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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 97.0 98.5 99.5 100.5 101.2 -
Weighted Avg. Price 93.2 97.4 99.2 100.5 102.0 102.7 -
Avg. Price Bottom 5 Trades 49.9 95.8 97.0 96.7 97.3 97.6 -
2nd Quartile Price 92.7 96.9 98.2 99.1 100.0 101.0 -
3rd Quartile Price 93.9 97.0 98.8 99.5 100.5 101.7 -
4th Quartile Price 95.7 97.1 99.0 100.2 101.5 102.8 -
Avg. Price Top 5 Trades 99.1 98.7 99.9 102.2 102.1 102.9 -
Standard Deviation 8.3 1.0 1.1 1.7 1.3 2.1 -
     VOLUME OF TRADES (000'S) 135,364.3 14,936.1 169,781.7 42,100.6 8,437.5 987.5 -
     NUMBER OF TRADES 249 41 76 103 104 63 -
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 91.8 * - - - - -
Weighted Avg. Price 96.9 * - - - - -
Avg. Price Bottom 5 Trades 87.2 * - - - - -
2nd Quartile Price 92.1 * - - - - -
3rd Quartile Price 94.2 * - - - - -
4th Quartile Price 98.0 * - - - - -
Avg. Price Top 5 Trades 98.4 * - - - - -
Standard Deviation 7.7 * - - - - -
     VOLUME OF TRADES (000'S) 724.7 * - - - - -
     NUMBER OF TRADES 17 * - - - - -
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 * * - - - - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.8 91.1 94.1 98.3 99.9 101.0 97.9
Weighted Avg. Price 85.2 94.1 96.0 98.4 100.5 102.4 104.5
Avg. Price Bottom 5 Trades 53.1 61.4 37.4 89.8 82.2 72.1 73.8
2nd Quartile Price 83.8 91.6 95.0 98.0 99.9 101.6 100.5
3rd Quartile Price 86.9 92.8 95.8 98.4 100.3 102.1 103.3
4th Quartile Price 90.3 93.4 96.2 99.1 100.8 103.1 104.2
Avg. Price Top 5 Trades 96.5 97.9 97.7 100.5 102.7 104.4 105.6
Standard Deviation 5.1 5.5 8.3 1.5 2.7 11.6 16.6
     VOLUME OF TRADES (000'S) 1,081,654.9 280,999.0 928,654.0 4,482,044.6 4,283,827.5 1,932,186.6 398,597.8
     NUMBER OF TRADES 1,518 487 423 534 524 312 102
FNMA
AVERAGE PRICE 82.3 - - - - * *
Weighted Avg. Price 77.1 - - - - * *
Avg. Price Bottom 5 Trades 82.3 - - - - * *
2nd Quartile Price * - - - - * *
3rd Quartile Price * - - - - * *
4th Quartile Price * - - - - * *
Avg. Price Top 5 Trades 82.3 - - - - * *
Standard Deviation 8.2 - - - - * *
     VOLUME OF TRADES (000'S) 3,342.3 - - - - * *
     NUMBER OF TRADES 6 - - - - * *
FHLMC
AVERAGE PRICE 86.4 87.3 92.9 97.5 101.6 100.9 61.2
Weighted Avg. Price 76.3 94.2 97.3 100.1 103.3 103.7 61.8
Avg. Price Bottom 5 Trades 57.4 54.9 86.5 97.5 101.6 100.9 61.2
2nd Quartile Price 83.5 87.0 91.3 * * * *
3rd Quartile Price 90.3 92.9 93.0 * * * *
4th Quartile Price 91.6 92.9 97.5 * * * *
Avg. Price Top 5 Trades 95.4 95.6 97.5 97.5 101.6 100.9 61.2
Standard Deviation 8.5 10.8 5.8 2.1 1.6 3.1 26.6
     VOLUME OF TRADES (000'S) 34,767.5 195.4 317.5 33.7 1,652.2 29.4 -
     NUMBER OF TRADES 136 96 35 11 8 6 9
GNMA
AVERAGE PRICE 87.4 93.4 96.4 98.4 100.3 98.4 100.5
Weighted Avg. Price 84.9 93.7 96.2 98.9 100.4 101.4 102.9
Avg. Price Bottom 5 Trades 81.6 91.7 94.4 83.3 84.4 93.6 91.9
2nd Quartile Price 84.6 93.0 94.9 98.5 100.3 98.0 100.0
3rd Quartile Price 87.6 93.8 96.3 99.2 100.9 100.0 102.4
4th Quartile Price 91.6 94.5 98.4 100.0 101.2 101.6 103.9
Avg. Price Top 5 Trades 95.4 95.1 99.3 102.6 105.8 105.0 105.6
Standard Deviation 4.0 1.9 2.2 4.5 5.0 6.0 6.5
     VOLUME OF TRADES (000'S) 1,833,377.4 48,051.6 568,142.7 549,990.7 1,583,114.8 1,445,098.4 7,472.0
     NUMBER OF TRADES 117 17 61 85 157 69 71
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 - - * 100.5 *
Avg. Price Bottom 5 Trades - - * 100.2 *
2nd Quartile Price - - * * *
3rd Quartile Price - - * * *
4th Quartile Price - - * * *
Avg. Price Top 5 Trades - - * 100.2 *
Standard Deviation - - * 0.8 *
     VOLUME OF TRADES (000'S) - - * 9,071.4 *
     NUMBER OF TRADES - - * 6 *
FHLMC
AVERAGE PRICE - - 99.9 - *
Weighted Avg. Price - - 100.1 - *
Avg. Price Bottom 5 Trades - - 99.9 - *
2nd Quartile Price - - * - *
3rd Quartile Price - - * - *
4th Quartile Price - - * - *
Avg. Price Top 5 Trades - - 99.9 - *
Standard Deviation - - 1.8 - *
     VOLUME OF TRADES (000'S) - - 13,883.4 - *
     NUMBER OF TRADES - - 5 - *
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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