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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 94.6 * 97.1 85.8 97.9 - * *
Weighted Avg. Price 91.8 * 98.5 86.0 95.0 - * *
Avg. Price Bottom 5 Trades 70.9 * 90.9 71.4 88.6 - * *
2nd Quartile Price 93.3 * 97.3 82.8 98.5 - * *
3rd Quartile Price 98.3 * 98.5 87.2 99.7 - * *
4th Quartile Price 99.5 * 99.2 94.3 100.8 - * *
Avg. Price Top 5 Trades 101.7 * 99.6 96.6 101.7 - * *
Standard Deviation 8.2 * 3.0 10.7 5.6 - * *
VOLUME OF TRADES (000'S) 212,756.6 * 60,622.4 99,129.1 53,005.1 - * *
Customer Buy 179,883.6 * 51,114.6 83,580.3 45,188.7 - * *
Customer Sell 18,911.8 - 9,503.9 8,698.0 710.0 - - -
Dealer to Dealer 13,961.1 - * 6,850.8 7,106.4 - - -
<= $1MM 13,835.6 - 6,413.9 3,455.1 3,966.7 - - -
<= $10MM 86,333.3 * 32,129.9 16,760.0 37,443.4 - - *
> $10MM * * * * * - * *
NUMBER OF TRADES 82 * 34 20 28 - * *
Customer Buy 45 * 20 10 15 - * *
Customer Sell 25 - 12 5 8 - - -
Dealer to Dealer 12 - * 5 5 - - -
<= $1MM 52 - 23 12 17 - - -
<= $10MM 26 * 10 6 10 - - *
> $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 92.6 3.4 97.2 90.0 103.6 97.2 * 103.4 - * - 87.5 * - 3.5 - - 78.1 * * 2.4 - -
Weighted Avg. Price 95.1 1.7 97.9 92.9 103.7 98.1 * 105.5 - * - 88.7 * - 3.9 - - 79.3 * * 1.4 - -
Avg. Price Bottom 5 Trades 23.5 0.1 93.2 86.3 102.1 95.3 * 102.3 - * - 79.8 * - 3.5 - - 72.5 * * 0.6 - -
2nd Quartile Price 91.8 0.2 97.1 86.6 103.2 97.5 * 101.7 - * - 82.6 * - * - - 73.0 * * 0.1 - -
3rd Quartile Price 98.2 2.3 98.3 86.8 104.0 98.5 * 104.3 - * - 92.5 * - * - - 80.9 * * 3.0 - -
4th Quartile Price 99.8 4.2 98.8 94.0 104.4 99.0 * 107.1 - * - 92.9 * - * - - 88.3 * * 4.4 - -
Avg. Price Top 5 Trades 105.5 12.1 99.2 92.3 104.8 99.0 * 104.3 - * - 93.6 * - 3.5 - - 86.5 * * 4.7 - -
Standard Deviation 15.0 9.1 2.2 6.5 1.4 2.5 * 2.2 - * - 6.7 * - 1.3 - - 9.6 * * 2.0 - -
VOLUME OF TRADES (000'S) 977,743.4 391,390.9 52,311.8 9,767.0 44,945.0 23,845.9 * 31,600.6 - * - 15,423.0 * - 29,024.3 - - 21,378.7 * * 271,006.5 - -
Customer Buy 481,251.3 384,243.7 29,496.7 9,517.0 35,122.0 17,282.8 * 21,535.6 - - - 7,441.5 * - 29,024.3 - - 9,055.7 * * 271,006.5 - -
Customer Sell 458,452.2 - 22,815.1 * * * - * - - - 7,291.6 * - - - - 12,323.0 * - - - -
Dealer to Dealer 38,040.0 * - * - - - - - * - * - - - - - - - - - - -
<= $1MM 51,025.7 8,902.0 6,457.1 * 906.0 2,743.4 * 1,600.6 - - - 3,829.0 * - * - - 825.7 - - 5,902.0 - -
<= $10MM 703,201.2 140,643.4 23,687.0 * 29,039.0 21,102.5 - * - * - * * - * - - 20,553.0 * * 105,781.5 - -
