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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 97.0 2.9 96.7 88.8 101.1 2.8 * -
Weighted Avg. Price 96.4 2.6 97.6 88.9 99.2 2.6 * -
Avg. Price Bottom 5 Trades 77.6 2.2 88.8 77.6 93.8 2.2 * -
2nd Quartile Price 96.5 2.6 96.9 84.8 100.5 2.3 * -
3rd Quartile Price 99.1 3.1 98.6 92.3 101.7 2.8 * -
4th Quartile Price 101.3 3.4 99.1 97.1 102.8 3.4 * -
Avg. Price Top 5 Trades 103.8 3.5 99.9 98.2 103.8 3.4 * -
Standard Deviation 6.8 0.6 3.9 8.4 3.5 0.7 * -
VOLUME OF TRADES (000'S) 300,315.8 469,919.3 54,926.5 74,169.0 171,220.3 434,436.9 * -
Customer Buy 87,656.0 217,218.5 14,922.6 44,483.4 28,250.0 217,218.5 - -
Customer Sell 91,298.7 217,218.5 39,223.0 26,409.1 25,666.6 217,218.5 - -
Dealer to Dealer 121,361.2 * * * 117,303.7 - * -
<= $1MM 18,221.4 - 10,771.5 1,890.0 5,559.8 - - -
<= $10MM 92,740.2 - 24,041.4 53,862.9 14,836.0 - - -
> $10MM 189,354.2 469,919.3 * * 150,824.5 434,436.9 * -
NUMBER OF TRADES 106 14 37 22 47 12 * -
Customer Buy 50 6 17 13 20 6 - -
Customer Sell 37 6 18 5 14 6 - -
Dealer to Dealer 19 * * * 13 - * -
<= $1MM 74 - 27 11 36 - - -
<= $10MM 25 - 9 10 6 - - -
> $10MM 7 14 * * 5 12 * -

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 91.6 - * * * 98.8 93.6 105.7 - - - 79.3 * * - - - 79.9 * - - - -
Weighted Avg. Price 92.3 - * * * 98.9 92.1 105.5 - - - 64.2 * * - - - 87.8 * - - - -
Avg. Price Bottom 5 Trades 14.0 - * * * 98.0 92.0 105.4 - - - 68.2 * * - - - 36.0 * - - - -
2nd Quartile Price 90.8 - * * * 98.4 91.7 105.4 - - - 76.8 * * - - - 83.3 * - - - -
3rd Quartile Price 97.8 - * * * 99.2 93.1 105.7 - - - 77.5 * * - - - 92.0 * - - - -
4th Quartile Price 100.4 - * * * 99.4 95.9 106.0 - - - 96.8 * * - - - 94.5 * - - - -
Avg. Price Top 5 Trades 107.4 - * * * 99.5 94.9 105.9 - - - 94.9 * * - - - 95.3 * - - - -
Standard Deviation 17.9 - * * * 0.8 2.5 0.6 - - - 16.2 * * - - - 26.1 * - - - -
VOLUME OF TRADES (000'S) 587,869.1 - * * * 8,439.2 38,777.8 40,681.0 - - - 28,155.0 * * - - - 53,239.0 * - - - -
Customer Buy 282,103.1 - * * * 5,850.1 32,746.0 * - - - 14,035.0 - * - - - 22,379.5 - - - - -
Customer Sell 292,291.0 - * * * * * 38,651.0 - - - 14,120.0 * * - - - 30,719.5 - - - - -
Dealer to Dealer 13,475.0 - - - - * - - - - - - - - - - - * * - - - -
<= $1MM 25,870.5 - * * * 4,328.2 * * - - - 2,155.0 * - - - - 1,595.7 - - - - -
<= $10MM 388,134.5 - * * * * 19,151.0 * - - - 26,000.0 - * - - - 21,427.3 * - - - -
> $10MM 173,864.1 - - - - - * * - - - - - - - - - * - - - - -
NUMBER OF TRADES 189 - * * * 11 8 8 - - - 12 * * - - - 23 * - - - -
Customer Buy 92 - * * * 8 5 * - - - 6 - * - - - 9 - - - - -
Customer Sell 90 - * * * * * 5 - - - 6 * * - - - 13 - - - - -
Dealer to Dealer 7 - - - - * - - - - - - - - - - - * * - - - -
<= $1MM 76 - * * * 9 * * - - - 7 * - - - - 15 - - - - -
<= $10MM 100 - * * * * 6 * - - - 5 - * - - - 6 * - - - -
> $10MM 13 - - - - - * * - - - - - - - - - * - - - - -

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 * - - - 100.0 101.3 - - - 88.1 94.9 102.1 - - - 76.9 92.9 100.6 - - -
Weighted Avg. Price * - - - 100.1 100.7 - - - 89.4 94.9 102.1 - - - 72.4 93.9 100.6 - - -
Avg. Price Bottom 5 Trades * - - - 99.7 99.9 - - - 80.7 94.9 100.0 - - - 32.5 87.2 99.5 - - -
2nd Quartile Price * - - - 99.8 100.6 - - - 83.0 * 100.9 - - - 68.6 99.8 99.7 - - -
3rd Quartile Price * - - - 101.2 100.6 - - - 95.3 * 102.5 - - - 90.8 100.0 100.4 - - -
4th Quartile Price * - - - 101.3 102.4 - - - 97.0 * 104.4 - - - 97.3 100.2 101.9 - - -
Avg. Price Top 5 Trades * - - - 100.4 103.2 - - - 96.8 94.9 104.3 - - - 97.8 100.1 102.1 - - -
Standard Deviation * - - - 1.3 1.4 - - - 9.3 5.7 1.9 - - - 28.8 12.3 1.2 - - -
VOLUME OF TRADES (000'S) * - - - 6,853.1 106,992.4 - - - 42,440.2 25,850.0 60,848.2 - - - 77,916.0 29,739.8 32,875.3 - - -
Customer Buy - - - - * 49,854.1 - - - 24,595.8 * 38,122.2 - - - 39,458.0 * 15,526.6 - - -
Customer Sell * - - - * 57,138.3 - - - 17,844.4 * 22,726.0 - - - 38,458.0 26,689.5 * - - -
Dealer to Dealer - - - - - - - - - - - - - - - - - * - - -
<= $1MM * - - - * * - - - * * * - - - 3,512.0 * 3,720.3 - - -
<= $10MM - - - - * 75,847.4 - - - 29,632.4 25,460.0 26,593.2 - - - 52,436.0 15,858.1 29,155.0 - - -
> $10MM - - - - - * - - - * - * - - - * * - - - -
NUMBER OF TRADES * - - - 6 19 - - - 13 7 15 - - - 26 9 16 - - -
Customer Buy - - - - * 10 - - - 6 * 9 - - - 14 * 9 - - -
Customer Sell * - - - * 9 - - - 7 * 6 - - - 12 7 * - - -
Dealer to Dealer - - - - - - - - - - - - - - - - - * - - -
<= $1MM * - - - * * - - - * * * - - - 10 * 5 - - -
<= $10MM - - - - * 14 - - - 8 5 9 - - - 14 5 11 - - -
> $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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