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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

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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.0 97.4 99.0 100.4 101.7 103.0 *
Weighted Avg. Price 92.4 97.3 99.0 100.4 101.8 103.0 *
Avg. Price Bottom 5 Trades 89.6 97.2 98.8 100.2 101.5 103.0 *
2nd Quartile Price 91.5 97.3 99.0 100.4 101.7 * *
3rd Quartile Price 93.7 97.4 99.1 100.4 101.8 * *
4th Quartile Price 95.2 97.4 99.1 100.4 101.8 * *
Avg. Price Top 5 Trades 96.1 97.5 99.1 100.5 101.9 103.0 *
Standard Deviation 2.3 0.1 0.1 0.1 0.2 - *
     VOLUME OF TRADES (000'S) 118,772.0 264,737.2 1,154,576.0 780,393.0 383,627.0 45,968.0 *
     NUMBER OF TRADES 48 41 189 101 30 12 *
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 * 97.3 98.9 100.3 * * -
Weighted Avg. Price * 97.3 98.9 100.3 * * -
Avg. Price Bottom 5 Trades * 97.2 98.9 100.2 * * -
2nd Quartile Price * 97.3 98.9 100.3 * * -
3rd Quartile Price * 97.3 99.0 100.3 * * -
4th Quartile Price * 97.3 99.0 100.4 * * -
Avg. Price Top 5 Trades * 97.3 99.0 100.4 * * -
Standard Deviation * 0.1 0.1 0.1 * * -
     VOLUME OF TRADES (000'S) * 406,719.0 368,613.9 1,144,400.0 * * -
     NUMBER OF TRADES * 14 12 26 * * -
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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 97.2 98.8 100.2 101.6 * -
Weighted Avg. Price * 97.3 98.9 100.3 101.6 * -
Avg. Price Bottom 5 Trades * 97.2 98.8 100.1 101.6 * -
2nd Quartile Price * 97.2 98.9 100.2 * * -
3rd Quartile Price * 97.3 98.9 100.2 * * -
4th Quartile Price * 97.3 98.9 100.3 * * -
Avg. Price Top 5 Trades * 97.3 98.9 100.2 101.6 * -
Standard Deviation * 0.1 0.1 0.1 - * -
     VOLUME OF TRADES (000'S) * 29,000.0 248,113.9 80,000.0 6,800.0 * -
     NUMBER OF TRADES * 7 13 12 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 - - - - - - -
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

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 - - - 99.4 102.0 103.9 *
Weighted Avg. Price - - - 99.3 101.8 103.7 *
Avg. Price Bottom 5 Trades - - - 99.2 101.7 103.4 *
2nd Quartile Price - - - 99.2 101.8 103.6 *
3rd Quartile Price - - - 99.4 102.0 103.9 *
4th Quartile Price - - - 99.5 102.3 104.4 *
Avg. Price Top 5 Trades - - - 99.5 102.2 104.4 *
Standard Deviation - - - 0.3 0.5 0.4 *
     VOLUME OF TRADES (000'S) - - - 30,103.5 33,100.9 53,958.6 *
     NUMBER OF TRADES - - - 8 8 15 *
APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.9 93.9 96.2 98.4 100.3 101.8 103.6
Weighted Avg. Price 83.5 93.9 96.2 98.4 100.3 101.8 103.4
Avg. Price Bottom 5 Trades 78.4 93.6 95.6 97.9 100.1 101.7 103.4
2nd Quartile Price 83.7 93.8 96.1 98.3 100.2 101.8 103.4
3rd Quartile Price 87.2 93.9 96.2 98.4 100.3 101.8 103.4
4th Quartile Price 87.8 94.0 96.3 98.5 100.3 101.8 103.5
Avg. Price Top 5 Trades 91.4 94.2 96.5 100.3 101.1 102.2 105.4
Standard Deviation 3.9 0.1 0.1 0.2 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 27,055,995.7 4,463,856.7 18,120,772.0 41,131,757.6 50,580,061.0 16,723,013.2 18,554,595.2
     NUMBER OF TRADES 757 192 492 1,695 1,205 448 167
