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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

MAY 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 - - - - - - -
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.7 96.8 98.7 100.3 101.6 102.8 -
Weighted Avg. Price 92.7 96.8 98.6 100.3 101.6 102.1 -
Avg. Price Bottom 5 Trades 91.2 96.7 98.6 100.2 101.5 102.8 -
2nd Quartile Price 91.7 96.8 98.6 100.3 101.5 * -
3rd Quartile Price 94.7 96.8 98.7 100.3 101.6 * -
4th Quartile Price 95.3 96.8 98.7 100.3 101.7 * -
Avg. Price Top 5 Trades 95.3 96.8 98.7 100.3 101.7 102.8 -
Standard Deviation 1.6 - - - 0.1 0.3 -
     VOLUME OF TRADES (000'S) 380,229.0 579,561.0 1,678,631.0 1,958,443.3 115,825.0 84,838.7 -
     NUMBER OF TRADES 53 68 193 116 34 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 - - - - - - -
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 - - - - - - -
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.3 96.7 98.6 100.2 101.4 * -
Weighted Avg. Price 91.9 96.6 98.5 100.2 101.5 * -
Avg. Price Bottom 5 Trades 92.3 96.7 98.5 100.1 101.4 * -
2nd Quartile Price * 96.7 98.5 100.2 * * -
3rd Quartile Price * 96.7 98.6 100.2 * * -
4th Quartile Price * 96.7 98.6 100.2 * * -
Avg. Price Top 5 Trades 92.3 96.7 98.6 100.2 101.4 * -
Standard Deviation 1.2 - - - - * -
     VOLUME OF TRADES (000'S) 260,000.0 70,000.0 636,375.0 1,409,483.0 90,500.0 * -
     NUMBER OF TRADES 8 10 26 43 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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.7 * 98.5 100.0 101.4 * -
Weighted Avg. Price 94.9 * 98.5 100.0 101.4 * -
Avg. Price Bottom 5 Trades 94.4 * 98.5 100.0 101.4 * -
2nd Quartile Price 94.7 * * 100.0 * * -
3rd Quartile Price 94.7 * * 100.1 * * -
4th Quartile Price 95.2 * * 100.1 * * -
Avg. Price Top 5 Trades 95.1 * 98.5 100.1 101.4 * -
Standard Deviation 0.5 * - - - * -
     VOLUME OF TRADES (000'S) 89,000.0 * 17,000.0 29,000.0 15,200.0 * -
     NUMBER OF TRADES 13 * 6 11 8 * -
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

MAY 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 - - - - - * *
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 86.0 93.3 95.6 98.0 100.1 101.8 104.1
Weighted Avg. Price 86.4 93.3 95.6 98.0 100.1 101.8 104.0
Avg. Price Bottom 5 Trades 78.4 93.2 95.5 97.8 100.0 101.7 103.6
2nd Quartile Price 83.4 93.3 95.6 97.9 100.1 101.8 103.6
3rd Quartile Price 87.1 93.3 95.6 98.0 100.1 101.8 103.7
4th Quartile Price 90.6 93.4 95.7 98.0 100.2 101.9 103.7
Avg. Price Top 5 Trades 90.7 93.4 95.8 98.7 101.0 101.9 105.7
Standard Deviation 3.9 0.1 0.1 0.1 0.1 - 0.8
     VOLUME OF TRADES (000'S) 15,069,560.1 13,511,584.0 25,592,797.0 40,145,857.3 34,841,932.1 17,252,263.1 7,894,904.1
     NUMBER OF TRADES 395 200 511 1,280 1,110 486 164
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 86.9 92.7 95.8 98.4 100.4 102.0 103.9
Weighted Avg. Price 87.1 92.7 95.9 98.4 100.4 101.8 103.9
Avg. Price Bottom 5 Trades 81.6 92.5 95.6 98.3 100.2 101.5 103.6
