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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 - - * - - - -
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 - - - - - - -
APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 92.4 97.2 98.9 100.3 101.7 103.0 -
Weighted Avg. Price 93.1 97.2 98.9 100.3 101.8 103.0 -
Avg. Price Bottom 5 Trades 90.5 97.1 98.8 100.2 101.7 103.0 -
2nd Quartile Price 91.2 97.2 98.8 100.3 101.7 103.0 -
3rd Quartile Price 91.4 97.2 98.9 100.3 101.7 103.0 -
4th Quartile Price 94.8 97.3 99.0 100.3 101.8 103.1 -
Avg. Price Top 5 Trades 95.3 97.3 99.2 100.4 101.8 103.0 -
Standard Deviation 2.2 0.1 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 71,060.0 691,995.0 1,024,480.0 2,313,674.9 260,603.0 51,828.0 -
     NUMBER OF TRADES 21 70 153 140 28 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 - - - - - - -
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 * 97.1 98.8 100.2 101.6 - -
Weighted Avg. Price * 97.1 98.8 100.2 101.7 - -
Avg. Price Bottom 5 Trades * 97.0 98.7 100.1 101.6 - -
2nd Quartile Price * 97.1 98.8 100.2 101.6 - -
3rd Quartile Price * 97.1 98.8 100.2 101.6 - -
4th Quartile Price * 97.2 98.8 100.2 101.7 - -
Avg. Price Top 5 Trades * 97.1 98.9 100.2 101.7 - -
Standard Deviation * 0.1 0.1 0.1 0.1 - -
     VOLUME OF TRADES (000'S) * 81,500.0 156,500.0 478,750.0 80,625.0 - -
     NUMBER OF TRADES * 7 15 17 9 - -
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 95.4 97.1 98.7 100.1 * - -
Weighted Avg. Price 95.3 97.2 98.7 100.3 * - -
Avg. Price Bottom 5 Trades 95.4 97.1 98.7 100.0 * - -
2nd Quartile Price * 97.0 98.7 100.1 * - -
3rd Quartile Price * 97.3 98.7 100.1 * - -
4th Quartile Price * 97.3 98.7 100.2 * - -
Avg. Price Top 5 Trades 95.4 97.2 98.8 100.2 * - -
Standard Deviation 0.4 0.2 0.1 0.1 * - -
     VOLUME OF TRADES (000'S) 9,000.0 31,500.0 64,500.0 85,000.0 * - -
     NUMBER OF TRADES 5 7 16 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

MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - 97.3 * * 103.5 -
Weighted Avg. Price - - 96.5 * * 103.5 -
Avg. Price Bottom 5 Trades - - 97.3 * * 103.5 -
2nd Quartile Price - - * * * * -
3rd Quartile Price - - * * * * -
4th Quartile Price - - * * * * -
Avg. Price Top 5 Trades - - 97.3 * * 103.5 -
Standard Deviation - - 0.8 * * 0.2 -
     VOLUME OF TRADES (000'S) - - 32,761.1 * * 26,400.0 -
     NUMBER OF TRADES - - 5 * * 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 * - - - - * 102.9
Weighted Avg. Price * - - - - * 102.9
Avg. Price Bottom 5 Trades * - - - - * 102.9
2nd Quartile Price * - - - - * *
3rd Quartile Price * - - - - * *
4th Quartile Price * - - - - * *
Avg. Price Top 5 Trades * - - - - * 102.9
Standard Deviation * - - - - * 0.1
     VOLUME OF TRADES (000'S) * - - - - * 3,076.7
     NUMBER OF TRADES * - - - - * 6
APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.9 93.7 96.0 98.3 100.2 101.8 103.5
Weighted Avg. Price 84.7 93.7 96.0 98.2 100.2 101.8 103.5
Avg. Price Bottom 5 Trades 79.6 93.5 95.8 98.0 99.8 101.7 103.3
2nd Quartile Price 83.4 93.6 95.9 98.1 100.1 101.7 103.4
3rd Quartile Price 87.2 93.7 96.0 98.2 100.2 101.8 103.5
4th Quartile Price 90.9 93.8 96.0 98.3 100.2 101.9 103.5
Avg. Price Top 5 Trades 91.2 94.2 96.5 99.4 101.0 103.4 105.1
Standard Deviation 4.3 0.2 0.2 0.2 0.1 0.2 0.4
