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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

JUNE Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 93.1 97.0 98.8 100.5 101.7 102.9 *
Weighted Avg. Price 93.5 97.0 98.8 100.5 101.6 102.8 *
Avg. Price Bottom 5 Trades 89.2 96.9 98.7 100.4 101.6 102.8 *
2nd Quartile Price 91.3 96.9 98.8 100.5 101.6 102.9 *
3rd Quartile Price 93.7 97.0 98.8 100.5 101.7 102.9 *
4th Quartile Price 94.7 97.0 98.9 100.6 101.7 102.9 *
Avg. Price Top 5 Trades 95.4 97.0 98.9 100.6 101.8 102.9 *
Standard Deviation 1.9 0.1 0.1 0.1 0.1 - *
     VOLUME OF TRADES (000'S) 1,281,954.7 217,735.8 1,230,886.8 1,447,516.7 411,573.2 248,545.9 *
     NUMBER OF TRADES 110 27 58 82 48 26 *
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 93.2 96.9 98.7 100.4 101.5 102.8 -
Weighted Avg. Price 93.7 96.9 98.7 100.4 101.5 102.8 -
Avg. Price Bottom 5 Trades 89.2 96.8 98.6 100.3 101.4 102.7 -
2nd Quartile Price 91.3 96.9 98.7 100.3 101.5 102.8 -
3rd Quartile Price 93.6 96.9 98.7 100.4 101.5 102.8 -
4th Quartile Price 94.7 96.9 98.8 100.4 101.5 102.8 -
Avg. Price Top 5 Trades 95.4 97.0 98.8 100.5 101.6 102.9 -
Standard Deviation 1.9 - 0.1 0.1 0.1 0.1 -
     VOLUME OF TRADES (000'S) 1,542,858.5 592,335.8 1,924,917.1 1,934,617.5 533,047.9 256,355.9 -
     NUMBER OF TRADES 129 62 136 123 67 31 -
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 - - - - - - -
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 94.8 * 98.6 100.2 101.4 - -
Weighted Avg. Price 94.8 * 98.6 100.2 101.3 - -
Avg. Price Bottom 5 Trades 94.8 * 98.6 100.2 101.4 - -
2nd Quartile Price * * 98.6 100.2 101.4 - -
3rd Quartile Price * * 98.6 100.2 101.5 - -
4th Quartile Price * * 98.6 100.2 101.5 - -
Avg. Price Top 5 Trades 94.8 * 98.7 100.3 101.4 - -
Standard Deviation 0.3 * - - 0.1 - -
     VOLUME OF TRADES (000'S) 10,500.0 * 184,500.0 444,500.0 64,000.0 - -
     NUMBER OF TRADES 5 * 12 25 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 - - - - - - -
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 - - - - - - -

