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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 86.7 93.4 96.5 98.3 99.4 99.5 103.2
Weighted Avg. Price 91.0 95.1 97.1 99.0 100.6 102.0 103.2
Avg. Price Bottom 5 Trades 75.3 89.1 95.0 94.4 96.2 91.8 103.2
2nd Quartile Price 85.6 92.2 96.0 97.8 99.0 98.8 *
3rd Quartile Price 88.5 94.4 96.7 98.8 99.8 100.9 *
4th Quartile Price 92.2 94.8 96.9 99.1 100.4 101.7 *
Avg. Price Top 5 Trades 98.1 96.0 98.2 100.0 100.8 102.1 103.2
Standard Deviation 8.4 2.7 0.8 1.4 1.3 3.4 0.1
     VOLUME OF TRADES (000'S) 55,080.2 7,200.1 71,090.3 587,524.3 214,070.3 52,843.1 6,408.2
     NUMBER OF TRADES 117 35 76 208 123 80 5
FNMA
AVERAGE PRICE 97.9 - - - - - -
Weighted Avg. Price 97.7 - - - - - -
Avg. Price Bottom 5 Trades 97.7 - - - - - -
2nd Quartile Price 97.8 - - - - - -
3rd Quartile Price 98.7 - - - - - -
4th Quartile Price 99.2 - - - - - -
Avg. Price Top 5 Trades 98.7 - - - - - -
Standard Deviation 1.3 - - - - - -
     VOLUME OF TRADES (000'S) 106.0 - - - - - -
     NUMBER OF TRADES 7 - - - - - -
FHLMC
AVERAGE PRICE 85.4 * - - - * -
Weighted Avg. Price 95.3 * - - - * -
Avg. Price Bottom 5 Trades 76.2 * - - - * -
2nd Quartile Price 81.0 * - - - * -
3rd Quartile Price 88.7 * - - - * -
4th Quartile Price 96.0 * - - - * -
Avg. Price Top 5 Trades 98.1 * - - - * -
Standard Deviation 10.3 * - - - * -
     VOLUME OF TRADES (000'S) 217.1 * - - - * -
     NUMBER OF TRADES 26 * - - - * -
GNMA
AVERAGE PRICE * * 97.0 99.1 100.5 * -
Weighted Avg. Price * * 97.1 99.1 100.4 * -
Avg. Price Bottom 5 Trades * * 97.0 99.1 100.5 * -
2nd Quartile Price * * * * * * -
3rd Quartile Price * * * * * * -
4th Quartile Price * * * * * * -
Avg. Price Top 5 Trades * * 97.0 99.1 100.5 * -
Standard Deviation * * 0.2 - 0.1 * -
     VOLUME OF TRADES (000'S) * * 10,849.0 6,332.6 3,863.0 * -
     NUMBER OF TRADES * * 5 6 5 * -
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.8 89.1 92.0 95.5 97.8 99.6 98.3
Weighted Avg. Price 85.1 90.9 94.0 95.8 98.4 100.5 102.7
Avg. Price Bottom 5 Trades 70.3 80.5 81.2 90.9 78.2 74.4 73.2
2nd Quartile Price 80.6 88.7 92.2 95.0 97.8 100.2 99.3
3rd Quartile Price 84.0 89.7 92.8 95.4 98.2 100.6 102.6
4th Quartile Price 87.2 90.3 93.2 95.9 98.5 100.9 103.4
Avg. Price Top 5 Trades 94.9 95.7 97.6 99.6 101.4 102.5 107.1
Standard Deviation 4.3 2.9 3.2 1.5 3.2 4.3 9.4
     VOLUME OF TRADES (000'S) 979,520.8 179,127.9 80,838.3 2,753,381.3 6,609,582.8 5,630,813.8 1,037,210.0
     NUMBER OF TRADES 1,264 401 313 429 650 427 230
FNMA
AVERAGE PRICE 92.0 90.8 * * * * -
Weighted Avg. Price 91.9 94.9 * * * * -
Avg. Price Bottom 5 Trades 91.2 90.8 * * * * -
