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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 92.7 87.9 98.2 98.8 100.2 100.2 -
Weighted Avg. Price 94.1 96.3 98.2 99.9 101.4 102.8 -
Avg. Price Bottom 5 Trades 85.1 59.5 97.9 94.1 96.2 97.0 -
2nd Quartile Price 92.0 95.9 98.0 99.1 100.1 99.5 -
3rd Quartile Price 93.6 96.3 98.1 99.8 100.7 100.3 -
4th Quartile Price 94.2 96.4 98.2 99.9 101.2 101.8 -
Avg. Price Top 5 Trades 98.4 98.8 98.7 100.4 101.5 102.1 -
Standard Deviation 3.0 26.7 0.3 2.0 1.6 2.2 -
     VOLUME OF TRADES (000'S) 26,261.4 10,064.4 20,548.1 658,845.4 12,592.6 2,613.0 -
     NUMBER OF TRADES 112 25 31 89 89 41 -
FNMA
AVERAGE PRICE 96.9 - - - - - -
Weighted Avg. Price 96.7 - - - - - -
Avg. Price Bottom 5 Trades 96.2 - - - - - -
2nd Quartile Price 95.4 - - - - - -
3rd Quartile Price 98.3 - - - - - -
4th Quartile Price 98.7 - - - - - -
Avg. Price Top 5 Trades 97.8 - - - - - -
Standard Deviation 1.9 - - - - - -
     VOLUME OF TRADES (000'S) 179.0 - - - - - -
     NUMBER OF TRADES 7 - - - - - -
FHLMC
AVERAGE PRICE 91.1 - * - - - -
Weighted Avg. Price 96.2 - * - - - -
Avg. Price Bottom 5 Trades 78.3 - * - - - -
2nd Quartile Price 91.7 - * - - - -
3rd Quartile Price 93.5 - * - - - -
4th Quartile Price 94.3 - * - - - -
Avg. Price Top 5 Trades 96.9 - * - - - -
Standard Deviation 7.7 - * - - - -
     VOLUME OF TRADES (000'S) 2,081.1 - * - - - -
     NUMBER OF TRADES 32 - * - - - -
GNMA
AVERAGE PRICE 96.5 * * - - - -
Weighted Avg. Price 96.4 * * - - - -
Avg. Price Bottom 5 Trades 96.5 * * - - - -
2nd Quartile Price * * * - - - -
3rd Quartile Price * * * - - - -
4th Quartile Price * * * - - - -
Avg. Price Top 5 Trades 96.5 * * - - - -
Standard Deviation 2.6 * * - - - -
     VOLUME OF TRADES (000'S) 144.9 * * - - - -
     NUMBER OF TRADES 6 * * - - - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.4 90.4 94.1 96.6 99.3 101.1 102.4
Weighted Avg. Price 87.9 92.2 94.7 97.4 99.7 101.6 103.7
Avg. Price Bottom 5 Trades 69.3 44.8 84.7 85.9 95.4 88.8 93.5
2nd Quartile Price 82.2 91.1 94.0 96.7 99.2 101.4 103.1
3rd Quartile Price 85.5 91.4 94.5 97.0 99.4 101.4 103.5
4th Quartile Price 88.9 91.8 95.1 97.3 99.7 101.7 104.0
Avg. Price Top 5 Trades 95.1 95.6 97.4 99.8 101.2 103.1 105.0
Standard Deviation 4.0 6.2 2.8 2.5 1.0 2.5 4.2
     VOLUME OF TRADES (000'S) 951,904.8 266,742.4 1,278,914.1 1,731,183.2 1,386,198.7 1,810,232.0 407,853.6
     NUMBER OF TRADES 1,159 410 231 333 498 313 89
FNMA
AVERAGE PRICE 88.0 - * * * - *
Weighted Avg. Price 92.8 - * * * - *
Avg. Price Bottom 5 Trades 88.0 - * * * - *
2nd Quartile Price * - * * * - *
