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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

JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.2 97.0 98.7 100.4 101.5 * -
Weighted Avg. Price 92.2 97.0 98.7 100.4 101.5 * -
Avg. Price Bottom 5 Trades 90.0 97.0 98.7 100.3 101.5 * -
2nd Quartile Price 91.0 97.0 98.7 100.4 * * -
3rd Quartile Price 91.1 97.0 98.7 100.4 * * -
4th Quartile Price 93.5 97.1 98.8 100.4 * * -
Avg. Price Top 5 Trades 94.7 97.1 98.8 100.4 101.5 * -
Standard Deviation 1.8 - - - 0.1 * -
     VOLUME OF TRADES (000'S) 435,516.0 251,175.0 718,750.0 309,440.0 115,000.0 * -
     NUMBER OF TRADES 65 28 109 27 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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.2 97.0 98.7 100.2 101.4 * -
Weighted Avg. Price 92.2 96.9 98.7 100.3 101.4 * -
Avg. Price Bottom 5 Trades 90.4 97.0 98.6 100.2 101.4 * -
2nd Quartile Price 91.0 * 98.6 100.2 101.3 * -
3rd Quartile Price 91.1 * 98.6 100.2 101.4 * -
4th Quartile Price 93.5 * 98.7 100.3 101.4 * -
Avg. Price Top 5 Trades 94.0 97.0 98.7 100.3 101.4 * -
Standard Deviation 1.7 - - 0.1 - * -
     VOLUME OF TRADES (000'S) 350,634.0 85,250.0 154,500.0 110,925.0 123,000.0 * -
     NUMBER OF TRADES 24 12 8 11 10 * -
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 - - - - - - -
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.7 * 98.6 100.1 * - -
Weighted Avg. Price 94.8 * 98.5 100.1 * - -
Avg. Price Bottom 5 Trades 94.6 * 98.6 100.1 * - -
2nd Quartile Price 94.8 * * 100.1 * - -
3rd Quartile Price 94.9 * * 100.1 * - -
4th Quartile Price 95.0 * * 100.2 * - -
Avg. Price Top 5 Trades 94.9 * 98.6 100.1 * - -
Standard Deviation 0.4 * - - * - -
     VOLUME OF TRADES (000'S) 19,000.0 * 18,500.0 51,000.0 * - -
     NUMBER OF TRADES 7 * 5 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 - - - - - - -
OCTOBER 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

JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.9 93.3 95.8 98.2 100.3 102.2 103.6
Weighted Avg. Price 86.3 93.4 95.7 98.2 100.3 102.1 103.6
Avg. Price Bottom 5 Trades 78.7 93.2 95.6 97.9 100.1 102.0 103.5
2nd Quartile Price 83.4 93.3 95.7 98.1 100.3 102.1 103.5
3rd Quartile Price 87.1 93.3 95.8 98.2 100.3 102.1 103.5
4th Quartile Price 90.6 93.3 95.8 98.2 100.3 102.2 103.5
Avg. Price Top 5 Trades 90.8 93.5 95.9 98.6 100.9 103.0 105.2
Standard Deviation 4.0 0.1 0.1 0.1 0.1 0.3 0.6
     VOLUME OF TRADES (000'S) 6,047,517.0 2,477,150.0 11,295,940.0 15,547,633.9 17,871,679.9 4,694,462.8 1,892,367.1
     NUMBER OF TRADES 170 82 163 506 428 176 76
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 86.6 92.7 95.9 98.5 100.5 102.2 103.5
Weighted Avg. Price 87.2 92.7 95.8 98.5 100.4 102.1 103.5
Avg. Price Bottom 5 Trades 81.8 92.7 95.7 98.3 100.3 101.7 103.4
2nd Quartile Price 85.3 92.7 95.8 98.5 100.4 102.0 103.5
3rd Quartile Price 88.6 92.8 95.9 98.5 100.5 102.1 103.6
4th Quartile Price 89.5 92.8 96.0 98.6 100.5 102.1 103.6
Avg. Price Top 5 Trades 89.7 92.8 96.0 98.6 100.9 103.3 103.6
Standard Deviation 2.9 0.1 0.1 0.1 0.1 0.4 0.1
     VOLUME OF TRADES (000'S) 2,196,147.0 1,439,975.0 1,589,110.2 3,586,419.3 5,349,246.3 1,430,443.7 1,426,594.1
     NUMBER OF TRADES 44 13 26 85 125 76 37
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.8 93.3 95.7 98.1 100.1 101.8 103.5
Weighted Avg. Price 86.7 93.3 95.7 98.1 100.2 101.9 103.4
Avg. Price Bottom 5 Trades 78.7 93.2 95.6 97.8 99.9 101.8 103.3
2nd Quartile Price 83.4 93.3 95.7 98.0 100.1 101.8 103.4
3rd Quartile Price 87.0 93.3 95.7 98.1 100.1 101.8 103.4
4th Quartile Price 90.5 93.4 95.8 98.1 100.2 101.9 103.4
Avg. Price Top 5 Trades 90.7 93.4 95.8 98.2 100.3 102.0 103.9
Standard Deviation 4.2 0.1 0.1 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 5,164,495.0 2,431,679.0 10,098,950.0 9,613,951.0 12,157,789.9 3,710,209.0 2,832,785.1
     NUMBER OF TRADES 84 35 67 130 221 89 41
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 86.6 92.6 95.8 98.4 100.3 101.9 103.4
Weighted Avg. Price 87.4 92.6 95.7 98.4 100.2 101.9 103.4
Avg. Price Bottom 5 Trades 81.8 92.6 95.7 98.2 100.2 101.8 103.4
2nd Quartile Price 85.2 * 95.8 98.3 100.3 101.9 103.4
3rd Quartile Price 88.6 * 95.8 98.4 100.3 101.9 103.4
4th Quartile Price 89.5 * 95.9 98.5 100.3 101.9 103.5
Avg. Price Top 5 Trades 89.7 92.6 95.9 98.5 100.4 102.0 103.5
Standard Deviation 3.0 - 0.1 0.1 0.1 - 0.1
     VOLUME OF TRADES (000'S) 2,656,506.0 1,202,000.0 1,001,379.0 1,428,215.0 4,396,996.0 1,380,830.0 1,146,850.0
     NUMBER OF TRADES 36 6 25 60 90 74 24
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 95.6 97.9 100.0 101.6 103.5
Weighted Avg. Price * * 95.6 97.9 100.0 101.7 103.3
Avg. Price Bottom 5 Trades * * 95.6 97.8 99.8 101.5 103.2
2nd Quartile Price * * 95.6 97.9 100.0 101.6 103.2
3rd Quartile Price * * 95.7 97.9 100.0 101.7 103.3
4th Quartile Price * * 95.7 98.0 100.0 101.7 103.3
Avg. Price Top 5 Trades * * 95.6 98.0 100.1 101.8 103.8
Standard Deviation * * 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) * * 21,875.0 362,700.0 1,300,901.0 829,750.0 125,100.0
     NUMBER OF TRADES * * 7 54 174 59 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 * * 95.7 98.2 100.1 101.7 103.2
Weighted Avg. Price * * 95.7 98.3 100.1 101.7 103.3
Avg. Price Bottom 5 Trades * * 95.7 98.2 100.0 101.6 103.2
2nd Quartile Price * * 95.7 98.2 100.1 101.6 *
3rd Quartile Price * * 95.7 98.3 100.1 101.7 *
4th Quartile Price * * 95.8 98.3 100.1 101.7 *
Avg. Price Top 5 Trades * * 95.7 98.3 100.2 101.7 103.2
Standard Deviation * * 0.1 0.1 0.1 - -
     VOLUME OF TRADES (000'S) * * 28,500.0 51,500.0 356,750.0 248,300.0 35,000.0
     NUMBER OF TRADES * * 7 17 73 56 5
OCTOBER 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.

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].