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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 94.9 15.8 97.3 86.0 98.8 - * 20.9
Weighted Avg. Price 96.3 6.1 96.2 91.3 99.0 - * 6.1
Avg. Price Bottom 5 Trades 72.1 4.8 93.1 72.1 94.8 - * 20.9
2nd Quartile Price 95.6 5.3 96.6 76.7 97.4 - * *
3rd Quartile Price 97.9 6.0 98.0 87.0 98.9 - * *
4th Quartile Price 99.0 6.8 98.8 97.0 101.0 - * *
Avg. Price Top 5 Trades 102.5 21.7 99.1 99.4 102.5 - * 20.9
Standard Deviation 7.7 31.8 2.0 10.1 2.5 - * 39.0
VOLUME OF TRADES (000'S) 705,655.1 522,962.0 169,666.7 184,656.5 351,331.9 - * 373,240.5
Customer Buy 282,075.6 282,963.4 36,725.2 115,424.3 129,926.1 - * *
Customer Sell 355,638.2 * 93,382.6 47,366.3 214,889.3 - * *
Dealer to Dealer 67,941.3 - 39,559.0 21,865.9 6,516.4 - - -
<= $1MM 20,794.4 * 9,779.7 5,677.9 5,336.9 - * -
<= $10MM 162,761.9 * 39,638.7 48,844.7 74,278.6 - - *
> $10MM 522,098.8 517,774.5 120,248.4 * 271,716.4 - * 368,240.5
NUMBER OF TRADES 117 9 39 31 47 - * 6
Customer Buy 39 5 12 13 14 - * *
Customer Sell 50 * 19 8 23 - * *
Dealer to Dealer 28 - 8 10 10 - - -
<= $1MM 63 * 26 13 24 - * -
<= $10MM 37 * 8 14 15 - - *
> $10MM 17 7 5 * 8 - * 5

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 93.3 78.5 96.9 91.2 102.8 96.4 * 103.5 * - * 93.0 * 96.8 - - - 76.1 - * - - *
Weighted Avg. Price 96.4 30.8 97.3 89.1 103.2 97.4 * 103.4 * - * 92.3 * 95.0 - - - 73.5 - * - - *
Avg. Price Bottom 5 Trades 9.6 61.0 94.9 90.3 102.2 92.3 * 102.7 * - * 88.3 * 90.2 - - - 28.9 - * - - *
2nd Quartile Price 93.3 100.2 97.3 89.8 102.7 96.8 * 103.3 * - * 90.0 * 97.0 - - - 78.6 - * - - *
3rd Quartile Price 98.8 100.3 97.7 95.2 103.5 97.8 * 103.6 * - * 96.3 * 103.1 - - - 87.0 - * - - *
4th Quartile Price 100.1 100.4 98.6 95.3 104.7 98.8 * 103.8 * - * 99.0 * 103.4 - - - 92.0 - * - - *
Avg. Price Top 5 Trades 104.6 100.3 98.3 92.2 103.5 98.9 * 104.2 * - * 98.0 * 103.4 - - - 96.8 - * - - *
Standard Deviation 17.1 42.4 2.0 3.6 1.6 4.3 * 0.6 * - * 4.8 * 8.1 - - - 24.2 - * - - *
VOLUME OF TRADES (000'S) 1,311,636.9 97,123.6 87,990.1 6,931.0 74,371.0 59,239.2 * 191,994.0 * - * 30,570.3 * 22,778.0 - - - 100,865.3 - * - - *
Customer Buy 663,613.2 * 52,926.0 * 64,281.0 30,121.8 * 93,133.0 - - - * - * - - - 51,168.2 - * - - *
Customer Sell 629,776.9 * 34,869.1 * * 29,117.4 - 98,861.0 - - * 16,780.6 * * - - - 47,577.1 - * - - -
Dealer to Dealer 18,246.8 * * * * - - - * - - * - * - - - * - - - - -
<= $1MM 36,366.1 - 1,687.7 * * 3,948.8 - * - - - 2,647.2 * 4,000.0 - - - 470.3 - * - - -
<= $10MM 664,062.3 27,041.0 31,291.3 * * 24,461.8 * 60,416.0 - - - 27,923.1 - 18,778.0 - - - 87,270.0 - * - - *
> $10MM 611,208.5 * * - * * - 130,678.0 * - * - - - - - - * - - - - -
NUMBER OF TRADES 270 9 15 6 7 18 * 21 * - * 14 * 10 - - - 29 - * - - *
Customer Buy 144 * 7 * 5 10 * 14 - - - * - * - - - 13 - * - - *
Customer Sell 110 * 7 * * 8 - 7 - - * 8 * * - - - 13 - * - - -
Dealer to Dealer 16 * * * * - - - * - - * - * - - - * - - - - -
<= $1MM 85 - 5 * * 11 - * - - - 7 * 5 - - - 8 - * - - -
<= $10MM 153 7 6 * * 5 * 13 - - - 7 - 5 - - - 20 - * - - *
> $10MM 32 * * - * * - 6 * - * - - - - - - * - - - - -

