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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 94.6 95.5 98.3 99.8 100.1 100.7 *
Weighted Avg. Price 95.0 96.9 98.8 100.5 102.2 103.1 *
Avg. Price Bottom 5 Trades 80.5 88.6 94.3 94.8 93.4 95.6 *
2nd Quartile Price 93.0 96.4 98.6 100.0 100.0 99.7 *
3rd Quartile Price 95.8 96.7 98.8 100.2 101.4 101.7 *
4th Quartile Price 98.3 97.1 98.9 100.5 101.6 102.6 *
Avg. Price Top 5 Trades 99.5 98.3 99.6 101.3 102.6 103.1 *
Standard Deviation 4.7 3.7 1.5 1.6 2.6 2.5 *
     VOLUME OF TRADES (000'S) 43,280.6 33,065.1 241,630.7 187,303.1 128,092.5 17,797.0 *
     NUMBER OF TRADES 231 46 91 136 184 96 *
FNMA
AVERAGE PRICE 96.3 - - - - - -
Weighted Avg. Price 89.6 - - - - - -
Avg. Price Bottom 5 Trades 93.3 - - - - - -
2nd Quartile Price 95.1 - - - - - -
3rd Quartile Price 97.5 - - - - - -
4th Quartile Price 98.4 - - - - - -
Avg. Price Top 5 Trades 98.6 - - - - - -
Standard Deviation 2.7 - - - - - -
     VOLUME OF TRADES (000'S) 5,155.5 - - - - - -
     NUMBER OF TRADES 16 - - - - - -
FHLMC
AVERAGE PRICE 97.1 98.1 - - - - -
Weighted Avg. Price 96.9 98.2 - - - - -
Avg. Price Bottom 5 Trades 82.9 98.1 - - - - -
2nd Quartile Price 96.8 * - - - - -
3rd Quartile Price 98.4 * - - - - -
4th Quartile Price 99.3 * - - - - -
Avg. Price Top 5 Trades 99.6 98.1 - - - - -
Standard Deviation 4.0 0.3 - - - - -
     VOLUME OF TRADES (000'S) 5,651.7 686.6 - - - - -
     NUMBER OF TRADES 127 11 - - - - -
GNMA
AVERAGE PRICE 96.3 - - - - - -
Weighted Avg. Price 97.4 - - - - - -
Avg. Price Bottom 5 Trades 89.1 - - - - - -
2nd Quartile Price 97.8 - - - - - -
3rd Quartile Price 98.7 - - - - - -
4th Quartile Price 99.0 - - - - - -
Avg. Price Top 5 Trades 99.3 - - - - - -
Standard Deviation 5.7 - - - - - -
     VOLUME OF TRADES (000'S) 434.5 - - - - - -
     NUMBER OF TRADES 23 - - - - - -
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 92.1 95.1 97.8 100.1 101.4 101.0
Weighted Avg. Price 84.2 93.6 95.9 98.3 100.5 102.4 104.6
Avg. Price Bottom 5 Trades 74.1 78.0 86.6 87.5 92.6 87.1 71.1
2nd Quartile Price 83.2 91.7 94.8 97.8 100.1 101.9 103.6
3rd Quartile Price 86.9 92.8 95.5 98.2 100.4 102.2 104.0
4th Quartile Price 90.4 93.4 96.0 98.6 100.7 102.6 104.7
Avg. Price Top 5 Trades 96.7 97.4 98.6 100.7 102.3 103.9 105.9
Standard Deviation 4.7 3.1 2.2 2.8 1.5 4.6 9.8
     VOLUME OF TRADES (000'S) 1,330,455.0 326,484.9 771,755.5 2,869,992.1 1,767,238.6 578,670.2 149,509.9
     NUMBER OF TRADES 1,691 575 329 417 428 188 109
FNMA
AVERAGE PRICE 90.6 94.6 * * - - *
Weighted Avg. Price 89.3 94.6 * * - - *
Avg. Price Bottom 5 Trades 81.4 94.6 * * - - *