> $10MM 223,516.5 241,845.5 * - * - - * - - - - - - * - - - - - 159,323.0 - -
NUMBER OF TRADES 299 55 27 8 15 13 * 7 - * - 16 * - 6 - - 11 * * 34 - -
Customer Buy 152 53 12 5 11 10 * 5 - - - 7 * - 6 - - 5 * * 34 - -
Customer Sell 136 - 15 * * * - * - - - 6 * - - - - 6 * - - - -
Dealer to Dealer 11 * - * - - - - - * - * - - - - - - - - - - -
<= $1MM 126 12 19 * 6 8 * 5 - - - 12 * - * - - 6 - - 8 - -
<= $10MM 157 29 6 * 8 5 - * - * - * * - * - - 5 * * 18 - -
> $10MM 16 14 * - * - - * - - - - - - * - - - - - 8 - -

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 - - - 94.8 96.7 101.6 - * * 90.1 92.6 99.9 0.4 - - 69.7 93.5 99.5 * * -
Weighted Avg. Price - - - 95.7 96.3 101.8 - * * 92.1 92.8 99.8 0.5 - - 79.7 95.0 99.8 * * -
Avg. Price Bottom 5 Trades - - - 92.6 89.5 100.2 - * * 76.2 77.9 99.4 0.4 - - 25.0 67.3 97.8 * * -
2nd Quartile Price - - - 94.8 95.4 101.2 - * * 91.4 93.3 99.8 * - - 65.3 98.2 99.6 * * -
3rd Quartile Price - - - 97.2 99.3 101.4 - * * 95.0 96.4 99.8 * - - 88.0 99.2 99.8 * * -
4th Quartile Price - - - 98.5 99.9 102.3 - * * 96.4 99.8 100.3 * - - 92.3 99.7 100.1 * * -
Avg. Price Top 5 Trades - - - 98.0 100.0 103.2 - * * 97.3 99.8 100.8 0.4 - - 97.0 100.0 100.6 * * -
Standard Deviation - - - 5.7 4.5 1.3 - * * 10.5 10.2 0.9 0.3 - - 31.9 12.4 1.3 * * -
VOLUME OF TRADES (000'S) - - - 20,995.4 30,914.7 59,598.0 - * * 92,978.9 88,116.2 72,190.2 20,533.0 - - 89,006.4 155,444.0 143,051.8 * * -
Customer Buy - - - * 11,369.4 35,689.6 - * - 50,387.1 24,298.0 36,090.2 20,533.0 - - 35,131.1 57,345.3 67,022.0 * * -
Customer Sell - - - * 19,545.2 23,908.4 - - * 42,591.8 63,818.2 * - - - 30,545.3 90,098.7 76,029.8 - - -
Dealer to Dealer - - - - - - - - - - - * - - - * * - - - -
<= $1MM - - - 1,970.0 6,002.0 7,798.0 - - * 2,331.5 4,049.9 3,100.0 * - - 2,898.2 4,084.4 * - - -
<= $10MM - - - * 24,912.7 38,300.0 - * - 53,747.3 58,066.4 69,090.2 18,533.0 - - 51,113.2 128,459.0 122,051.8 - - -
> $10MM - - - * - * - - - * * - - - - * * * * * -
NUMBER OF TRADES - - - 8 22 18 - * * 22 21 19 8 - - 29 33 21 * * -
Customer Buy - - - * 7 9 - * - 14 7 13 8 - - 12 14 11 * * -
Customer Sell - - - * 15 9 - - * 8 14 * - - - 15 17 10 - - -
Dealer to Dealer - - - - - - - - - - - * - - - * * - - - -
<= $1MM - - - 5 12 12 - - * 5 7 5 * - - 11 6 * - - -
<= $10MM - - - * 10 5 - * - 15 12 14 6 - - 15 25 19 - - -
> $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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