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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

APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.0 97.6 99.3 100.7 102.0 * -
Weighted Avg. Price 94.4 97.6 99.3 100.7 102.0 * -
Avg. Price Bottom 5 Trades 90.2 97.5 99.1 100.5 101.9 * -
2nd Quartile Price 91.9 97.6 99.3 100.7 101.9 * -
3rd Quartile Price 94.5 97.7 99.4 100.7 102.0 * -
4th Quartile Price 95.6 97.7 99.4 100.8 102.0 * -
Avg. Price Top 5 Trades 96.4 97.7 99.4 101.0 102.0 * -
Standard Deviation 1.9 0.1 0.1 0.1 - * -
     VOLUME OF TRADES (000'S) 683,898.0 645,547.0 1,948,915.3 1,310,058.7 378,593.0 * -
     NUMBER OF TRADES 70 44 197 76 27 * -
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 93.8 97.6 99.3 100.6 101.9 - -
Weighted Avg. Price 94.1 97.6 99.3 100.5 101.9 - -
Avg. Price Bottom 5 Trades 90.3 97.6 99.1 100.5 101.8 - -
2nd Quartile Price 92.0 97.6 99.3 100.6 101.9 - -
3rd Quartile Price 94.3 97.6 99.3 100.7 101.9 - -
4th Quartile Price 95.6 97.6 99.3 100.7 101.9 - -
Avg. Price Top 5 Trades 96.2 97.6 99.3 100.7 101.9 - -
Standard Deviation 2.1 - 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) 391,879.0 437,572.0 1,388,569.7 915,170.0 146,000.0 - -
     NUMBER OF TRADES 35 16 42 23 14 - -
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 95.8 97.5 99.2 100.6 * - -
Weighted Avg. Price 95.8 97.5 99.2 100.6 * - -
Avg. Price Bottom 5 Trades 95.8 97.5 99.2 100.6 * - -
2nd Quartile Price * * 99.2 100.6 * - -
3rd Quartile Price * * 99.2 100.6 * - -
4th Quartile Price * * 99.2 100.6 * - -
Avg. Price Top 5 Trades 95.8 97.5 99.2 100.6 * - -
Standard Deviation 0.4 - - - * - -
     VOLUME OF TRADES (000'S) 15,500.0 6,200.0 640,349.7 58,000.0 * - -
     NUMBER OF TRADES 6 5 11 12 * - -
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 - - - - - - -
JULY 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

APRIL Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.3 94.5 96.8 98.8 100.6 102.2 103.7
Weighted Avg. Price 86.6 94.5 96.7 98.8 100.6 102.1 103.5
Avg. Price Bottom 5 Trades 78.2 94.1 96.3 98.4 100.3 101.8 103.4
2nd Quartile Price 84.2 94.4 96.7 98.8 100.6 102.0 103.5
3rd Quartile Price 88.2 94.5 96.8 98.9 100.7 102.1 103.5
4th Quartile Price 91.9 94.6 96.8 98.9 100.7 102.1 103.5
Avg. Price Top 5 Trades 92.1 94.7 97.4 101.0 101.9 104.5 105.7
Standard Deviation 4.5 0.1 0.2 0.2 0.2 0.4 0.6
     VOLUME OF TRADES (000'S) 12,793,695.3 1,908,293.5 6,724,293.9 28,721,422.0 23,951,530.7 13,668,341.7 5,078,967.5
     NUMBER OF TRADES 447 114 347 1,144 763 323 110
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 89.6 93.7 96.7 99.3 100.9 102.1 104.4
Weighted Avg. Price 88.7 93.6 96.6 99.1 100.8 101.9 104.4
Avg. Price Bottom 5 Trades 82.5 93.5 96.3 98.9 100.5 101.7 103.1
2nd Quartile Price 88.8 93.5 96.7 99.2 100.8 101.8 104.0
3rd Quartile Price 91.5 93.8 96.8 99.2 100.8 101.9 104.0
4th Quartile Price 91.8 93.9 96.8 99.3 100.9 101.9 104.1
