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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 91.4 5.0 95.3 90.1 87.5 * 6.1 *
Weighted Avg. Price 91.1 3.2 94.8 92.7 90.2 * 4.2 *
Avg. Price Bottom 5 Trades 47.2 2.1 86.5 70.6 47.2 * 3.7 *
2nd Quartile Price 90.0 3.3 93.6 87.0 89.3 * 4.6 *
3rd Quartile Price 96.6 5.1 97.0 94.6 95.2 * 6.2 *
4th Quartile Price 98.0 7.4 97.9 99.2 98.3 * 9.4 *
Avg. Price Top 5 Trades 100.5 8.6 98.9 99.8 100.3 * 8.6 *
Standard Deviation 11.7 2.8 3.8 10.2 16.9 * 2.9 *
VOLUME OF TRADES (000'S) 965,065.0 450,907.7 149,436.4 71,527.9 744,100.7 * 123,737.9 *
Customer Buy 382,677.8 * 55,411.8 43,231.5 284,034.5 * * *
Customer Sell 135,499.7 277,452.3 51,630.6 19,634.8 64,234.3 * 120,444.9 *
Dealer to Dealer 446,887.5 - 42,393.9 8,661.6 395,832.0 - - -
<= $1MM 19,919.5 - 10,702.0 5,307.5 3,910.0 - - -
<= $10MM 187,692.1 36,885.6 67,493.9 49,349.8 70,848.4 - 28,609.8 *
> $10MM 757,453.4 414,022.1 71,240.4 * 669,342.3 * * *
NUMBER OF TRADES 138 17 58 35 45 * 11 *
Customer Buy 52 * 19 12 21 * * *
Customer Sell 48 14 18 16 14 * 10 *
Dealer to Dealer 38 - 21 7 10 - - -
<= $1MM 53 - 30 16 7 - - -
<= $10MM 61 8 23 18 20 - 7 *
> $10MM 24 9 5 * 18 * * *

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 88.3 49.8 97.7 88.0 102.7 97.2 94.1 100.6 * - - 92.3 86.2 * - - - 36.2 * * - - -
Weighted Avg. Price 71.1 5.1 99.1 89.6 103.0 98.1 91.3 100.9 * - - 92.5 86.3 * - - - 13.0 * * - - -
Avg. Price Bottom 5 Trades 0.1 49.8 96.8 84.6 95.6 93.1 85.0 91.8 * - - 85.7 86.2 * - - - 1.0 * * - - -
2nd Quartile Price 91.0 * 96.7 85.4 100.0 96.1 92.0 99.9 * - - 91.0 * * - - - 2.2 * * - - -
3rd Quartile Price 96.6 * 98.8 87.9 105.0 98.1 96.3 101.5 * - - 93.4 * * - - - 18.1 * * - - -
4th Quartile Price 100.1 * 99.4 96.6 105.9 99.0 96.9 104.8 * - - 96.2 * * - - - 83.2 * * - - -
Avg. Price Top 5 Trades 108.5 49.8 98.7 91.7 107.9 99.9 98.5 106.6 * - - 97.7 86.2 * - - - 87.7 * * - - -
Standard Deviation 25.6 53.8 1.6 4.6 4.5 2.2 3.9 5.6 * - - 4.7 8.6 * - - - 39.8 * * - - -
VOLUME OF TRADES (000'S) 1,623,267.7 5,662.5 7,959.8 28,662.6 155,487.2 78,172.8 64,538.1 71,836.3 * - - 53,051.7 34,590.0 * - - - 274,407.2 * * - - -
Customer Buy 650,015.2 * 4,219.9 10,220.0 64,909.8 36,050.4 22,639.2 13,221.1 * - - 19,835.9 * * - - - 86,285.2 * * - - -
Customer Sell 835,755.6 * * 18,442.6 90,577.4 32,819.9 41,768.9 58,615.2 - - - 33,215.8 * - - - - 130,393.9 * * - - -
Dealer to Dealer 137,496.9 * - - - * * - * - - - - - - - - * - - - - -
<= $1MM 61,978.5 * 959.8 * 2,473.8 4,623.3 6,786.5 3,884.3 * - - 4,534.8 - * - - - 1,469.2 - - - - -
<= $10MM 930,151.8 * * 27,972.6 84,752.0 35,549.5 57,751.6 32,271.0 * - - 48,516.9 * - - - - 64,416.1 * * - - -
> $10MM 631,137.3 - - - 68,261.4 * - * - - - - * - - - - 208,521.9 - - - - -
NUMBER OF TRADES 463 6 8 11 30 39 50 24 * - - 23 5 * - - - 27 * * - - -
Customer Buy 210 * 5 5 15 16 15 8 * - - 8 * * - - - 11 * * - - -
Customer Sell 225 * * 6 15 19 31 16 - - - 15 * - - - - 13 * * - - -
Dealer to Dealer 28 * - - - * * - * - - - - - - - - * - - - - -
<= $1MM 190 * 6 * 8 28 38 13 * - - 8 - * - - - 5 - - - - -
<= $10MM 234 * * 9 17 9 12 9 * - - 15 * - - - - 12 * * - - -
> $10MM 39 - - - 5 * - * - - - - * - - - - 10 - - - - -

