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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 93.6 97.0 99.0 99.9 101.0 102.1 *
Weighted Avg. Price 95.0 97.9 99.0 100.5 101.9 103.0 *
Avg. Price Bottom 5 Trades 52.5 96.1 98.6 98.5 99.1 99.1 *
2nd Quartile Price 94.9 96.4 98.8 99.5 101.0 101.8 *
3rd Quartile Price 95.3 97.0 98.8 100.3 101.0 102.6 *
4th Quartile Price 95.3 98.0 99.1 100.4 101.3 102.8 *
Avg. Price Top 5 Trades 98.4 98.4 99.8 100.9 101.9 102.8 *
Standard Deviation 8.1 0.9 0.5 0.7 0.7 1.2 *
     VOLUME OF TRADES (000'S) 126,389.1 18,516.2 59,031.1 253,448.9 50,777.3 36,946.4 *
     NUMBER OF TRADES 192 27 26 69 92 69 *
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 96.6 - - - - - -
Weighted Avg. Price 97.6 - - - - - -
Avg. Price Bottom 5 Trades 95.6 - - - - - -
2nd Quartile Price 95.1 - - - - - -
3rd Quartile Price 96.6 - - - - - -
4th Quartile Price 98.1 - - - - - -
Avg. Price Top 5 Trades 98.7 - - - - - -
Standard Deviation 1.6 - - - - - -
     VOLUME OF TRADES (000'S) 586.3 - - - - - -
     NUMBER OF TRADES 32 - - - - - -
GNMA
AVERAGE PRICE 95.1 * 98.9 100.5 * * -
Weighted Avg. Price 95.5 * 98.9 100.6 * * -
Avg. Price Bottom 5 Trades 90.1 * 98.9 100.5 * * -
2nd Quartile Price 97.3 * 98.9 * * * -
3rd Quartile Price 98.3 * 98.9 * * * -
4th Quartile Price 98.7 * 99.0 * * * -
Avg. Price Top 5 Trades 98.6 * 98.9 100.5 * * -
Standard Deviation 7.0 * 0.1 0.1 * * -
     VOLUME OF TRADES (000'S) 707.0 * 6,407.2 6,831.4 * * -
     NUMBER OF TRADES 12 * 9 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 85.8 90.0 94.1 97.6 99.3 100.6 104.5
Weighted Avg. Price 85.3 94.8 96.5 98.7 100.6 102.2 105.6
Avg. Price Bottom 5 Trades 69.2 46.1 64.3 82.6 47.3 64.9 103.2
2nd Quartile Price 83.3 90.5 95.5 97.8 99.9 101.8 103.4
3rd Quartile Price 86.9 93.1 95.8 98.2 100.2 102.0 104.1
4th Quartile Price 90.2 93.5 96.0 98.3 100.5 102.1 105.9
Avg. Price Top 5 Trades 95.0 96.9 98.3 99.9 101.9 103.6 105.9
Standard Deviation 4.1 7.6 5.9 3.0 7.7 10.0 1.2
     VOLUME OF TRADES (000'S) 576,667.2 567,679.7 88,936.9 547,528.2 781,923.7 349,612.4 106,781.5
     NUMBER OF TRADES 1,578 474 369 341 405 198 104
FNMA
AVERAGE PRICE * - * 98.7 100.9 102.6 104.7
Weighted Avg. Price * - * 98.6 100.7 102.6 104.2
Avg. Price Bottom 5 Trades * - * 98.4 100.3 102.0 104.7
2nd Quartile Price * - * 98.6 100.5 102.3 *
3rd Quartile Price * - * 98.7 100.8 102.7 *
4th Quartile Price * - * 99.1 101.2 103.2 *
Avg. Price Top 5 Trades * - * 99.0 101.6 103.5 104.7
Standard Deviation * - * 0.4 0.5 0.7 1.3
