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

SEPTEMBER 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 - - - - - - -
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.6 93.2 95.1 97.3 99.2 100.5 -
Weighted Avg. Price 89.8 93.1 95.2 97.4 99.2 100.5 -
Avg. Price Bottom 5 Trades 87.7 93.2 94.8 97.0 98.8 100.5 -
2nd Quartile Price 88.6 * 95.0 97.1 99.0 100.4 -
3rd Quartile Price 89.8 * 95.1 97.3 99.3 100.4 -
4th Quartile Price 90.6 * 95.3 97.5 99.3 100.6 -
Avg. Price Top 5 Trades 91.6 93.2 95.5 97.5 99.3 100.5 -
Standard Deviation 1.4 0.1 0.2 0.2 0.2 0.1 -
     VOLUME OF TRADES (000'S) 113,754.0 28,050.0 572,120.0 904,775.9 606,736.8 53,557.0 -
     NUMBER OF TRADES 35 5 68 126 100 23 -
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 - - - - - - -
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * - * 97.2 98.9 100.4 -
Weighted Avg. Price * - * 97.3 99.0 100.3 -
Avg. Price Bottom 5 Trades * - * 97.2 98.7 100.3 -
2nd Quartile Price * - * 97.3 98.8 100.2 -
3rd Quartile Price * - * 97.4 98.9 100.2 -
4th Quartile Price * - * 97.5 99.1 100.6 -
Avg. Price Top 5 Trades * - * 97.4 99.1 100.4 -
Standard Deviation * - * 0.2 0.2 0.2 -
     VOLUME OF TRADES (000'S) * - * 238,902.0 143,472.0 29,929.0 -
     NUMBER OF TRADES * - * 7 12 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 - - - - - - -
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * * 96.7 98.9 * -
Weighted Avg. Price * * * 96.7 98.8 * -
Avg. Price Bottom 5 Trades * * * 96.6 98.6 * -
2nd Quartile Price * * * 96.6 98.7 * -
3rd Quartile Price * * * 96.8 98.7 * -
4th Quartile Price * * * 96.9 99.0 * -
Avg. Price Top 5 Trades * * * 96.8 99.1 * -
Standard Deviation * * * 0.1 0.6 * -
     VOLUME OF TRADES (000'S) * * * 23,000.0 55,000.0 * -
     NUMBER OF TRADES * * * 9 11 * -
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

SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - - 96.5 99.4 101.7
Weighted Avg. Price - - - - 96.7 98.9 101.7
Avg. Price Bottom 5 Trades - - - - 96.2 99.4 101.6
2nd Quartile Price - - - - 96.2 * 101.6
3rd Quartile Price - - - - 96.3 * 101.8
4th Quartile Price - - - - 98.1 * 101.9
Avg. Price Top 5 Trades - - - - 96.7 99.4 101.9
Standard Deviation - - - - 0.7 1.2 0.2
     VOLUME OF TRADES (000'S) - - - - 43,232.4 31,122.8 21,605.3
     NUMBER OF TRADES - - - - 7 5 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 - - - - - * -
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 81.6 88.4 91.0 93.5 96.1 98.7 101.1
Weighted Avg. Price 81.5 88.4 90.9 93.5 96.1 98.7 101.2
Avg. Price Bottom 5 Trades 74.8 87.8 90.4 93.0 95.5 98.1 100.6
2nd Quartile Price 78.7 88.1 90.7 93.3 95.9 98.5 100.9
3rd Quartile Price 82.6 88.4 91.2 93.4 96.0 98.6 101.1
4th Quartile Price 85.6 88.7 91.3 93.7 96.4 98.9 101.3
Avg. Price Top 5 Trades 86.2 88.8 91.4 94.0 96.6 99.8 103.2
Standard Deviation 3.7 0.3 0.3 0.3 0.3 0.3 0.5
     VOLUME OF TRADES (000'S) 11,701,555.0 9,013,345.1 13,201,074.4 49,123,168.9 52,457,030.8 47,441,142.0 16,719,869.8
