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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 97.0 90.3 94.8 * - -
Weighted Avg. Price 97.6 92.1 99.2 * - -
Avg. Price Bottom 5 Trades 91.7 77.1 76.1 * - -
2nd Quartile Price 96.9 88.2 96.9 * - -
3rd Quartile Price 97.6 93.0 98.3 * - -
4th Quartile Price 98.3 96.7 100.1 * - -
Avg. Price Top 5 Trades 99.4 97.4 102.1 * - -
Standard Deviation 2.3 8.5 12.2 * - -
VOLUME OF TRADES (000'S) 187,404.4 26,526.4 137,477.1 * - -
Customer Buy 52,449.9 9,005.0 57,759.4 - - -
Customer Sell 77,102.3 13,516.9 * * - -
Dealer to Dealer 57,852.1 * 56,369.7 - - -
<= $1MM 4,220.9 1,304.5 3,644.6 - - -
<= $10MM 80,751.8 25,221.9 72,112.5 * - -
> $10MM * - * * - -
NUMBER OF TRADES 45 20 26 * - -
Customer Buy 16 5 17 - - -
Customer Sell 21 11 * * - -
Dealer to Dealer 8 * 6 - - -
<= $1MM 23 9 11 - - -
<= $10MM 18 11 11 * - -
> $10MM * - * * - -

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 96.9 89.7 103.7 97.9 - 102.2 * * - 86.5 * * - - - 77.2 - * - - *
Weighted Avg. Price 96.4 88.9 103.8 97.2 - 102.7 * * - 90.1 * * - - - 68.4 - * - - *
Avg. Price Bottom 5 Trades 95.3 86.0 101.8 96.8 - 100.5 * * - 67.0 * * - - - 46.4 - * - - *
2nd Quartile Price 95.8 88.9 102.5 97.0 - 100.9 * * - 90.0 * * - - - 82.0 - * - - *
3rd Quartile Price 96.2 91.4 104.4 98.3 - 102.7 * * - 90.5 * * - - - 88.0 - * - - *
4th Quartile Price 98.8 92.3 105.9 98.9 - 103.9 * * - 93.3 * * - - - 96.8 - * - - *
Avg. Price Top 5 Trades 99.2 92.4 105.4 99.0 - 104.0 * * - 93.1 * * - - - 95.2 - * - - *
Standard Deviation 1.5 3.2 2.1 1.0 - 1.6 * * - 13.4 * * - - - 21.1 - * - - *
VOLUME OF TRADES (000'S) 163,372.3 63,814.0 29,800.0 23,073.1 - 69,343.0 * * - 35,573.8 * * - - - 44,631.0 - * - - *
Customer Buy 34,011.0 43,814.0 22,300.0 20,296.5 - 38,643.0 * * - 19,144.8 * * - - - 18,389.0 - * - - *
Customer Sell 129,361.3 * * * - * - - - 16,179.0 - - - - - 26,192.0 - * - - *
Dealer to Dealer - - - - - - * - - * - - - - - * - - - - -
<= $1MM 2,515.0 2,297.0 * 1,521.1 - 1,034.0 - - - 1,881.8 * - - - - 3,770.0 - - - - -
<= $10MM 49,624.3 16,914.0 28,450.0 21,552.0 - 37,609.0 * - - 33,692.0 - * - - - 28,000.0 - * - - *
> $10MM * * - - - * - * - - - - - - - * - - - - *
NUMBER OF TRADES 24 14 11 19 - 15 * * - 24 * * - - - 17 - * - - *
Customer Buy 13 11 10 15 - 14 * * - 11 * * - - - 7 - * - - *
Customer Sell 11 * * * - * - - - 11 - - - - - 8 - * - - *
Dealer to Dealer - - - - - - * - - * - - - - - * - - - - -
<= $1MM 9 6 * 11 - 7 - - - 18 * - - - - 10 - - - - -
<= $10MM 11 5 8 8 - 7 * - - 6 - * - - - 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-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 - - - * 96.3 100.0 - - - 89.2 95.5 100.2 - - - 77.4 90.3 96.6 - - -
Weighted Avg. Price - - - * 99.1 100.0 - - - 89.2 92.4 100.0 - - - 80.2 76.0 96.7 - - -
Avg. Price Bottom 5 Trades - - - * 94.9 99.1 - - - 86.4 90.6 100.0 - - - 67.6 75.1 93.1 - - -
2nd Quartile Price - - - * 95.4 100.0 - - - 86.3 92.2 100.0 - - - 67.5 93.1 98.0 - - -
3rd Quartile Price - - - * 99.2 100.1 - - - 90.7 98.5 100.0 - - - 85.0 97.3 99.6 - - -
4th Quartile Price - - - * 100.0 100.2 - - - 95.5 99.5 100.1 - - - 86.3 98.2 99.7 - - -
Avg. Price Top 5 Trades - - - * 98.6 100.6 - - - 92.0 99.4 100.3 - - - 85.7 98.5 100.2 - - -
Standard Deviation - - - * 4.6 1.0 - - - 4.9 4.4 0.7 - - - 10.7 12.4 5.2 - - -
VOLUME OF TRADES (000'S) - - - * 10,721.5 44,299.6 - - - 29,195.0 62,581.5 31,859.3 - - - 36,560.7 30,285.0 103,564.0 - - -
Customer Buy - - - * 10,721.5 26,649.6 - - - * 34,279.9 * - - - * 14,495.0 49,682.0 - - -
Customer Sell - - - * - * - - - 19,550.0 28,301.6 * - - - * 15,445.0 53,882.0 - - -
Dealer to Dealer - - - - - * - - - - - - - - - * * - - - -
<= $1MM - - - * * 2,537.3 - - - - 3,251.3 * - - - 3,914.0 3,335.0 * - - -
<= $10MM - - - * * 41,762.3 - - - 18,840.0 * 31,049.3 - - - 32,646.7 16,550.0 37,500.0 - - -
> $10MM - - - - - - - - - * * - - - - - * * - - -
NUMBER OF TRADES - - - * 7 19 - - - 8 13 8 - - - 11 17 10 - - -
Customer Buy - - - * 7 16 - - - * 7 * - - - * 8 5 - - -
Customer Sell - - - * - * - - - 5 6 * - - - * 8 5 - - -
Dealer to Dealer - - - - - * - - - - - - - - - * * - - - -
<= $1MM - - - * * 9 - - - - 7 * - - - 5 10 * - - -
<= $10MM - - - * * 10 - - - 7 * 7 - - - 6 6 5 - - -
> $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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