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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 (Specified) - Single Family 15Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.4 93.5 99.3 100.7 101.3 101.9 -
Weighted Avg. Price 95.1 98.1 99.5 101.1 102.6 103.9 -
Avg. Price Bottom 5 Trades 69.5 57.9 97.1 98.9 99.1 98.6 -
2nd Quartile Price 92.8 97.1 99.4 100.7 100.4 101.5 -
3rd Quartile Price 94.3 97.8 99.5 100.8 102.0 103.1 -
4th Quartile Price 95.0 99.0 99.7 101.2 102.2 103.6 -
Avg. Price Top 5 Trades 99.1 98.9 100.2 101.3 103.0 103.8 -
Standard Deviation 4.7 17.3 0.9 0.7 1.3 2.4 -
     VOLUME OF TRADES (000'S) 275,639.2 45,356.0 409,443.9 198,871.1 110,986.2 10,968.0 -
     NUMBER OF TRADES 285 45 86 69 57 17 -
FNMA
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 92.5 * - - - - -
Weighted Avg. Price 95.8 * - - - - -
Avg. Price Bottom 5 Trades 87.1 * - - - - -
2nd Quartile Price 88.0 * - - - - -
3rd Quartile Price 96.5 * - - - - -
4th Quartile Price 98.5 * - - - - -
Avg. Price Top 5 Trades 98.7 * - - - - -
Standard Deviation 6.3 * - - - - -
     VOLUME OF TRADES (000'S) 834.3 * - - - - -
     NUMBER OF TRADES 18 * - - - - -
GNMA
AVERAGE PRICE 92.0 * 98.9 - - - -
Weighted Avg. Price 90.8 * 99.7 - - - -
Avg. Price Bottom 5 Trades 87.8 * 97.9 - - - -
2nd Quartile Price 89.3 * 99.6 - - - -
3rd Quartile Price 97.9 * 99.7 - - - -
4th Quartile Price 98.4 * 100.0 - - - -
Avg. Price Top 5 Trades 96.9 * 99.9 - - - -
Standard Deviation 6.1 * 2.8 - - - -
     VOLUME OF TRADES (000'S) 1,185.2 * 50,392.6 - - - -
     NUMBER OF TRADES 10 * 12 - - - -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.9 94.3 97.1 98.9 100.9 102.9 104.2
Weighted Avg. Price 88.0 95.1 97.3 99.4 101.1 102.3 104.7
Avg. Price Bottom 5 Trades 77.1 90.5 92.3 89.5 95.5 89.0 94.5
2nd Quartile Price 84.5 94.1 96.6 98.9 100.6 102.1 104.7
3rd Quartile Price 87.9 94.3 97.2 99.2 100.8 103.7 105.1
4th Quartile Price 91.3 94.9 97.9 99.8 101.6 105.1 105.1
Avg. Price Top 5 Trades 97.4 98.7 99.7 101.8 103.6 105.1 106.1
Standard Deviation 4.1 1.4 1.3 2.1 1.2 4.1 2.5
     VOLUME OF TRADES (000'S) 1,003,806.3 235,677.0 856,959.8 3,609,302.0 2,692,069.4 1,795,756.2 1,545,215.4
     NUMBER OF TRADES 920 238 262 428 319 202 181
FNMA
AVERAGE PRICE * - - - * 102.8 105.1
Weighted Avg. Price * - - - * 104.3 105.1
Avg. Price Bottom 5 Trades * - - - * 90.4 105.1
2nd Quartile Price * - - - * 105.1 *
3rd Quartile Price * - - - * 105.1 *
4th Quartile Price * - - - * 105.1 *
Avg. Price Top 5 Trades * - - - * 103.9 105.1
Standard Deviation * - - - * 5.3 -
     VOLUME OF TRADES (000'S) * - - - * 1,843.0 5,592.2
     NUMBER OF TRADES * - - - * 39 232
FHLMC
AVERAGE PRICE 89.3 93.5 96.9 101.0 * 103.1 105.0
Weighted Avg. Price 83.9 96.6 94.3 101.2 * 105.1 105.1
Avg. Price Bottom 5 Trades 78.4 88.6 96.9 99.7 * 102.4 105.0
2nd Quartile Price 87.9 92.4 * 101.3 * 101.5 *
3rd Quartile Price 91.3 94.5 * 101.6 * 104.5 *
4th Quartile Price 92.0 95.4 * 101.7 * 105.1 *
Avg. Price Top 5 Trades 94.7 95.8 96.9 102.1 * 104.3 105.0
Standard Deviation 4.8 2.7 1.6 2.3 * 2.0 0.5
     VOLUME OF TRADES (000'S) 1,457.8 3,889.9 726.8 3,466.3 * 1,795.1 3,863.9
     NUMBER OF TRADES 42 27 7 10 * 8 78
GNMA
AVERAGE PRICE 87.9 94.4 97.6 99.7 101.2 101.5 100.7
Weighted Avg. Price 85.1 93.9 97.2 99.6 100.8 102.4 104.2
Avg. Price Bottom 5 Trades 82.0 93.3 96.7 92.8 90.9 87.9 65.7
2nd Quartile Price 85.7 93.8 97.0 99.6 100.8 101.9 102.2
3rd Quartile Price 89.2 93.8 97.2 99.8 101.2 102.3 103.9
4th Quartile Price 89.6 94.2 97.8 100.1 102.0 103.1 104.2
Avg. Price Top 5 Trades 93.8 98.0 99.7 103.0 105.4 105.4 107.2
Standard Deviation 3.5 1.6 0.9 1.3 2.4 4.7 9.6
     VOLUME OF TRADES (000'S) 3,194,584.1 569,887.6 1,714,791.3 2,371,524.6 6,104,684.4 474,717.6 366,795.8
     NUMBER OF TRADES 143 43 72 301 244 122 112
Pricing Table: Agency Pass-Thru (Specified) - Adjustable/Hybrid
METRIC INITIAL FIXED RATE PERIOD
ARM/SEASONED 3/1 5/1 7/1 10/1
FNMA
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 102.9 - * 99.3 -
Weighted Avg. Price 102.9 - * 99.9 -
Avg. Price Bottom 5 Trades 102.9 - * 98.9 -
2nd Quartile Price * - * 99.8 -
3rd Quartile Price * - * 100.1 -
4th Quartile Price * - * 100.3 -
Avg. Price Top 5 Trades 102.9 - * 100.0 -
Standard Deviation 0.3 - * 1.7 -
     VOLUME OF TRADES (000'S) 1,338.1 - * 75,240.8 -
     NUMBER OF TRADES 10 - * 7 -
GNMA
AVERAGE PRICE - - 99.1 - -
Weighted Avg. Price - - 100.7 - -
Avg. Price Bottom 5 Trades - - 97.4 - -
2nd Quartile Price - - 97.6 - -
3rd Quartile Price - - 100.0 - -
4th Quartile Price - - 101.2 - -
Avg. Price Top 5 Trades - - 100.5 - -
Standard Deviation - - 1.7 - -
     VOLUME OF TRADES (000'S) - - 143,683.1 - -
     NUMBER OF TRADES - - 13 - -
* 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].

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