     VOLUME OF TRADES (000'S) * - * 42,275.9 109,442.8 119,781.0 31,779.3
     NUMBER OF TRADES * - * 11 24 19 5
FHLMC
AVERAGE PRICE 85.6 88.0 88.9 98.4 95.7 102.3 101.7
Weighted Avg. Price 94.9 92.2 96.2 98.7 100.8 102.4 104.0
Avg. Price Bottom 5 Trades 76.4 78.8 74.2 97.7 81.9 101.8 101.7
2nd Quartile Price 82.1 82.7 83.0 98.1 100.4 101.8 *
3rd Quartile Price 86.9 92.9 95.7 98.8 100.8 102.7 *
4th Quartile Price 90.3 92.9 96.3 99.0 101.0 102.8 *
Avg. Price Top 5 Trades 93.2 94.2 96.7 99.4 101.3 102.9 101.7
Standard Deviation 5.2 6.0 10.6 1.1 11.4 0.7 1.9
     VOLUME OF TRADES (000'S) 1,026.0 36.2 32.6 45,564.6 117,475.5 53,481.7 3,987.4
     NUMBER OF TRADES 74 58 18 13 22 15 6
GNMA
AVERAGE PRICE 87.1 93.4 95.8 98.0 99.9 101.5 103.0
Weighted Avg. Price 85.5 93.3 96.0 98.6 100.7 102.3 103.7
Avg. Price Bottom 5 Trades 81.8 92.1 93.1 90.1 85.6 88.4 96.4
2nd Quartile Price 85.3 92.6 95.7 98.4 100.2 101.3 102.4
3rd Quartile Price 88.6 92.6 95.7 98.5 100.7 102.1 104.0
4th Quartile Price 88.8 93.7 96.0 98.7 101.0 103.1 104.2
Avg. Price Top 5 Trades 92.7 98.4 99.1 99.8 105.6 104.6 106.4
Standard Deviation 3.0 2.6 1.3 2.1 4.1 3.5 2.7
     VOLUME OF TRADES (000'S) 348,884.1 29,029.7 190,336.4 869,847.2 2,345,448.2 335,741.2 289,725.1
     NUMBER OF TRADES 123 54 91 108 253 116 87
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 * - * 93.9 -
Weighted Avg. Price * - * 93.9 -
Avg. Price Bottom 5 Trades * - * 93.9 -
2nd Quartile Price * - * * -
3rd Quartile Price * - * * -
4th Quartile Price * - * * -
Avg. Price Top 5 Trades * - * 93.9 -
Standard Deviation * - * - -
     VOLUME OF TRADES (000'S) * - * 6,324.0 -
     NUMBER OF TRADES * - * 5 -
FHLMC
AVERAGE PRICE 101.5 - * 98.7 *
Weighted Avg. Price 99.9 - * 99.1 *
Avg. Price Bottom 5 Trades 101.5 - * 98.2 *
2nd Quartile Price * - * 98.3 *
3rd Quartile Price * - * 98.8 *
4th Quartile Price * - * 99.2 *
Avg. Price Top 5 Trades 101.5 - * 99.2 *
Standard Deviation 1.2 - * 0.8 *
     VOLUME OF TRADES (000'S) 2,082.2 - * 82,361.1 *
     NUMBER OF TRADES 7 - * 10 *
GNMA
AVERAGE PRICE 100.9 * 96.5 - -
Weighted Avg. Price 100.9 * 96.1 - -
Avg. Price Bottom 5 Trades 100.9 * 95.5 - -
2nd Quartile Price 100.9 * 95.3 - -
3rd Quartile Price 100.9 * 97.7 - -
4th Quartile Price 100.9 * 98.9 - -
Avg. Price Top 5 Trades 100.9 * 97.7 - -
Standard Deviation 0.3 * 2.4 - -
     VOLUME OF TRADES (000'S) 2,503.4 * 26,756.6 - -
     NUMBER OF TRADES 99 * 7 - -
* 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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