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

JUNE 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 87.8 92.8 95.9 98.6 100.7 102.1 104.0
Weighted Avg. Price 86.9 92.8 96.0 98.6 100.6 101.9 104.0
Avg. Price Bottom 5 Trades 81.9 92.7 95.7 98.3 100.2 101.7 102.9
2nd Quartile Price 85.5 92.7 95.9 98.5 100.5 101.8 103.9
3rd Quartile Price 88.9 92.8 96.0 98.6 100.6 101.9 104.0
4th Quartile Price 89.6 92.8 96.0 98.7 100.7 102.0 104.1
Avg. Price Top 5 Trades 90.1 92.9 96.1 99.0 101.8 104.3 104.6
Standard Deviation 2.5 0.1 0.1 0.1 0.3 0.6 0.3
     VOLUME OF TRADES (000'S) 5,579,479.0 1,028,029.0 3,302,140.2 4,918,717.8 8,957,763.8 1,897,501.2 1,479,380.0
     NUMBER OF TRADES 99 34 74 174 308 185 104
JULY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.4 93.3 95.6 98.0 100.2 102.0 104.3
Weighted Avg. Price 83.8 93.3 95.6 98.0 100.1 102.0 104.0
Avg. Price Bottom 5 Trades 79.3 93.1 95.5 97.9 100.0 101.9 103.4
2nd Quartile Price 79.8 93.2 95.6 98.0 100.1 102.0 103.4
3rd Quartile Price 83.5 93.3 95.6 98.0 100.2 102.0 103.5
4th Quartile Price 87.2 93.3 95.7 98.1 100.2 102.0 105.8
Avg. Price Top 5 Trades 90.6 93.4 95.8 98.4 100.3 102.1 105.9
Standard Deviation 4.1 0.1 0.1 0.1 0.1 - 1.1
     VOLUME OF TRADES (000'S) 9,913,155.7 2,127,611.7 7,203,874.0 18,835,000.4 16,297,149.5 9,332,632.6 7,125,885.0
     NUMBER OF TRADES 379 151 301 674 666 339 159
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 87.1 92.7 95.9 98.5 100.4 101.8 103.9
Weighted Avg. Price 86.7 92.7 95.9 98.5 100.4 101.8 103.9
Avg. Price Bottom 5 Trades 81.9 92.6 95.7 98.3 100.3 101.7 103.6
2nd Quartile Price 85.4 92.7 95.8 98.4 100.4 101.8 103.8
3rd Quartile Price 88.8 92.7 95.9 98.5 100.4 101.8 103.9
4th Quartile Price 89.5 92.8 95.9 98.5 100.4 101.9 103.9
Avg. Price Top 5 Trades 89.8 92.8 96.0 98.6 100.6 102.0 104.1
Standard Deviation 2.9 0.1 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 5,819,350.6 991,917.1 2,998,688.9 4,243,186.2 8,043,117.5 2,029,269.0 1,097,499.2
     NUMBER OF TRADES 109 22 62 124 217 135 74
AUGUST Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 84.0 93.2 95.5 97.9 100.0 101.7 104.4
Weighted Avg. Price 82.6 93.1 95.6 98.0 100.0 101.7 104.1
Avg. Price Bottom 5 Trades 79.8 93.0 95.5 97.8 99.9 101.6 103.2
2nd Quartile Price 83.3 93.1 95.5 97.9 100.0 101.7 103.3
3rd Quartile Price 83.5 93.2 95.5 97.9 100.0 101.8 103.4
4th Quartile Price 86.9 93.3 95.6 98.0 100.0 101.8 105.6
Avg. Price Top 5 Trades 90.5 93.2 95.6 98.1 100.1 101.8 105.7
Standard Deviation 3.3 0.1 0.1 0.1 - 0.1 1.2
     VOLUME OF TRADES (000'S) 5,801,944.5 338,156.0 986,230.0 2,422,411.0 5,723,760.9 3,653,690.0 4,729,500.0
     NUMBER OF TRADES 63 31 31 93 304 178 57
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 * * 95.7 98.3 100.2 101.6 103.6
Weighted Avg. Price * * 95.7 98.3 100.2 101.7 103.6
Avg. Price Bottom 5 Trades * * 95.7 98.2 100.1 101.6 103.6
2nd Quartile Price * * 95.7 98.3 100.2 101.6 103.6
3rd Quartile Price * * 95.7 98.3 100.2 101.7 103.6
4th Quartile Price * * 95.8 98.4 100.2 101.7 103.6
Avg. Price Top 5 Trades * * 95.8 98.4 100.3 101.7 103.6
Standard Deviation * * 0.1 0.1 - - -
     VOLUME OF TRADES (000'S) * * 49,000.0 241,500.0 676,250.0 719,250.0 18,750.0
     NUMBER OF TRADES * * 18 51 160 67 8
SEPTEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * * 97.8 99.8 101.6 103.3
Weighted Avg. Price * * * 97.8 99.8 101.6 103.2
Avg. Price Bottom 5 Trades * * * 97.7 99.7 101.5 103.1
2nd Quartile Price * * * 97.8 99.8 101.6 103.1
3rd Quartile Price * * * 97.8 99.9 101.6 103.2
4th Quartile Price * * * 97.8 99.9 101.6 103.2
Avg. Price Top 5 Trades * * * 97.8 99.9 101.6 103.4
Standard Deviation * * * 0.1 - - 0.6
     VOLUME OF TRADES (000'S) * * * 187,500.0 885,650.0 768,500.0 59,000.0
     NUMBER OF TRADES * * * 18 66 42 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 - - * - * - -
* 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].