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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 96.1 6.0 97.3 91.1 97.0 - 6.0 -
Weighted Avg. Price 95.8 6.0 97.2 91.4 95.7 - 6.0 -
Avg. Price Bottom 5 Trades 78.2 6.0 93.1 79.4 84.7 - 6.0 -
2nd Quartile Price 94.8 * 97.5 88.9 96.5 - * -
3rd Quartile Price 98.0 * 98.0 93.5 98.5 - * -
4th Quartile Price 99.5 * 98.8 98.0 99.8 - * -
Avg. Price Top 5 Trades 101.9 6.0 99.0 98.7 101.9 - 6.0 -
Standard Deviation 5.7 0.1 2.1 8.6 4.9 - 0.1 -
VOLUME OF TRADES (000'S) 548,481.3 310,489.0 173,982.2 42,052.1 332,447.0 - 310,489.0 -
Customer Buy 284,323.5 * 93,598.6 19,935.7 170,789.3 - * -
Customer Sell 68,608.1 * 53,689.5 9,639.4 5,279.1 - * -
Dealer to Dealer 195,549.7 - 26,694.1 12,476.9 156,378.7 - - -
<= $1MM 9,029.1 - 339.6 2,218.7 6,470.8 - - -
<= $10MM 202,933.4 * 53,776.6 39,833.3 109,323.5 - * -
> $10MM 336,518.8 * * - 216,652.8 - * -
NUMBER OF TRADES 109 5 29 19 61 - 5 -
Customer Buy 38 * 9 8 21 - * -
Customer Sell 31 * 13 5 13 - * -
Dealer to Dealer 40 - 7 6 27 - - -
<= $1MM 46 - 13 6 27 - - -
<= $10MM 51 * 12 13 26 - * -
> $10MM 12 * * - 8 - * -

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 94.3 6.8 96.8 88.4 103.3 97.9 92.1 103.7 * - * 93.7 76.4 101.2 - - - 83.5 - 101.2 - 7.7 -
Weighted Avg. Price 92.6 6.9 96.2 91.0 107.4 96.2 89.0 103.2 * - * 94.2 76.5 102.0 - - - 91.0 - 100.7 - 7.6 -
Avg. Price Bottom 5 Trades 38.0 5.7 92.5 86.9 101.5 95.9 90.4 102.8 * - * 90.9 72.2 101.2 - - - 69.3 - 101.2 - 7.6 -
2nd Quartile Price 92.8 7.1 96.6 87.0 102.9 97.3 90.0 102.9 * - * 92.5 79.8 * - - - 82.1 - * - 7.2 -
3rd Quartile Price 99.1 7.8 98.0 88.1 103.3 97.8 92.6 103.4 * - * 95.5 80.5 * - - - 92.3 - * - 7.8 -
4th Quartile Price 100.3 8.3 98.5 95.6 104.1 99.3 93.6 104.4 * - * 95.9 80.6 * - - - 93.6 - * - 8.3 -
Avg. Price Top 5 Trades 106.6 7.8 99.0 89.0 105.0 99.6 93.9 105.3 * - * 96.1 80.5 101.2 - - - 94.2 - 101.2 - 7.8 -
Standard Deviation 14.6 2.1 2.5 3.7 3.2 1.8 4.0 1.3 * - * 2.7 8.2 3.5 - - - 21.4 - 4.5 - 0.5 -
VOLUME OF TRADES (000'S) 1,065,241.1 157,658.0 74,974.9 19,885.0 27,299.0 133,702.7 25,154.6 136,425.0 * - * 19,646.1 26,500.0 6,031.0 - - - 28,788.3 - 48,280.0 - 79,334.0 -
Customer Buy 532,354.9 68,181.8 26,108.3 * 27,260.0 82,070.8 * 58,475.0 * - - 8,984.0 * * - - - 13,818.7 - * - * -
Customer Sell 467,814.0 89,476.2 33,866.6 * * 49,208.8 * 52,850.0 - - * 10,605.1 * * - - - 14,869.7 - * - * -
Dealer to Dealer 65,072.1 - * - - * * * - - - * * * - - - * - - - - -