Avg. Price Top 5 Trades 92.0 94.1 96.9 100.8 102.8 104.5 106.5
Standard Deviation 3.0 0.2 0.2 0.3 0.5 0.7 1.1
     VOLUME OF TRADES (000'S) 4,333,104.8 1,310,765.0 2,886,285.2 6,371,888.5 7,915,437.9 3,639,046.2 805,909.3
     NUMBER OF TRADES 147 41 124 288 283 171 102
MAY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 85.7 94.4 96.7 98.7 100.5 101.9 103.6
Weighted Avg. Price 85.7 94.5 96.6 98.7 100.5 101.9 103.5
Avg. Price Bottom 5 Trades 77.0 94.1 96.3 98.3 100.2 101.7 103.4
2nd Quartile Price 80.7 94.4 96.7 98.7 100.5 101.9 103.4
3rd Quartile Price 84.5 94.5 96.7 98.8 100.5 102.0 103.5
4th Quartile Price 88.2 94.5 96.7 98.8 100.6 102.0 103.5
Avg. Price Top 5 Trades 91.9 94.6 96.8 98.9 100.6 102.0 105.2
Standard Deviation 4.4 0.1 0.1 0.1 0.1 0.1 0.6
     VOLUME OF TRADES (000'S) 9,506,733.1 1,714,126.0 5,068,278.8 12,868,626.6 12,762,450.0 6,946,041.3 4,471,711.0
     NUMBER OF TRADES 202 51 137 365 291 133 58
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 89.6 93.8 96.7 99.0 100.6 101.8 103.8
Weighted Avg. Price 88.3 93.5 96.5 98.9 100.5 101.8 103.7
Avg. Price Bottom 5 Trades 82.6 93.4 96.3 98.7 100.3 101.6 103.6
2nd Quartile Price 89.3 93.4 96.6 98.9 100.5 101.7 103.7
3rd Quartile Price 91.1 93.5 96.7 99.0 100.6 101.8 103.7
4th Quartile Price 91.5 93.8 96.7 99.1 100.6 101.8 103.8
Avg. Price Top 5 Trades 91.6 94.9 97.3 99.2 101.7 102.7 104.5
Standard Deviation 2.6 1.1 0.4 0.1 0.2 0.4 0.3
     VOLUME OF TRADES (000'S) 3,025,023.5 1,159,520.0 2,236,133.0 4,666,118.0 5,426,816.0 3,264,116.4 300,683.0
     NUMBER OF TRADES 78 25 73 139 201 110 39
JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 90.2 94.3 96.6 98.6 100.4 101.9 103.6
Weighted Avg. Price 90.4 94.4 96.6 98.6 100.4 101.9 103.5
Avg. Price Bottom 5 Trades 89.7 94.3 96.5 98.3 100.1 101.7 103.4
2nd Quartile Price 88.0 94.3 96.6 98.6 100.4 101.8 103.4
3rd Quartile Price 91.6 94.3 96.6 98.7 100.4 101.9 103.4
4th Quartile Price 91.7 94.4 96.6 98.7 100.4 101.9 103.5
Avg. Price Top 5 Trades 91.1 94.4 96.7 98.7 100.5 101.9 103.8
Standard Deviation 2.0 0.1 0.1 0.1 0.1 0.1 0.5
     VOLUME OF TRADES (000'S) 34,750.0 86,600.0 669,299.0 1,197,000.0 1,680,750.0 268,300.0 383,500.0
     NUMBER OF TRADES 8 12 30 86 207 65 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 90.8 * 96.5 98.8 100.4 101.6 103.5
Weighted Avg. Price 91.1 * 96.5 98.8 100.4 101.7 103.5
Avg. Price Bottom 5 Trades 90.1 * 96.4 98.6 100.2 101.5 103.5
2nd Quartile Price 91.1 * 96.5 98.8 100.4 101.6 *
3rd Quartile Price 91.2 * 96.6 98.8 100.4 101.6 *
4th Quartile Price 91.2 * 96.6 98.9 100.4 101.7 *
Avg. Price Top 5 Trades 91.2 * 96.6 98.9 100.4 101.7 103.5
Standard Deviation 0.8 * 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 254,075.0 * 137,000.0 379,150.0 956,750.0 503,600.0 12,625.0
     NUMBER OF TRADES 19 * 20 47 113 51 5
JULY 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 * * - - - - -
* 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].