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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 88.5 6.0 94.3 72.6 97.4 - 6.1 *
Weighted Avg. Price 91.9 6.3 96.1 85.7 97.4 - 6.5 *
Avg. Price Bottom 5 Trades 49.8 3.7 88.7 49.8 96.2 - 3.7 *
2nd Quartile Price 84.7 4.8 94.5 53.6 96.6 - 4.4 *
3rd Quartile Price 96.5 6.4 96.7 82.8 97.8 - 6.8 *
4th Quartile Price 97.7 6.9 97.9 92.7 98.5 - 7.2 *
Avg. Price Top 5 Trades 98.8 8.3 97.9 89.2 98.6 - 8.3 *
Standard Deviation 15.2 2.2 4.9 18.4 1.3 - 2.3 *
VOLUME OF TRADES (000'S) 347,781.1 735,508.0 17,081.4 160,245.7 170,454.0 - 629,909.0 *
Customer Buy 143,382.0 * 16,450.9 39,552.1 87,379.0 - * -
Customer Sell 74,897.0 728,265.3 * * * - 622,666.3 *
Dealer to Dealer 129,502.1 - * 119,430.2 * - - -
<= $1MM 4,536.1 * 2,081.4 1,642.8 812.0 - * -
<= $10MM 48,157.9 21,364.0 * 13,157.9 * - 15,764.0 *
> $10MM 295,087.0 711,889.2 - * 149,642.0 - 611,890.1 *
NUMBER OF TRADES 44 17 15 14 15 - 15 *
Customer Buy 25 * 11 7 7 - * -
Customer Sell 9 13 * * * - 11 *
Dealer to Dealer 10 - * 5 * - - -
<= $1MM 26 * 11 7 8 - * -
<= $10MM 11 7 * 5 * - 6 *
> $10MM 7 7 - * 5 - 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 97.4 - 96.9 88.2 101.0 97.6 87.4 104.2 - - - - - * - - - 90.0 - * - - -
Weighted Avg. Price 97.9 - 96.3 89.0 101.6 97.7 87.8 104.2 - - - - - * - - - 90.8 - * - - -
Avg. Price Bottom 5 Trades 83.7 - 96.9 85.4 99.0 96.8 87.4 102.9 - - - - - * - - - 90.0 - * - - -
2nd Quartile Price 95.4 - * 84.5 98.6 97.1 * 103.0 - - - - - * - - - * - * - - -
3rd Quartile Price 99.6 - * 89.2 100.6 98.2 * 105.2 - - - - - * - - - * - * - - -
4th Quartile Price 100.5 - * 93.7 103.6 99.3 * 105.5 - - - - - * - - - * - * - - -
Avg. Price Top 5 Trades 105.7 - 96.9 90.8 102.4 98.5 87.4 105.6 - - - - - * - - - 90.0 - * - - -
Standard Deviation 5.5 - 1.5 4.6 2.9 1.4 5.9 1.6 - - - - - * - - - 1.7 - * - - -
VOLUME OF TRADES (000'S) 377,494.9 - 8,135.0 32,552.0 17,585.1 9,877.7 12,683.0 9,603.0 - - - - - * - - - 3,695.0 - * - - -
Customer Buy 215,028.6 - * 13,147.0 17,585.1 * 12,683.0 6,589.0 - - - - - * - - - * - * - - -
Customer Sell 151,210.3 - * * - 5,818.2 - * - - - - - - - - - * - * - - -
Dealer to Dealer * - - - - - - - - - - - - - - - - - - - - - -
<= $1MM 20,529.0 - * * * * * 3,833.0 - - - - - - - - - * - - - - -
<= $10MM 269,419.7 - * * 16,500.1 * * * - - - - - * - - - * - * - - -
> $10MM 87,546.2 - - * - - - - - - - - - - - - - - - - - - -
NUMBER OF TRADES 122 - 5 8 8 8 5 10 - - - - - * - - - 5 - * - - -
Customer Buy 81 - * 6 8 * 5 8 - - - - - * - - - * - * - - -
Customer Sell 39 - * * - 5 - * - - - - - - - - - * - * - - -
Dealer to Dealer * - - - - - - - - - - - - - - - - - - - - - -
<= $1MM 44 - * * * * * 8 - - - - - - - - - * - - - - -
<= $10MM 71 - * * 5 * * * - - - - - * - - - * - * - - -
> $10MM 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 - - - * 96.1 100.7 - - - - 95.2 99.9 - - - * 99.2 * - - -
Weighted Avg. Price - - - * 98.4 100.5 - - - - 97.0 99.7 - - - * 99.8 * - - -
Avg. Price Bottom 5 Trades - - - * 90.8 99.9 - - - - 90.9 98.3 - - - * 98.4 * - - -
2nd Quartile Price - - - * 95.0 100.2 - - - - 89.3 100.2 - - - * 99.8 * - - -
3rd Quartile Price - - - * 100.0 100.5 - - - - 99.3 100.6 - - - * 100.0 * - - -
4th Quartile Price - - - * 100.4 101.8 - - - - 99.9 101.5 - - - * 100.0 * - - -
Avg. Price Top 5 Trades - - - * 100.3 101.3 - - - - 99.6 101.5 - - - * 100.0 * - - -
Standard Deviation - - - * 5.0 0.9 - - - - 5.4 2.4 - - - * 1.3 * - - -
VOLUME OF TRADES (000'S) - - - * 81,511.1 61,617.5 - - - - 33,947.9 33,747.7 - - - * 36,906.0 * - - -
Customer Buy - - - * 50,797.5 31,734.3 - - - - * 33,747.7 - - - * 14,650.0 * - - -
Customer Sell - - - * 30,713.6 29,883.1 - - - - 24,847.9 - - - - * * * - - -
Dealer to Dealer - - - - - - - - - - - - - - - - * - - - -
<= $1MM - - - * * * - - - - * * - - - * * * - - -
<= $10MM - - - * 32,124.6 48,227.5 - - - - 32,347.9 32,097.7 - - - * 36,706.0 * - - -
> $10MM - - - * * * - - - - - - - - - - - - - - -
NUMBER OF TRADES - - - * 14 14 - - - - 10 11 - - - * 10 * - - -
Customer Buy - - - * 9 8 - - - - * 11 - - - * 6 * - - -
Customer Sell - - - * 5 6 - - - - 6 - - - - * * * - - -
Dealer to Dealer - - - - - - - - - - - - - - - - * - - - -
<= $1MM - - - * * * - - - - * * - - - * * * - - -
<= $10MM - - - * 7 12 - - - - 8 8 - - - * 8 * - - -
> $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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