2nd Quartile Price 88.0 * * * - - *
3rd Quartile Price 91.6 * * * - - *
4th Quartile Price 96.1 * * * - - *
Avg. Price Top 5 Trades 95.8 94.6 * * - - *
Standard Deviation 5.0 - * * - - *
     VOLUME OF TRADES (000'S) 16,383.9 6,176.1 * * - - *
     NUMBER OF TRADES 39 5 * * - - *
FHLMC
AVERAGE PRICE 90.8 94.2 93.7 * * * *
Weighted Avg. Price 95.0 96.0 96.8 * * * *
Avg. Price Bottom 5 Trades 76.6 92.3 91.4 * * * *
2nd Quartile Price 86.9 92.4 92.6 * * * *
3rd Quartile Price 91.4 94.1 95.8 * * * *
4th Quartile Price 96.1 95.7 96.3 * * * *
Avg. Price Top 5 Trades 96.1 97.5 96.4 * * * *
Standard Deviation 5.3 2.0 3.2 * * * *
     VOLUME OF TRADES (000'S) 8,360.3 3,710.1 107.5 * * * *
     NUMBER OF TRADES 151 61 17 * * * *
GNMA
AVERAGE PRICE 86.4 90.0 93.5 97.1 98.8 99.0 97.7
Weighted Avg. Price 87.2 93.6 95.9 98.6 100.6 102.4 104.2
Avg. Price Bottom 5 Trades 75.1 82.9 82.9 84.7 77.5 74.1 71.3
2nd Quartile Price 84.8 88.1 94.8 97.2 99.3 99.4 98.3
3rd Quartile Price 88.3 91.1 95.7 98.7 100.8 101.3 102.0
4th Quartile Price 89.2 93.1 96.0 99.1 101.7 102.4 103.6
Avg. Price Top 5 Trades 92.9 93.8 100.4 100.8 103.7 105.7 106.2
Standard Deviation 4.3 4.9 6.0 4.4 6.5 7.8 10.5
     VOLUME OF TRADES (000'S) 99,419.9 3,141.5 882,244.6 102,515.7 534,419.9 285,669.9 27,444.9
     NUMBER OF TRADES 141 29 65 139 163 110 124
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 98.3 - 100.6 - *
Weighted Avg. Price 99.8 - 100.7 - *
Avg. Price Bottom 5 Trades 94.5 - 100.4 - *
2nd Quartile Price 97.0 - 100.3 - *
3rd Quartile Price 100.0 - 101.3 - *
4th Quartile Price 101.1 - 101.5 - *
Avg. Price Top 5 Trades 101.2 - 100.8 - *
Standard Deviation 4.1 - 0.8 - *
     VOLUME OF TRADES (000'S) 76.1 - 5,004.6 - *
     NUMBER OF TRADES 12 - 6 - *
FHLMC
AVERAGE PRICE 98.0 - 100.6 * 97.8
Weighted Avg. Price 96.2 - 100.8 * 99.5
Avg. Price Bottom 5 Trades 97.0 - 100.4 * 97.6
2nd Quartile Price 96.0 - 100.3 * 98.5
3rd Quartile Price 101.1 - 101.2 * 99.4
4th Quartile Price 102.8 - 101.5 * 99.4
Avg. Price Top 5 Trades 98.6 - 100.8 * 99.1
Standard Deviation 3.3 - 0.7 * 3.5
     VOLUME OF TRADES (000'S) 234.2 - 4,859.6 * 19,673.7
     NUMBER OF TRADES 6 - 6 * 8
GNMA
AVERAGE PRICE 100.3 * 98.9 - -
Weighted Avg. Price 100.3 * 99.0 - -
Avg. Price Bottom 5 Trades 99.9 * 98.9 - -
2nd Quartile Price 99.8 * * - -
3rd Quartile Price 100.0 * * - -
4th Quartile Price 101.1 * * - -
Avg. Price Top 5 Trades 101.1 * 98.9 - -
Standard Deviation 0.6 * 1.1 - -
     VOLUME OF TRADES (000'S) 2,478.7 * 5,747.7 - -
     NUMBER OF TRADES 110 * 5 - -
* 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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