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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-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023
AVERAGE PRICE 96.1 91.3 88.6 0.0 0.0 *
Weighted Avg. Price 96.3 96.3 89.3 0.0 0.0 *
Avg. Price Bottom 5 Trades 88.2 80.4 75.8 0.0 0.0 *
2nd Quartile Price 95.9 84.4 87.9 0.0 0.0 *
3rd Quartile Price 96.9 95.7 93.6 0.0 0.0 *
4th Quartile Price 97.5 98.0 96.0 0.0 0.0 *
Avg. Price Top 5 Trades 99.0 98.5 97.8 0.0 0.0 *
Standard Deviation 3.2 7.8 9.9 0.0 0.0 *
VOLUME OF TRADES (000'S) 823,888.2 352,666.2 57,332.3 0.0 0.0 *
Customer Buy 276,699.9 161,325.2 15,360.1 0.0 0.0 *
Customer Sell 440,334.9 171,449.9 11,145.0 0.0 0.0 *
Dealer to Dealer 106,853.4 19,891.2 30,827.2 0.0 0.0 0.0
<= $1MM 11,970.5 5,571.0 7,951.5 0.0 0.0 0.0
<= $10MM 65,589.9 47,095.2 * 0.0 0.0 *
> $10MM 746,327.9 * * 0.0 0.0 *
NUMBER OF TRADES 55 34 21 0 0 *
Customer Buy 27 6 5 0 0 *
Customer Sell 19 17 7 0 0 *
Dealer to Dealer 9 11 9 0 0 0
<= $1MM 26 21 15 0 0 0
<= $10MM 17 11 * 0 0 *
> $10MM 12 * * 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-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023
AVERAGE PRICE 95.1 89.9 85.4 96.0 90.6 0.0 * 0.0 * 87.8 82.1 * 0.0 0.0 0.0 66.2 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 94.3 87.9 84.2 95.0 91.0 0.0 * 0.0 * 89.5 81.2 * 0.0 0.0 0.0 64.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 92.5 86.7 81.8 90.2 87.8 0.0 * 0.0 * 77.8 78.8 * 0.0 0.0 0.0 66.2 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 93.3 87.3 82.1 94.0 89.6 0.0 * 0.0 * 85.8 78.5 * 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 95.6 87.5 82.2 96.8 91.6 0.0 * 0.0 * 89.0 84.7 * 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 97.1 94.8 91.2 98.7 91.9 0.0 * 0.0 * 94.9 87.7 * 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 97.6 94.1 88.4 99.3 92.9 0.0 * 0.0 * 95.5 85.7 * 0.0 0.0 0.0 66.2 0.0 0.0 0.0 0.0 0.0
Standard Deviation 2.0 3.9 6.1 3.2 3.0 0.0 * 0.0 * 7.4 4.5 * 0.0 0.0 0.0 12.3 0.0 0.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 43,509.5 67,903.0 39,333.0 87,267.1 30,166.7 0.0 * 0.0 * 46,513.0 30,074.0 * 0.0 0.0 0.0 12,000.0 0.0 0.0 0.0 0.0 0.0
Customer Buy 23,501.2 40,828.0 * 33,609.8 9,890.0 0.0 * 0.0 * 12,956.0 16,037.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0
Customer Sell 20,008.3 * 16,967.0 43,589.2 20,276.7 0.0 * 0.0 * 32,891.0 * * 0.0 0.0 0.0 * 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 0.0 0.0
<= $1MM 4,705.9 * * 4,970.8 * 0.0 0.0 0.0 0.0 2,593.0 * 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 18,403.7 14,870.0 27,013.0 60,644.3 14,275.0 0.0 * 0.0 * 43,920.0 29,174.0 * 0.0 0.0 0.0 12,000.0 0.0 0.0 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 0.0
NUMBER OF TRADES 20 12 9 36 12 0 * 0 * 20 9 * 0 0 0 5 0 0 0 0 0
Customer Buy 12 8 * 16 6 0 * 0 * 5 5 * 0 0 0 * 0 0 0 0 0
Customer Sell 8 * 5 17 6 0 * 0 * 14 * * 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
<= $1MM 12 * * 18 * 0 0 0 0 7 * 0 0 0 0 0 0 0 0 0 0
<= $10MM 6 5 5 16 7 0 * 0 * 13 7 * 0 0 0 5 0 0 0 0 0
> $10MM * * * * * 0 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-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023
AVERAGE PRICE 0.0 0.0 0.0 * 95.5 94.5 0.0 0.0 0.0 * 93.7 94.8 0.0 0.0 0.0 * 87.7 92.4 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 96.6 93.7 0.0 0.0 0.0 * 93.9 94.8 0.0 0.0 0.0 * 95.5 93.9 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 90.9 87.2 0.0 0.0 0.0 * 88.3 90.5 0.0 0.0 0.0 * 85.9 88.4 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 * 97.1 93.5 0.0 0.0 0.0 * 95.4 94.5 0.0 0.0 0.0 * 96.1 90.5 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 * 98.1 96.1 0.0 0.0 0.0 * 96.3 95.6 0.0 0.0 0.0 * 96.4 92.8 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 * 98.7 97.0 0.0 0.0 0.0 * 97.3 95.8 0.0 0.0 0.0 * 96.5 95.6 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 98.7 98.2 0.0 0.0 0.0 * 97.2 98.7 0.0 0.0 0.0 * 91.2 96.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * 4.5 4.2 0.0 0.0 0.0 * 6.7 5.2 0.0 0.0 0.0 * 13.3 3.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 87,550.0 81,862.7 0.0 0.0 0.0 * 38,769.8 38,393.1 0.0 0.0 0.0 * 47,428.8 168,415.4 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0 * 56,601.3 58,221.3 0.0 0.0 0.0 * 17,983.9 15,520.1 0.0 0.0 0.0 * * 75,115.6 0.0 0.0 0.0
Customer Sell 0.0 0.0 0.0 0.0 * 23,641.4 0.0 0.0 0.0 * 20,785.9 22,650.0 0.0 0.0 0.0 * * 93,299.8 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
<= $1MM 0.0 0.0 0.0 * * 4,568.0 0.0 0.0 0.0 * 2,037.3 1,946.0 0.0 0.0 0.0 * * 3,751.7 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 * 19,539.6 64,676.8 0.0 0.0 0.0 * 36,732.5 36,447.1 0.0 0.0 0.0 * * 64,782.2 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 * 99,881.5 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0 * 13 29 0 0 0 * 14 16 0 0 0 * 6 25 0 0 0
Customer Buy 0 0 0 * 9 22 0 0 0 * 6 6 0 0 0 * * 10 0 0 0
Customer Sell 0 0 0 0 * 7 0 0 0 * 8 8 0 0 0 * * 15 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
<= $1MM 0 0 0 * * 10 0 0 0 * 5 6 0 0 0 * * 7 0 0 0
<= $10MM 0 0 0 * 6 18 0 0 0 * 9 10 0 0 0 * * 13 0 0 0
> $10MM 0 0 0 0 * * 0 0 0 0 0 0 0 0 0 0 * 5 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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