     NUMBER OF TRADES 387 163 301 912 1,708 1,374 564
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 82.2 87.2 90.5 93.6 96.1 98.7 101.0
Weighted Avg. Price 83.5 87.6 90.5 93.7 96.2 98.7 100.8
Avg. Price Bottom 5 Trades 77.4 86.9 89.9 93.2 95.6 98.1 100.3
2nd Quartile Price 80.7 87.0 90.2 93.5 96.0 98.5 100.7
3rd Quartile Price 83.9 87.2 90.5 93.6 96.1 98.7 100.8
4th Quartile Price 84.1 87.3 90.8 93.8 96.4 98.8 101.0
Avg. Price Top 5 Trades 84.5 87.5 90.9 94.3 96.8 99.4 102.7
Standard Deviation 2.5 0.3 0.3 0.3 0.3 0.3 0.6
     VOLUME OF TRADES (000'S) 464,420.7 470,279.5 1,174,283.3 2,979,676.5 7,683,250.2 8,384,488.3 2,019,408.2
     NUMBER OF TRADES 60 17 69 93 190 326 147
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 80.1 88.2 90.7 93.3 95.9 98.4 100.7
Weighted Avg. Price 79.8 88.3 90.6 93.3 96.0 98.5 100.9
Avg. Price Bottom 5 Trades 75.2 87.8 90.3 92.9 95.4 97.9 100.2
2nd Quartile Price 78.2 87.9 90.5 93.2 95.7 98.2 100.4
3rd Quartile Price 81.9 88.3 90.6 93.2 95.9 98.4 100.7
4th Quartile Price 82.5 88.4 90.8 93.3 96.3 98.8 101.0
Avg. Price Top 5 Trades 85.6 88.7 91.1 93.9 96.5 98.9 103.0
Standard Deviation 3.3 0.3 0.3 0.2 0.3 0.3 0.4
     VOLUME OF TRADES (000'S) 5,723,024.5 4,143,149.0 6,904,300.0 27,973,631.0 11,369,985.0 14,411,055.0 15,145,050.0
     NUMBER OF TRADES 51 30 41 132 127 314 320
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 * * * 93.6 95.9 98.4 100.5
Weighted Avg. Price * * * 93.9 95.9 98.4 100.6
Avg. Price Bottom 5 Trades * * * 93.4 95.6 98.0 100.0
2nd Quartile Price * * * 93.5 95.6 98.1 100.1
3rd Quartile Price * * * 93.6 95.9 98.4 100.4
4th Quartile Price * * * 94.1 96.1 98.6 100.6
Avg. Price Top 5 Trades * * * 94.0 96.5 99.0 102.3
Standard Deviation * * * 0.3 0.3 0.3 0.5
     VOLUME OF TRADES (000'S) * * * 598,100.0 1,667,350.0 2,775,425.0 1,449,100.0
     NUMBER OF TRADES * * * 14 41 132 179
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * * 92.9 95.5 98.2 100.6
Weighted Avg. Price * * * 92.9 95.6 98.3 100.7
Avg. Price Bottom 5 Trades * * * 92.9 95.3 97.8 99.9
2nd Quartile Price * * * * 95.3 97.9 100.2
3rd Quartile Price * * * * 95.5 98.2 100.5
4th Quartile Price * * * * 95.7 98.6 100.8
Avg. Price Top 5 Trades * * * 92.9 95.8 98.7 103.4
Standard Deviation * * * 0.1 0.2 0.3 0.7
     VOLUME OF TRADES (000'S) * * * 6,500.0 67,350.0 1,021,900.0 1,560,850.0
     NUMBER OF TRADES * * * 5 16 96 137
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 84.0 * 90.0 93.4 95.9 98.2 100.3
Weighted Avg. Price 84.0 * 90.0 93.5 95.9 98.3 100.2
Avg. Price Bottom 5 Trades 84.0 * 90.0 93.3 95.6 97.8 99.7
2nd Quartile Price * * 90.0 93.2 95.7 98.0 99.9
3rd Quartile Price * * 90.1 93.6 95.7 98.2 100.2
4th Quartile Price * * 90.1 94.1 96.0 98.4 100.4
Avg. Price Top 5 Trades 84.0 * 90.0 93.5 96.2 98.8 101.9
Standard Deviation 0.2 * 0.1 0.3 0.3 0.3 0.5
     VOLUME OF TRADES (000'S) 19,000.0 * 20,000.0 16,000.0 154,900.0 1,276,500.0 977,100.0
     NUMBER OF TRADES 5 * 6 6 16 60 69
* 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].