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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 95.1 6.8 95.6 87.2 98.4 * * *
Weighted Avg. Price 94.7 2.8 98.3 82.3 98.2 * * *
Avg. Price Bottom 5 Trades 73.7 4.4 81.9 78.4 90.8 * * *
2nd Quartile Price 94.1 6.9 97.9 87.9 97.1 * * *
3rd Quartile Price 98.4 7.6 98.6 90.3 100.2 * * *
4th Quartile Price 99.7 11.9 99.2 93.9 101.4 * * *
Avg. Price Top 5 Trades 102.6 9.2 99.5 94.6 102.6 * * *
Standard Deviation 7.8 3.7 7.2 9.2 4.9 * * *
VOLUME OF TRADES (000'S) 277,857.0 428,453.9 132,136.4 62,676.0 83,044.6 * * *
Customer Buy 114,567.2 346,226.9 24,069.0 33,243.5 57,254.8 * * *
Customer Sell 123,118.0 * 103,988.0 * 13,130.0 * * *
Dealer to Dealer 40,171.7 - 4,079.5 * 12,659.8 - - -
<= $1MM 13,294.1 - 5,882.1 2,891.7 4,520.2 - - -
<= $10MM 148,335.0 * 41,776.6 45,194.6 61,363.8 - * -
> $10MM 116,227.9 409,453.9 * * * * - *
NUMBER OF TRADES 74 9 35 13 26 * * *
Customer Buy 38 5 17 8 13 * * *
Customer Sell 21 * 13 * 7 * * *
Dealer to Dealer 15 - 5 * 6 - - -
<= $1MM 38 - 20 5 13 - - -
<= $10MM 30 * 11 7 12 - * -
> $10MM 6 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 92.0 0.8 97.3 * * 97.1 * 104.0 0.8 - - * 85.9 * 0.9 - - 68.1 75.5 - - - -
Weighted Avg. Price 81.4 0.8 97.4 * * 98.0 * 104.4 0.7 - - * 85.2 * 1.0 - - 15.7 78.4 - - - -
Avg. Price Bottom 5 Trades 11.6 0.3 94.9 * * 93.9 * 103.0 0.3 - - * 85.9 * 0.8 - - 40.0 72.6 - - - -
2nd Quartile Price 92.3 0.5 97.1 * * 96.0 * 103.9 0.5 - - * * * 0.8 - - 82.8 72.5 - - - -
3rd Quartile Price 98.7 1.0 97.8 * * 98.1 * 104.4 1.0 - - * * * 1.2 - - 90.5 75.9 - - - -
4th Quartile Price 100.2 1.1 99.7 * * 99.1 * 104.7 1.1 - - * * * 1.2 - - 93.1 82.6 - - - -
Avg. Price Top 5 Trades 105.6 1.2 99.5 * * 99.3 * 105.0 1.2 - - * 85.9 * 0.9 - - 94.7 78.3 - - - -
Standard Deviation 18.8 0.4 2.5 * * 2.3 * 1.3 0.4 - - * 1.2 * 0.2 - - 37.4 4.1 - - - -
VOLUME OF TRADES (000'S) 646,800.2 86,074.9 16,872.5 * * 57,334.9 * 65,015.0 46,011.5 - - * 338.9 * 40,063.4 - - 102,432.4 55,430.3 - - - -
Customer Buy 265,562.5 43,037.5 7,795.0 * * 17,141.3 * * 23,005.8 - - * * * * - - 9,866.6 27,715.1 - - - -
Customer Sell 343,645.7 43,037.5 9,077.5 * - 40,193.6 * 48,885.0 23,005.8 - - * * - * - - 92,465.8 27,715.1 - - - -
Dealer to Dealer 37,592.0 - - - - - - - - - - - - - - - - * - - - - -
<= $1MM 48,445.4 * 3,606.6 * * 4,259.4 * 1,950.0 * - - * 338.9 * * - - 2,340.0 - - - - -
<= $10MM 377,740.8 56,757.8 * * * 53,075.5 - 45,100.0 44,389.9 - - - - - * - - 19,642.2 28,475.7 - - - -
> $10MM 220,614.1 * - - * - - * - - - - - - * - - * * - - - -
NUMBER OF TRADES 204 20 12 * * 19 * 13 14 - - * 5 * 6 - - 17 10 - - - -
Customer Buy 92 10 5 * * 7 * * 7 - - * * * * - - 5 5 - - - -
Customer Sell 102 10 7 * - 12 * 9 7 - - * * - * - - 10 5 - - - -
Dealer to Dealer 10 - - - - - - - - - - - - - - - - * - - - - -
<= $1MM 105 * 8 * * 9 * 5 * - - * 5 * * - - 7 - - - - -
<= $10MM 87 14 * * * 10 - 7 12 - - - - - * - - 7 8 - - - -
> $10MM 12 * - - * - - * - - - - - - * - - * * - - - -

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 - - - - 97.5 100.8 - - - * 97.2 100.2 - - - 62.1 91.0 99.3 - - -
Weighted Avg. Price - - - - 97.1 100.7 - - - * 96.5 100.1 - - - 57.9 88.6 100.5 - - -
Avg. Price Bottom 5 Trades - - - - 94.4 98.8 - - - * 94.9 98.9 - - - 22.6 81.5 96.2 - - -
2nd Quartile Price - - - - 98.5 100.1 - - - * 96.9 99.8 - - - 32.0 88.5 99.8 - - -
3rd Quartile Price - - - - 99.0 100.2 - - - * 100.0 100.3 - - - 77.0 98.1 100.0 - - -
4th Quartile Price - - - - 100.0 102.3 - - - * 100.2 100.4 - - - 93.5 99.3 100.1 - - -
Avg. Price Top 5 Trades - - - - 100.0 104.0 - - - * 99.5 101.3 - - - 92.7 99.1 100.9 - - -
Standard Deviation - - - - 4.3 1.8 - - - * 3.7 1.7 - - - 31.9 10.6 2.6 - - -
VOLUME OF TRADES (000'S) - - - - 48,389.3 105,388.9 - - - * 10,623.7 20,384.7 - - - 40,689.1 50,310.0 30,588.2 - - -
Customer Buy - - - - * 68,418.8 - - - - * 10,293.7 - - - 21,337.0 27,893.0 8,212.0 - - -
Customer Sell - - - - 38,269.6 33,650.1 - - - * 5,946.4 * - - - 14,352.1 * 19,576.2 - - -
Dealer to Dealer - - - - - * - - - - - * - - - * * * - - -
<= $1MM - - - - 5,232.6 5,731.3 - - - - * 2,595.0 - - - * * 12,638.2 - - -
<= $10MM - - - - * 62,040.5 - - - * 9,408.7 17,789.7 - - - 39,974.0 34,170.0 17,950.0 - - -
> $10MM - - - - * * - - - - - - - - - - * - - - -
NUMBER OF TRADES - - - - 12 32 - - - * 9 13 - - - 14 12 21 - - -
Customer Buy - - - - * 19 - - - - * 8 - - - 7 5 7 - - -
Customer Sell - - - - 9 12 - - - * 5 * - - - 6 * 13 - - -
Dealer to Dealer - - - - - * - - - - - * - - - * * * - - -
<= $1MM - - - - 9 18 - - - - * 8 - - - * * 16 - - -
<= $10MM - - - - * 11 - - - * 5 5 - - - 11 7 5 - - -
> $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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