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 86.5 93.3 96.3 98.8 100.4 101.6 103.6
Weighted Avg. Price 84.6 93.3 96.2 98.7 100.3 101.6 103.6
Avg. Price Bottom 5 Trades 81.8 93.2 95.9 98.5 100.1 101.4 103.5
2nd Quartile Price 82.2 93.2 96.2 98.7 100.3 101.5 103.6
3rd Quartile Price 85.7 93.3 96.3 98.8 100.4 101.6 103.6
4th Quartile Price 89.2 93.5 96.4 98.9 100.4 101.6 103.6
Avg. Price Top 5 Trades 91.5 93.6 96.5 99.9 101.5 101.9 103.7
Standard Deviation 3.7 0.2 0.2 0.3 0.3 0.2 0.1
     VOLUME OF TRADES (000'S) 6,025,082.3 2,272,276.0 2,518,062.5 4,564,663.3 8,691,049.9 9,356,378.9 233,631.5
     NUMBER OF TRADES 141 37 72 237 179 114 32
MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.9 93.8 96.2 98.3 100.1 101.7 103.6
Weighted Avg. Price 81.9 93.8 96.1 98.3 100.1 101.7 103.4
Avg. Price Bottom 5 Trades 79.8 93.6 95.9 98.1 99.9 101.6 103.3
2nd Quartile Price 83.6 93.7 96.1 98.2 100.1 101.7 103.4
3rd Quartile Price 83.7 93.8 96.2 98.3 100.1 101.7 103.4
4th Quartile Price 87.4 93.9 96.2 98.4 100.2 101.8 103.5
Avg. Price Top 5 Trades 91.0 94.0 96.3 98.6 100.3 101.8 104.7
Standard Deviation 3.2 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 15,541,779.0 1,986,275.0 5,564,175.0 9,497,489.0 22,745,770.0 11,184,044.9 32,015,357.0
     NUMBER OF TRADES 112 35 58 227 302 125 71
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 85.9 * 96.2 98.6 100.2 101.4 103.5
Weighted Avg. Price 84.9 * 96.1 98.5 100.1 101.4 103.5
Avg. Price Bottom 5 Trades 82.1 * 96.0 98.3 100.1 101.4 103.5
2nd Quartile Price 82.1 * 96.1 98.5 100.1 101.4 *
3rd Quartile Price 85.5 * 96.2 98.5 100.2 101.4 *
4th Quartile Price 90.7 * 96.2 98.6 100.2 101.5 *
Avg. Price Top 5 Trades 90.8 * 96.3 98.7 100.3 101.5 103.5
Standard Deviation 3.7 * 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 5,251,470.0 * 1,146,588.7 1,763,250.0 6,234,550.0 7,971,576.0 33,200.0
     NUMBER OF TRADES 20 * 24 90 145 60 7
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 90.2 93.6 96.0 98.1 100.0 101.6 103.4
Weighted Avg. Price 89.5 93.7 96.0 98.1 100.0 101.6 103.4
Avg. Price Bottom 5 Trades 90.2 93.6 95.9 98.0 99.8 101.6 103.3
2nd Quartile Price * 93.6 96.0 98.1 100.0 101.6 103.4
3rd Quartile Price * 93.7 96.0 98.1 100.0 101.6 103.4
4th Quartile Price * 93.8 96.0 98.2 100.1 101.7 103.4
Avg. Price Top 5 Trades 90.2 93.7 96.1 98.3 100.1 101.7 103.4
Standard Deviation 1.6 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 38,000.0 38,000.0 85,000.0 1,220,250.0 855,500.0 296,500.0 13,841,000.0
     NUMBER OF TRADES 5 10 20 80 144 24 15
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 * * 96.0 98.4 100.0 101.3 *
Weighted Avg. Price * * 96.1 98.4 100.0 101.3 *
Avg. Price Bottom 5 Trades * * 96.0 98.3 99.9 101.2 *
2nd Quartile Price * * 96.0 98.3 100.0 101.3 *
3rd Quartile Price * * 96.1 98.4 100.0 101.3 *
4th Quartile Price * * 96.1 98.4 100.1 101.3 *
Avg. Price Top 5 Trades * * 96.1 98.5 100.1 101.3 *
Standard Deviation * * 0.1 0.1 0.1 0.1 *
     VOLUME OF TRADES (000'S) * * 74,500.0 148,300.0 619,800.0 88,500.0 *
     NUMBER OF TRADES * * 14 33 74 22 *
* 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].