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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 94.1 * 95.4 86.1 98.6 * * *
Weighted Avg. Price 96.2 * 96.3 94.8 98.0 * * *
Avg. Price Bottom 5 Trades 78.0 * 87.4 78.0 93.5 * * *
2nd Quartile Price 90.0 * 91.7 78.4 98.3 * * *
3rd Quartile Price 98.1 * 98.1 87.8 100.1 * * *
4th Quartile Price 99.8 * 99.8 96.8 101.3 * * *
Avg. Price Top 5 Trades 102.1 * 99.4 94.5 102.1 * * *
Standard Deviation 7.6 * 5.9 8.5 3.8 * * *
VOLUME OF TRADES (000'S) 170,123.5 * 27,825.2 78,788.4 63,509.9 * * *
Customer Buy 92,617.3 * 7,443.0 39,076.9 46,097.4 - * *
Customer Sell 52,611.6 * 19,569.1 30,817.5 * * - -
Dealer to Dealer 24,894.5 - * * * - - -
<= $1MM 8,873.8 - 3,307.4 2,700.4 2,866.0 - - -
<= $10MM 77,967.2 - 24,517.8 * 37,361.3 - - -
> $10MM * * - * * * * *
NUMBER OF TRADES 59 * 28 14 17 * * *
Customer Buy 29 * 13 6 10 - * *
Customer Sell 21 * 12 5 * * - -
Dealer to Dealer 9 - * * * - - -
<= $1MM 39 - 22 10 7 - - -
<= $10MM 17 - 6 * 9 - - -
> $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 93.0 32.3 97.6 * 102.5 97.1 * 103.3 - - - 79.3 - 103.8 - - - 61.3 * - 1.5 - *
Weighted Avg. Price 89.0 19.2 97.3 * 103.3 95.4 * 104.3 - - - 80.0 - 103.8 - - - 65.4 * - 1.5 - *
Avg. Price Bottom 5 Trades 43.9 32.3 96.8 * 101.9 95.9 * 102.3 - - - 76.9 - 103.2 - - - 48.7 * - 1.5 - *
2nd Quartile Price 92.7 * 97.4 * 102.0 97.4 * 103.5 - - - 80.5 - 103.3 - - - 48.9 * - * - *
3rd Quartile Price 99.4 * 97.9 * 102.9 97.8 * 104.3 - - - 85.8 - 103.7 - - - 58.8 * - * - *
4th Quartile Price 100.6 * 98.3 * 104.1 99.0 * 104.4 - - - 93.5 - 105.8 - - - 85.0 * - * - *
Avg. Price Top 5 Trades 104.8 32.3 98.4 * 103.3 98.4 * 104.4 - - - 86.4 - 104.1 - - - 73.8 * - 1.5 - *
Standard Deviation 14.9 46.2 1.2 * 1.1 2.1 * 1.6 - - - 13.1 - 1.1 - - - 17.2 * - - - *
VOLUME OF TRADES (000'S) 764,621.3 92,741.5 5,380.0 * 16,163.0 26,441.2 * 28,947.3 - - - 11,130.0 - 13,471.0 - - - 57,089.4 * - 75,958.5 - *
Customer Buy 367,554.4 44,602.5 2,790.0 * * * - 26,412.3 - - - * - * - - - 20,956.0 * - * - *
Customer Sell 347,174.9 * 2,565.0 * * 26,126.1 * * - - - * - 10,250.0 - - - 36,123.5 * - - - -
Dealer to Dealer 49,892.0 46,639.0 * - * - - - - - - - - - - - - * - - * - -
<= $1MM 27,814.3 * 5,380.0 * 813.0 1,510.1 - 997.3 - - - * - - - - - 2,349.9 - - - - -
<= $10MM 325,388.8 57,139.0 - - * - - * - - - * - 13,471.0 - - - * * - 53,639.0 - -
> $10MM 411,418.2 * - - - * * * - - - - - - - - - * - - * - *
NUMBER OF TRADES 191 12 11 * 10 9 * 9 - - - 7 - 7 - - - 12 * - 8 - *
Customer Buy 103 6 5 * * * - 7 - - - * - * - - - 5 * - * - *
Customer Sell 71 * 5 * * 5 * * - - - * - 5 - - - 6 * - - - -
Dealer to Dealer 17 5 * - * - - - - - - - - - - - - * - - * - -
<= $1MM 82 * 11 * 7 8 - 6 - - - * - - - - - 7 - - - - -
<= $10MM 91 9 - - * - - * - - - * - 7 - - - * * - 7 - -
> $10MM 18 * - - - * * * - - - - - - - - - * - - * - *

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 - - - * 96.8 100.2 - - - * 96.6 100.3 - - - 76.5 92.3 100.3 - - *
Weighted Avg. Price - - - * 96.9 100.4 - - - * 99.1 99.8 - - - 61.3 93.5 99.1 - - *
Avg. Price Bottom 5 Trades - - - * 96.8 97.4 - - - * 89.9 97.0 - - - 69.0 81.8 99.2 - - *
2nd Quartile Price - - - * * 100.0 - - - * 96.2 100.0 - - - 82.8 91.8 100.0 - - *
3rd Quartile Price - - - * * 100.3 - - - * 99.4 100.3 - - - 84.4 98.9 100.4 - - *
4th Quartile Price - - - * * 101.7 - - - * 100.0 100.9 - - - 85.0 100.0 101.1 - - *
Avg. Price Top 5 Trades - - - * 96.8 102.0 - - - * 99.7 103.2 - - - 86.9 100.2 101.3 - - *
Standard Deviation - - - * 2.2 2.1 - - - * 5.7 2.7 - - - 18.6 9.7 1.6 - - *
VOLUME OF TRADES (000'S) - - - * 7,715.0 56,857.9 - - - * 133,684.6 99,390.3 - - - 111,775.5 76,205.0 32,577.0 - - *
Customer Buy - - - * * 32,095.9 - - - * 67,425.6 65,850.3 - - - * 28,447.4 27,577.0 - - *
Customer Sell - - - - * 24,762.0 - - - * 66,259.0 17,040.0 - - - * 33,757.7 * - - -
Dealer to Dealer - - - * - - - - - * - * - - - * * - - - *
<= $1MM - - - - * 1,400.0 - - - * 2,709.6 3,180.3 - - - - * * - - *
<= $10MM - - - * * 55,457.9 - - - * 24,595.0 55,470.0 - - - 40,625.9 60,885.0 14,949.0 - - *
> $10MM - - - - - - - - - - * * - - - * * * - - -
NUMBER OF TRADES - - - * 5 23 - - - * 17 28 - - - 8 17 11 - - *
Customer Buy - - - * * 16 - - - * 12 15 - - - * 8 9 - - *
Customer Sell - - - - * 7 - - - * 5 9 - - - * 7 * - - -
Dealer to Dealer - - - * - - - - - * - * - - - * * - - - *
<= $1MM - - - - * 8 - - - * 6 10 - - - - * * - - *
<= $10MM - - - * * 15 - - - * 7 16 - - - 6 15 6 - - *
> $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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