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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
Pricing Table: Agency CMBS by Deal Vintage
METRIC AGENCY CMBS (P&I) AGENCY CMBS (IO/PO)
PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022
AVERAGE PRICE 101.6 104.6 96.5 * - *
Weighted Avg. Price 102.2 105.4 95.7 * - *
Avg. Price Bottom 5 Trades 100.3 101.2 92.9 * - *
2nd Quartile Price 100.7 102.3 93.3 * - *
3rd Quartile Price 101.6 104.4 97.5 * - *
4th Quartile Price 102.8 107.4 100.7 * - *
Avg. Price Top 5 Trades 102.9 109.6 100.9 * - *
Standard Deviation 1.5 3.1 3.6 * - *
VOLUME OF TRADES (000'S) 1,709.7 25,689.2 58,602.7 * - *
Customer Buy * 7,941.6 40,537.0 - - *
Customer Sell 44.1 14,018.2 2,053.8 * - *
Dealer to Dealer * 3,729.5 16,011.9 - - -
<= $1MM 647.7 1,052.4 65.7 - - -
<= $10MM * 24,636.8 35,825.0 - - -
> $10MM - - * * - *
NUMBER OF TRADES 15 33 23 * - *
Customer Buy * 8 5 - - *
Customer Sell 10 19 11 * - *
Dealer to Dealer * 6 7 - - -
<= $1MM 14 22 13 - - -
<= $10MM * 11 9 - - -
> $10MM - - * * - *

Pricing Table: CMBS Conduit by Deal Vintage
METRIC CONDUIT AAA LCF (P&I) CONDUIT AAA (P&I) CONDUIT AAA (IO/PO) CONDUIT IG (P&I) CONDUIT IG (IO/PO) CONDUIT HY (P&I) CONDUIT HY (IO/PO)
PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022
AVERAGE PRICE 102.5 104.5 98.6 100.7 104.6 * - - - 92.1 * * - - - 71.9 * * - - -
Weighted Avg. Price 103.0 104.3 98.8 101.0 106.7 * - - - 92.5 * * - - - 47.1 * * - - -
Avg. Price Bottom 5 Trades 100.7 102.8 96.3 100.4 103.3 * - - - 90.5 * * - - - 50.9 * * - - -
2nd Quartile Price 102.2 104.4 98.3 101.0 103.3 * - - - 92.1 * * - - - 78.0 * * - - -
3rd Quartile Price 103.3 105.3 98.4 101.3 105.2 * - - - 93.7 * * - - - 89.0 * * - - -
4th Quartile Price 104.2 106.8 101.5 101.6 107.4 * - - - 94.0 * * - - - 94.5 * * - - -
Avg. Price Top 5 Trades 104.1 106.0 100.9 101.3 106.3 * - - - 94.3 * * - - - 94.5 * * - - -
Standard Deviation 1.7 2.3 2.4 0.9 2.3 * - - - 3.6 * * - - - 34.0 * * - - -
VOLUME OF TRADES (000'S) 17,178.2 57,445.0 75,905.0 529.6 16,836.5 * - - - 33,468.0 * * - - - 44,296.0 * * - - -
Customer Buy 12,078.5 41,200.0 37,940.0 * 14,626.6 * - - - * * * - - - * * - - - -
Customer Sell 5,018.3 * * * * - - - - * * * - - - 31,083.0 * * - - -
Dealer to Dealer * * * * * - - - - - - - - - - * - - - - -
<= $1MM 1,045.0 * * 529.6 3,469.8 * - - - - - - - - - 228.0 - - - - -
<= $10MM 16,133.3 56,445.0 46,515.0 - * - - - - 33,468.0 * * - - - 44,068.0 * * - - -
> $10MM - - * - * - - - - - - - - - - - - - - - -
NUMBER OF TRADES 14 10 13 7 9 * - - - 8 * * - - - 14 * * - - -
Customer Buy 6 6 6 * 5 * - - - * * * - - - * * - - - -
Customer Sell 6 * * * * - - - - * * * - - - 6 * * - - -
Dealer to Dealer * * * * * - - - - - - - - - - * - - - - -
<= $1MM 6 * * 7 7 * - - - - - - - - - 6 - - - - -
<= $10MM 8 9 9 - * - - - - 8 * * - - - 8 * * - - -
> $10MM - - * - * - - - - - - - - - - - - - - - -

Pricing Table: CMBS Other by Deal Vintage
METRIC OTHER CMBS AAA LCF (P&I) OTHER CMBS AAA (P&I) OTHER CMBS AAA (IO/PO) OTHER CMBS IG (P&I) OTHER CMBS IG (IO/PO) OTHER CMBS HY (P&I) OTHER CMBS HY (IO/PO)
PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022
AVERAGE PRICE 99.9 - - 101.0 * 98.1 - - - * 100.0 97.9 - - - 88.5 98.4 96.4 - - -
Weighted Avg. Price 99.8 - - 100.2 * 98.7 - - - * 100.1 98.4 - - - 85.8 98.9 94.9 - - -
Avg. Price Bottom 5 Trades 99.9 - - 101.0 * 95.8 - - - * 98.7 94.7 - - - 88.5 97.7 91.8 - - -
2nd Quartile Price * - - * * 96.5 - - - * 99.8 97.5 - - - * 96.8 97.5 - - -
3rd Quartile Price * - - * * 98.2 - - - * 100.1 98.7 - - - * 99.6 99.0 - - -
4th Quartile Price * - - * * 100.0 - - - * 100.9 99.9 - - - * 99.8 99.5 - - -
Avg. Price Top 5 Trades 99.9 - - 101.0 * 100.2 - - - * 101.2 100.0 - - - 88.5 99.7 99.5 - - -
Standard Deviation 0.3 - - 1.8 * 1.7 - - - * 1.2 2.2 - - - 15.5 1.8 5.4 - - -
VOLUME OF TRADES (000'S) 199.8 - - 28,966.0 * 232,228.4 - - - * 71,183.3 60,713.4 - - - 12,458.7 30,017.7 55,669.0 - - -
Customer Buy * - - * - 96,784.9 - - - * 33,021.4 33,919.4 - - - * * 42,669.0 - - -
Customer Sell * - - * * 135,443.6 - - - * 32,745.5 26,794.0 - - - * 20,123.7 * - - -
Dealer to Dealer * - - - - - - - - - * - - - - - - - - - -
<= $1MM 199.8 - - * - * - - - * * * - - - * * * - - -
<= $10MM - - - * * 56,518.2 - - - * 43,885.3 60,213.4 - - - * 28,889.5 54,669.0 - - -
> $10MM - - - * * 175,157.2 - - - - * - - - - - - - - - -
NUMBER OF TRADES 6 - - 5 * 23 - - - * 19 19 - - - 6 11 13 - - -
Customer Buy * - - * - 12 - - - * 9 10 - - - * * 9 - - -
Customer Sell * - - * * 11 - - - * 9 9 - - - * 9 * - - -
Dealer to Dealer * - - - - - - - - - * - - - - - - - - - -
<= $1MM 6 - - * - * - - - * * * - - - * * * - - -
<= $10MM - - - * * 12 - - - * 15 18 - - - * 9 12 - - -
> $10MM - - - * * 9 - - - - * - - - - - - - - - -

* Indicates trade count is less than 5
† Includes Unrated Securities
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.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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