As of
Download

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

DECEMBER 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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 96.3 98.7 100.1 101.3 102.5 * -
Weighted Avg. Price 96.4 98.7 100.0 101.2 102.5 * -
Avg. Price Bottom 5 Trades 92.7 98.6 100.0 101.2 102.5 * -
2nd Quartile Price 96.3 98.6 100.0 101.2 102.5 * -
3rd Quartile Price 97.2 98.7 100.1 101.2 102.5 * -
4th Quartile Price 97.3 98.7 100.1 101.3 102.5 * -
Avg. Price Top 5 Trades 97.2 98.7 100.1 101.3 102.6 * -
Standard Deviation 1.5 0.1 - 0.1 0.1 * -
     VOLUME OF TRADES (000'S) 175,877.0 108,982.0 283,927.0 693,784.6 137,871.6 * -
     NUMBER OF TRADES 40 28 65 43 24 * -
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 - - - - - - -
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 98.6 100.0 101.2 102.5 - -
Weighted Avg. Price * 98.6 100.0 101.2 102.5 - -
Avg. Price Bottom 5 Trades * 98.6 99.9 101.2 102.5 - -
2nd Quartile Price * 98.6 100.0 101.2 * - -
3rd Quartile Price * 98.7 100.0 101.2 * - -
4th Quartile Price * 98.7 100.0 101.2 * - -
Avg. Price Top 5 Trades * 98.7 100.0 101.3 102.5 - -
Standard Deviation * - 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) * 103,800.0 93,000.0 547,000.0 20,300.0 - -
     NUMBER OF TRADES * 18 15 15 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 - - - - - - -
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 97.1 98.5 99.8 101.1 - * -
Weighted Avg. Price 97.2 98.5 99.8 101.2 - * -
Avg. Price Bottom 5 Trades 97.1 98.4 99.8 101.1 - * -
2nd Quartile Price * 98.4 99.8 101.0 - * -
3rd Quartile Price * 98.5 99.8 101.1 - * -
4th Quartile Price * 98.5 99.9 101.1 - * -
Avg. Price Top 5 Trades 97.1 98.5 99.8 101.1 - * -
Standard Deviation 0.1 0.1 - 0.1 - * -
     VOLUME OF TRADES (000'S) 17,000.0 90,000.0 91,500.0 40,000.0 - * -
     NUMBER OF TRADES 6 12 11 8 - * -
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

DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - * 102.6 * *
Weighted Avg. Price - - - * 102.5 * *
Avg. Price Bottom 5 Trades - - - * 102.6 * *
2nd Quartile Price - - - * * * *
3rd Quartile Price - - - * * * *
4th Quartile Price - - - * * * *
Avg. Price Top 5 Trades - - - * 102.6 * *
Standard Deviation - - - * 0.6 * *
     VOLUME OF TRADES (000'S) - - - * 12,740.1 * *
     NUMBER OF TRADES - - - * 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 - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 87.8 95.1 97.8 99.9 101.4 102.7 104.0
Weighted Avg. Price 89.0 95.1 97.8 99.9 101.4 102.6 104.0
Avg. Price Bottom 5 Trades 81.1 95.0 97.7 99.8 101.3 102.6 103.9
2nd Quartile Price 84.8 95.0 97.7 99.8 101.4 102.6 103.9
3rd Quartile Price 88.7 95.1 97.8 99.9 101.4 102.6 103.9
4th Quartile Price 92.6 95.1 97.8 99.9 101.4 102.7 104.0
Avg. Price Top 5 Trades 92.8 95.2 97.9 100.1 101.8 102.7 105.0
Standard Deviation 4.4 0.1 0.1 0.1 0.1 - 0.3
     VOLUME OF TRADES (000'S) 1,146,956.0 842,358.0 1,384,374.0 9,736,569.0 7,646,270.0 3,532,455.0 1,422,624.0
     NUMBER OF TRADES 110 100 152 561 412 173 75
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 88.5 94.6 97.6 99.9 101.1 102.0 103.3
Weighted Avg. Price 83.9 94.6 97.6 99.8 101.0 102.0 103.3
Avg. Price Bottom 5 Trades 81.4 94.5 97.5 99.8 101.0 101.9 103.2
2nd Quartile Price 86.7 94.5 97.5 99.8 101.0 102.0 103.3
3rd Quartile Price 90.0 94.6 97.6 99.9 101.0 102.0 103.4
4th Quartile Price 91.2 94.7 97.7 99.9 101.1 102.0 103.5
Avg. Price Top 5 Trades 91.4 94.7 97.7 100.0 101.2 102.1 103.4
Standard Deviation 3.6 0.1 0.1 - - 0.1 0.2
     VOLUME OF TRADES (000'S) 623,167.0 266,821.0 1,238,596.0 2,216,839.9 1,354,768.3 1,319,407.7 75,993.0
     NUMBER OF TRADES 63 17 32 82 69 73 11
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.6 95.0 97.7 99.7 101.3 102.6 104.1
Weighted Avg. Price 86.1 95.0 97.7 99.8 101.3 102.6 104.0
Avg. Price Bottom 5 Trades 83.3 95.0 97.6 99.7 101.3 102.6 103.9
2nd Quartile Price 88.7 95.0 97.6 99.7 101.3 102.6 104.0
3rd Quartile Price 92.2 95.1 97.7 99.7 101.3 102.6 104.0
4th Quartile Price 92.4 95.1 97.7 99.8 101.3 102.6 104.0
Avg. Price Top 5 Trades 92.4 95.1 97.7 99.8 101.4 102.7 104.2
Standard Deviation 3.8 0.1 0.1 - - - 0.4
     VOLUME OF TRADES (000'S) 1,895,931.1 186,850.0 655,450.0 2,140,720.0 1,492,971.0 391,059.0 631,200.0
     NUMBER OF TRADES 26 15 30 109 79 28 19
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 94.6 97.5 99.7 100.9 101.9 *
Weighted Avg. Price 90.3 94.6 97.5 99.7 100.9 101.9 *
Avg. Price Bottom 5 Trades 89.7 94.6 97.5 99.7 100.9 101.9 *
2nd Quartile Price 89.9 * 97.5 99.7 100.9 101.9 *
3rd Quartile Price 89.9 * 97.6 99.7 100.9 101.9 *
4th Quartile Price 91.2 * 97.6 99.8 101.0 101.9 *
Avg. Price Top 5 Trades 90.2 94.6 97.6 99.8 101.0 102.0 *
Standard Deviation 2.0 - 0.1 - - - *
     VOLUME OF TRADES (000'S) 100,400.0 156,452.0 1,063,297.0 1,556,200.0 584,400.0 433,450.0 *
     NUMBER OF TRADES 17 7 19 53 46 35 *
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - 94.9 97.6 99.6 101.2 102.5 104.1
Weighted Avg. Price - 94.9 97.6 99.6 101.2 102.5 104.0
Avg. Price Bottom 5 Trades - 94.8 97.5 99.5 101.1 102.5 104.1
2nd Quartile Price - 94.8 97.5 99.6 101.1 102.5 *
3rd Quartile Price - 94.8 97.6 99.6 101.2 102.5 *
4th Quartile Price - 95.1 97.6 99.6 101.2 102.5 *
Avg. Price Top 5 Trades - 94.9 97.6 99.7 101.2 102.5 104.1
Standard Deviation - 0.1 0.1 - - - 0.6
     VOLUME OF TRADES (000'S) - 34,500.0 100,000.0 479,000.0 225,700.0 178,959.0 10,000.0
     NUMBER OF TRADES - 7 9 59 28 15 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 * * 97.4 99.6 100.8 101.8 *
Weighted Avg. Price * * 97.4 99.6 100.8 101.8 *
Avg. Price Bottom 5 Trades * * 97.3 99.5 100.8 101.8 *
2nd Quartile Price * * 97.3 99.6 100.8 101.8 *
3rd Quartile Price * * 97.4 99.6 100.8 101.8 *
4th Quartile Price * * 97.4 99.6 100.8 101.9 *
Avg. Price Top 5 Trades * * 97.4 99.7 100.8 101.8 *
Standard Deviation * * - - - - *
     VOLUME OF TRADES (000'S) * * 58,500.0 636,000.0 230,500.0 162,750.0 *
     NUMBER OF TRADES * * 11 42 24 14 *
* 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].