2nd Quartile Price 85.2 92.6 95.8 98.4 100.3 101.7 103.8
3rd Quartile Price 88.6 92.7 95.8 98.4 100.3 101.8 103.9
4th Quartile Price 88.7 92.8 95.9 98.5 100.4 101.8 104.0
Avg. Price Top 5 Trades 89.9 92.7 96.1 99.0 101.3 103.8 104.2
Standard Deviation 2.9 0.1 0.1 0.2 0.2 0.7 0.2
     VOLUME OF TRADES (000'S) 3,283,894.0 2,143,992.0 7,217,068.6 4,217,935.8 7,978,270.3 3,067,412.7 1,047,881.9
     NUMBER OF TRADES 65 30 121 164 288 172 67
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.7 93.2 95.5 97.9 100.0 101.7 103.6
Weighted Avg. Price 86.7 93.2 95.5 97.8 100.0 101.7 103.8
Avg. Price Bottom 5 Trades 79.5 93.1 95.4 97.7 99.9 101.6 103.4
2nd Quartile Price 83.3 93.1 95.4 97.8 99.9 101.7 103.4
3rd Quartile Price 86.9 93.2 95.5 97.9 100.0 101.7 103.5
4th Quartile Price 90.4 93.3 95.5 97.9 100.0 101.7 103.5
Avg. Price Top 5 Trades 90.6 93.3 95.7 98.0 100.1 101.7 105.5
Standard Deviation 3.9 0.1 0.1 0.1 - - 0.5
     VOLUME OF TRADES (000'S) 7,952,662.7 11,554,342.0 18,102,712.0 22,124,508.0 19,796,183.0 10,042,687.5 7,457,548.0
     NUMBER OF TRADES 39 47 108 212 306 161 74
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 87.6 92.7 95.7 98.3 100.2 101.6 103.8
Weighted Avg. Price 86.9 92.7 95.8 98.2 100.2 101.6 103.8
Avg. Price Bottom 5 Trades 85.7 92.7 95.6 98.2 100.1 101.5 103.7
2nd Quartile Price 88.4 * 95.7 98.3 100.1 101.6 103.7
3rd Quartile Price 88.5 * 95.7 98.3 100.2 101.6 103.8
4th Quartile Price 89.8 * 95.8 98.3 100.2 101.7 103.8
Avg. Price Top 5 Trades 89.5 92.7 95.8 98.4 100.2 101.7 103.9
Standard Deviation 2.5 - 0.1 0.1 - 0.1 0.1
     VOLUME OF TRADES (000'S) 2,461,250.0 1,839,797.0 4,374,990.0 1,658,000.0 5,133,400.0 3,292,663.0 715,825.0
     NUMBER OF TRADES 13 13 36 68 156 116 34
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.7 93.0 95.4 97.7 99.8 101.5 103.8
Weighted Avg. Price 90.4 93.1 95.3 97.7 99.8 101.5 103.3
Avg. Price Bottom 5 Trades 89.7 93.0 95.3 97.6 99.7 101.4 103.3
2nd Quartile Price * 93.0 95.4 97.7 99.8 101.5 103.3
3rd Quartile Price * 93.1 95.4 97.7 99.8 101.5 103.3
4th Quartile Price * 93.1 95.5 97.8 99.9 101.5 105.3
Avg. Price Top 5 Trades 89.7 93.1 95.5 97.8 99.9 101.5 104.6
Standard Deviation 1.6 - 0.1 0.1 - - 0.9
     VOLUME OF TRADES (000'S) 36,000.0 125,000.0 262,650.0 377,100.0 771,600.0 372,300.0 1,549,500.0
     NUMBER OF TRADES 5 17 19 48 146 69 13
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 89.7 92.5 95.6 98.1 100.0 101.4 103.5
Weighted Avg. Price 89.8 92.5 95.6 98.1 100.0 101.4 103.5
Avg. Price Bottom 5 Trades 89.7 92.4 95.4 98.1 99.9 101.4 103.5
2nd Quartile Price 89.6 92.4 95.5 98.1 100.0 101.4 103.5
3rd Quartile Price 89.8 92.5 95.6 98.2 100.0 101.5 103.5
4th Quartile Price 89.8 92.7 95.6 98.2 100.0 101.5 103.5
Avg. Price Top 5 Trades 89.7 92.5 95.7 98.2 100.0 101.5 103.5
Standard Deviation 0.1 0.1 0.1 - - - -
     VOLUME OF TRADES (000'S) 41,000.0 25,500.0 340,500.0 196,500.0 744,950.0 1,393,750.0 1,523,250.0
     NUMBER OF TRADES 6 6 29 32 63 46 9
* 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].