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 - - - 93.1 98.1 100.4 - - - * 98.0 100.1 - - - 70.0 94.3 100.4 - - 100.3
Weighted Avg. Price - - - 93.8 99.0 101.0 - - - * 98.6 100.0 - - - 83.3 92.3 100.6 - - 100.3
Avg. Price Bottom 5 Trades - - - 89.8 96.3 99.2 - - - * 96.9 99.2 - - - 32.0 80.4 99.1 - - 100.3
2nd Quartile Price - - - 93.8 99.5 99.9 - - - * 98.5 99.8 - - - 74.5 91.4 99.8 - - *
3rd Quartile Price - - - 94.1 99.6 100.2 - - - * 98.8 100.3 - - - 94.5 99.3 100.1 - - *
4th Quartile Price - - - 94.6 99.9 101.3 - - - * 100.0 100.5 - - - 95.8 99.6 100.3 - - *
Avg. Price Top 5 Trades - - - 95.8 100.0 101.9 - - - * 99.5 100.9 - - - 96.4 99.7 102.4 - - 100.3
Standard Deviation - - - 4.3 4.0 1.0 - - - * 2.4 1.0 - - - 40.3 8.8 1.7 - - 0.1
VOLUME OF TRADES (000'S) - - - 38,708.2 28,877.3 263,468.8 - - - * 12,187.4 100,350.1 - - - 52,238.4 150,285.3 76,439.0 - - 24,541.0
Customer Buy - - - 15,630.0 20,840.0 98,542.8 - - - * * 46,446.9 - - - 28,435.5 79,368.5 48,344.0 - - *
Customer Sell - - - 23,078.2 8,037.3 164,926.0 - - - * 9,287.4 * - - - 23,803.0 70,816.8 22,095.0 - - *
Dealer to Dealer - - - - - - - - - - - - - - - - * * - - -
<= $1MM - - - 1,375.0 * 3,739.8 - - - * * 2,424.2 - - - * * 5,475.0 - - -
<= $10MM - - - 26,053.2 27,084.2 72,016.0 - - - * * 38,322.0 - - - 51,209.4 78,397.3 70,964.0 - - 24,541.0
> $10MM - - - * - 187,713.0 - - - - - * - - - - 70,068.0 - - - -
NUMBER OF TRADES - - - 13 12 29 - - - * 8 14 - - - 20 27 17 - - 6
Customer Buy - - - 7 7 16 - - - * * 10 - - - 12 16 8 - - *
Customer Sell - - - 6 5 13 - - - * 5 * - - - 8 10 7 - - *
Dealer to Dealer - - - - - - - - - - - - - - - - * * - - -
<= $1MM - - - 5 * 7 - - - * * 5 - - - * * 6 - - -
<= $10MM - - - 7 9 14 - - - * * 6 - - - 17 18 11 - - 6
> $10MM - - - * - 8 - - - - - * - - - - 5 - - - -

* 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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