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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 94.8 42.4 96.3 86.7 97.7 - - 42.4
Weighted Avg. Price 95.8 27.9 97.9 91.3 100.3 - - 27.9
Avg. Price Bottom 5 Trades 74.4 42.4 80.8 74.5 87.9 - - 42.4
2nd Quartile Price 93.3 * 97.3 85.1 98.2 - - *
3rd Quartile Price 98.0 * 98.3 90.2 99.5 - - *
4th Quartile Price 99.1 * 98.8 92.6 100.9 - - *
Avg. Price Top 5 Trades 101.7 42.4 100.4 96.1 101.7 - - 42.4
Standard Deviation 7.3 32.7 5.4 8.4 5.9 - - 32.7
VOLUME OF TRADES (000'S) 1,112,722.3 30,127.4 341,592.1 462,981.0 308,149.2 - - 30,127.4
Customer Buy 412,309.5 * 166,468.3 22,255.9 223,585.4 - - *
Customer Sell 429,090.2 * 152,714.3 198,297.0 78,079.0 - - *
Dealer to Dealer 271,322.5 - 22,409.5 242,428.1 6,484.8 - - -
<= $1MM 7,793.6 * 3,962.7 1,387.1 2,443.8 - - *
<= $10MM 94,337.1 * 47,589.4 * 18,479.5 - - *
> $10MM 1,010,591.5 - * 433,325.6 287,225.9 - - -
NUMBER OF TRADES 109 5 59 21 29 - - 5
Customer Buy 36 * 18 5 13 - - *
Customer Sell 40 * 21 10 9 - - *
Dealer to Dealer 33 - 20 6 7 - - -
<= $1MM 62 * 37 12 13 - - *
<= $10MM 29 * 18 * 8 - - *
> $10MM 18 - * 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 93.6 38.2 97.0 87.4 * 97.0 96.4 103.6 * * * 89.0 * * - - - 69.5 * - - - -
Weighted Avg. Price 83.0 43.2 97.6 87.1 * 96.9 95.7 104.4 * * * 92.6 * * - - - 40.6 * - - - -
Avg. Price Bottom 5 Trades 14.3 4.4 94.1 85.6 * 92.8 93.8 100.8 * * * 72.8 * * - - - 15.8 * - - - -
2nd Quartile Price 93.3 4.1 96.4 86.4 * 96.6 93.9 103.5 * * * 85.8 * * - - - 72.5 * - - - -
3rd Quartile Price 97.2 8.4 97.6 87.0 * 97.8 98.5 104.2 * * * 91.7 * * - - - 78.0 * - - - -
4th Quartile Price 99.7 91.6 98.5 90.9 * 98.1 99.7 104.8 * * * 95.4 * * - - - 93.5 * - - - -
Avg. Price Top 5 Trades 106.0 60.0 99.0 89.2 * 98.9 98.9 105.6 * * * 98.5 * * - - - 96.6 * - - - -
Standard Deviation 13.9 46.7 2.0 2.7 * 2.0 3.1 1.9 * * * 8.6 * * - - - 31.3 * - - - -
VOLUME OF TRADES (000'S) 1,112,133.4 36,295.4 35,577.2 38,883.1 * 64,125.9 6,308.4 49,732.3 * * * 168,967.9 * * - - - 212,803.6 * - - - -
Customer Buy 547,974.9 * 15,024.3 24,246.5 - 19,311.0 * 22,895.0 - - * 83,830.9 * - - - - 96,289.9 * - - - -
Customer Sell 549,922.3 23,981.4 18,517.0 * * 44,814.9 334.4 26,837.3 * * * 79,582.0 * * - - - 112,163.8 * - - - -
Dealer to Dealer 14,236.2 - * - - - - - - - - * - - - - - * - - - - -
<= $1MM 47,498.8 - 3,683.6 * * 5,384.4 489.4 2,170.3 - - - 2,322.1 - * - - - 1,761.1 * - - - -
