As of
Download

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

FEBRUARY 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 - - - - - - -
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 96.1 99.1 100.3 101.4 102.4 103.4 -
Weighted Avg. Price 96.5 99.1 100.3 101.4 102.3 103.4 -
Avg. Price Bottom 5 Trades 93.8 99.0 100.2 101.3 102.3 103.4 -
2nd Quartile Price 95.0 99.1 100.3 101.4 102.3 * -
3rd Quartile Price 96.6 99.1 100.3 101.4 102.4 * -
4th Quartile Price 97.5 99.1 100.3 101.4 102.4 * -
Avg. Price Top 5 Trades 97.5 99.2 100.3 101.4 102.4 103.4 -
Standard Deviation 1.3 0.1 - - - - -
     VOLUME OF TRADES (000'S) 236,077.2 367,221.7 1,148,262.9 593,998.6 160,483.0 12,300.0 -
     NUMBER OF TRADES 59 53 181 61 17 5 -
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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 99.0 100.2 101.3 * * -
Weighted Avg. Price * 99.0 100.2 101.3 * * -
Avg. Price Bottom 5 Trades * 98.9 100.1 101.3 * * -
2nd Quartile Price * 99.0 100.2 101.3 * * -
3rd Quartile Price * 99.0 100.2 101.3 * * -
4th Quartile Price * 99.0 100.2 101.3 * * -
Avg. Price Top 5 Trades * 99.1 100.3 101.3 * * -
Standard Deviation * 0.1 0.1 - * * -
     VOLUME OF TRADES (000'S) * 136,400.0 291,875.0 65,146.4 * * -
     NUMBER OF TRADES * 20 41 17 * * -
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 - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 97.2 98.9 100.1 101.2 * * -
Weighted Avg. Price 97.3 98.9 100.2 101.3 * * -
Avg. Price Bottom 5 Trades 97.1 98.9 100.1 101.2 * * -
2nd Quartile Price 97.3 98.9 100.1 101.2 * * -
3rd Quartile Price 97.3 98.9 100.1 101.2 * * -
4th Quartile Price 97.4 99.0 100.2 101.3 * * -
Avg. Price Top 5 Trades 97.3 99.0 100.2 101.3 * * -
Standard Deviation 0.3 0.1 - - * * -
     VOLUME OF TRADES (000'S) 12,200.0 23,600.0 108,300.0 72,000.0 * * -
     NUMBER OF TRADES 8 12 20 18 * * -
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

FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - 102.0 - - -
Weighted Avg. Price - - - 101.9 - - -
Avg. Price Bottom 5 Trades - - - 102.0 - - -
2nd Quartile Price - - - * - - -
3rd Quartile Price - - - * - - -
4th Quartile Price - - - * - - -
Avg. Price Top 5 Trades - - - 102.0 - - -
Standard Deviation - - - 0.5 - - -
     VOLUME OF TRADES (000'S) - - - 6,455.9 - - -
     NUMBER OF TRADES - - - 5 - - -
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 89.3 95.7 98.6 100.4 101.3 102.4 103.8
Weighted Avg. Price 88.8 95.7 98.6 100.4 101.3 102.3 103.7
Avg. Price Bottom 5 Trades 83.8 95.6 98.4 100.2 101.2 102.1 102.8
2nd Quartile Price 87.6 95.7 98.6 100.3 101.3 102.3 103.7
3rd Quartile Price 91.1 95.7 98.6 100.4 101.3 102.3 103.9
4th Quartile Price 91.6 95.7 98.6 100.4 101.3 102.4 104.0
Avg. Price Top 5 Trades 92.9 95.9 98.7 101.2 102.9 103.5 105.4
Standard Deviation 3.1 0.1 0.1 0.1 0.3 0.2 0.5
     VOLUME OF TRADES (000'S) 7,331,148.5 2,061,044.9 1,600,460.9 4,007,301.0 2,732,005.7 2,708,247.9 4,702,755.0
     NUMBER OF TRADES 231 48 120 237 220 186 163
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.9 96.7 98.6 100.3 101.5 102.5 103.8
Weighted Avg. Price 88.8 96.7 98.7 100.3 101.5 102.5 103.8
Avg. Price Bottom 5 Trades 82.2 96.6 98.6 100.2 101.5 102.5 103.7
2nd Quartile Price 86.0 96.6 98.6 100.3 101.5 102.5 103.8
3rd Quartile Price 89.8 96.7 98.6 100.3 101.5 102.5 103.8
4th Quartile Price 93.6 96.7 98.7 100.3 101.5 102.5 103.8
Avg. Price Top 5 Trades 93.7 96.8 98.9 100.5 102.7 102.6 104.9
Standard Deviation 4.0 - 0.1 - 0.1 - 0.2
     VOLUME OF TRADES (000'S) 7,704,110.1 4,101,712.5 12,977,110.0 31,675,126.3 28,226,478.1 32,617,150.5 15,694,963.0
     NUMBER OF TRADES 374 260 536 1,215 742 395 161
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 88.9 95.7 98.5 100.2 101.2 101.9 103.7
Weighted Avg. Price 87.6 95.7 98.4 100.2 101.2 101.9 103.7
Avg. Price Bottom 5 Trades 82.3 95.5 98.3 100.1 101.0 101.8 103.0
2nd Quartile Price 87.6 95.6 98.4 100.2 101.1 101.8 103.7
3rd Quartile Price 87.9 95.6 98.4 100.2 101.2 101.9 103.8
4th Quartile Price 91.3 95.7 98.5 100.2 101.2 101.9 103.9
Avg. Price Top 5 Trades 92.9 96.4 99.1 101.0 103.2 104.0 104.7
Standard Deviation 3.2 0.5 0.2 0.1 0.3 0.4 0.4
     VOLUME OF TRADES (000'S) 19,656,314.8 3,953,867.9 3,359,071.0 7,703,446.6 4,110,175.8 3,484,784.5 3,940,049.0
     NUMBER OF TRADES 292 84 198 381 318 205 169
APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.3 96.4 98.5 100.2 101.4 102.5 103.9
Weighted Avg. Price 86.9 96.4 98.6 100.2 101.5 102.5 103.8
Avg. Price Bottom 5 Trades 84.5 96.3 98.5 100.1 101.4 102.4 103.7
2nd Quartile Price 86.0 96.4 98.5 100.2 101.4 102.5 103.8
3rd Quartile Price 86.1 96.4 98.5 100.2 101.4 102.5 103.8
4th Quartile Price 93.5 96.4 98.6 100.2 101.4 102.5 103.8
Avg. Price Top 5 Trades 93.6 96.5 98.7 100.3 101.5 102.5 104.3
Standard Deviation 3.9 0.1 - - - - 0.3
     VOLUME OF TRADES (000'S) 3,336,815.0 1,896,101.2 4,692,019.9 13,867,376.0 13,015,320.0 24,101,050.0 14,022,124.0
     NUMBER OF TRADES 26 83 143 446 229 76 58
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 87.5 95.5 98.3 100.0 101.0 101.8 103.6
Weighted Avg. Price 86.4 95.6 98.3 100.0 101.0 101.8 103.6
Avg. Price Bottom 5 Trades 85.2 95.5 98.3 99.9 101.0 101.7 103.5
2nd Quartile Price 84.2 95.5 98.3 100.0 101.0 101.8 103.6
3rd Quartile Price 87.6 95.5 98.3 100.0 101.0 101.8 103.7
4th Quartile Price 92.4 95.6 98.3 100.0 101.0 101.8 103.7
Avg. Price Top 5 Trades 92.5 95.6 98.4 100.3 101.8 102.2 103.7
Standard Deviation 3.3 0.1 - 0.1 0.2 0.3 0.1
     VOLUME OF TRADES (000'S) 3,017,000.0 642,000.0 1,598,350.0 2,899,450.0 1,191,900.0 742,554.4 2,233,000.0
     NUMBER OF TRADES 20 8 96 287 190 65 33
MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 96.2 98.4 100.1 101.3 102.4 *
Weighted Avg. Price * 96.2 98.5 100.1 101.3 102.4 *
Avg. Price Bottom 5 Trades * 96.1 98.3 100.0 101.3 102.4 *
2nd Quartile Price * 96.1 98.4 100.0 101.3 102.4 *
3rd Quartile Price * 96.2 98.4 100.1 101.3 102.4 *
4th Quartile Price * 96.2 98.5 100.1 101.3 102.4 *
Avg. Price Top 5 Trades * 96.2 98.6 100.2 101.4 102.4 *
Standard Deviation * - 0.1 - - - *
     VOLUME OF TRADES (000'S) * 2,325,091.2 400,042.0 3,500,286.0 575,800.0 144,100.0 *
     NUMBER OF TRADES * 45 79 282 88 18 *
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].