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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 97.5 3.1 97.0 89.9 100.6 1.9 3.0 4.9
Weighted Avg. Price 98.8 3.5 97.0 91.8 101.8 1.4 1.5 5.5
Avg. Price Bottom 5 Trades 76.9 0.6 91.0 76.9 98.3 1.9 0.7 4.9
2nd Quartile Price 97.4 1.0 96.9 87.3 99.6 * 0.9 *
3rd Quartile Price 99.3 3.3 98.2 93.1 100.4 * 4.2 *
4th Quartile Price 100.7 5.3 98.9 99.3 101.3 * 5.4 *
Avg. Price Top 5 Trades 104.0 5.7 99.8 100.2 104.0 1.9 5.3 4.9
Standard Deviation 6.1 2.1 3.4 9.4 1.7 1.7 2.1 1.4
VOLUME OF TRADES (000'S) 534,144.5 867,263.0 128,669.7 96,817.9 308,656.9 87,314.7 334,220.7 445,727.7
Customer Buy 52,803.1 182,816.3 14,967.9 16,022.8 21,812.4 - * *
Customer Sell 413,533.8 509,446.8 113,563.3 67,490.9 232,479.6 87,314.7 275,076.4 *
Dealer to Dealer 67,807.6 * 138.5 13,304.2 54,364.8 - - *
<= $1MM 9,903.4 * 4,946.7 3,340.0 1,616.7 - * -
<= $10MM 84,353.8 * 23,723.0 37,327.9 23,302.8 * * *
> $10MM 439,887.4 842,106.2 * * 283,737.4 * 317,249.5 *
NUMBER OF TRADES 110 24 32 21 57 5 14 5
Customer Buy 36 5 13 9 14 - * *
Customer Sell 40 18 14 6 20 5 11 *
Dealer to Dealer 34 * 5 6 23 - - *
<= $1MM 72 * 23 7 42 - * -
<= $10MM 28 * 8 13 7 * * *
> $10MM 10 16 * * 8 * 8 *

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 92.4 - 98.5 * * 97.4 92.7 104.0 - - - 89.2 * * - - - 68.9 - - - - -
Weighted Avg. Price 97.6 - 98.5 * * 97.0 93.9 104.7 - - - 90.6 * * - - - 92.2 - - - - -
Avg. Price Bottom 5 Trades 32.0 - 98.2 * * 97.4 91.9 102.3 - - - 80.0 * * - - - 47.2 - - - - -
2nd Quartile Price 93.0 - 98.5 * * * 93.1 103.1 - - - 90.6 * * - - - 18.5 - - - - -
3rd Quartile Price 98.3 - 98.6 * * * 93.8 105.3 - - - 96.0 * * - - - 88.3 - - - - -
4th Quartile Price 100.6 - 98.7 * * * 95.0 105.3 - - - 97.2 * * - - - 96.3 - - - - -
Avg. Price Top 5 Trades 106.5 - 98.7 * * 97.4 94.0 105.3 - - - 96.2 * * - - - 96.7 - - - - -
Standard Deviation 18.2 - 0.3 * * 1.8 2.5 1.5 - - - 12.5 * * - - - 34.5 - - - - -
VOLUME OF TRADES (000'S) 485,950.8 - 23,315.0 * * 3,899.4 6,295.9 28,120.3 - - - 6,937.0 * * - - - 62,327.9 - - - - -
Customer Buy 264,119.1 - * * * * * 11,142.9 - - - 2,237.0 - * - - - 43,366.7 - - - - -
Customer Sell 204,411.1 - 12,860.0 * * * * 16,544.6 - - - 4,630.0 * - - - - 18,931.1 - - - - -
Dealer to Dealer 17,420.6 - - * - - - * - - - * - * - - - * - - - - -
<= $1MM 33,891.6 - 4,340.0 * * * 1,730.9 4,295.2 - - - 5,384.0 * * - - - 3,496.0 - - - - -
<= $10MM 348,266.7 - * - - * * * - - - * - * - - - 35,290.9 - - - - -
> $10MM 103,792.4 - - - - - - * - - - - - - - - - * - - - - -
NUMBER OF TRADES 197 - 11 * * 5 7 14 - - - 14 * * - - - 26 - - - - -
Customer Buy 93 - * * * * * 8 - - - 5 - * - - - 10 - - - - -
Customer Sell 92 - 8 * * * * 5 - - - 7 * - - - - 15 - - - - -
Dealer to Dealer 12 - - * - - - * - - - * - * - - - * - - - - -
<= $1MM 102 - 7 * * * 5 9 - - - 13 * * - - - 14 - - - - -
<= $10MM 89 - * - - * * * - - - * - * - - - 11 - - - - -
> $10MM 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 - - - 96.9 97.5 102.0 - - - * 97.0 101.2 - - - 77.2 88.2 100.5 - - -
Weighted Avg. Price - - - 98.1 96.2 102.3 - - - * 96.6 101.5 - - - 84.9 82.6 100.8 - - -
Avg. Price Bottom 5 Trades - - - 96.9 96.3 98.7 - - - * 95.9 98.7 - - - 70.0 81.2 98.2 - - -
2nd Quartile Price - - - * 97.4 100.1 - - - * 96.3 100.2 - - - 73.8 89.8 100.2 - - -
3rd Quartile Price - - - * 98.5 100.5 - - - * 96.3 100.5 - - - 76.9 90.3 101.3 - - -
4th Quartile Price - - - * 99.3 104.4 - - - * 99.1 103.3 - - - 92.0 99.1 102.4 - - -
Avg. Price Top 5 Trades - - - 96.9 98.9 105.5 - - - * 97.8 105.0 - - - 84.9 95.6 101.9 - - -
Standard Deviation - - - 2.2 2.0 2.8 - - - * 1.8 2.8 - - - 15.0 11.4 2.3 - - -
VOLUME OF TRADES (000'S) - - - 22,348.1 7,007.5 126,000.8 - - - * 24,345.0 64,539.0 - - - 19,773.5 37,252.0 48,712.0 - - -
Customer Buy - - - * * 69,992.3 - - - * * 33,264.0 - - - 9,885.9 * 25,976.0 - - -
Customer Sell - - - * 4,651.4 56,008.5 - - - - * 31,275.0 - - - 9,886.7 * 22,736.0 - - -
Dealer to Dealer - - - - - - - - - - * - - - - * * - - - -
<= $1MM - - - * 1,757.5 * - - - * * 1,079.0 - - - 1,273.5 * * - - -
<= $10MM - - - * * 74,510.8 - - - - 24,000.0 63,460.0 - - - * 36,600.0 47,517.0 - - -
> $10MM - - - * - * - - - - - - - - - - - - - - -
NUMBER OF TRADES - - - 5 9 24 - - - * 8 21 - - - 16 9 15 - - -
Customer Buy - - - * * 13 - - - * * 12 - - - 8 * 9 - - -
Customer Sell - - - * 7 11 - - - - * 9 - - - 7 * 6 - - -
Dealer to Dealer - - - - - - - - - - * - - - - * * - - - -
<= $1MM - - - * 7 * - - - * * 6 - - - 12 * * - - -
<= $10MM - - - * * 18 - - - - 5 15 - - - * 7 12 - - -
> $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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