<= $1MM 62,748.8 - 5,121.0 * 3,089.0 5,491.5 2,250.0 4,325.0 - - - 2,178.1 - 2,531.0 - - - 1,151.0 - - - - -
<= $10MM 637,191.0 54,873.8 47,019.9 * * 34,639.8 * * * - * 17,468.0 26,500.0 * - - - 27,637.3 - 48,280.0 - * -
> $10MM 365,301.3 102,784.1 * - * * * 125,000.0 - - * - - - - - - - - - - * -
NUMBER OF TRADES 312 15 23 6 9 24 8 16 * - * 14 10 6 - - - 15 - 6 - 7 -
Customer Buy 137 7 8 * 7 14 * 8 * - - 5 * * - - - 5 - * - * -
Customer Sell 140 8 13 * * 6 * 5 - - * 7 * * - - - 8 - * - * -
Dealer to Dealer 35 - * - - * * * - - - * * * - - - * - - - - -
<= $1MM 133 - 10 * 6 10 5 8 - - - 9 - 5 - - - 5 - - - - -
<= $10MM 160 9 11 * * 10 * * * - * 5 10 * - - - 10 - 6 - * -
> $10MM 19 6 * - * * * 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 - - - 94.4 95.3 100.0 - - - 88.8 96.4 100.7 - - - 74.2 70.9 100.2 - - -
Weighted Avg. Price - - - 97.1 96.6 100.3 - - - 92.1 96.9 100.5 - - - 80.3 39.4 100.0 - - -
Avg. Price Bottom 5 Trades - - - 92.3 92.3 95.2 - - - 87.3 91.6 99.5 - - - 70.8 32.3 99.5 - - -
2nd Quartile Price - - - 92.3 96.1 100.0 - - - 82.1 95.8 100.0 - - - 60.4 74.9 100.0 - - -
3rd Quartile Price - - - 92.8 99.1 100.3 - - - 92.5 99.0 100.3 - - - 88.0 95.5 100.2 - - -
4th Quartile Price - - - 98.2 99.8 101.5 - - - 92.9 99.8 101.5 - - - 90.5 99.9 100.5 - - -
Avg. Price Top 5 Trades - - - 97.9 99.1 102.8 - - - 92.8 99.7 103.0 - - - 90.7 100.0 101.1 - - -
Standard Deviation - - - 3.4 5.2 2.4 - - - 5.5 5.3 1.4 - - - 15.5 41.3 0.6 - - -
VOLUME OF TRADES (000'S) - - - 9,520.3 23,255.6 119,135.6 - - - 38,645.0 20,122.6 70,371.0 - - - 36,384.5 86,512.3 114,607.7 - - -
Customer Buy - - - * 11,462.6 74,810.0 - - - * 8,007.7 31,857.0 - - - 18,192.2 39,930.3 59,314.9 - - -
Customer Sell - - - 5,590.3 * 43,480.6 - - - * 12,114.9 31,768.0 - - - * 42,107.0 55,292.9 - - -
Dealer to Dealer - - - * * * - - - * - * - - - - * - - - -
<= $1MM - - - 2,834.0 3,720.2 10,494.4 - - - * 4,690.9 6,049.0 - - - 1,273.7 * * - - -
<= $10MM - - - * * 87,761.2 - - - 36,395.0 15,431.7 64,322.0 - - - 35,110.8 40,583.3 86,630.7 - - -
> $10MM - - - - - * - - - - - - - - - - * * - - -
NUMBER OF TRADES - - - 12 10 43 - - - 8 13 29 - - - 13 17 30 - - -
Customer Buy - - - * 6 18 - - - * 5 10 - - - 9 7 17 - - -
Customer Sell - - - 7 * 23 - - - * 8 15 - - - * 7 13 - - -
Dealer to Dealer - - - * * * - - - * - * - - - - * - - - -
<= $1MM - - - 9 6 21 - - - * 8 14 - - - 5 * * - - -
<= $10MM - - - * * 21 - - - 5 5 15 - - - 8 11 24 - - -
> $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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