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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 93.2 * 93.2 84.6 97.5 - * *
Weighted Avg. Price 95.5 * 94.8 89.3 98.1 - * *
Avg. Price Bottom 5 Trades 75.3 * 81.8 77.0 91.0 - * *
2nd Quartile Price 90.5 * 90.9 82.8 96.7 - * *
3rd Quartile Price 96.4 * 96.1 88.8 99.5 - * *
4th Quartile Price 97.9 * 96.6 90.5 99.8 - * *
Avg. Price Top 5 Trades 100.4 * 98.7 90.3 100.4 - * *
Standard Deviation 6.9 * 5.5 6.8 4.7 - * *
VOLUME OF TRADES (000'S) 337,049.7 * 38,463.2 83,945.8 214,640.7 - * *
Customer Buy 144,609.1 * 7,034.0 * 125,861.5 - * -
Customer Sell 129,121.9 * 24,332.4 50,387.0 54,402.5 - * *
Dealer to Dealer 63,318.8 - 7,096.8 * 34,376.7 - - -
<= $1MM 17,326.0 - 12,778.6 962.4 3,585.0 - - -
<= $10MM 99,032.9 * 10,684.6 15,104.6 73,243.7 - * *
> $10MM 220,690.8 - * * 137,811.9 - - -
NUMBER OF TRADES 82 * 40 14 28 - * *
Customer Buy 27 * 10 * 14 - * -
Customer Sell 35 * 18 9 8 - * *
Dealer to Dealer 20 - 12 * 6 - - -
<= $1MM 48 - 32 7 9 - - -
<= $10MM 24 * 7 5 12 - * *
> $10MM 10 - * * 7 - - -

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 94.6 2.3 97.5 * 101.0 98.0 88.6 102.1 * * * 93.0 - 99.6 - - - 86.0 - * - - -
Weighted Avg. Price 94.1 2.5 97.6 * 101.5 99.0 83.2 102.4 * * * 94.2 - 100.3 - - - 82.9 - * - - -
Avg. Price Bottom 5 Trades 54.3 1.5 95.3 * 99.1 95.8 88.6 101.1 * * * 87.1 - 99.6 - - - 75.7 - * - - -
2nd Quartile Price 90.9 1.8 95.6 * 100.1 98.5 * 101.0 * * * 90.5 - * - - - 82.0 - * - - -
3rd Quartile Price 98.6 2.5 98.7 * 102.1 99.2 * 102.0 * * * 94.5 - * - - - 86.5 - * - - -
4th Quartile Price 100.2 6.4 99.4 * 103.7 99.3 * 103.8 * * * 98.4 - * - - - 90.5 - * - - -
Avg. Price Top 5 Trades 104.3 2.7 99.5 * 102.9 99.4 88.6 102.9 * * * 98.6 - 99.6 - - - 98.2 - * - - -
Standard Deviation 9.8 2.2 1.9 * 2.6 2.4 4.4 1.5 * * * 4.7 - 5.5 - - - 7.7 - * - - -
VOLUME OF TRADES (000'S) 839,894.3 203,139.2 22,943.7 * 19,520.1 63,218.1 11,964.0 19,998.7 * * * 48,308.4 - 13,550.0 - - - 69,969.3 - * - - -
Customer Buy 377,523.6 * * * 14,653.0 * * 11,853.7 * * - 23,249.7 - * - - - 37,648.7 - * - - -
Customer Sell 397,441.4 * 20,968.7 * * 47,790.9 * * * * * 22,646.7 - * - - - 29,072.1 - * - - -
Dealer to Dealer 64,929.2 - - - - - - - - - - * - - - - - * - - - - -
<= $1MM 27,281.1 - 1,891.0 * * * * * - - - 2,206.0 - - - - - 1,674.4 - * - - -
<= $10MM 671,659.5 * 21,052.7 * 17,725.1 36,982.4 - 19,223.7 * * - 46,102.4 - 13,550.0 - - - 68,294.9 - - - - -
> $10MM 140,953.6 * - - - * * - - * * - - - - - - - - - - - -
NUMBER OF TRADES 245 6 19 * 9 14 5 8 * * * 18 - 6 - - - 26 - * - - -
Customer Buy 105 * * * 6 * * 5 * * - 7 - * - - - 14 - * - - -
Customer Sell 129 * 15 * * 12 * * * * * 10 - * - - - 11 - * - - -
Dealer to Dealer 11 - - - - - - - - - - * - - - - - * - - - - -
<= $1MM 75 - 11 * * * * * - - - 5 - - - - - 8 - * - - -
<= $10MM 159 * 8 * 5 8 - 6 * * - 13 - 6 - - - 18 - - - - -
> $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 - - - 94.3 97.2 99.9 - - - 88.4 95.0 100.4 - - - 76.1 * 100.4 - - -
Weighted Avg. Price - - - 91.9 93.0 99.6 - - - 88.1 96.7 101.4 - - - 59.5 * 100.3 - - -
Avg. Price Bottom 5 Trades - - - 88.8 89.8 96.1 - - - 85.8 91.1 99.9 - - - 58.3 * 100.0 - - -
2nd Quartile Price - - - 95.0 97.7 99.2 - - - 86.3 96.0 100.6 - - - 82.4 * 100.1 - - -
3rd Quartile Price - - - 96.9 99.9 100.4 - - - 86.7 96.9 100.7 - - - 87.7 * 100.5 - - -
4th Quartile Price - - - 98.7 100.0 100.8 - - - 93.0 100.4 103.6 - - - 93.5 * 100.6 - - -
Avg. Price Top 5 Trades - - - 98.7 100.1 103.7 - - - 91.0 98.9 101.1 - - - 93.5 * 100.8 - - -
Standard Deviation - - - 5.3 5.4 2.3 - - - 3.8 5.9 2.2 - - - 26.7 * 0.4 - - -
VOLUME OF TRADES (000'S) - - - 38,233.5 44,595.4 225,176.1 - - - 29,039.3 34,731.7 38,075.0 - - - 50,133.3 * 100,196.0 - - -
Customer Buy - - - 21,715.0 * 70,058.1 - - - 22,344.3 14,646.6 * - - - 30,711.9 - 61,331.0 - - -
Customer Sell - - - 16,518.5 19,683.5 114,418.1 - - - 6,695.0 20,085.1 * - - - * * 38,865.0 - - -
Dealer to Dealer - - - - 18,568.8 * - - - - - - - - - - - - - - -
<= $1MM - - - 2,998.5 5,684.0 * - - - 3,126.0 * * - - - - - - - - -
<= $10MM - - - 35,235.0 38,911.5 118,691.1 - - - 25,913.3 33,590.1 38,000.0 - - - 50,133.3 * 100,196.0 - - -
> $10MM - - - - - 103,970.0 - - - - - - - - - - - - - - -
NUMBER OF TRADES - - - 13 24 35 - - - 12 10 7 - - - 13 * 19 - - -
Customer Buy - - - 6 * 12 - - - 7 5 * - - - 9 - 12 - - -
Customer Sell - - - 7 16 19 - - - 5 5 * - - - * * 7 - - -
Dealer to Dealer - - - - 5 * - - - - - - - - - - - - - - -
<= $1MM - - - 5 13 * - - - 5 * * - - - - - - - - -
<= $10MM - - - 8 11 23 - - - 7 6 6 - - - 13 * 19 - - -
> $10MM - - - - - 8 - - - - - - - - - - - - - - -

* 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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