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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-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025
AVERAGE PRICE 95.2 * 95.2 90.7 97.2 - * -
Weighted Avg. Price 93.2 * 97.0 88.0 87.9 - * -
Avg. Price Bottom 5 Trades 81.9 * 87.4 85.4 91.4 - * -
2nd Quartile Price 94.9 * 94.9 91.3 97.6 - * -
3rd Quartile Price 97.4 * 97.3 96.3 98.7 - * -
4th Quartile Price 98.3 * 98.1 96.3 99.3 - * -
Avg. Price Top 5 Trades 99.7 * 98.8 95.8 99.7 - * -
Standard Deviation 5.4 * 4.2 8.0 4.3 - * -
VOLUME OF TRADES (000'S) 220,735.5 * 128,206.4 45,702.7 46,826.4 - * -
Customer Buy 134,662.0 * 99,330.7 23,320.6 12,010.7 - * -
Customer Sell 40,933.1 * 18,923.6 * 265.0 - * -
Dealer to Dealer 45,140.3 - 9,952.1 * 34,550.7 - - -
<= $1MM 9,873.3 - 4,267.7 * 4,243.0 - - -
<= $10MM 47,556.3 - 24,953.7 13,554.8 * - - -
> $10MM 163,306.0 * * * * - * -
NUMBER OF TRADES 63 * 30 10 23 - * -
Customer Buy 33 * 17 6 10 - * -
Customer Sell 15 * 6 * 6 - * -
Dealer to Dealer 15 - 7 * 7 - - -
<= $1MM 38 - 17 * 18 - - -
<= $10MM 19 - 11 5 * - - -
> $10MM 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-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025
AVERAGE PRICE 92.7 11.7 97.2 88.8 103.1 97.1 * 102.5 - * - 88.9 * * - - - 70.7 - * - - *
Weighted Avg. Price 89.0 10.8 97.4 89.7 103.1 96.8 * 103.2 - * - 88.7 * * - - - 52.6 - * - - *
Avg. Price Bottom 5 Trades 12.7 9.8 94.7 84.7 102.9 96.2 * 99.3 - * - 85.2 * * - - - 41.9 - * - - *
2nd Quartile Price 90.0 7.8 97.3 85.3 102.5 96.3 * 101.1 - * - 87.8 * * - - - 82.8 - * - - *
3rd Quartile Price 98.2 15.1 97.9 86.7 103.7 97.9 * 103.5 - * - 88.5 * * - - - 87.5 - * - - *
4th Quartile Price 100.4 16.2 98.3 90.3 103.9 98.3 * 104.1 - * - 96.8 * * - - - 90.8 - * - - *
Avg. Price Top 5 Trades 104.9 14.1 98.7 94.5 103.5 98.1 * 104.9 - * - 91.9 * * - - - 90.5 - * - - *
Standard Deviation 16.9 5.1 2.0 7.0 0.7 1.1 * 2.3 - * - 5.0 * * - - - 27.5 - * - - *
VOLUME OF TRADES (000'S) 956,640.9 175,919.1 37,960.0 15,356.0 14,925.0 19,659.5 * 57,209.0 - * - 34,289.0 * * - - - 39,403.0 - * - - *
Customer Buy 457,921.0 131,490.1 12,543.0 9,890.0 11,405.0 16,457.4 * 56,009.0 - * - * * * - - - 17,846.5 - * - - *
Customer Sell 471,691.3 * 24,089.0 * - * - * - - - 16,500.0 * * - - - 17,366.5 - * - - *
Dealer to Dealer 27,028.6 - * * * - - - - - - - - - - - - * - - - - -
<= $1MM 36,618.1 - 5,092.0 4,361.0 * * * 3,661.0 - - - 3,441.0 * - - - - * - - - - -
<= $10MM 476,556.6 - 32,868.0 10,995.0 14,425.0 17,357.0 - 53,548.0 - - - 30,848.0 * * - - - 38,333.0 - - - - -
> $10MM 443,466.2 175,919.1 - - - - - - - * - - - - - - - - - * - - *
NUMBER OF TRADES 233 7 21 13 7 10 * 21 - * - 11 * * - - - 13 - * - - *
Customer Buy 120 5 7 8 5 6 * 20 - * - * * * - - - 5 - * - - *
Customer Sell 94 * 10 * - * - * - - - 7 * * - - - 5 - * - - *
Dealer to Dealer 19 - * * * - - - - - - - - - - - - * - - - - -
<= $1MM 83 - 12 8 * * * 7 - - - 5 * - - - - * - - - - -
<= $10MM 127 - 9 5 6 6 - 14 - - - 6 * * - - - 9 - - - - -
> $10MM 23 7 - - - - - - - * - - - - - - - - - * - - *

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-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025 PRE-2020 2020-2022 2023-2025
AVERAGE PRICE - - - * 96.4 99.5 - - - 91.1 95.3 100.5 - - - 64.1 93.3 101.1 - - -
Weighted Avg. Price - - - * 95.5 97.4 - - - 90.8 95.7 100.2 - - - 37.9 95.5 101.8 - - -
Avg. Price Bottom 5 Trades - - - * 90.9 95.4 - - - 89.1 94.6 99.8 - - - 26.0 82.8 100.0 - - -
2nd Quartile Price - - - * 92.1 100.1 - - - 88.5 92.6 100.7 - - - 53.5 90.0 100.1 - - -
3rd Quartile Price - - - * 99.9 100.3 - - - 92.5 95.2 101.1 - - - 88.8 99.5 100.6 - - -
4th Quartile Price - - - * 100.2 100.8 - - - 94.0 99.6 101.1 - - - 96.7 99.9 103.8 - - -
Avg. Price Top 5 Trades - - - * 100.3 101.9 - - - 93.9 97.1 101.1 - - - 97.7 100.0 103.5 - - -
Standard Deviation - - - * 4.5 2.7 - - - 3.9 4.2 1.0 - - - 40.7 9.2 1.6 - - -
VOLUME OF TRADES (000'S) - - - * 21,948.7 297,696.5 - - - 18,799.0 32,011.0 28,450.0 - - - 77,202.3 96,417.8 77,396.0 - - -
Customer Buy - - - * 11,379.7 90,038.5 - - - 16,809.0 * 15,850.0 - - - 39,498.9 44,543.8 34,766.0 - - -
Customer Sell - - - * 9,626.4 195,959.9 - - - * * 12,600.0 - - - 36,103.4 51,874.0 42,630.0 - - -
Dealer to Dealer - - - - * * - - - - * - - - - * - - - - -
<= $1MM - - - * 3,715.6 2,424.5 - - - 550.0 * * - - - * * * - - -
<= $10MM - - - - * 65,326.9 - - - 18,249.0 30,641.0 28,300.0 - - - 20,169.9 30,002.7 59,630.0 - - -
> $10MM - - - * - 229,945.1 - - - - - - - - - * * * - - -
NUMBER OF TRADES - - - * 14 32 - - - 10 8 10 - - - 16 16 18 - - -
Customer Buy - - - * 6 11 - - - 6 * 5 - - - 7 10 8 - - -
Customer Sell - - - * 5 19 - - - * * 5 - - - 7 6 10 - - -
Dealer to Dealer - - - - * * - - - - * - - - - * - - - - -
<= $1MM - - - * 10 6 - - - 5 * * - - - * * * - - -
<= $10MM - - - - * 16 - - - 5 5 8 - - - 8 10 13 - - -
> $10MM - - - * - 10 - - - - - - - - - * * * - - -

* 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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