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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 (TBA, STIP, $ ROLLS) - Single Family 15Y

DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.7 98.5 99.9 101.1 102.3 * -
Weighted Avg. Price 93.7 98.5 99.9 101.1 102.3 * -
Avg. Price Bottom 5 Trades 90.0 98.4 99.8 101.0 102.3 * -
2nd Quartile Price 92.2 98.5 99.9 101.1 102.3 * -
3rd Quartile Price 94.3 98.5 99.9 101.1 102.3 * -
4th Quartile Price 94.3 98.5 99.9 101.1 102.4 * -
Avg. Price Top 5 Trades 97.1 98.6 100.0 101.1 102.4 * -
Standard Deviation 1.8 - - - - * -
     VOLUME OF TRADES (000'S) 1,116,490.0 287,744.5 919,507.0 588,866.0 170,133.0 * -
     NUMBER OF TRADES 115 30 118 78 14 * -
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 - - - - - - -
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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.1 98.4 99.9 101.1 102.4 * -
Weighted Avg. Price 93.8 98.5 99.9 101.1 102.4 * -
Avg. Price Bottom 5 Trades 91.4 98.4 99.8 101.0 102.3 * -
2nd Quartile Price 92.4 98.4 99.8 101.1 102.3 * -
3rd Quartile Price 94.4 98.5 99.9 101.1 102.3 * -
4th Quartile Price 94.5 98.5 99.9 101.1 102.4 * -
Avg. Price Top 5 Trades 97.1 98.5 99.9 101.1 102.4 * -
Standard Deviation 1.8 0.1 0.1 - - * -
     VOLUME OF TRADES (000'S) 1,262,172.0 43,850.0 138,282.0 119,500.0 345,300.0 * -
     NUMBER OF TRADES 43 8 20 19 14 * -
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 - - - - - - -
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 - - - - - - -
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 96.7 98.4 99.8 101.1 * - -
Weighted Avg. Price 96.3 98.4 99.8 101.1 * - -
Avg. Price Bottom 5 Trades 96.5 98.4 99.8 101.0 * - -
2nd Quartile Price 96.1 98.4 99.8 101.1 * - -
3rd Quartile Price 97.0 98.4 99.9 101.1 * - -
4th Quartile Price 97.1 98.5 99.9 101.1 * - -
Avg. Price Top 5 Trades 97.0 98.4 99.9 101.1 * - -
Standard Deviation 0.5 - - - * - -
     VOLUME OF TRADES (000'S) 102,500.0 93,000.0 50,000.0 17,000.0 * - -
     NUMBER OF TRADES 8 9 9 9 * - -
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 - - - - - - -
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 - - - - - - -
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
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 - - - - - - -
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 - - - - - - -
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 (TBA, STIP, $ ROLLS) - Single Family 30Y

DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.0 94.9 97.6 99.6 101.2 102.4 103.7
Weighted Avg. Price 86.8 94.9 97.6 99.6 101.1 102.4 104.1
Avg. Price Bottom 5 Trades 79.5 94.8 97.4 99.5 101.0 102.3 103.5
2nd Quartile Price 84.7 94.8 97.6 99.6 101.1 102.3 103.6
3rd Quartile Price 88.4 94.9 97.6 99.6 101.2 102.4 103.6
4th Quartile Price 92.0 95.0 97.7 99.7 101.2 102.4 103.6
Avg. Price Top 5 Trades 92.3 95.1 98.0 101.8 101.2 102.4 105.4
Standard Deviation 3.9 0.1 0.1 0.2 - - 0.4
     VOLUME OF TRADES (000'S) 28,473,497.8 8,319,993.5 9,041,440.8 37,033,180.6 54,065,316.8 30,333,067.3 25,513,109.3
     NUMBER OF TRADES 822 146 355 1,190 880 460 259
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 88.5 94.5 97.5 99.7 101.0 102.1 103.1
Weighted Avg. Price 88.5 94.5 97.5 99.7 100.9 101.9 103.1
Avg. Price Bottom 5 Trades 82.9 94.4 97.4 99.5 100.9 101.8 102.9
2nd Quartile Price 86.4 94.4 97.4 99.7 100.9 101.9 103.0
3rd Quartile Price 89.8 94.6 97.5 99.7 100.9 101.9 103.0
4th Quartile Price 91.2 94.6 97.6 99.8 101.0 101.9 103.1
Avg. Price Top 5 Trades 91.5 94.7 97.7 100.1 102.2 104.1 103.4
Standard Deviation 3.0 0.1 0.1 0.1 0.2 0.5 0.1
     VOLUME OF TRADES (000'S) 7,678,143.0 3,421,086.0 4,079,847.0 8,397,077.1 8,468,878.0 4,056,140.3 1,511,671.8
     NUMBER OF TRADES 174 64 122 328 303 193 130
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.0 94.9 97.5 99.5 101.1 102.3 103.8
Weighted Avg. Price 86.7 94.9 97.5 99.5 101.0 102.3 104.1
Avg. Price Bottom 5 Trades 79.4 94.7 97.3 99.4 101.0 102.3 103.5
2nd Quartile Price 84.6 94.8 97.5 99.5 101.0 102.3 103.6
3rd Quartile Price 88.4 94.8 97.5 99.5 101.1 102.3 103.6
4th Quartile Price 92.0 95.0 97.6 99.6 101.1 102.4 103.7
Avg. Price Top 5 Trades 92.3 95.1 97.7 99.7 101.2 102.4 105.4
Standard Deviation 4.3 0.1 0.1 0.1 - - 0.5
     VOLUME OF TRADES (000'S) 19,776,425.8 7,390,409.5 5,830,768.9 25,226,709.0 36,015,746.7 19,879,792.0 24,766,851.4
     NUMBER OF TRADES 297 82 136 388 288 159 121
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 88.6 94.5 97.5 99.6 100.8 102.0 102.9
Weighted Avg. Price 88.8 94.5 97.4 99.6 100.8 101.9 102.9
Avg. Price Bottom 5 Trades 82.9 94.4 97.4 99.5 100.6 101.9 102.8
2nd Quartile Price 86.5 94.5 97.4 99.6 100.8 101.9 102.8
3rd Quartile Price 89.9 94.6 97.5 99.6 100.8 101.9 102.9
4th Quartile Price 90.1 94.6 97.5 99.6 100.9 102.0 102.9
Avg. Price Top 5 Trades 91.5 94.6 97.6 99.7 101.2 102.2 103.0
Standard Deviation 2.9 0.1 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 6,579,188.0 3,250,334.0 3,612,260.0 7,206,130.0 6,386,274.0 3,306,108.0 1,074,405.0
     NUMBER OF TRADES 117 42 73 193 198 94 59
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 94.8 97.5 99.5 101.0 102.3 103.6
Weighted Avg. Price * 94.8 97.5 99.5 101.0 102.3 103.6
Avg. Price Bottom 5 Trades * 94.8 97.4 99.3 100.9 102.3 103.6
2nd Quartile Price * 94.8 97.4 99.4 101.0 102.3 103.6
3rd Quartile Price * 94.9 97.5 99.5 101.0 102.3 103.6
4th Quartile Price * 94.9 97.5 99.5 101.0 102.3 103.7
Avg. Price Top 5 Trades * 94.9 97.5 99.5 101.0 102.3 103.7
Standard Deviation * 0.1 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) * 115,000.0 148,500.0 3,479,750.0 1,483,500.0 202,050.0 3,206,800.0
     NUMBER OF TRADES * 12 29 177 155 48 20
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 90.6 94.4 97.4 99.5 100.7 101.9 102.8
Weighted Avg. Price 90.8 94.4 97.4 99.5 100.7 101.9 102.8
Avg. Price Bottom 5 Trades 89.9 94.4 97.3 99.4 100.7 101.8 102.8
2nd Quartile Price 90.0 94.4 97.4 99.5 100.7 101.8 102.8
3rd Quartile Price 91.3 94.5 97.4 99.5 100.7 101.9 102.8
4th Quartile Price 91.3 94.6 97.5 99.5 100.8 101.9 102.9
Avg. Price Top 5 Trades 91.2 94.5 97.5 99.6 100.8 101.9 103.0
Standard Deviation 0.7 0.1 0.1 - - - 0.1
     VOLUME OF TRADES (000'S) 334,625.0 44,550.0 207,000.0 892,700.0 606,725.0 815,550.0 572,900.0
     NUMBER OF TRADES 14 10 19 97 78 55 26
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
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 - - - - - - -
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 * - - - - - -
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 * - - - - - -
* 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.

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