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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

SEPTEMBER 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 - - - - - - -
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.9 94.3 96.2 98.2 99.8 101.2 *
Weighted Avg. Price 89.1 94.2 96.2 98.2 99.8 101.1 *
Avg. Price Bottom 5 Trades 88.7 94.3 96.1 98.2 99.8 101.1 *
2nd Quartile Price 89.3 94.3 96.2 98.2 99.8 101.0 *
3rd Quartile Price 89.4 94.3 96.2 98.2 99.8 101.2 *
4th Quartile Price 90.8 94.3 96.3 98.3 99.8 101.4 *
Avg. Price Top 5 Trades 91.9 94.3 96.3 98.3 99.9 101.3 *
Standard Deviation 1.3 0.1 - - - 0.1 *
     VOLUME OF TRADES (000'S) 71,535.0 165,150.0 1,292,145.0 1,287,195.0 618,460.0 76,112.6 *
     NUMBER OF TRADES 29 14 132 104 53 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 - - - - - - -
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - * 96.1 98.1 99.7 101.1 -
Weighted Avg. Price - * 96.1 98.2 99.6 101.0 -
Avg. Price Bottom 5 Trades - * 96.1 98.0 99.6 101.1 -
2nd Quartile Price - * * 98.1 99.7 * -
3rd Quartile Price - * * 98.1 99.7 * -
4th Quartile Price - * * 98.2 99.7 * -
Avg. Price Top 5 Trades - * 96.1 98.2 99.7 101.1 -
Standard Deviation - * - 0.1 - 0.1 -
     VOLUME OF TRADES (000'S) - * 80,500.0 462,000.0 253,500.0 100,500.0 -
     NUMBER OF TRADES - * 6 14 19 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 - - - - - - -
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * * 97.9 99.5 * -
Weighted Avg. Price * * * 97.9 99.5 * -
Avg. Price Bottom 5 Trades * * * 97.9 99.5 * -
2nd Quartile Price * * * * 99.5 * -
3rd Quartile Price * * * * 99.5 * -
4th Quartile Price * * * * 99.6 * -
Avg. Price Top 5 Trades * * * 97.9 99.5 * -
Standard Deviation * * * 0.1 - * -
     VOLUME OF TRADES (000'S) * * * 6,400.0 10,000.0 * -
     NUMBER OF TRADES * * * 5 7 * -
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

SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - * 98.6 100.7 -
Weighted Avg. Price - - - * 98.5 100.8 -
Avg. Price Bottom 5 Trades - - - * 98.5 100.2 -
2nd Quartile Price - - - * 98.5 100.4 -
3rd Quartile Price - - - * 98.6 100.7 -
4th Quartile Price - - - * 98.7 101.0 -
Avg. Price Top 5 Trades - - - * 98.8 101.2 -
Standard Deviation - - - * 0.3 0.4 -
     VOLUME OF TRADES (000'S) - - - * 212,471.3 131,555.6 -
     NUMBER OF TRADES - - - * 16 21 -
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 83.5 88.9 92.1 95.3 97.8 100.1 102.2
Weighted Avg. Price 83.6 88.9 92.0 95.3 97.8 100.1 102.0
Avg. Price Bottom 5 Trades 78.8 88.7 91.9 94.7 97.5 99.8 100.9
2nd Quartile Price 82.3 88.9 92.0 95.3 97.8 100.1 101.9
3rd Quartile Price 82.6 88.9 92.1 95.3 97.8 100.1 102.0
4th Quartile Price 85.8 89.0 92.1 95.4 97.9 100.2 102.1
Avg. Price Top 5 Trades 86.2 89.1 92.3 95.4 98.2 101.2 104.0
Standard Deviation 2.5 0.1 0.1 0.2 0.1 0.2 0.7
     VOLUME OF TRADES (000'S) 4,727,886.6 2,224,178.8 1,939,405.1 3,311,972.5 6,642,280.9 2,253,662.3 3,092,624.4
     NUMBER OF TRADES 153 68 70 106 205 234 139
OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 81.0 89.8 92.3 94.9 97.5 99.8 102.1
Weighted Avg. Price 81.6 89.8 92.4 94.9 97.4 99.8 102.0
Avg. Price Bottom 5 Trades 76.2 89.7 92.2 94.6 97.3 99.7 101.8
2nd Quartile Price 76.9 89.8 92.3 94.9 97.4 99.8 102.0
3rd Quartile Price 80.4 89.8 92.3 94.9 97.4 99.8 102.0
4th Quartile Price 83.9 89.9 92.4 95.0 97.5 99.9 102.0
Avg. Price Top 5 Trades 87.6 90.0 92.6 95.2 97.9 100.9 104.0
Standard Deviation 3.8 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 8,663,558.7 1,878,514.0 9,966,884.4 30,660,840.3 57,938,073.1 45,313,359.6 34,206,417.6
     NUMBER OF TRADES 400 107 265 766 1,321 1,247 686
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 83.3 88.9 92.0 95.2 97.7 99.9 101.8
Weighted Avg. Price 83.3 88.9 92.0 95.2 97.7 99.9 101.7
Avg. Price Bottom 5 Trades 78.8 88.6 91.8 95.0 97.6 99.6 101.5
2nd Quartile Price 82.2 88.8 92.0 95.2 97.7 99.9 101.7
3rd Quartile Price 82.6 88.9 92.0 95.2 97.7 99.9 101.7
4th Quartile Price 85.8 88.9 92.1 95.3 97.8 100.0 101.8
Avg. Price Top 5 Trades 86.3 89.1 92.3 95.4 98.0 100.9 102.9
Standard Deviation 2.7 0.1 0.1 0.1 0.1 0.2 0.4
     VOLUME OF TRADES (000'S) 4,912,603.3 2,242,237.4 2,798,642.4 4,620,067.7 8,172,331.4 15,283,335.5 3,524,968.0
     NUMBER OF TRADES 208 80 95 155 316 457 210
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 82.0 89.7 92.2 94.8 97.3 99.7 101.8
Weighted Avg. Price 81.3 89.7 92.3 94.8 97.3 99.6 101.8
Avg. Price Bottom 5 Trades 76.8 89.6 92.2 94.7 97.2 99.5 101.6
2nd Quartile Price 76.9 89.7 92.2 94.8 97.3 99.6 101.7
3rd Quartile Price 83.8 89.7 92.2 94.8 97.3 99.6 101.7
4th Quartile Price 87.2 89.9 92.3 94.9 97.4 99.7 101.8
Avg. Price Top 5 Trades 86.9 89.8 92.3 95.0 97.5 99.8 103.8
Standard Deviation 4.5 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 1,061,300.0 188,810.0 3,577,340.0 10,173,290.0 24,555,280.0 22,830,468.0 29,454,183.3
     NUMBER OF TRADES 22 11 26 58 177 370 371
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 84.2 88.8 91.9 95.2 97.6 99.7 101.5
Weighted Avg. Price 84.9 88.7 92.0 95.1 97.6 99.7 101.5
Avg. Price Bottom 5 Trades 83.5 88.8 91.8 95.0 97.5 99.4 101.3
2nd Quartile Price 82.5 88.9 91.9 95.1 97.5 99.7 101.4
3rd Quartile Price 85.7 89.0 92.0 95.3 97.6 99.7 101.5
4th Quartile Price 86.0 89.0 92.1 95.3 97.7 99.8 101.5
Avg. Price Top 5 Trades 85.9 89.0 92.1 95.3 97.7 99.9 102.3
Standard Deviation 2.7 0.3 0.2 0.1 0.1 0.1 0.2
     VOLUME OF TRADES (000'S) 96,000.0 102,000.0 353,890.0 374,100.0 475,950.0 10,117,640.0 1,182,950.0
     NUMBER OF TRADES 12 8 25 22 52 185 88
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 89.5 92.2 94.7 97.2 99.4 101.9
Weighted Avg. Price * 89.5 92.2 94.7 97.2 99.4 101.6
Avg. Price Bottom 5 Trades * 89.5 92.1 94.6 97.1 99.3 101.4
2nd Quartile Price * 89.5 92.1 94.7 97.1 99.4 101.5
3rd Quartile Price * 89.6 92.3 94.8 97.2 99.4 101.5
4th Quartile Price * 89.6 92.3 94.9 97.3 99.5 101.6
Avg. Price Top 5 Trades * 89.6 92.2 94.8 97.3 99.6 104.4
Standard Deviation * 0.1 0.1 0.1 0.1 0.1 1.1
     VOLUME OF TRADES (000'S) * 139,000.0 21,500.0 43,200.0 409,900.0 433,250.0 2,696,125.0
     NUMBER OF TRADES * 8 7 13 29 60 40
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.

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].