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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 89.6 3.4 97.7 82.3 91.0 * 3.8 *
Weighted Avg. Price 95.3 1.4 98.3 79.3 98.5 * 1.1 *
Avg. Price Bottom 5 Trades 52.9 1.8 91.9 61.4 69.4 * 3.8 *
2nd Quartile Price 84.8 3.2 97.7 72.0 85.0 * * *
3rd Quartile Price 96.3 4.1 98.5 87.5 99.1 * * *
4th Quartile Price 99.2 4.6 99.2 92.3 100.6 * * *
Avg. Price Top 5 Trades 101.5 4.9 100.1 99.5 101.5 * 3.8 *
Standard Deviation 13.0 1.6 3.1 13.0 14.5 * 2.0 *
VOLUME OF TRADES (000'S) 503,278.2 1,373,082.0 191,332.5 80,953.3 230,992.5 * 588,612.0 *
Customer Buy 297,192.8 489,315.9 119,548.3 44,599.1 133,045.4 * * *
Customer Sell 118,611.5 * 63,943.4 19,438.4 35,229.7 - * -
Dealer to Dealer 87,473.9 * 7,840.7 16,915.8 62,717.4 * * *
<= $1MM 12,212.7 * 4,570.9 4,672.5 2,969.3 - * -
<= $10MM 167,719.6 * 89,152.7 61,966.9 16,600.0 * * -
> $10MM 323,345.9 1,363,268.4 97,608.9 * 211,423.2 * * *
NUMBER OF TRADES 136 13 45 57 34 * 6 *
Customer Buy 56 7 20 20 16 * * *
Customer Sell 49 * 20 21 8 - * -
Dealer to Dealer 31 * 5 16 10 * * *
<= $1MM 72 * 15 38 19 - * -
<= $10MM 48 * 24 18 6 * * -
> $10MM 16 9 6 * 9 * * *

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 93.8 * 97.3 * 102.6 96.6 * 103.9 - - - 88.6 * 102.0 - - - 72.1 * * - - -
Weighted Avg. Price 93.5 * 98.0 * 103.0 96.9 * 104.2 - - - 85.5 * 103.3 - - - 63.1 * * - - -
Avg. Price Bottom 5 Trades 39.8 * 95.2 * 102.2 92.2 * 102.3 - - - 73.7 * 101.3 - - - 42.4 * * - - -
2nd Quartile Price 92.1 * 96.9 * 101.1 96.3 * 103.1 - - - 89.0 * 100.8 - - - 68.0 * * - - -
3rd Quartile Price 97.9 * 97.7 * 104.2 97.4 * 103.6 - - - 90.2 * 103.1 - - - 86.3 * * - - -
4th Quartile Price 100.0 * 98.4 * 105.0 98.8 * 105.4 - - - 94.8 * 104.1 - - - 92.1 * * - - -
Avg. Price Top 5 Trades 106.2 * 99.1 * 103.5 99.3 * 106.1 - - - 97.9 * 102.6 - - - 93.4 * * - - -
Standard Deviation 11.5 * 1.7 * 2.0 2.5 * 1.7 - - - 8.5 * 1.5 - - - 24.6 * * - - -
VOLUME OF TRADES (000'S) 948,367.0 * 31,629.0 * 46,100.1 35,916.0 * 36,404.0 - - - 48,992.6 * 6,915.8 - - - 46,197.2 * * - - -
Customer Buy 436,036.3 * 14,353.6 * * 6,483.5 * 17,889.0 - - - 19,432.1 * * - - - 24,948.6 * * - - -
Customer Sell 478,639.3 - 17,275.4 - * 25,842.5 * 10,515.0 - - - 29,380.4 * * - - - 21,148.6 * * - - -
Dealer to Dealer 33,691.4 - - - * * - * - - - * - - - - - * - - - - -
<= $1MM 48,223.8 - 5,838.6 * * 2,594.7 * 5,585.0 - - - 2,875.6 * * - - - 1,596.4 - - - - -
