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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/CDO 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 96.1 94.5 85.4 0.0 * 0.0
Weighted Avg. Price 96.6 94.3 91.5 0.0 * 0.0
Avg. Price Bottom 5 Trades 87.8 89.4 78.3 0.0 * 0.0
2nd Quartile Price 94.5 93.0 81.2 0.0 * 0.0
3rd Quartile Price 97.3 95.0 84.7 0.0 * 0.0
4th Quartile Price 98.8 97.0 91.3 0.0 * 0.0
Avg. Price Top 5 Trades 99.6 97.8 94.5 0.0 * 0.0
Standard Deviation 4.2 2.8 6.2 0.0 * 0.0
VOLUME OF TRADES (000'S) 195,313.6 245,559.1 223,823.3 0.0 * 0.0
Customer Buy 89,075.7 114,428.0 61,858.3 0.0 * 0.0
Customer Sell 47,992.3 117,569.6 161,958.0 0.0 * 0.0
Dealer to Dealer 58,245.7 13,561.5 * 0.0 0.0 0.0
<= $1MM 10,627.8 1,540.2 3,796.0 0.0 0.0 0.0
<= $10MM 64,330.7 94,509.2 37,558.3 0.0 0.0 0.0
> $10MM * 149,509.7 * 0.0 * 0.0
NUMBER OF TRADES 45 43 26 0 * 0
Customer Buy 19 19 17 0 * 0
Customer Sell 12 16 7 0 * 0
Dealer to Dealer 14 8 * 0 0 0
<= $1MM 24 16 10 0 0 0
<= $10MM 17 22 12 0 0 0
> $10MM * 5 * 0 * 0

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 96.6 92.7 80.4 95.9 92.4 86.9 0.0 0.0 0.0 88.4 75.6 77.0 * 0.0 0.0 91.0 * 76.5 0.0 0.0 0.0
Weighted Avg. Price 97.5 91.7 82.0 96.5 91.8 85.4 0.0 0.0 0.0 87.3 78.3 76.8 * 0.0 0.0 90.7 * 79.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 93.3 90.6 77.8 93.4 87.9 80.6 0.0 0.0 0.0 75.0 69.8 77.0 * 0.0 0.0 89.7 * 76.5 0.0 0.0 0.0
2nd Quartile Price 95.4 92.6 78.1 94.6 91.9 82.7 0.0 0.0 0.0 85.6 69.3 * * 0.0 0.0 90.6 * * 0.0 0.0 0.0
3rd Quartile Price 97.2 93.9 80.4 96.0 93.8 91.8 0.0 0.0 0.0 92.3 77.5 * * 0.0 0.0 91.1 * * 0.0 0.0 0.0
4th Quartile Price 98.2 94.2 86.3 98.3 95.6 94.3 0.0 0.0 0.0 94.8 86.9 * * 0.0 0.0 93.2 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 99.2 94.2 83.1 98.6 95.8 93.9 0.0 0.0 0.0 96.4 81.8 77.0 * 0.0 0.0 92.2 * 76.5 0.0 0.0 0.0
Standard Deviation 2.0 2.3 3.3 2.2 3.5 6.9 0.0 0.0 0.0 8.2 6.9 1.9 * 0.0 0.0 1.9 * 9.8 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 138,781.0 33,426.4 59,020.0 57,550.1 94,027.4 58,850.0 0.0 0.0 0.0 35,937.3 47,101.0 23,755.9 * 0.0 0.0 14,556.0 * 39,935.1 0.0 0.0 0.0
Customer Buy 55,636.3 0.0 * 24,178.9 34,188.9 20,700.0 0.0 0.0 0.0 9,600.7 23,621.0 * 0.0 0.0 0.0 * * * 0.0 0.0 0.0
Customer Sell 81,557.7 28,006.4 43,020.0 33,371.2 59,838.5 37,850.0 0.0 0.0 0.0 26,336.7 23,480.0 * * 0.0 0.0 * * * 0.0 0.0 0.0
Dealer to Dealer * * 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0
<= $1MM 2,967.4 1,977.1 * 4,572.5 1,379.7 * 0.0 0.0 0.0 6,899.2 * 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0
<= $10MM 85,675.1 31,449.4 45,900.0 39,783.4 63,512.0 58,250.0 0.0 0.0 0.0 29,038.2 24,372.0 23,755.9 * 0.0 0.0 13,022.0 * * 0.0 0.0 0.0
> $10MM * 0.0 * * * 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0
NUMBER OF TRADES 33 14 11 17 17 11 0 0 0 26 11 5 * 0 0 9 * 5 0 0 0
Customer Buy 14 0 * 6 6 5 0 0 0 10 6 * 0 0 0 * * * 0 0 0
Customer Sell 15 12 8 11 11 5 0 0 0 16 5 * * 0 0 * * * 0 0 0
Dealer to Dealer * * 0 0 0 * 0 0 0 0 0 0 0 0 0 * 0 0 0 0 0
<= $1MM 11 6 * 8 5 * 0 0 0 15 * 0 0 0 0 * 0 0 0 0 0
<= $10MM 19 8 8 8 10 9 0 0 0 11 6 5 * 0 0 6 * * 0 0 0
> $10MM * 0 * * * 0 0 0 0 0 * 0 0 0 0 0 0 * 0 0 0

