Weighted Avg. Price * 99.2 100.2 * - * -
Avg. Price Bottom 5 Trades * 99.1 99.9 * - * -
2nd Quartile Price * * 100.3 * - * -
3rd Quartile Price * * 100.3 * - * -
4th Quartile Price * * 100.4 * - * -
Avg. Price Top 5 Trades * 99.1 100.3 * - * -
Standard Deviation * 0.2 0.8 * - * -
     VOLUME OF TRADES (000'S) * 18,940.6 41,137.1 * - * -
     NUMBER OF TRADES * 5 7 * - * -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.0 95.6 98.1 100.3 101.3 101.2 103.8
Weighted Avg. Price 85.5 96.7 99.1 100.6 101.8 103.8 104.5
Avg. Price Bottom 5 Trades 75.7 73.9 90.1 87.9 93.9 81.8 101.6
2nd Quartile Price 85.8 96.1 97.5 100.2 101.4 102.3 103.3
3rd Quartile Price 89.6 96.6 98.4 100.3 101.5 102.4 104.0
4th Quartile Price 92.8 96.6 99.2 100.5 101.9 102.4 104.6
Avg. Price Top 5 Trades 97.2 99.7 100.9 103.0 103.6 104.8 105.5
Standard Deviation 4.1 3.1 2.0 2.0 1.6 4.7 1.4
     VOLUME OF TRADES (000'S) 3,772,615.4 1,945,181.7 643,002.4 3,503,740.8 2,107,433.8 418,571.0 73,737.6
     NUMBER OF TRADES 1,339 868 264 686 286 320 56
FNMA
AVERAGE PRICE 86.1 - * - - - -
Weighted Avg. Price 81.0 - * - - - -
Avg. Price Bottom 5 Trades 84.0 - * - - - -
2nd Quartile Price 84.6 - * - - - -
3rd Quartile Price 87.7 - * - - - -
4th Quartile Price 89.8 - * - - - -
Avg. Price Top 5 Trades 89.2 - * - - - -
Standard Deviation 3.7 - * - - - -
     VOLUME OF TRADES (000'S) 229,399.6 - * - - - -
     NUMBER OF TRADES 11 - * - - - -
FHLMC
AVERAGE PRICE 91.9 96.0 97.6 101.7 * - 61.4
Weighted Avg. Price 84.7 96.9 101.3 103.1 * - 63.6
Avg. Price Bottom 5 Trades 89.1 96.0 91.3 101.7 * - 61.4
2nd Quartile Price 90.0 * 94.6 * * - *
3rd Quartile Price 93.0 * 101.4 * * - *
4th Quartile Price 93.4 * 101.4 * * - *
Avg. Price Top 5 Trades 94.4 96.0 99.9 101.7 * - 61.4
Standard Deviation 2.3 1.8 5.0 2.9 * - 14.2
     VOLUME OF TRADES (000'S) 79,821.5 73.1 1,212.0 1,989.9 * - -
     NUMBER OF TRADES 65 36 25 24 * - 5
GNMA
AVERAGE PRICE 90.8 96.5 98.9 99.9 100.4 99.4 99.5
Weighted Avg. Price 92.3 96.4 98.6 100.3 101.5 102.6 104.8
Avg. Price Bottom 5 Trades 78.5 95.0 97.6 90.7 85.2 73.6 70.5
2nd Quartile Price 88.9 96.5 98.4 100.2 100.8 101.0 100.8
3rd Quartile Price 91.6 96.5 98.8 100.4 101.6 102.2 104.1
4th Quartile Price 93.9 96.6 99.3 100.4 102.5 103.4 104.8
Avg. Price Top 5 Trades 95.7 98.3 100.4 102.5 103.8 105.6 107.8
Standard Deviation 4.4 0.9 0.8 2.3 4.8 8.5 14.5
     VOLUME OF TRADES (000'S) 2,300,021.6 1,318,462.8 1,131,259.2 4,308,678.5 1,959,480.8 1,104,291.8 261,572.5
     NUMBER OF TRADES 136 48 79 245 147 158 99
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 - - * 100.2 -
Weighted Avg. Price - - * 99.6 -
Avg. Price Bottom 5 Trades - - * 99.3 -
2nd Quartile Price - - * 99.4 -
3rd Quartile Price - - * 101.0 -
4th Quartile Price - - * 102.4 -
Avg. Price Top 5 Trades - - * 101.0 -
Standard Deviation - - * 2.0 -
     VOLUME OF TRADES (000'S) - - * 69,336.1 -
     NUMBER OF TRADES - - * 7 -
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 100.7 * 100.1 - -
Weighted Avg. Price 101.8 * 98.6 - -
Avg. Price Bottom 5 Trades 100.1 * 99.3 - -
2nd Quartile Price 100.9 * 99.6 - -
3rd Quartile Price 101.8 * 100.9 - -
4th Quartile Price 102.3 * 101.6 - -
Avg. Price Top 5 Trades 101.7 * 101.1 - -
Standard Deviation 1.9 * 1.3 - -
     VOLUME OF TRADES (000'S) 333.6 * 14,319.1 - -
     NUMBER OF TRADES 7 * 9 - -
* 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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