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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 95.6 9.2 96.6 83.9 98.5 2.2 4.3 15.9
Weighted Avg. Price 94.6 5.8 95.1 80.5 97.6 1.5 4.4 8.8
Avg. Price Bottom 5 Trades 82.1 1.8 91.1 82.1 95.2 2.2 4.3 4.0
2nd Quartile Price 95.2 3.2 96.3 83.4 97.5 * * 4.8
3rd Quartile Price 97.3 4.5 97.2 85.2 99.2 * * 4.8
4th Quartile Price 99.3 4.8 99.3 85.7 100.3 * * 39.4
Avg. Price Top 5 Trades 101.0 22.1 99.4 85.8 101.0 2.2 4.3 25.5
Standard Deviation 5.3 13.5 2.8 2.7 2.3 1.6 0.5 17.6
VOLUME OF TRADES (000'S) 340,681.2 740,911.4 161,735.8 36,823.6 142,121.9 162,622.5 238,052.9 340,236.0
Customer Buy 137,746.2 500,569.6 47,589.7 * 72,982.0 * * 223,336.9
Customer Sell 41,941.0 163,442.5 16,938.0 - * * * *
Dealer to Dealer 160,994.1 * 97,208.2 19,649.1 44,136.9 - - *
<= $1MM 12,387.9 * 6,821.7 * 4,747.2 * * -
<= $10MM 125,696.7 * 72,301.2 * 47,390.9 * * *
> $10MM 202,596.7 729,412.3 82,612.9 * * * * 337,236.5
NUMBER OF TRADES 70 19 37 9 24 5 5 9
Customer Buy 32 10 15 * 13 * * 6
Customer Sell 10 8 8 - * * * *
Dealer to Dealer 28 * 14 5 9 - - *
<= $1MM 29 * 15 * 10 * * -
<= $10MM 29 * 16 * 10 * * *
> $10MM 12 11 6 * * * * 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 95.9 14.2 95.8 87.9 103.0 93.6 * 102.4 * * * 92.6 * * - - - 86.1 * - - - -
Weighted Avg. Price 95.2 4.0 94.6 87.7 102.0 95.9 * 101.8 * * * 92.1 * * - - - 86.5 * - - - -
Avg. Price Bottom 5 Trades 69.2 2.4 91.5 85.8 99.5 91.4 * 99.9 * * * 90.3 * * - - - 77.5 * - - - -
2nd Quartile Price 92.3 1.6 95.3 84.6 100.7 89.8 * 101.5 * * * 91.1 * * - - - 85.0 * - - - -
3rd Quartile Price 98.7 3.4 96.6 88.4 103.9 97.5 * 103.1 * * * 94.5 * * - - - 87.5 * - - - -
4th Quartile Price 100.4 85.0 97.5 89.0 105.1 99.3 * 103.5 * * * 94.6 * * - - - 90.5 * - - - -
Avg. Price Top 5 Trades 107.7 19.3 97.9 90.3 106.7 96.4 * 104.5 * * * 94.6 * * - - - 92.7 * - - - -
Standard Deviation 7.3 31.2 2.4 4.2 3.7 5.7 * 2.5 * * * 3.1 * * - - - 6.4 * - - - -
VOLUME OF TRADES (000'S) 823,082.3 29,073.7 117,798.8 38,692.4 40,348.1 53,839.4 * 27,832.1 * * * 20,176.0 * * - - - 57,566.8 * - - - -
Customer Buy 415,442.7 - 48,967.7 37,542.4 27,568.1 * * 5,851.0 - - - 10,553.0 * * - - - 31,378.9 - - - - -
Customer Sell 300,012.6 25,885.5 67,931.1 * * * - 21,601.4 * * * * - - - - - 26,187.9 * - - - -
Dealer to Dealer 107,627.0 * * - * * - * * - - * - * - - - - - - - - -
<= $1MM 50,031.1 * 2,163.0 * * * * 3,197.1 - - - * - * - - - 289.8 - - - - -
<= $10MM 596,594.8 14,357.2 74,621.8 * 38,098.1 * - 24,635.0 * * * 18,466.0 * * - - - 57,277.0 * - - - -
> $10MM 176,456.4 * * * - * * - * - - - - - - - - - - - - - -
NUMBER OF TRADES 281 7 28 8 14 7 * 16 * * * 10 * * - - - 19 * - - - -
Customer Buy 128 - 10 6 8 * * 6 - - - 5 * * - - - 10 - - - - -
Customer Sell 120 5 16 * * * - 9 * * * * - - - - - 9 * - - - -
Dealer to Dealer 33 * * - * * - * * - - * - * - - - - - - - - -
<= $1MM 114 * 9 * * * * 9 - - - * - * - - - 5 - - - - -
<= $10MM 156 5 17 * 11 * - 7 * * * 7 * * - - - 14 * - - - -
> $10MM 11 * * * - * * - * - - - - - - - - - - - - - -

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 - - - 98.9 97.6 100.4 - - - 87.2 96.7 99.8 - - - 91.4 94.4 101.6 - - -
Weighted Avg. Price - - - 99.7 96.5 100.6 - - - 85.6 95.4 101.4 - - - 92.3 95.9 101.4 - - -
Avg. Price Bottom 5 Trades - - - 98.9 89.2 99.2 - - - 83.3 90.4 98.1 - - - 85.1 85.5 100.0 - - -
2nd Quartile Price - - - * 96.9 100.3 - - - 85.0 92.3 100.5 - - - 87.3 95.5 101.1 - - -
3rd Quartile Price - - - * 99.3 100.4 - - - 87.1 99.6 101.2 - - - 94.1 99.2 101.4 - - -
4th Quartile Price - - - * 100.4 100.8 - - - 91.5 99.7 102.3 - - - 98.6 100.0 102.8 - - -
Avg. Price Top 5 Trades - - - 98.9 100.7 101.3 - - - 92.2 99.9 102.0 - - - 97.2 99.8 103.4 - - -
Standard Deviation - - - 1.9 4.4 0.8 - - - 4.2 4.2 3.5 - - - 6.5 9.4 1.6 - - -
VOLUME OF TRADES (000'S) - - - 12,187.0 68,076.8 92,267.6 - - - 47,536.0 89,002.8 15,135.0 - - - 17,017.7 39,259.8 66,051.0 - - -
Customer Buy - - - * 30,504.6 34,324.6 - - - 18,838.6 40,989.3 * - - - 8,762.7 26,239.8 33,833.0 - - -
Customer Sell - - - * 15,352.5 57,323.0 - - - 21,242.8 29,413.5 2,075.0 - - - 8,255.0 * 30,218.0 - - -
Dealer to Dealer - - - * 22,219.7 * - - - * * - - - - - * * - - -
<= $1MM - - - * 9,098.0 8,680.3 - - - * 8,675.3 3,135.0 - - - * * * - - -
<= $10MM - - - * 58,978.8 70,587.2 - - - 47,256.0 54,327.5 * - - - 15,058.0 37,559.0 63,551.0 - - -
> $10MM - - - - - * - - - - * - - - - - - - - - -
NUMBER OF TRADES - - - 6 32 37 - - - 14 29 10 - - - 11 16 17 - - -
Customer Buy - - - * 11 13 - - - 6 12 * - - - 6 11 9 - - -
Customer Sell - - - * 12 23 - - - 6 13 6 - - - 5 * 7 - - -
Dealer to Dealer - - - * 9 * - - - * * - - - - - * * - - -
<= $1MM - - - * 19 19 - - - * 14 8 - - - * * * - - -
<= $10MM - - - * 13 17 - - - 13 13 * - - - 7 12 14 - - -
> $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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