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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 92.9 96.8 98.2 99.4 100.4 100.3 -
Weighted Avg. Price 93.3 97.5 98.8 100.0 102.3 101.2 -
Avg. Price Bottom 5 Trades 81.9 95.3 96.9 96.9 97.9 97.2 -
2nd Quartile Price 92.3 96.2 97.9 98.7 100.0 98.5 -
3rd Quartile Price 93.4 97.3 98.1 99.8 101.0 101.5 -
4th Quartile Price 94.5 97.5 98.9 100.0 101.3 102.6 -
Avg. Price Top 5 Trades 98.6 97.8 99.3 100.5 101.6 102.7 -
Standard Deviation 3.9 1.4 0.8 1.0 1.3 2.3 -
     VOLUME OF TRADES (000'S) 185,878.4 62,904.1 123,089.0 252,682.0 37,841.7 133.8 -
     NUMBER OF TRADES 161 28 65 89 63 42 -
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 93.9 - - - - - -
Weighted Avg. Price 96.9 - - - - - -
Avg. Price Bottom 5 Trades 90.7 - - - - - -
2nd Quartile Price 90.0 - - - - - -
3rd Quartile Price 94.7 - - - - - -
4th Quartile Price 98.2 - - - - - -
Avg. Price Top 5 Trades 98.5 - - - - - -
Standard Deviation 3.9 - - - - - -
     VOLUME OF TRADES (000'S) 2,191.6 - - - - - -
     NUMBER OF TRADES 27 - - - - - -
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 85.8 90.9 94.2 97.2 99.1 101.3 104.4
Weighted Avg. Price 82.8 92.3 94.6 97.6 99.6 101.4 104.1
Avg. Price Bottom 5 Trades 75.8 77.5 82.5 90.7 85.7 91.7 98.2
2nd Quartile Price 83.0 90.8 94.1 96.8 99.3 101.2 103.8
3rd Quartile Price 85.6 91.7 94.4 97.1 99.5 101.6 105.7
4th Quartile Price 89.0 91.9 94.8 97.7 99.8 102.3 105.7
Avg. Price Top 5 Trades 95.6 98.4 98.1 99.5 101.0 103.5 105.8
Standard Deviation 3.6 2.8 1.9 1.2 3.1 2.5 2.0
     VOLUME OF TRADES (000'S) 2,235,001.9 1,171,337.5 1,053,974.2 2,468,884.0 3,407,792.3 4,344,494.0 333,184.6
     NUMBER OF TRADES 1,422 581 310 408 519 186 122
FNMA
AVERAGE PRICE * 94.5 * * * * -
Weighted Avg. Price * 94.1 * * * * -
Avg. Price Bottom 5 Trades * 94.5 * * * * -
2nd Quartile Price * * * * * * -
3rd Quartile Price * * * * * * -
4th Quartile Price * * * * * * -
Avg. Price Top 5 Trades * 94.5 * * * * -
Standard Deviation * 0.3 * * * * -
     VOLUME OF TRADES (000'S) * 20,170.4 * * * * -
     NUMBER OF TRADES * 5 * * * * -
FHLMC
AVERAGE PRICE 87.3 91.6 94.4 92.2 * * 69.4
Weighted Avg. Price 90.8 95.0 95.8 97.4 * * 94.7
Avg. Price Bottom 5 Trades 82.0 87.1 94.4 91.0 * * 69.4
2nd Quartile Price 85.4 91.8 * 90.0 * * *
3rd Quartile Price 87.0 91.8 * 94.8 * * *
4th Quartile Price 89.1 92.6 * 94.8 * * *
Avg. Price Top 5 Trades 93.3 94.5 94.4 94.1 * * 69.4
Standard Deviation 3.0 2.4 0.9 6.2 * * 47.4
     VOLUME OF TRADES (000'S) 2,786.0 664.7 12.8 12.6 * * 1.7
     NUMBER OF TRADES 55 40 16 8 * * 7
GNMA
AVERAGE PRICE 86.8 90.6 94.3 97.7 100.9 99.3 101.0
Weighted Avg. Price 88.4 92.0 94.6 97.8 100.7 102.0 103.8
Avg. Price Bottom 5 Trades 79.9 82.9 88.9 85.4 79.5 77.5 77.8
2nd Quartile Price 84.1 91.0 94.4 97.3 100.1 98.7 100.1
3rd Quartile Price 87.0 91.6 94.7 98.0 101.7 101.7 103.0
4th Quartile Price 90.2 91.9 95.3 99.6 101.9 103.4 104.3
Avg. Price Top 5 Trades 93.9 94.0 96.8 103.4 103.3 105.5 106.3
Standard Deviation 3.6 3.3 2.3 3.3 2.5 6.8 10.1
     VOLUME OF TRADES (000'S) 1,107,895.9 122,852.2 274,259.4 934,539.6 3,636,662.7 1,287,688.3 172,146.9
     NUMBER OF TRADES 141 56 49 156 651 139 120
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 * - 99.3 98.3 *
Weighted Avg. Price * - 99.2 98.9 *
Avg. Price Bottom 5 Trades * - 99.1 94.5 *
2nd Quartile Price * - 99.2 98.3 *
3rd Quartile Price * - 99.4 99.1 *
4th Quartile Price * - 99.5 100.1 *
Avg. Price Top 5 Trades * - 99.5 100.4 *
Standard Deviation * - 0.2 2.5 *
     VOLUME OF TRADES (000'S) * - 106,388.3 113,793.8 *
     NUMBER OF TRADES * - 10 22 *
FHLMC
AVERAGE PRICE 88.5 - 98.7 98.7 -
Weighted Avg. Price 90.7 - 98.4 99.0 -
Avg. Price Bottom 5 Trades 82.0 - 98.0 97.7 -
2nd Quartile Price 87.0 - 98.1 98.1 -
3rd Quartile Price 89.0 - 98.4 98.9 -
4th Quartile Price 95.0 - 99.7 100.6 -
Avg. Price Top 5 Trades 92.4 - 99.8 99.8 -
Standard Deviation 7.8 - 0.8 1.2 -
     VOLUME OF TRADES (000'S) 12.2 - 110,463.0 178,315.1 -
     NUMBER OF TRADES 12 - 18 11 -
GNMA
AVERAGE PRICE 90.6 98.1 97.6 - -
Weighted Avg. Price 92.5 98.1 97.9 - -
Avg. Price Bottom 5 Trades 87.7 97.5 95.4 - -
2nd Quartile Price 91.0 98.1 97.0 - -
3rd Quartile Price 93.0 98.4 98.3 - -
4th Quartile Price 94.0 98.7 98.5 - -
Avg. Price Top 5 Trades 93.2 98.7 99.5 - -
Standard Deviation 4.9 1.0 1.6 - -
     VOLUME OF TRADES (000'S) 16.5 118,746.9 133,181.1 - -
     NUMBER OF TRADES 17 9 25 - -
* 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.

Effective April 25th, 2026, the “Structured Trading Activity Report” and “Daily CMBS Pricing Tables” were revised for the as-of dates of February 23, 2026, through February 26, 2026. This revision was due to an issue with incorrect factors that primarily impacted the “OTHER CMBS HY (P&I)” bucket.

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

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