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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

MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.6 97.8 99.5 100.8 102.2 103.2 -
Weighted Avg. Price 92.9 97.8 99.4 100.8 102.2 103.2 -
Avg. Price Bottom 5 Trades 89.8 97.7 99.3 100.7 102.1 103.2 -
2nd Quartile Price 91.9 97.7 99.4 100.7 102.2 103.2 -
3rd Quartile Price 94.6 97.8 99.5 100.9 102.2 103.2 -
4th Quartile Price 95.5 97.9 99.6 100.9 102.3 103.3 -
Avg. Price Top 5 Trades 96.6 98.0 99.6 101.0 102.3 103.3 -
Standard Deviation 2.2 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 3,183,143.1 349,343.2 1,771,884.5 2,310,939.6 362,392.1 246,439.7 -
     NUMBER OF TRADES 144 28 83 83 28 25 -
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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.5 97.8 99.4 100.7 102.2 103.2 -
Weighted Avg. Price 93.0 97.7 99.4 100.8 102.1 103.2 -
Avg. Price Bottom 5 Trades 89.8 97.6 99.3 100.6 102.0 103.1 -
2nd Quartile Price 91.9 97.6 99.3 100.7 102.1 103.1 -
3rd Quartile Price 94.3 97.8 99.4 100.7 102.1 103.2 -
4th Quartile Price 95.4 97.9 99.5 100.8 102.2 103.3 -
Avg. Price Top 5 Trades 96.6 97.9 99.6 100.9 102.3 103.2 -
Standard Deviation 2.1 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 3,417,202.6 542,546.4 3,127,862.9 3,041,574.7 427,023.1 248,039.7 -
     NUMBER OF TRADES 185 43 189 150 37 28 -
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 - - - - - - -
MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 95.8 97.6 99.3 100.6 102.0 - -
Weighted Avg. Price 96.1 97.6 99.3 100.7 102.1 - -
Avg. Price Bottom 5 Trades 95.3 97.6 99.2 100.6 102.0 - -
2nd Quartile Price 95.5 97.6 99.2 100.6 * - -
3rd Quartile Price 96.2 97.6 99.2 100.6 * - -
4th Quartile Price 96.3 97.8 99.3 100.7 * - -
Avg. Price Top 5 Trades 96.3 97.7 99.4 100.7 102.0 - -
Standard Deviation 0.7 0.1 0.1 0.1 0.1 - -
     VOLUME OF TRADES (000'S) 30,500.0 139,200.0 736,150.0 232,000.0 161,500.0 - -
     NUMBER OF TRADES 12 11 39 24 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 - - - - - - -
JUNE 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

MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - * * 100.5 - - -
Weighted Avg. Price - * * 100.2 - - -
Avg. Price Bottom 5 Trades - * * 100.1 - - -
2nd Quartile Price - * * 100.4 - - -
3rd Quartile Price - * * 100.8 - - -
4th Quartile Price - * * 101.5 - - -
Avg. Price Top 5 Trades - * * 101.1 - - -
Standard Deviation - * * 0.9 - - -
     VOLUME OF TRADES (000'S) - * * 24,630.6 - - -
     NUMBER OF TRADES - * * 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 87.1 93.9 96.9 99.4 100.9 101.8 103.5
Weighted Avg. Price 85.9 93.9 97.0 99.4 100.7 101.7 103.5
Avg. Price Bottom 5 Trades 82.4 93.7 96.7 99.1 100.5 101.5 102.8
2nd Quartile Price 82.8 93.8 96.8 99.3 100.6 101.6 103.5
3rd Quartile Price 86.2 93.9 96.9 99.3 100.7 101.6 103.5
4th Quartile Price 89.6 94.0 97.0 99.5 100.8 101.7 103.6
Avg. Price Top 5 Trades 91.7 94.2 97.3 100.3 103.4 104.2 103.7
Standard Deviation 3.4 0.1 0.2 0.2 0.6 0.5 0.2
     VOLUME OF TRADES (000'S) 13,903,266.2 3,953,135.1 7,218,127.9 8,372,383.3 11,725,253.6 4,593,754.6 2,228,104.9
     NUMBER OF TRADES 194 65 157 389 382 180 124
APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.0 94.6 96.8 98.9 100.7 102.0 103.6
