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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 100.1 101.7 94.8 - * *
Weighted Avg. Price 100.7 100.9 94.0 - * *
Avg. Price Bottom 5 Trades 98.6 96.0 88.9 - * *
2nd Quartile Price 99.8 100.0 90.3 - * *
3rd Quartile Price 100.4 102.2 95.8 - * *
4th Quartile Price 100.7 104.9 98.7 - * *
Avg. Price Top 5 Trades 101.5 107.2 99.9 - * *
Standard Deviation 0.9 3.4 4.3 - * *
VOLUME OF TRADES (000'S) 25,813.2 117,570.7 1,623,749.7 - * *
Customer Buy 13,862.4 82,752.7 558,895.1 - * *
Customer Sell 226.5 18,880.4 1,046,787.5 - * *
Dealer to Dealer 11,724.3 15,937.6 18,067.2 - - -
<= $1MM 3,973.4 5,169.3 1,642.3 - - *
<= $10MM 21,839.8 32,754.4 64,520.2 - - -
> $10MM - * 1,557,587.3 - * *
NUMBER OF TRADES 42 55 57 - * *
Customer Buy 9 16 19 - * *
Customer Sell 17 26 30 - * *
Dealer to Dealer 16 13 8 - - -
<= $1MM 33 39 17 - - *
<= $10MM 9 12 9 - - -
> $10MM - * 31 - * *

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 101.4 103.6 96.2 100.6 99.7 * - * * 98.3 * * * - - * - * - - -
Weighted Avg. Price 101.6 103.0 99.8 101.8 99.7 * - * * 98.3 * * * - - * - * - - -
Avg. Price Bottom 5 Trades 100.7 100.5 96.2 99.3 99.7 * - * * 98.3 * * * - - * - * - - -
2nd Quartile Price 101.4 101.7 * 100.0 * * - * * * * * * - - * - * - - -
3rd Quartile Price 101.6 104.7 * 101.3 * * - * * * * * * - - * - * - - -
4th Quartile Price 101.9 106.7 * 102.3 * * - * * * * * * - - * - * - - -
Avg. Price Top 5 Trades 102.0 106.7 96.2 102.0 99.7 * - * * 98.3 * * * - - * - * - - -
Standard Deviation 0.7 2.7 4.6 1.3 0.4 * - * * 0.9 * * * - - * - * - - -
VOLUME OF TRADES (000'S) 69,910.0 89,115.0 9,308.0 71,318.4 17,419.1 * - * * 1,476.0 * * * - - * - * - - -
Customer Buy * 57,186.0 * 48,853.5 * - - - - * * * * - - * - * - - -
Customer Sell 42,840.0 31,929.0 * * * * - * * * * * * - - * - * - - -
Dealer to Dealer * - - * * - - - - - - - - - - - - - - - -
<= $1MM 1,101.0 4,070.0 * 1,558.0 * * - - - 1,476.0 * * - - - * - * - - -
<= $10MM * 31,374.9 * 27,076.5 * - - * - - * - - - - * - - - - -
> $10MM * * - * - - - - * - - - * - - - - * - - -
NUMBER OF TRADES 14 18 5 14 5 * - * * 5 * * * - - * - * - - -
Customer Buy * 9 * 9 * - - - - * * * * - - * - * - - -
Customer Sell 9 9 * * * * - * * * * * * - - * - * - - -
Dealer to Dealer * - - * * - - - - - - - - - - - - - - - -
<= $1MM 7 8 * 5 * * - - - 5 * * - - - * - * - - -
<= $10MM * 7 * 7 * - - * - - * - - - - * - - - - -
> $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 * - - * 99.2 97.9 - - - * 97.5 95.8 - - - - * 96.0 - - *
Weighted Avg. Price * - - * 99.1 98.3 - - - * 95.0 95.9 - - - - * 98.1 - - *
Avg. Price Bottom 5 Trades * - - * 97.7 96.9 - - - * 97.0 94.8 - - - - * 96.0 - - *
2nd Quartile Price * - - * 99.1 98.4 - - - * 99.1 96.8 - - - - * * - - *
3rd Quartile Price * - - * 99.5 98.7 - - - * 99.7 97.0 - - - - * * - - *
4th Quartile Price * - - * 99.8 99.3 - - - * 99.7 99.0 - - - - * * - - *
Avg. Price Top 5 Trades * - - * 100.3 98.9 - - - * 98.3 97.4 - - - - * 96.0 - - *
Standard Deviation * - - * 1.6 1.8 - - - * 3.1 3.0 - - - - * 4.5 - - *
VOLUME OF TRADES (000'S) * - - * 78,058.7 42,213.1 - - - * 10,852.1 8,229.6 - - - - * 34,250.0 - - *
Customer Buy - - - * 39,310.4 18,529.0 - - - * * * - - - - * * - - *
Customer Sell * - - * 36,982.4 23,684.1 - - - * * * - - - - * * - - *
Dealer to Dealer - - - - * - - - - - - * - - - - - - - - -
<= $1MM * - - * * * - - - - * 2,049.6 - - - - * * - - -
<= $10MM - - - * 76,292.7 41,127.2 - - - * * * - - - - * * - - *
> $10MM - - - - - - - - - - - - - - - - - * - - -
NUMBER OF TRADES * - - * 17 10 - - - * 6 7 - - - - * 5 - - *
Customer Buy - - - * 8 5 - - - * * * - - - - * * - - *
Customer Sell * - - * 7 5 - - - * * * - - - - * * - - *
Dealer to Dealer - - - - * - - - - - - * - - - - - - - - -
<= $1MM * - - * * * - - - - * 5 - - - - * * - - -
<= $10MM - - - * 15 8 - - - * * * - - - - * * - - *
> $10MM - - - - - - - - - - - - - - - - - * - - -

* 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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