2nd Quartile Price 91.6 * * * * * -
3rd Quartile Price 92.1 * * * * * -
4th Quartile Price 93.5 * * * * * -
Avg. Price Top 5 Trades 92.5 90.8 * * * * -
Standard Deviation 1.2 2.1 * * * * -
     VOLUME OF TRADES (000'S) 4,662.7 590.5 * * * * -
     NUMBER OF TRADES 8 7 * * * * -
FHLMC
AVERAGE PRICE 84.4 86.9 93.3 93.4 * 92.2 85.9
Weighted Avg. Price 89.5 96.7 95.7 97.5 * 101.1 81.5
Avg. Price Bottom 5 Trades 78.3 78.8 91.4 92.0 * 87.1 81.3
2nd Quartile Price 81.6 83.6 92.6 95.9 * 90.0 81.0
3rd Quartile Price 84.0 89.6 94.5 95.9 * 94.0 90.5
4th Quartile Price 87.7 90.9 96.2 98.3 * 100.7 90.5
Avg. Price Top 5 Trades 91.4 95.7 96.3 94.8 * 97.6 86.4
Standard Deviation 4.0 7.2 3.7 6.6 * 7.6 4.8
     VOLUME OF TRADES (000'S) 10,372.9 8,715.3 4,121.7 3,434.8 * 964.4 1.5
     NUMBER OF TRADES 63 42 13 9 * 9 12
GNMA
AVERAGE PRICE 85.0 90.0 92.4 93.8 96.3 99.4 96.4
Weighted Avg. Price 84.8 89.6 93.0 95.9 98.5 100.8 102.5
Avg. Price Bottom 5 Trades 77.3 85.1 89.1 84.6 79.0 80.7 76.0
2nd Quartile Price 82.4 89.4 91.8 94.5 97.8 100.0 95.0
3rd Quartile Price 84.6 91.0 92.3 95.6 98.4 100.6 102.3
4th Quartile Price 87.8 92.4 93.9 96.1 98.8 101.2 103.1
Avg. Price Top 5 Trades 91.4 92.5 96.9 99.5 103.7 105.3 104.6
Standard Deviation 3.5 3.1 3.8 5.1 6.2 5.3 10.5
     VOLUME OF TRADES (000'S) 334,305.1 1,715,738.9 164,939.5 237,701.5 1,151,353.8 878,843.1 458,257.7
     NUMBER OF TRADES 139 47 29 112 201 182 144
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 * - - 98.7 *
Weighted Avg. Price * - - 99.0 *
Avg. Price Bottom 5 Trades * - - 98.4 *
2nd Quartile Price * - - 98.9 *
3rd Quartile Price * - - 99.8 *
4th Quartile Price * - - 100.3 *
Avg. Price Top 5 Trades * - - 99.7 *
Standard Deviation * - - 2.8 *
     VOLUME OF TRADES (000'S) * - - 257,734.4 *
     NUMBER OF TRADES * - - 8 *
FHLMC
AVERAGE PRICE - - - 97.2 *
Weighted Avg. Price - - - 98.6 *
Avg. Price Bottom 5 Trades - - - 93.7 *
2nd Quartile Price - - - 95.7 *
3rd Quartile Price - - - 98.6 *
4th Quartile Price - - - 99.8 *
Avg. Price Top 5 Trades - - - 99.9 *
Standard Deviation - - - 3.0 *
     VOLUME OF TRADES (000'S) - - - 226,211.7 *
     NUMBER OF TRADES - - - 16 *
GNMA
AVERAGE PRICE - 98.2 96.8 - -
Weighted Avg. Price - 98.6 97.4 - -
Avg. Price Bottom 5 Trades - 96.9 92.0 - -
2nd Quartile Price - 96.5 96.1 - -
3rd Quartile Price - 99.6 97.8 - -
4th Quartile Price - 99.9 99.4 - -
Avg. Price Top 5 Trades - 99.8 100.1 - -
Standard Deviation - 1.7 2.6 - -
     VOLUME OF TRADES (000'S) - 41,098.0 488,120.6 - -
     NUMBER OF TRADES - 11 40 - -
* 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].

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