     VOLUME OF TRADES (000'S) 6,761,676.1 5,465,214.6 22,564,243.1 51,749,613.1 54,939,005.8 23,510,595.8 18,692,931.2
     NUMBER OF TRADES 363 245 665 1,760 1,136 454 153
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 87.3 93.2 96.1 98.8 100.4 101.6 103.6
Weighted Avg. Price 86.6 93.2 96.2 98.7 100.4 101.6 103.6
Avg. Price Bottom 5 Trades 81.8 93.0 95.9 98.5 100.1 101.4 103.4
2nd Quartile Price 85.2 93.1 96.0 98.6 100.3 101.5 103.5
3rd Quartile Price 88.5 93.1 96.1 98.7 100.3 101.5 103.6
4th Quartile Price 90.8 93.2 96.3 98.9 100.4 101.5 103.6
Avg. Price Top 5 Trades 91.2 93.5 96.6 99.1 101.9 103.1 104.0
Standard Deviation 3.5 0.2 0.2 0.2 0.3 0.3 0.2
     VOLUME OF TRADES (000'S) 5,741,706.4 3,351,378.6 3,230,551.0 6,637,851.1 7,868,074.9 10,623,026.9 222,390.8
     NUMBER OF TRADES 139 57 91 283 283 152 36
MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 83.8 93.6 95.9 98.1 100.0 101.7 103.5
Weighted Avg. Price 82.9 93.6 95.9 98.1 100.1 101.6 103.5
Avg. Price Bottom 5 Trades 79.8 93.4 95.7 97.9 99.9 101.5 103.3
2nd Quartile Price 80.5 93.5 95.7 98.0 99.9 101.6 103.4
3rd Quartile Price 83.6 93.6 95.8 98.1 100.0 101.7 103.5
4th Quartile Price 87.2 93.9 95.9 98.2 100.1 101.8 103.5
Avg. Price Top 5 Trades 88.5 94.0 96.3 98.6 100.4 101.9 105.1
Standard Deviation 3.1 0.3 0.2 0.1 0.1 0.1 0.4
     VOLUME OF TRADES (000'S) 2,755,001.8 1,047,062.0 3,664,230.0 10,695,335.0 26,285,640.5 25,434,190.0 20,178,975.0
     NUMBER OF TRADES 45 22 61 249 456 181 114
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 87.4 93.1 96.0 98.5 100.1 101.4 103.4
Weighted Avg. Price 86.6 93.2 96.0 98.5 100.2 101.5 103.5
Avg. Price Bottom 5 Trades 82.5 93.0 95.8 98.3 100.0 101.2 103.4
2nd Quartile Price 85.2 93.0 95.9 98.3 100.0 101.3 103.4
3rd Quartile Price 88.6 93.1 96.0 98.5 100.1 101.4 103.4
4th Quartile Price 90.4 93.2 96.2 98.5 100.2 101.4 103.5
Avg. Price Top 5 Trades 90.5 93.2 96.3 98.8 100.4 101.5 103.5
Standard Deviation 3.3 0.1 0.2 0.2 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 4,653,609.0 2,259,000.0 1,133,675.0 2,852,400.0 3,723,750.0 8,945,000.0 153,320.0
     NUMBER OF TRADES 49 14 29 125 263 116 21
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 93.2 95.6 97.9 99.8 101.6 103.3
Weighted Avg. Price * 93.3 95.6 98.0 99.9 101.5 103.5
Avg. Price Bottom 5 Trades * 93.2 95.6 97.8 99.5 101.4 103.3
2nd Quartile Price * 93.2 95.6 97.8 99.8 101.5 103.3
3rd Quartile Price * 93.2 95.6 97.9 99.8 101.6 103.3
4th Quartile Price * 93.4 95.7 98.0 99.9 101.6 103.4
Avg. Price Top 5 Trades * 93.3 95.7 98.3 100.1 101.7 103.4
Standard Deviation * 0.1 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) * 22,250.0 56,000.0 1,051,225.0 876,150.0 15,918,500.0 3,144,000.0
     NUMBER OF TRADES * 10 11 91 145 54 15
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 * * 95.9 98.3 100.0 101.3 *
Weighted Avg. Price * * 95.9 98.3 100.0 101.3 *
Avg. Price Bottom 5 Trades * * 95.7 98.1 99.8 101.2 *
2nd Quartile Price * * 95.8 98.1 99.9 101.3 *
3rd Quartile Price * * 95.9 98.2 99.9 101.3 *
4th Quartile Price * * 95.9 98.3 100.0 101.3 *
Avg. Price Top 5 Trades * * 96.0 98.6 100.2 101.4 *
Standard Deviation * * 0.2 0.2 0.1 0.1 *
     VOLUME OF TRADES (000'S) * * 67,000.0 966,425.0 661,000.0 423,000.0 *
     NUMBER OF TRADES * * 13 74 44 51 *
* 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].