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 - - - * 96.6 99.3 - - - 95.3 94.1 99.4 - - - 36.4 75.8 99.6 - - *
Weighted Avg. Price - - - * 99.1 99.8 - - - 95.2 94.4 98.6 - - - 22.0 78.1 99.1 - - *
Avg. Price Bottom 5 Trades - - - * 89.4 90.9 - - - 91.1 84.6 92.7 - - - 0.4 41.7 93.7 - - *
2nd Quartile Price - - - * 95.8 99.9 - - - 91.5 92.1 97.8 - - - 0.1 69.8 100.3 - - *
3rd Quartile Price - - - * 99.8 100.4 - - - 96.5 94.5 100.5 - - - 6.0 78.4 101.1 - - *
4th Quartile Price - - - * 100.0 100.5 - - - 99.4 99.4 101.8 - - - 89.4 95.5 104.4 - - *
Avg. Price Top 5 Trades - - - * 100.1 101.7 - - - 99.0 99.9 103.1 - - - 96.9 97.7 104.4 - - *
Standard Deviation - - - * 4.3 2.9 - - - 3.9 5.2 3.2 - - - 41.8 24.8 6.2 - - *
VOLUME OF TRADES (000'S) - - - * 90,146.8 196,524.6 - - - 14,194.2 76,875.3 88,824.0 - - - 252,085.0 43,121.0 55,012.8 - - *
Customer Buy - - - * 28,670.4 123,585.5 - - - 5,040.8 34,321.8 34,071.0 - - - 83,500.8 20,020.0 29,131.4 - - *
Customer Sell - - - * 44,606.0 66,789.1 - - - * 39,927.7 48,753.0 - - - 140,634.2 16,361.0 25,881.4 - - *
Dealer to Dealer - - - - * * - - - * * * - - - * * - - - -
<= $1MM - - - - 1,311.6 5,331.6 - - - 3,256.7 3,038.3 9,465.0 - - - * 9,192.0 * - - *
<= $10MM - - - * 66,975.3 178,693.0 - - - 10,937.5 61,837.0 62,859.0 - - - 52,520.3 33,929.0 54,262.8 - - -
> $10MM - - - - * * - - - - * * - - - 196,853.0 - - - - -
NUMBER OF TRADES - - - * 26 59 - - - 12 34 39 - - - 30 23 14 - - *
Customer Buy - - - * 13 36 - - - 6 13 22 - - - 11 12 7 - - *
Customer Sell - - - * 10 21 - - - * 18 15 - - - 17 8 7 - - *
Dealer to Dealer - - - - * * - - - * * * - - - * * - - - -
<= $1MM - - - - 8 14 - - - 6 10 23 - - - * 13 * - - *
<= $10MM - - - * 16 44 - - - 6 23 15 - - - 13 10 12 - - -
> $10MM - - - - * * - - - - * * - - - 13 - - - - -

* 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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