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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 85.2 95.6 97.6 99.3 99.1 99.3 -
Weighted Avg. Price 94.9 96.8 97.7 99.7 100.9 102.0 -
Avg. Price Bottom 5 Trades 40.0 94.1 96.5 96.2 95.1 97.2 -
2nd Quartile Price 82.3 95.7 97.6 99.5 99.0 97.9 -
3rd Quartile Price 88.9 95.7 97.6 99.6 99.8 99.2 -
4th Quartile Price 93.2 95.7 97.6 99.6 100.9 102.1 -
Avg. Price Top 5 Trades 96.2 97.2 97.7 100.1 100.9 101.1 -
Standard Deviation 13.6 0.7 0.4 1.0 2.3 2.0 -
     VOLUME OF TRADES (000'S) 6,636.3 15,670.4 13,624.4 121,407.6 21,995.3 357.3 -
     NUMBER OF TRADES 103 96 74 139 45 24 -
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 84.4 - - - - - -
Weighted Avg. Price 95.3 - - - - - -
Avg. Price Bottom 5 Trades 84.4 - - - - - -
2nd Quartile Price * - - - - - -
3rd Quartile Price * - - - - - -
4th Quartile Price * - - - - - -
Avg. Price Top 5 Trades 84.4 - - - - - -
Standard Deviation 7.2 - - - - - -
     VOLUME OF TRADES (000'S) 21.8 - - - - - -
     NUMBER OF TRADES 7 - - - - - -
GNMA
AVERAGE PRICE - * * 99.8 * * -
Weighted Avg. Price - * * 99.8 * * -
Avg. Price Bottom 5 Trades - * * 99.8 * * -
2nd Quartile Price - * * * * * -
3rd Quartile Price - * * * * * -
4th Quartile Price - * * * * * -
Avg. Price Top 5 Trades - * * 99.8 * * -
Standard Deviation - * * 0.1 * * -
     VOLUME OF TRADES (000'S) - * * 11,994.0 * * -
     NUMBER OF TRADES - * * 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 85.1 90.3 91.5 96.5 98.7 101.3 98.6
Weighted Avg. Price 87.8 91.8 94.5 97.0 99.4 101.6 103.4
Avg. Price Bottom 5 Trades 74.8 78.7 67.0 91.9 85.5 97.1 66.4
2nd Quartile Price 82.0 89.7 91.9 96.4 98.8 101.2 101.3
3rd Quartile Price 85.5 91.2 93.8 96.5 99.0 101.6 103.0
4th Quartile Price 88.7 91.4 94.3 96.9 99.6 101.9 103.7
Avg. Price Top 5 Trades 93.8 96.8 96.5 99.2 100.6 102.5 104.5
Standard Deviation 3.8 2.7 8.5 1.6 6.0 1.2 12.4
     VOLUME OF TRADES (000'S) 1,100,369.9 101,079.6 68,470.9 257,795.9 826,267.6 649,882.1 71,555.2
     NUMBER OF TRADES 702 217 132 145 276 236 57
FNMA
AVERAGE PRICE * - * 97.2 99.6 101.9 103.5
Weighted Avg. Price * - * 97.0 99.5 101.7 103.3
Avg. Price Bottom 5 Trades * - * 97.1 99.0 101.3 103.2
2nd Quartile Price * - * 97.2 99.3 101.7 103.3
3rd Quartile Price * - * 97.4 99.5 101.9 103.6
4th Quartile Price * - * 97.6 100.0 102.1 103.7
Avg. Price Top 5 Trades * - * 97.3 100.2 102.4 103.7
Standard Deviation * - * 0.4 0.4 0.4 0.3
     VOLUME OF TRADES (000'S) * - * 13,153.4 101,128.9 60,261.7 40,910.5
     NUMBER OF TRADES * - * 6 35 33 12
FHLMC
AVERAGE PRICE 87.3 91.3 90.9 - - - -
Weighted Avg. Price 89.8 93.0 97.8 - - - -
Avg. Price Bottom 5 Trades 82.9 91.3 87.4 - - - -
2nd Quartile Price 84.2 * 91.0 - - - -
3rd Quartile Price 89.4 * 93.3 - - - -
4th Quartile Price 90.2 * 95.6 - - - -
Avg. Price Top 5 Trades 90.5 91.3 94.2 - - - -
Standard Deviation 4.8 2.0 6.8 - - - -
     VOLUME OF TRADES (000'S) 10,381.0 404.1 567.3 - - - -
     NUMBER OF TRADES 12 7 9 - - - -
GNMA
AVERAGE PRICE 86.1 90.7 94.4 97.6 96.8 99.0 97.9
Weighted Avg. Price 86.3 92.1 94.1 97.4 99.3 101.3 103.0
Avg. Price Bottom 5 Trades 78.0 89.3 91.6 94.3 73.7 79.7 56.9
2nd Quartile Price 84.0 90.2 93.4 96.6 99.1 100.2 100.0
3rd Quartile Price 87.3 90.6 93.6 97.0 99.4 101.3 102.5
4th Quartile Price 89.2 92.3 96.0 98.8 100.0 101.7 103.6
Avg. Price Top 5 Trades 90.5 92.3 98.1 102.0 102.7 102.6 105.6
Standard Deviation 3.7 1.7 2.2 2.3 8.1 6.4 15.0
     VOLUME OF TRADES (000'S) 1,281,233.1 79,073.8 55,532.1 129,993.5 773,844.8 409,034.6 159,544.7
     NUMBER OF TRADES 105 19 32 64 85 113 79
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 - - * 96.7 *
Weighted Avg. Price - - * 94.0 *
Avg. Price Bottom 5 Trades - - * 96.3 *
2nd Quartile Price - - * 98.3 *
3rd Quartile Price - - * 98.9 *
4th Quartile Price - - * 98.9 *
Avg. Price Top 5 Trades - - * 97.5 *
Standard Deviation - - * 3.1 *
     VOLUME OF TRADES (000'S) - - * 12,603.1 *
     NUMBER OF TRADES - - * 6 *
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 - * 97.0 - -
Weighted Avg. Price - * 93.5 - -
Avg. Price Bottom 5 Trades - * 96.6 - -
2nd Quartile Price - * 94.8 - -
3rd Quartile Price - * 98.9 - -
4th Quartile Price - * 99.9 - -
Avg. Price Top 5 Trades - * 98.4 - -
Standard Deviation - * 3.1 - -
     VOLUME OF TRADES (000'S) - * 43,620.5 - -
     NUMBER OF TRADES - * 8 - -
* 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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