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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 90.9 9.4 94.4 90.8 88.8 0.4 26.2 *
Weighted Avg. Price 95.9 15.1 97.0 93.4 96.4 0.4 25.4 *
Avg. Price Bottom 5 Trades 62.8 0.5 86.2 68.6 65.4 0.4 19.0 *
2nd Quartile Price 85.2 0.4 92.0 87.1 81.3 * 7.0 *
3rd Quartile Price 96.8 2.0 97.0 96.0 93.5 * 42.8 *
4th Quartile Price 98.5 7.0 98.4 98.8 100.1 * 44.7 *
Avg. Price Top 5 Trades 100.8 35.9 98.5 99.6 100.8 0.4 35.9 *
Standard Deviation 10.5 16.4 5.6 10.9 12.1 0.2 21.2 *
VOLUME OF TRADES (000'S) 523,830.6 896,974.8 116,106.1 104,579.7 303,144.8 39,350.0 458,874.9 *
Customer Buy 281,896.1 389,151.0 43,158.3 12,555.1 226,182.7 * * *
Customer Sell 98,702.8 243,172.2 39,550.2 47,369.6 11,783.1 14,953.2 * -
Dealer to Dealer 143,231.7 264,651.6 33,397.6 44,655.0 65,179.0 14,953.2 - *
<= $1MM 7,489.8 * 1,479.9 2,518.4 3,491.5 * - -
<= $10MM 183,895.1 39,653.8 38,793.2 49,540.6 95,561.3 37,216.9 * -
> $10MM 332,445.7 855,188.0 * * 204,092.0 - 456,438.1 *
NUMBER OF TRADES 118 22 33 35 50 11 7 *
Customer Buy 56 7 15 12 29 * * *
Customer Sell 20 8 7 8 5 5 * -
Dealer to Dealer 42 7 11 15 16 5 - *
<= $1MM 53 * 19 16 18 * - -
<= $10MM 47 8 10 16 21 7 * -
> $10MM 18 10 * * 11 - 6 *

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 22.9 89.8 96.7 89.3 97.2 96.1 86.8 102.6 2.3 - - 90.2 * - * - - 73.4 - * - - -
Weighted Avg. Price 8.3 87.5 96.7 88.8 98.8 96.6 86.6 103.0 2.5 - - 92.3 * - * - - 75.6 - * - - -
Avg. Price Bottom 5 Trades 0.9 29.2 95.1 89.3 93.9 94.9 81.6 99.2 2.2 - - 84.4 * - * - - 49.2 - * - - -
2nd Quartile Price 1.5 87.4 95.4 * 89.3 95.2 85.5 100.7 2.6 - - 86.8 * - * - - 72.9 - * - - -
3rd Quartile Price 2.8 95.2 97.0 * 100.4 95.7 87.9 102.4 2.8 - - 92.4 * - * - - 85.5 - * - - -
4th Quartile Price 70.8 99.8 97.8 * 101.7 97.5 90.8 105.5 2.9 - - 95.7 * - * - - 88.8 - * - - -
Avg. Price Top 5 Trades 57.3 106.2 99.0 89.3 101.7 97.9 91.6 106.2 2.5 - - 95.7 * - * - - 90.0 - * - - -
Standard Deviation 35.4 15.8 1.5 3.3 6.0 1.4 4.3 2.8 0.7 - - 5.2 * - * - - 20.0 - * - - -
VOLUME OF TRADES (000'S) 87,098.3 912,549.5 37,674.1 8,905.0 52,403.4 72,671.6 35,280.6 52,296.7 66,984.8 - - 32,284.6 * - * - - 50,635.2 - * - - -
Customer Buy 44,664.3 416,344.8 22,252.2 * * 37,389.0 12,885.0 29,946.7 * - - * * - * - - 17,625.0 - - - - -
Customer Sell * 421,713.0 13,966.8 * 32,883.4 33,736.3 18,795.6 15,810.0 * - - 20,268.0 - - * - - 22,449.0 - * - - -
Dealer to Dealer * 74,491.6 1,455.0 * * * * 6,540.0 * - - 3,747.0 - - * - - 10,561.1 - - - - -
