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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 CBO/CDO/CLO
Pricing Table: Agency CMBS by Deal Vintage
METRIC AGENCY CMBS (P&I) AGENCY CMBS (IO/PO) AGENCY CMBS (P&I) AGENCY CMBS (IO/PO)
PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE 94.7 - 95.3 93.3 94.8 - - -
Weighted Avg. Price 95.9 - 96.5 98.7 94.6 - - -
Avg. Price Bottom 5 Trades 83.2 - 92.2 89.2 90.1 - - -
2nd Quartile Price 93.9 - 94.0 93.5 94.4 - - -
3rd Quartile Price 96.0 - 96.1 95.3 96.5 - - -
4th Quartile Price 97.6 - 97.4 99.7 98.1 - - -
Avg. Price Top 5 Trades 99.6 - 98.3 99.6 97.5 - - -
Standard Deviation 4.5 - 3.1 7.1 3.8 - - -
VOLUME OF TRADES (000'S) 75,528.7 - 35,792.7 8,167.5 31,568.5 - - -
Customer Buy 45,818.2 - 22,248.1 6,904.9 16,665.2 - - -
Customer Sell 9,147.2 - 8,886.1 * * - - -
Dealer to Dealer 20,563.4 - 4,658.5 1,233.6 14,671.2 - - -
<= $1MM 5,659.7 - 2,618.1 2,453.6 588.0 - - -
<= $10MM 69,869.0 - 33,174.6 * 30,980.5 - - -
> $10MM - - - - - - - -
NUMBER OF TRADES 67 - 37 15 15 - - -
Customer Buy 19 - 8 6 5 - - -
Customer Sell 23 - 15 * * - - -
Dealer to Dealer 25 - 14 5 6 - - -
<= $1MM 43 - 23 12 8 - - -
<= $10MM 24 - 14 * 7 - - -
> $10MM - - - - - - - -

Pricing Table: CMBS Conduit by Deal Vintage
METRIC NON-AGENCY CMBS (P&I) NON-AGENCY CMBS (IO/PO) 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 74.0 - 95.8 85.8 97.8 * - 102.8 - - - * - * - - - 43.2 * - - - -
Weighted Avg. Price 40.4 - 94.8 86.0 99.8 * - 103.9 - - - * - * - - - 12.1 * - - - -
Avg. Price Bottom 5 Trades 11.3 - 95.8 85.8 92.8 * - 102.8 - - - * - * - - - 43.2 * - - - -
2nd Quartile Price 70.0 - * * 99.6 * - * - - - * - * - - - * * - - - -
3rd Quartile Price 86.9 - * * 100.5 * - * - - - * - * - - - * * - - - -
4th Quartile Price 99.6 - * * 105.4 * - * - - - * - * - - - * * - - - -
Avg. Price Top 5 Trades 105.0 - 95.8 85.8 103.2 * - 102.8 - - - * - * - - - 43.2 * - - - -
Standard Deviation 33.5 - 1.9 2.6 7.7 * - 2.2 - - - * - * - - - 26.4 * - - - -
VOLUME OF TRADES (000'S) 113,187.4 - 2,350.0 10,938.9 17,199.0 * - 620.3 - - - * - * - - - 50,033.0 * - - - -
Customer Buy 69,723.4 - * * 16,199.0 - - 620.3 - - - * - * - - - * * - - - -
Customer Sell 43,404.1 - * * * * - - - - - - - - - - - 25,033.0 - - - - -
Dealer to Dealer * - - - - - - - - - - - - - - - - * - - - - -
<= $1MM 9,611.5 - * * 2,199.0 * - 620.3 - - - * - * - - - 925.0 - - - - -
<= $10MM 48,696.0 - * * - - - - - - - - - - - - - * * - - - -
> $10MM * - - - * - - - - - - - - - - - - * - - - - -
NUMBER OF TRADES 64 - 5 5 9 * - 5 - - - * - * - - - 13 * - - - -
Customer Buy 41 - * * 8 - - 5 - - - * - * - - - * * - - - -
Customer Sell 21 - * * * * - - - - - - - - - - - 8 - - - - -
Dealer to Dealer * - - - - - - - - - - - - - - - - * - - - - -
<= $1MM 42 - * * 8 * - 5 - - - * - * - - - 7 - - - - -
<= $10MM 19 - * * - - - - - - - - - - - - - * * - - - -
> $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-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 - - - - * * - - - - * * - - - 45.7 - - - - -
Weighted Avg. Price - - - - * * - - - - * * - - - 17.0 - - - - -
Avg. Price Bottom 5 Trades - - - - * * - - - - * * - - - 42.3 - - - - -
2nd Quartile Price - - - - * * - - - - * * - - - 14.5 - - - - -
3rd Quartile Price - - - - * * - - - - * * - - - 84.5 - - - - -
4th Quartile Price - - - - * * - - - - * * - - - 86.9 - - - - -
Avg. Price Top 5 Trades - - - - * * - - - - * * - - - 53.5 - - - - -
Standard Deviation - - - - * * - - - - * * - - - 39.0 - - - - -
VOLUME OF TRADES (000'S) - - - - * * - - - - * * - - - 25,019.6 - - - - -
Customer Buy - - - - * * - - - - * * - - - 12,509.8 - - - - -
Customer Sell - - - - - - - - - - - - - - - 12,509.8 - - - - -
Dealer to Dealer - - - - - - - - - - - - - - - - - - - - -
<= $1MM - - - - * * - - - - * * - - - 45.8 - - - - -
<= $10MM - - - - - * - - - - - - - - - 24,973.9 - - - - -
> $10MM - - - - - - - - - - - - - - - - - - - - -
NUMBER OF TRADES - - - - * * - - - - * * - - - 13 - - - - -
Customer Buy - - - - * * - - - - * * - - - 6 - - - - -
Customer Sell - - - - - - - - - - - - - - - 7 - - - - -
Dealer to Dealer - - - - - - - - - - - - - - - - - - - - -
<= $1MM - - - - * * - - - - * * - - - 5 - - - - -
<= $10MM - - - - - * - - - - - - - - - 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 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 [email protected].
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