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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-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE 95.1 86.4 94.1 * * *
Weighted Avg. Price 96.3 93.8 93.7 * * *
Avg. Price Bottom 5 Trades 81.4 75.5 78.4 * * *
2nd Quartile Price 95.0 82.5 94.4 * * *
3rd Quartile Price 96.5 87.2 97.6 * * *
4th Quartile Price 98.2 95.4 99.1 * * *
Avg. Price Top 5 Trades 100.1 98.2 101.3 * * *
Standard Deviation 4.9 8.7 7.7 * * *
VOLUME OF TRADES (000'S) 221,519.8 15,982.2 314,668.8 * * *
Customer Buy 114,557.3 5,277.8 202,427.9 * * *
Customer Sell 84,796.4 5,555.3 19,243.8 - * -
Dealer to Dealer 22,166.2 * 92,997.2 - - -
<= $1MM 11,894.6 658.3 5,980.9 - - -
<= $10MM 76,825.2 * 39,243.6 - * -
> $10MM 132,800.0 - 269,444.4 * * *
NUMBER OF TRADES 81 21 32 * * *
Customer Buy 37 7 14 * * *
Customer Sell 31 11 10 - * -
Dealer to Dealer 13 * 8 - - -
<= $1MM 53 17 15 - - -
<= $10MM 23 * 8 - * -
> $10MM 5 - 9 * * *

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-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE 96.8 87.1 103.0 97.6 88.3 103.7 - - - 86.7 79.3 91.6 - - - 64.4 - * - - -
Weighted Avg. Price 98.1 88.9 99.8 97.9 91.3 103.0 - - - 76.3 79.5 95.5 - - - 62.0 - * - - -
Avg. Price Bottom 5 Trades 93.5 84.0 102.3 95.7 83.7 101.9 - - - 69.7 77.0 86.6 - - - 50.1 - * - - -
2nd Quartile Price 95.9 87.3 104.0 97.2 88.8 102.7 - - - 83.5 77.0 83.2 - - - 52.8 - * - - -
3rd Quartile Price 97.4 88.4 106.0 98.1 89.5 103.7 - - - 90.0 82.5 99.7 - - - 71.2 - * - - -
4th Quartile Price 98.8 89.7 106.2 98.8 94.3 105.2 - - - 92.5 84.9 106.0 - - - 84.6 - * - - -
Avg. Price Top 5 Trades 99.2 89.7 105.0 99.0 93.6 106.0 - - - 96.0 81.3 95.2 - - - 78.9 - * - - -
Standard Deviation 2.3 2.9 5.0 1.7 6.6 1.7 - - - 9.0 4.8 10.5 - - - 15.3 - * - - -
VOLUME OF TRADES (000'S) 82,933.6 29,879.5 4,400.0 42,812.7 77,808.0 212,889.0 - - - 41,437.4 10,210.0 15,495.0 - - - 18,700.0 - * - - -
Customer Buy 34,365.3 * * 22,118.7 * 67,975.0 - - - 19,571.5 * 13,885.0 - - - 8,672.0 - * - - -
Customer Sell 48,568.3 29,200.5 * 20,694.0 52,270.4 144,914.0 - - - 21,312.9 6,430.0 * - - - 7,158.0 - - - - -
Dealer to Dealer - - - - * - - - - 553.0 - - - - - * - - - - -
<= $1MM 4,185.0 3,873.0 * 4,067.5 * * - - - 5,480.4 * * - - - 590.0 - - - - -
<= $10MM 18,828.4 15,751.5 * 38,745.2 * 39,114.0 - - - 35,957.0 8,710.0 15,085.0 - - - 18,110.0 - * - - -
> $10MM 59,920.2 * - - * 173,500.0 - - - - - - - - - - - - - - -
NUMBER OF TRADES 20 13 6 15 12 18 - - - 35 7 7 - - - 15 - * - - -
Customer Buy 9 * * 6 * 11 - - - 10 * 5 - - - 6 - * - - -
Customer Sell 11 11 * 9 7 7 - - - 16 5 * - - - 5 - - - - -
Dealer to Dealer - - - - * - - - - 9 - - - - - * - - - - -
<= $1MM 7 7 * 6 * * - - - 26 * * - - - 8 - - - - -
<= $10MM 8 5 * 9 * 10 - - - 9 5 6 - - - 7 - * - - -
> $10MM 5 * - - * 5 - - - - - - - - - - - - - - -

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-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE - - - * 94.6 97.2 - - - 83.1 94.9 99.5 - - - 79.5 95.6 100.1 - - *
Weighted Avg. Price - - - * 95.7 98.8 - - - 87.1 96.5 98.5 - - - 79.9 95.6 101.0 - - *
Avg. Price Bottom 5 Trades - - - * 88.5 94.6 - - - 83.1 88.4 97.8 - - - 78.3 92.6 99.9 - - *
2nd Quartile Price - - - * 94.0 94.5 - - - * 90.2 99.4 - - - 82.5 95.2 100.0 - - *
3rd Quartile Price - - - * 97.2 97.1 - - - * 94.0 99.8 - - - 83.0 97.0 101.1 - - *
4th Quartile Price - - - * 99.8 100.6 - - - * 99.9 101.4 - - - 89.5 98.4 101.1 - - *
Avg. Price Top 5 Trades - - - * 99.3 100.4 - - - 83.1 99.9 100.9 - - - 83.2 97.7 100.5 - - *
Standard Deviation - - - * 5.9 3.1 - - - 11.0 4.7 2.3 - - - 10.5 3.9 1.2 - - *
VOLUME OF TRADES (000'S) - - - * 39,381.4 19,345.8 - - - 1,450.5 34,463.0 16,070.4 - - - 1,737.4 107,607.0 11,777.2 - - *
Customer Buy - - - * 23,046.5 10,074.3 - - - * 23,061.1 7,083.1 - - - * 41,402.3 * - - *
Customer Sell - - - * 16,334.9 * - - - * 9,908.8 * - - - * 66,204.7 * - - -
Dealer to Dealer - - - - - * - - - * 1,493.1 * - - - * - - - - -
<= $1MM - - - * 1,138.3 1,875.0 - - - 1,450.5 6,647.5 2,304.4 - - - 1,737.4 * * - - *
<= $10MM - - - * 38,243.1 17,470.8 - - - - 27,815.5 * - - - - 48,847.5 * - - -
> $10MM - - - - - - - - - - - - - - - - * - - - -
NUMBER OF TRADES - - - * 13 12 - - - 6 36 12 - - - 10 12 6 - - *
Customer Buy - - - * 5 6 - - - * 14 6 - - - * 6 * - - *
Customer Sell - - - * 8 * - - - * 12 * - - - * 6 * - - -
Dealer to Dealer - - - - - * - - - * 10 * - - - * - - - - -
<= $1MM - - - * 5 6 - - - 6 29 8 - - - 10 * * - - *
<= $10MM - - - * 8 6 - - - - 7 * - - - - 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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