<= $10MM 668,604.1 * 25,790.4 - 25,950.1 18,321.3 - 30,819.0 - - - 22,117.0 * * - - - 44,600.8 * * - - -
> $10MM 231,539.1 - - - * * - - - - - * - - - - - - - * - - -
NUMBER OF TRADES 313 * 22 * 7 26 * 20 - - - 29 * 7 - - - 16 * * - - -
Customer Buy 139 * 12 * * 8 * 10 - - - 10 * * - - - 8 * * - - -
Customer Sell 159 - 10 - * 15 * 8 - - - 17 * * - - - 6 * * - - -
Dealer to Dealer 15 - - - * * - * - - - * - - - - - * - - - - -
<= $1MM 132 - 16 * * 17 * 11 - - - 19 * * - - - 6 - - - - -
<= $10MM 165 * 6 - 5 8 - 9 - - - 8 * * - - - 10 * * - - -
> $10MM 16 - - - * * - - - - - * - - - - - - - * - - -

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 - - - 93.5 97.6 99.3 - - - 92.1 95.9 99.7 - - - 79.1 84.1 101.6 - - *
Weighted Avg. Price - - - 92.4 97.9 100.0 - - - 93.6 96.9 99.7 - - - 78.8 81.8 101.9 - - *
Avg. Price Bottom 5 Trades - - - 90.0 93.3 96.2 - - - 88.6 88.2 96.7 - - - 70.8 63.1 99.0 - - *
2nd Quartile Price - - - 92.2 97.9 99.3 - - - 92.4 97.1 99.8 - - - 78.5 75.0 100.0 - - *
3rd Quartile Price - - - 93.2 98.7 100.0 - - - 93.0 99.1 100.0 - - - 79.0 90.7 100.3 - - *
4th Quartile Price - - - 99.7 99.7 100.7 - - - 94.5 99.8 100.2 - - - 98.7 99.1 105.0 - - *
Avg. Price Top 5 Trades - - - 97.8 99.8 101.3 - - - 95.7 99.9 101.6 - - - 88.9 99.3 105.2 - - *
Standard Deviation - - - 3.9 3.6 2.1 - - - 3.8 6.0 1.7 - - - 14.8 14.2 2.8 - - *
VOLUME OF TRADES (000'S) - - - 40,749.1 109,326.8 75,887.6 - - - 17,395.0 32,904.4 140,175.6 - - - 54,463.2 96,000.0 85,119.6 - - *
Customer Buy - - - 18,839.5 47,655.5 44,635.0 - - - 8,062.7 9,495.7 64,478.2 - - - * 47,484.0 37,029.6 - - *
Customer Sell - - - 21,909.5 61,671.2 31,252.6 - - - 7,511.0 23,408.7 75,697.4 - - - * 48,516.0 48,090.0 - - -
Dealer to Dealer - - - - - - - - - * - - - - - * - - - - -
<= $1MM - - - 3,200.0 2,893.9 2,058.4 - - - 7,131.0 4,098.1 3,739.3 - - - - * * - - -
<= $10MM - - - 24,759.1 46,257.0 60,426.3 - - - * 28,806.3 97,811.3 - - - 54,463.2 80,236.0 71,300.0 - - *
> $10MM - - - * * * - - - - - * - - - - * * - - -
NUMBER OF TRADES - - - 14 19 20 - - - 15 17 34 - - - 11 26 17 - - *
Customer Buy - - - 6 5 11 - - - 8 7 14 - - - * 13 8 - - *
Customer Sell - - - 8 14 9 - - - 5 10 20 - - - * 13 9 - - -
Dealer to Dealer - - - - - - - - - * - - - - - * - - - - -
<= $1MM - - - 6 5 8 - - - 11 7 8 - - - - * * - - -
<= $10MM - - - 7 11 11 - - - * 10 23 - - - 11 21 12 - - *
> $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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