<= $10MM 687,823.7 24,006.1 31,893.6 38,583.1 * 58,741.5 * 37,387.0 * * * 153,246.8 * - - - - 78,065.0 * - - - -
> $10MM 376,810.9 * - - - - - * * - - * - - - - - 132,977.5 - - - - -
NUMBER OF TRADES 352 8 26 10 * 35 10 21 * * * 47 * * - - - 33 * - - - -
Customer Buy 154 * 8 7 - 12 * 8 - - * 24 * - - - - 15 * - - - -
Customer Sell 180 5 16 * * 23 7 13 * * * 20 * * - - - 15 * - - - -
Dealer to Dealer 18 - * - - - - - - - - * - - - - - * - - - - -
<= $1MM 161 - 14 * * 15 8 11 - - - 16 - * - - - 7 * - - - -
<= $10MM 175 7 12 9 * 20 * 9 * * * 30 * - - - - 21 * - - - -
> $10MM 16 * - - - - - * * - - * - - - - - 5 - - - - -

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 - - - 95.9 97.2 100.4 - - - 96.8 97.0 100.8 - - - 88.3 96.7 100.9 - - *
Weighted Avg. Price - - - 95.7 97.4 101.1 - - - 96.7 98.0 101.0 - - - 71.0 99.5 101.0 - - *
Avg. Price Bottom 5 Trades - - - 94.4 91.6 95.7 - - - 94.3 95.3 99.5 - - - 79.6 96.7 99.9 - - *
2nd Quartile Price - - - 95.4 96.2 99.7 - - - 96.3 95.3 100.2 - - - 91.0 * 99.8 - - *
3rd Quartile Price - - - 95.7 98.0 101.0 - - - 97.6 98.4 100.6 - - - 98.0 * 100.2 - - *
4th Quartile Price - - - 96.8 99.3 102.3 - - - 98.9 98.4 100.9 - - - 100.0 * 102.5 - - *
Avg. Price Top 5 Trades - - - 98.0 100.1 104.5 - - - 99.0 98.7 102.5 - - - 98.3 96.7 102.1 - - *
Standard Deviation - - - 1.4 2.6 3.1 - - - 2.6 2.2 1.4 - - - 16.1 9.4 1.6 - - *
VOLUME OF TRADES (000'S) - - - 116,061.2 37,294.7 69,039.3 - - - 32,745.9 12,058.5 30,670.6 - - - 121,164.4 43,038.1 42,700.0 - - *
Customer Buy - - - 66,785.2 18,019.0 39,598.3 - - - 31,413.0 10,373.5 14,680.3 - - - * * 25,100.0 - - *
Customer Sell - - - 49,275.9 18,020.4 29,381.0 - - - * * 15,010.3 - - - 71,599.2 * 17,600.0 - - -
Dealer to Dealer - - - - 1,255.3 * - - - - - * - - - - - - - - -
<= $1MM - - - 2,698.3 8,598.2 3,965.1 - - - 1,995.9 4,102.5 6,060.6 - - - * * - - - -
<= $10MM - - - 68,910.9 28,696.4 46,074.2 - - - 14,720.0 * 24,610.0 - - - 17,002.0 * 42,700.0 - - *
> $10MM - - - * - * - - - * - - - - - * * - - - -
NUMBER OF TRADES - - - 22 41 29 - - - 13 10 20 - - - 9 5 11 - - *
Customer Buy - - - 14 12 11 - - - 11 7 7 - - - * * 6 - - *
Customer Sell - - - 8 23 16 - - - * * 11 - - - 6 * 5 - - -
Dealer to Dealer - - - - 6 * - - - - - * - - - - - - - - -
<= $1MM - - - 5 35 18 - - - 5 9 11 - - - * * - - - -
<= $10MM - - - 15 6 10 - - - 7 * 9 - - - 5 * 11 - - *
> $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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