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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 91.8 90.5 95.2 97.2 98.7 101.0 *
Weighted Avg. Price 95.3 97.7 96.0 97.5 99.4 100.7 *
Avg. Price Bottom 5 Trades 77.0 75.2 93.0 95.1 96.6 97.5 *
2nd Quartile Price 89.6 92.0 95.3 97.3 98.1 101.4 *
3rd Quartile Price 92.4 93.0 95.3 97.3 98.8 101.4 *
4th Quartile Price 95.4 93.8 95.3 97.3 99.3 101.4 *
Avg. Price Top 5 Trades 98.5 96.1 96.7 98.7 100.1 101.4 *
Standard Deviation 5.0 10.0 0.5 0.5 0.8 1.0 *
     VOLUME OF TRADES (000'S) 217,949.4 1,853.7 63,172.6 105,609.1 198,550.9 18,632.7 *
     NUMBER OF TRADES 198 30 219 284 135 281 *
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 88.2 * - - - - -
Weighted Avg. Price 98.2 * - - - - -
Avg. Price Bottom 5 Trades 75.9 * - - - - -
2nd Quartile Price 77.0 * - - - - -
3rd Quartile Price 95.4 * - - - - -
4th Quartile Price 96.6 * - - - - -
Avg. Price Top 5 Trades 98.3 * - - - - -
Standard Deviation 10.4 * - - - - -
     VOLUME OF TRADES (000'S) 31,104.6 * - - - - -
     NUMBER OF TRADES 53 * - - - - -
GNMA
AVERAGE PRICE 89.9 * 95.7 - * - -
Weighted Avg. Price 89.2 * 95.5 - * - -
Avg. Price Bottom 5 Trades 89.9 * 95.7 - * - -
2nd Quartile Price * * * - * - -
3rd Quartile Price * * * - * - -
4th Quartile Price * * * - * - -
Avg. Price Top 5 Trades 89.9 * 95.7 - * - -
Standard Deviation 10.1 * 0.3 - * - -
     VOLUME OF TRADES (000'S) 8.6 * 15,424.7 - * - -
     NUMBER OF TRADES 6 * 5 - * - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 81.7 87.6 89.5 93.6 96.2 98.4 101.1
Weighted Avg. Price 81.6 88.6 91.6 94.2 96.7 99.1 101.6
Avg. Price Bottom 5 Trades 70.7 76.0 79.1 87.7 91.9 81.0 95.3
2nd Quartile Price 78.3 87.6 88.4 93.0 95.7 98.5 101.0
3rd Quartile Price 82.0 87.8 90.5 93.6 96.2 98.9 101.4
4th Quartile Price 85.4 88.8 91.4 94.4 96.7 99.2 101.8
Avg. Price Top 5 Trades 94.4 94.7 94.2 97.5 99.4 100.9 104.7
Standard Deviation 4.0 2.8 3.2 1.5 1.2 5.5 2.5
     VOLUME OF TRADES (000'S) 1,199,760.1 1,973,629.5 572,899.6 1,090,551.6 1,793,892.8 5,841,515.2 385,727.3
     NUMBER OF TRADES 1,681 553 283 310 422 345 123
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 83.8 86.9 87.4 * 92.2 - *
Weighted Avg. Price 77.3 93.2 89.9 * 92.4 - *
Avg. Price Bottom 5 Trades 74.3 80.9 85.3 * 92.2 - *
2nd Quartile Price 82.0 87.6 87.4 * * - *
3rd Quartile Price 85.3 87.6 89.9 * * - *
4th Quartile Price 86.2 89.0 89.9 * * - *
Avg. Price Top 5 Trades 93.4 91.7 89.3 * 92.2 - *
Standard Deviation 4.7 3.4 3.5 * 3.0 - *
     VOLUME OF TRADES (000'S) 33,550.5 2,694.4 10.0 * 3.1 - *
     NUMBER OF TRADES 138 89 14 * 6 - *
GNMA
AVERAGE PRICE 83.7 88.0 90.5 93.8 96.7 98.2 100.4
Weighted Avg. Price 83.6 89.5 90.8 94.1 97.3 98.9 101.3
Avg. Price Bottom 5 Trades 77.3 87.3 83.5 79.9 82.9 53.2 66.8
2nd Quartile Price 82.5 87.4 90.5 93.8 96.3 98.8 100.8
3rd Quartile Price 84.0 87.4 90.5 93.8 96.3 99.0 101.2
4th Quartile Price 85.5 87.4 90.5 93.8 97.4 99.0 101.5
Avg. Price Top 5 Trades 89.1 92.9 94.2 98.9 99.8 102.1 106.4
Standard Deviation 2.7 1.5 1.7 2.5 2.6 5.6 8.4
     VOLUME OF TRADES (000'S) 75,655.0 44,860.3 71,380.9 1,348,816.0 513,900.6 506,828.6 642,715.3
     NUMBER OF TRADES 171 247 231 397 450 467 326
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 - - * 99.4 -
Weighted Avg. Price - - * 100.4 -
Avg. Price Bottom 5 Trades - - * 99.4 -
2nd Quartile Price - - * * -
3rd Quartile Price - - * * -
4th Quartile Price - - * * -
Avg. Price Top 5 Trades - - * 99.4 -
Standard Deviation - - * 1.5 -
     VOLUME OF TRADES (000'S) - - * 67,937.0 -
     NUMBER OF TRADES - - * 6 -
FHLMC
AVERAGE PRICE - - 98.1 97.8 *
Weighted Avg. Price - - 98.1 98.3 *
Avg. Price Bottom 5 Trades - - 98.1 97.3 *
2nd Quartile Price - - * 98.1 *
3rd Quartile Price - - * 98.3 *
4th Quartile Price - - * 98.7 *
Avg. Price Top 5 Trades - - 98.1 98.5 *
Standard Deviation - - - 1.9 *
     VOLUME OF TRADES (000'S) - - 84,813.5 125,946.6 *
     NUMBER OF TRADES - - 5 13 *
GNMA
AVERAGE PRICE 100.3 * 97.0 - -
Weighted Avg. Price 100.4 * 96.9 - -
Avg. Price Bottom 5 Trades 100.3 * 95.3 - -
2nd Quartile Price * * 96.8 - -
3rd Quartile Price * * 97.0 - -
4th Quartile Price * * 98.4 - -
Avg. Price Top 5 Trades 100.3 * 98.3 - -
Standard Deviation 0.7 * 1.8 - -
     VOLUME OF TRADES (000'S) 1,210.6 * 249,294.1 - -
     NUMBER OF TRADES 18 * 17 - -
* 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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