Weighted Avg. Price 86.4 94.5 96.8 98.9 100.7 102.0 103.8
Avg. Price Bottom 5 Trades 80.5 94.3 96.6 98.8 100.6 101.8 103.4
2nd Quartile Price 84.2 94.4 96.7 98.8 100.6 102.0 103.5
3rd Quartile Price 87.9 94.6 96.7 98.9 100.6 102.0 103.5
4th Quartile Price 91.6 94.7 97.0 99.1 100.7 102.1 103.5
Avg. Price Top 5 Trades 92.0 94.8 97.1 100.3 101.0 102.1 104.9
Standard Deviation 4.0 0.2 0.2 0.1 0.1 0.1 0.3
     VOLUME OF TRADES (000'S) 12,650,182.0 3,003,102.9 13,860,313.6 34,835,345.8 29,376,515.4 14,918,586.6 6,997,017.8
     NUMBER OF TRADES 605 206 463 1,439 944 383 167
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 87.1 93.9 96.9 99.2 100.6 101.6 103.5
Weighted Avg. Price 86.2 93.9 96.8 99.2 100.5 101.6 103.5
Avg. Price Bottom 5 Trades 82.4 93.7 96.6 99.0 100.4 101.5 103.0
2nd Quartile Price 82.8 93.8 96.8 99.1 100.5 101.5 103.5
3rd Quartile Price 86.3 93.8 96.8 99.1 100.5 101.6 103.5
4th Quartile Price 89.3 93.9 97.0 99.2 100.6 101.6 103.5
Avg. Price Top 5 Trades 91.4 94.1 97.2 99.5 101.6 102.5 103.7
Standard Deviation 3.2 0.1 0.2 0.1 0.2 0.2 0.1
     VOLUME OF TRADES (000'S) 11,209,109.0 2,802,714.4 8,016,305.2 12,874,450.6 16,651,880.2 6,009,907.7 1,714,185.1
     NUMBER OF TRADES 206 80 196 508 418 160 113
MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.4 94.4 96.6 98.8 100.5 101.9 103.5
Weighted Avg. Price 86.6 94.4 96.6 98.8 100.5 101.9 103.5
Avg. Price Bottom 5 Trades 83.5 94.2 96.5 98.7 100.5 101.9 103.5
2nd Quartile Price 84.3 94.3 96.6 98.7 100.5 101.9 103.5
3rd Quartile Price 87.9 94.5 96.6 98.7 100.5 101.9 103.5
4th Quartile Price 91.4 94.6 96.6 98.8 100.5 102.0 103.5
Avg. Price Top 5 Trades 91.6 94.6 96.9 99.0 100.7 102.0 103.6
Standard Deviation 3.2 0.1 0.1 0.1 0.1 - -
     VOLUME OF TRADES (000'S) 4,336,050.0 483,100.0 3,581,583.0 3,622,050.0 5,959,100.0 3,672,950.0 3,376,200.0
     NUMBER OF TRADES 65 35 77 234 276 79 59
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 89.8 93.8 96.7 99.0 100.4 101.5 103.5
Weighted Avg. Price 90.7 93.8 96.6 99.1 100.4 101.5 103.4
Avg. Price Bottom 5 Trades 88.9 93.7 96.6 98.9 100.3 101.4 103.4
2nd Quartile Price 90.8 93.7 96.6 98.9 100.3 101.5 103.4
3rd Quartile Price 90.8 93.8 96.6 99.0 100.3 101.5 103.4
4th Quartile Price 91.0 93.9 96.7 99.1 100.4 101.5 103.4
Avg. Price Top 5 Trades 90.9 93.9 96.8 99.9 101.8 101.9 103.5
Standard Deviation 2.0 0.1 0.1 0.2 0.2 0.2 0.2
     VOLUME OF TRADES (000'S) 94,500.0 263,500.0 268,900.0 1,996,200.0 2,966,060.0 552,750.0 214,000.0
     NUMBER OF TRADES 11 10 36 174 204 67 17
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 91.5 94.2 96.5 98.7 100.4 101.9 103.5
Weighted Avg. Price 91.5 94.2 96.5 98.8 100.4 101.9 103.5
Avg. Price Bottom 5 Trades 91.5 94.1 96.4 98.6 100.3 101.9 103.5
2nd Quartile Price * 94.1 96.4 98.6 100.4 101.9 *
3rd Quartile Price * 94.1 96.5 98.7 100.4 101.9 *
4th Quartile Price * 94.3 96.5 98.8 100.4 102.0 *
Avg. Price Top 5 Trades 91.5 94.2 96.6 98.9 100.6 102.0 103.5
Standard Deviation 0.1 0.1 0.1 0.1 0.1 - -
     VOLUME OF TRADES (000'S) 24,500.0 29,000.0 61,375.0 891,000.0 415,500.0 213,000.0 105,000.0
     NUMBER OF TRADES 5 8 16 74 60 17 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 * * * - - - -
* 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].