<= $1MM * 37,278.4 3,029.0 * 2,520.0 1,969.7 1,300.0 3,608.0 - - - 844.0 - - - - - 5,271.0 - - - - -
<= $10MM 26,127.7 609,850.7 34,645.1 * * 18,855.0 33,980.6 48,688.7 * - - 15,939.6 * - * - - 45,364.2 - * - - -
> $10MM * 265,420.4 - - * * - - * - - * - - - - - - - - - - -
NUMBER OF TRADES 13 295 26 7 12 17 18 27 6 - - 16 * - * - - 22 - * - - -
Customer Buy 8 121 6 * * 8 8 12 * - - * * - * - - 6 - - - - -
Customer Sell * 121 14 * 5 7 8 9 * - - 5 - - * - - 10 - * - - -
Dealer to Dealer * 53 6 * * * * 6 * - - 7 - - * - - 6 - - - - -
<= $1MM * 109 17 * 6 6 6 13 - - - 8 - - - - - 7 - - - - -
<= $10MM 7 166 9 * * 7 12 14 * - - 7 * - * - - 15 - * - - -
> $10MM * 20 - - * * - - * - - * - - - - - - - - - - -

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 - - - 95.3 98.3 99.9 - - - 90.3 93.5 98.2 - - * 71.2 79.7 101.3 - - -
Weighted Avg. Price - - - 95.6 97.4 99.9 - - - 95.8 93.4 99.8 - - * 64.1 70.9 100.8 - - -
Avg. Price Bottom 5 Trades - - - 95.2 95.3 98.3 - - - 89.3 84.5 94.9 - - * 30.5 47.8 99.7 - - -
2nd Quartile Price - - - 95.0 96.4 100.1 - - - 93.0 97.2 95.8 - - * 67.4 54.3 99.7 - - -
3rd Quartile Price - - - 95.1 99.7 100.4 - - - 93.5 99.3 100.0 - - * 79.2 95.9 100.7 - - -
4th Quartile Price - - - 95.8 99.8 100.6 - - - 96.6 99.4 100.5 - - * 87.4 99.4 103.6 - - -
Avg. Price Top 5 Trades - - - 95.3 99.9 100.7 - - - 94.3 99.4 100.5 - - * 91.0 99.4 103.0 - - -
Standard Deviation - - - 0.4 2.1 1.2 - - - 10.7 10.6 2.7 - - * 19.3 24.1 1.9 - - -
VOLUME OF TRADES (000'S) - - - 27,550.0 28,338.6 81,824.7 - - - 22,859.0 37,156.8 31,790.8 - - * 176,672.2 74,300.4 77,655.9 - - -
Customer Buy - - - * * 45,132.7 - - - * 19,227.8 14,395.0 - - * 76,771.3 29,130.0 38,565.9 - - -
Customer Sell - - - * 7,411.7 36,692.0 - - - * 17,929.0 16,395.8 - - - 76,179.9 40,170.4 * - - -
Dealer to Dealer - - - * 12,721.2 - - - - * - * - - - 23,721.0 * - - - -
<= $1MM - - - * 1,807.3 1,326.1 - - - 3,184.0 * 2,525.0 - - - 5,255.6 * * - - -
<= $10MM - - - * 26,531.3 38,636.2 - - - * 36,691.0 29,265.8 - - * 121,070.0 49,782.4 42,770.9 - - -
> $10MM - - - - - * - - - * - - - - - * * * - - -
NUMBER OF TRADES - - - 8 16 19 - - - 7 13 13 - - * 45 15 11 - - -
Customer Buy - - - * * 12 - - - * 7 5 - - * 21 7 7 - - -
Customer Sell - - - * 7 7 - - - * 6 7 - - - 17 7 * - - -
Dealer to Dealer - - - * 6 - - - - * - * - - - 7 * - - - -
<= $1MM - - - * 7 6 - - - 5 * 5 - - - 10 * * - - -
<= $10MM - - - * 9 10 - - - * 11 8 - - * 31 11 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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