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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 6.1 97.4 80.6 97.7 1.2 5.9 12.6
Weighted Avg. Price 97.8 2.2 99.2 72.2 99.2 1.0 1.2 2.5
Avg. Price Bottom 5 Trades 46.4 0.5 91.5 46.4 80.5 0.6 5.1 12.6
2nd Quartile Price 95.0 0.6 96.8 56.9 99.3 0.6 4.6 *
3rd Quartile Price 98.0 3.0 97.8 90.5 100.3 1.4 9.1 *
4th Quartile Price 99.4 9.1 98.6 94.7 101.1 2.1 9.2 *
Avg. Price Top 5 Trades 102.2 15.0 99.5 99.3 102.2 1.8 6.5 12.6
Standard Deviation 13.4 11.1 2.1 19.9 8.5 1.0 3.0 20.2
VOLUME OF TRADES (000'S) 1,219,003.9 950,967.6 1,141,244.7 61,857.9 15,901.3 107,160.5 76,577.1 767,230.0
Customer Buy 225,696.9 581,013.0 195,989.7 17,677.3 12,029.9 * * *
Customer Sell 967,695.8 366,173.5 940,602.1 23,792.3 3,301.4 * * *
Dealer to Dealer 25,611.2 3,781.1 4,652.9 20,388.3 570.0 * 3,635.5 -
<= $1MM 20,006.8 2,162.3 5,739.8 5,612.4 8,654.6 * 749.7 -
<= $10MM 129,819.5 29,349.3 66,327.3 56,245.4 * * * -
> $10MM 1,069,177.6 919,456.0 1,069,177.6 - - * * 767,230.0
NUMBER OF TRADES 168 26 72 43 53 9 10 7
Customer Buy 59 9 23 13 23 * * *
Customer Sell 76 11 37 15 24 * * *
Dealer to Dealer 33 6 12 15 6 * 5 -
<= $1MM 118 9 40 28 50 * 5 -
<= $10MM 41 7 23 15 * * * -
> $10MM 9 10 9 - - * * 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 95.6 3.0 97.4 - * 97.2 - 102.7 * * - * * 91.4 * - - 61.9 - * - - -
Weighted Avg. Price 95.9 2.3 97.2 - * 95.6 - 103.0 * * - * * 88.3 * - - 48.1 - * - - -
Avg. Price Bottom 5 Trades 56.9 2.7 94.8 - * 97.2 - 99.4 * * - * * 83.9 * - - 57.3 - * - - -
2nd Quartile Price 93.9 2.5 97.0 - * * - 102.4 * * - * * 90.3 * - - 60.1 - * - - -
3rd Quartile Price 98.0 3.3 97.8 - * * - 103.7 * * - * * 94.0 * - - 62.0 - * - - -
4th Quartile Price 100.0 5.1 98.8 - * * - 104.2 * * - * * 101.9 * - - 90.1 - * - - -
Avg. Price Top 5 Trades 105.0 3.3 99.3 - * 97.2 - 104.6 * * - * * 98.8 * - - 65.6 - * - - -
Standard Deviation 9.7 1.2 1.9 - * 1.3 - 2.7 * * - * * 9.8 * - - 18.4 - * - - -
VOLUME OF TRADES (000'S) 399,980.7 324,767.4 32,042.2 - * 7,625.6 - 46,345.0 * * - * * 25,100.0 * - - 6,630.0 - * - - -
Customer Buy 165,004.3 * 12,887.8 - * * - 19,062.0 * * - * * * * - - * - - - - -
Customer Sell 234,486.4 * 18,684.4 - - * - 27,283.0 - - - * - 23,100.0 - - - * - * - - -
Dealer to Dealer * - * - - - - - - - - - - - - - - * - - - - -
<= $1MM 34,345.2 - 6,337.6 - * * - 4,402.0 - - - * * * - - - 1,230.0 - * - - -
<= $10MM 263,308.4 * 25,704.6 - - * - 41,943.0 - - - * - 23,100.0 - - - * - - - - -
> $10MM 102,327.1 315,397.4 - - - - - - * * - - - - * - - - - - - - -
NUMBER OF TRADES 154 7 20 - * 5 - 19 * * - * * 10 * - - 7 - * - - -
Customer Buy 55 * 7 - * * - 5 * * - * * * * - - * - - - - -
Customer Sell 95 * 11 - - * - 14 - - - * - 9 - - - * - * - - -
Dealer to Dealer * - * - - - - - - - - - - - - - - * - - - - -
<= $1MM 72 - 15 - * * - 11 - - - * * * - - - 5 - * - - -
<= $10MM 75 * 5 - - * - 8 - - - * - 8 - - - * - - - - -
> $10MM 7 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 - - - * 98.1 98.0 - - - 92.1 95.6 97.1 * * - 88.9 * 98.6 - - -
Weighted Avg. Price - - - * 98.8 97.2 - - - 91.9 95.4 97.2 * * - 93.7 * 100.5 - - -
Avg. Price Bottom 5 Trades - - - * 97.7 94.0 - - - 89.4 93.8 93.1 * * - 88.9 * 93.7 - - -
2nd Quartile Price - - - * 98.9 94.6 - - - 91.0 93.7 94.0 * * - * * 99.4 - - -
3rd Quartile Price - - - * 99.1 98.8 - - - 93.8 99.0 98.4 * * - * * 99.8 - - -
4th Quartile Price - - - * 99.8 100.1 - - - 97.4 100.4 100.1 * * - * * 101.3 - - -
Avg. Price Top 5 Trades - - - * 99.1 102.2 - - - 95.0 97.5 100.1 * * - 88.9 * 101.9 - - -
Standard Deviation - - - * 2.5 3.4 - - - 4.8 4.1 3.2 * * - 8.0 * 3.9 - - -
VOLUME OF TRADES (000'S) - - - * 30,109.4 68,281.5 - - - 34,540.8 9,604.4 29,911.0 * * - 50,630.0 * 34,984.0 - - -
Customer Buy - - - * * 26,262.7 - - - * * 9,161.0 - - - * * * - - -
Customer Sell - - - * * 42,018.9 - - - * * 20,750.0 * * - * - 31,629.0 - - -
Dealer to Dealer - - - - - - - - - - - - - - - - - - - - -
<= $1MM - - - * * 3,698.8 - - - * * 3,148.0 - - - * - 3,081.0 - - -
<= $10MM - - - * * 37,455.0 - - - 21,394.3 8,292.4 26,763.0 * - - * * 31,903.0 - - -
> $10MM - - - - * * - - - * - - - * - * - - - - -
NUMBER OF TRADES - - - * 6 20 - - - 8 7 15 * * - 5 * 17 - - -
Customer Buy - - - * * 7 - - - * * 6 - - - * * * - - -
Customer Sell - - - * * 13 - - - * * 9 * * - * - 14 - - -
Dealer to Dealer - - - - - - - - - - - - - - - - - - - - -
<= $1MM - - - * * 5 - - - * * 5 - - - * - 9 - - -
<= $10MM - - - * * 13 - - - 5 5 10 * - - * * 8 - - -
> $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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