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 0.0 0.0 0.0 93.8 92.3 91.8 0.0 0.0 0.0 89.1 90.8 87.3 0.0 0.0 0.0 87.4 90.2 86.5 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 94.5 91.1 94.2 0.0 0.0 0.0 89.4 94.0 89.5 0.0 0.0 0.0 87.2 92.4 88.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 92.0 87.2 78.3 0.0 0.0 0.0 85.7 85.9 77.2 0.0 0.0 0.0 87.4 81.1 68.2 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 90.9 88.7 88.8 0.0 0.0 0.0 87.3 86.5 84.3 0.0 0.0 0.0 * 91.0 81.9 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 94.0 97.1 95.1 0.0 0.0 0.0 88.5 94.8 88.2 0.0 0.0 0.0 * 94.0 90.2 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 99.3 98.0 96.0 0.0 0.0 0.0 95.1 95.0 93.1 0.0 0.0 0.0 * 94.5 94.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 95.9 97.3 97.6 0.0 0.0 0.0 93.4 94.9 94.1 0.0 0.0 0.0 87.4 94.9 95.3 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 4.0 6.4 6.9 0.0 0.0 0.0 4.0 5.7 6.2 0.0 0.0 0.0 7.2 8.6 9.8 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 20,930.5 17,278.4 106,993.3 0.0 0.0 0.0 22,912.7 34,593.7 47,378.0 0.0 0.0 0.0 19,336.5 81,123.0 124,511.2 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0 * * 46,183.8 0.0 0.0 0.0 10,647.9 21,469.4 19,660.0 0.0 0.0 0.0 * 23,623.1 59,591.3 0.0 0.0 0.0
Customer Sell 0.0 0.0 0.0 17,096.8 10,496.4 60,809.5 0.0 0.0 0.0 12,264.9 13,124.4 27,718.0 0.0 0.0 0.0 * 57,499.9 64,919.9 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 * 2,849.0 6,209.8 0.0 0.0 0.0 * 4,059.0 13,078.0 0.0 0.0 0.0 0.0 4,224.6 2,720.0 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 20,747.4 14,429.4 100,783.5 0.0 0.0 0.0 21,132.7 30,534.7 34,300.0 0.0 0.0 0.0 19,336.5 37,589.1 96,691.2 0.0 0.0 0.0
> $10MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 * * 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0 8 10 31 0 0 0 15 11 28 0 0 0 5 18 33 0 0 0
Customer Buy 0 0 0 * * 11 0 0 0 7 6 10 0 0 0 * 6 16 0 0 0
Customer Sell 0 0 0 6 7 20 0 0 0 8 5 18 0 0 0 * 12 17 0 0 0
Dealer to Dealer 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
<= $1MM 0 0 0 * 5 10 0 0 0 * 6 22 0 0 0 0 5 6 0 0 0
<= $10MM 0 0 0 7 5 21 0 0 0 11 5 6 0 0 0 5 11 25 0 0 0
> $10MM 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 * * 0 0 0

* 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 Listor 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 tracedataservices@finra.org.
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