3rd Quartile Price * - * * * - *
4th Quartile Price * - * * * - *
Avg. Price Top 5 Trades 88.0 - * * * - *
Standard Deviation 7.1 - * * * - *
     VOLUME OF TRADES (000'S) 1,489.7 - * * * - *
     NUMBER OF TRADES 5 - * * * - *
FHLMC
AVERAGE PRICE 86.2 92.1 90.8 * * * -
Weighted Avg. Price 90.1 94.8 97.6 * * * -
Avg. Price Bottom 5 Trades 81.3 91.1 85.9 * * * -
2nd Quartile Price 84.5 91.4 87.0 * * * -
3rd Quartile Price 86.8 91.6 93.2 * * * -
4th Quartile Price 90.0 94.1 97.0 * * * -
Avg. Price Top 5 Trades 92.0 96.1 97.3 * * * -
Standard Deviation 5.3 2.3 5.8 * * * -
     VOLUME OF TRADES (000'S) 5,090.3 1,053.1 267.0 * * * -
     NUMBER OF TRADES 54 35 17 * * * -
GNMA
AVERAGE PRICE 85.2 92.6 94.2 97.0 99.6 99.9 101.1
Weighted Avg. Price 84.6 91.5 95.1 97.5 99.9 101.9 103.5
Avg. Price Bottom 5 Trades 79.3 88.4 87.1 89.8 91.0 87.5 87.0
2nd Quartile Price 83.5 90.8 93.7 96.9 99.6 101.1 101.1
3rd Quartile Price 86.4 93.2 94.1 97.3 99.8 101.8 103.4
4th Quartile Price 87.2 94.3 95.3 99.6 100.1 102.1 104.8
Avg. Price Top 5 Trades 91.3 96.3 99.9 102.7 105.2 104.9 105.4
Standard Deviation 3.1 2.5 3.9 4.2 2.3 5.1 6.0
     VOLUME OF TRADES (000'S) 2,045,963.7 314,597.0 491,858.0 1,338,525.2 1,935,517.4 2,020,537.4 1,453,990.8
     NUMBER OF TRADES 156 67 86 133 304 197 148
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 100.4 - 99.4 99.8 97.0
Weighted Avg. Price 101.0 - 99.5 99.6 97.6
Avg. Price Bottom 5 Trades 100.4 - 98.2 99.8 97.0
2nd Quartile Price * - 99.1 * *
3rd Quartile Price * - 100.2 * *
4th Quartile Price * - 100.5 * *
Avg. Price Top 5 Trades 100.4 - 100.7 99.8 97.0
Standard Deviation 1.3 - 1.4 0.7 4.0
     VOLUME OF TRADES (000'S) 69.0 - 173,202.6 47,309.7 6,788.9
     NUMBER OF TRADES 6 - 14 5 5
FHLMC
AVERAGE PRICE - - * 99.3 -
Weighted Avg. Price - - * 99.1 -
Avg. Price Bottom 5 Trades - - * 98.2 -
2nd Quartile Price - - * 98.9 -
3rd Quartile Price - - * 99.5 -
4th Quartile Price - - * 100.6 -
Avg. Price Top 5 Trades - - * 100.6 -
Standard Deviation - - * 1.4 -
     VOLUME OF TRADES (000'S) - - * 122,860.6 -
     NUMBER OF TRADES - - * 13 -
GNMA
AVERAGE PRICE 101.1 97.7 97.2 - -
Weighted Avg. Price 101.2 97.0 98.5 - -
Avg. Price Bottom 5 Trades 101.1 97.2 94.0 - -
2nd Quartile Price * 96.8 95.1 - -
3rd Quartile Price * 98.3 96.9 - -
4th Quartile Price * 98.5 100.1 - -
Avg. Price Top 5 Trades 101.1 98.2 100.7 - -
Standard Deviation 0.6 0.8 2.4 - -
     VOLUME OF TRADES (000'S) 171.0 57,061.7 414,849.3 - -
     NUMBER OF TRADES 6 8 51 - -
* 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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