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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-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023
AVERAGE PRICE 95.4 91.5 86.5 * * *
Weighted Avg. Price 94.8 97.7 87.4 * * *
Avg. Price Bottom 5 Trades 92.3 80.8 67.0 * * *
2nd Quartile Price 93.8 83.0 81.5 * * *
3rd Quartile Price 95.1 96.2 93.0 * * *
4th Quartile Price 97.3 97.9 99.5 * * *
Avg. Price Top 5 Trades 98.7 99.1 98.9 * * *
Standard Deviation 2.3 8.0 15.3 * * *
VOLUME OF TRADES (000'S) 58,889.2 47,360.3 272,559.2 * * *
Customer Buy 20,951.3 27,576.5 127,535.6 * * *
Customer Sell 33,623.3 13,941.8 * - * -
Dealer to Dealer 4,314.6 * 45,022.2 - * -
<= $1MM 2,056.3 2,698.1 1,970.7 - - -
<= $10MM 44,287.2 28,785.9 27,229.5 - - -
> $10MM * * 243,359.1 * * *
NUMBER OF TRADES 28 18 16 * * *
Customer Buy 10 7 8 * * *
Customer Sell 10 7 * - * -
Dealer to Dealer 8 * 6 - * -
<= $1MM 18 12 6 - - -
<= $10MM 9 5 5 - - -
> $10MM * * 5 * * *

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 96.3 89.6 88.3 96.6 - * - - - * * - - - - * - - - - -
Weighted Avg. Price 97.1 93.6 87.6 93.2 - * - - - * * - - - - * - - - - -
Avg. Price Bottom 5 Trades 92.3 87.5 85.3 94.8 - * - - - * * - - - - * - - - - -
2nd Quartile Price 97.0 85.5 87.3 97.3 - * - - - * * - - - - * - - - - -
3rd Quartile Price 97.3 94.3 87.5 98.2 - * - - - * * - - - - * - - - - -
4th Quartile Price 98.3 95.1 96.0 98.7 - * - - - * * - - - - * - - - - -
Avg. Price Top 5 Trades 98.5 91.4 91.0 98.4 - * - - - * * - - - - * - - - - -
Standard Deviation 2.7 4.8 5.3 2.5 - * - - - * * - - - - * - - - - -
VOLUME OF TRADES (000'S) 91,674.3 34,521.1 33,236.9 36,139.4 - * - - - * * - - - - * - - - - -
Customer Buy 35,642.1 32,521.1 20,155.0 25,100.1 - * - - - * * - - - - * - - - - -
Customer Sell 55,592.2 - * 11,039.3 - * - - - * - - - - - * - - - - -
Dealer to Dealer * * - - - - - - - * - - - - - - - - - - -
<= $1MM 775.0 * * 1,024.5 - - - - - * - - - - - - - - - - -
<= $10MM 58,361.1 * 32,868.9 - - * - - - * * - - - - * - - - - -
> $10MM * * - * - - - - - - - - - - - - - - - - -
NUMBER OF TRADES 23 7 8 10 - * - - - * * - - - - * - - - - -
Customer Buy 8 5 5 5 - * - - - * * - - - - * - - - - -
Customer Sell 11 - * 5 - * - - - * - - - - - * - - - - -
Dealer to Dealer * * - - - - - - - * - - - - - - - - - - -
<= $1MM 7 * * 7 - - - - - * - - - - - - - - - - -
<= $10MM 13 * 6 - - * - - - * * - - - - * - - - - -
> $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-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 - - - * 92.2 93.7 - - - - 93.3 91.8 - - - * * 92.1 - - -
Weighted Avg. Price - - - * 91.4 93.8 - - - - 90.9 90.8 - - - * * 92.7 - - -
Avg. Price Bottom 5 Trades - - - * 85.1 93.7 - - - - 92.6 87.5 - - - * * 90.8 - - -
2nd Quartile Price - - - * 90.4 * - - - - 90.3 87.4 - - - * * 92.2 - - -
3rd Quartile Price - - - * 93.3 * - - - - 90.4 95.8 - - - * * 94.0 - - -
4th Quartile Price - - - * 99.3 * - - - - 98.3 96.8 - - - * * 94.3 - - -
Avg. Price Top 5 Trades - - - * 98.6 93.7 - - - - 93.8 97.6 - - - * * 93.8 - - -
Standard Deviation - - - * 6.6 5.0 - - - - 4.2 6.6 - - - * * 2.9 - - -
VOLUME OF TRADES (000'S) - - - * 146,231.9 17,996.0 - - - - 12,614.4 23,867.9 - - - * * 31,973.6 - - -
Customer Buy - - - - 68,305.5 * - - - - * * - - - * * * - - -
Customer Sell - - - * 77,926.3 * - - - - * 12,644.2 - - - * - * - - -
Dealer to Dealer - - - - - - - - - - * * - - - - - - - - -
<= $1MM - - - - * * - - - - * 1,658.5 - - - * - * - - -
<= $10MM - - - - 29,129.1 * - - - - 11,558.5 22,209.5 - - - * * 30,941.8 - - -
> $10MM - - - * 116,261.8 - - - - - - - - - - - - - - - -
NUMBER OF TRADES - - - * 17 5 - - - - 8 10 - - - * * 8 - - -
Customer Buy - - - - 6 * - - - - * * - - - * * * - - -
Customer Sell - - - * 11 * - - - - * 5 - - - * - * - - -
Dealer to Dealer - - - - - - - - - - * * - - - - - - - - -
<= $1MM - - - - * * - - - - * 5 - - - * - * - - -
<= $10MM - - - - 8 * - - - - 5 5 - - - * * 6 - - -
> $10MM - - - * 5 - - - - - - - - - - - - - - - -

* 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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