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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 94.3 * 96.8 85.0 97.5 - * -
Weighted Avg. Price 96.2 * 97.8 92.7 97.6 - * -
Avg. Price Bottom 5 Trades 73.7 * 93.8 74.2 86.0 - * -
2nd Quartile Price 93.4 * 96.4 74.1 99.0 - * -
3rd Quartile Price 98.1 * 98.0 85.0 99.7 - * -
4th Quartile Price 99.8 * 98.1 94.2 100.4 - * -
Avg. Price Top 5 Trades 101.5 * 98.4 95.3 101.5 - * -
Standard Deviation 8.7 * 2.1 10.3 6.9 - * -
VOLUME OF TRADES (000'S) 112,418.4 * 40,712.6 34,230.6 37,475.3 - * -
Customer Buy 37,754.4 * 6,971.6 4,835.2 25,947.7 - * -
Customer Sell 63,335.1 - 33,460.1 26,324.2 3,550.8 - - -
Dealer to Dealer 11,328.9 - * 3,071.2 7,976.8 - - -
<= $1MM 11,068.7 - 4,666.7 571.6 5,830.3 - - -
<= $10MM 66,133.5 - * 33,659.0 21,428.7 - - -
> $10MM * * * - * - * -
NUMBER OF TRADES 67 * 18 16 33 - * -
Customer Buy 26 * 9 5 12 - * -
Customer Sell 21 - 6 5 10 - - -
Dealer to Dealer 20 - * 6 11 - - -
<= $1MM 45 - 14 7 24 - - -
<= $10MM 20 - * 9 8 - - -
> $10MM * * * - * - * -

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 * 96.8 * * * * 103.8 - - - - - - - - - * - - - - -
Weighted Avg. Price 98.6 * 98.3 * * * * 103.9 - - - - - - - - - * - - - - -
Avg. Price Bottom 5 Trades 46.3 * 93.9 * * * * 102.5 - - - - - - - - - * - - - - -
2nd Quartile Price 97.5 * 95.4 * * * * 103.2 - - - - - - - - - * - - - - -
3rd Quartile Price 99.4 * 98.8 * * * * 103.9 - - - - - - - - - * - - - - -
4th Quartile Price 99.8 * 99.2 * * * * 104.6 - - - - - - - - - * - - - - -
Avg. Price Top 5 Trades 104.8 * 99.3 * * * * 104.8 - - - - - - - - - * - - - - -
Standard Deviation 12.1 * 2.7 * * * * 0.9 - - - - - - - - - * - - - - -
VOLUME OF TRADES (000'S) 1,059,001.6 * 70,518.5 * * * * 337,075.7 - - - - - - - - - * - - - - -
Customer Buy 657,186.0 * 68,518.5 * * * * 135,778.0 - - - - - - - - - * - - - - -
Customer Sell 382,863.3 * * * * * - 201,297.7 - - - - - - - - - - - - - - -
Dealer to Dealer * * - - - - - - - - - - - - - - - * - - - - -
<= $1MM 14,865.5 * 1,580.5 * * * * * - - - - - - - - - * - - - - -
<= $10MM 346,506.6 * * * * - - 34,178.0 - - - - - - - - - * - - - - -
> $10MM 697,629.4 - * - - - - 302,500.0 - - - - - - - - - - - - - - -
NUMBER OF TRADES 156 * 13 * * * * 22 - - - - - - - - - * - - - - -
Customer Buy 93 * 12 * * * * 8 - - - - - - - - - * - - - - -
Customer Sell 59 * * * * * - 14 - - - - - - - - - - - - - - -
Dealer to Dealer * * - - - - - - - - - - - - - - - * - - - - -
<= $1MM 43 * 5 * * * * * - - - - - - - - - * - - - - -
<= $10MM 83 * * * * - - 5 - - - - - - - - - * - - - - -
> $10MM 30 - * - - - - 13 - - - - - - - - - - - - - - -

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 - - - * 99.0 99.4 - - - * 98.6 98.9 - - - 66.0 95.3 99.1 - - -
Weighted Avg. Price - - - * 99.2 99.5 - - - * 98.5 99.1 - - - 59.0 95.4 99.6 - - -
Avg. Price Bottom 5 Trades - - - * 98.0 99.1 - - - * 96.8 98.7 - - - 46.3 91.0 96.1 - - -
2nd Quartile Price - - - * 98.1 99.4 - - - * 98.5 99.0 - - - 53.0 96.3 99.8 - - -
3rd Quartile Price - - - * 99.4 99.5 - - - * 99.9 99.1 - - - 94.0 97.0 99.8 - - -
4th Quartile Price - - - * 99.8 99.8 - - - * 100.0 99.3 - - - 94.3 99.0 99.8 - - -
Avg. Price Top 5 Trades - - - * 99.7 99.8 - - - * 100.3 99.2 - - - 83.0 98.5 99.8 - - -
Standard Deviation - - - * 0.8 0.4 - - - * 2.7 0.8 - - - 26.8 5.5 1.5 - - -
VOLUME OF TRADES (000'S) - - - * 68,331.7 24,539.1 - - - * 19,030.1 84,926.7 - - - 37,788.0 59,506.8 318,578.6 - - -
Customer Buy - - - - 23,063.6 13,454.7 - - - * * 44,641.9 - - - * 18,738.4 307,888.6 - - -
Customer Sell - - - * 45,268.1 * - - - * 9,439.0 * - - - * 40,768.4 * - - -
Dealer to Dealer - - - - - - - - - - - - - - - * - - - - -
<= $1MM - - - * 1,774.5 2,347.1 - - - - * * - - - * * * - - -
<= $10MM - - - - 50,873.2 22,192.0 - - - * 18,050.1 * - - - 35,821.9 46,806.8 83,645.9 - - -
> $10MM - - - - * - - - - - - * - - - - * 233,700.0 - - -
NUMBER OF TRADES - - - * 19 16 - - - * 10 9 - - - 10 13 27 - - -
Customer Buy - - - - 8 12 - - - * * 7 - - - * 6 23 - - -
Customer Sell - - - * 11 * - - - * 6 * - - - * 7 * - - -
Dealer to Dealer - - - - - - - - - - - - - - - * - - - - -
<= $1MM - - - * 5 8 - - - - * * - - - * * * - - -
<= $10MM - - - - 13 8 - - - * 6 * - - - 7 11 16 - - -
> $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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