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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 93.9 5.6 93.4 84.7 99.3 - 5.2 *
Weighted Avg. Price 95.7 3.8 96.2 80.4 98.7 - 1.0 *
Avg. Price Bottom 5 Trades 77.7 5.2 81.7 79.2 94.3 - 5.2 *
2nd Quartile Price 90.0 6.1 90.0 83.7 99.0 - * *
3rd Quartile Price 95.8 7.1 94.9 85.6 100.0 - * *
4th Quartile Price 98.8 7.2 97.3 88.0 100.6 - * *
Avg. Price Top 5 Trades 102.4 6.5 99.1 90.7 102.4 - 5.2 *
Standard Deviation 6.3 2.3 5.1 5.6 2.7 - 2.5 *
VOLUME OF TRADES (000'S) 81,129.7 220,442.6 57,134.4 5,238.0 18,757.3 - 120,898.1 *
Customer Buy 33,180.0 220,442.6 21,174.1 * 10,714.5 - 120,898.1 *
Customer Sell 33,617.2 - 26,796.6 1,769.6 5,050.9 - - -
Dealer to Dealer 14,332.5 - 9,163.7 2,176.9 2,991.9 - - -
<= $1MM 22,360.2 * 13,555.5 2,015.0 6,789.7 - * -
<= $10MM 45,669.4 - 30,479.0 * 11,967.5 - - -
> $10MM * * * - - - * *
NUMBER OF TRADES 125 6 74 16 35 - 5 *
Customer Buy 42 6 27 * 12 - 5 *
Customer Sell 37 - 18 5 14 - - -
Dealer to Dealer 46 - 29 8 9 - - -
<= $1MM 106 * 63 13 30 - * -
<= $10MM 18 - 10 * 5 - - -
> $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 97.5 17.8 96.7 87.7 103.8 98.5 * 103.9 - - - 94.9 - 101.3 - - - 82.6 - * - - 17.8
Weighted Avg. Price 94.0 8.5 96.5 87.7 103.6 98.8 * 104.5 - - - 90.9 - 101.3 - - - 87.9 - * - - 8.5
Avg. Price Bottom 5 Trades 44.3 17.8 93.0 87.7 103.0 97.7 * 101.8 - - - 92.8 - 100.0 - - - 74.0 - * - - 17.8
2nd Quartile Price 97.0 * 96.1 * 103.4 98.3 * 103.7 - - - 95.1 - 100.2 - - - 87.9 - * - - *
3rd Quartile Price 99.8 * 97.5 * 103.9 98.8 * 104.2 - - - 96.6 - 102.1 - - - 91.8 - * - - *
4th Quartile Price 100.7 * 98.3 * 104.9 99.1 * 104.6 - - - 97.5 - 103.1 - - - 94.8 - * - - *
Avg. Price Top 5 Trades 105.8 17.8 98.8 87.7 104.6 99.3 * 105.2 - - - 97.4 - 102.4 - - - 92.5 - * - - 17.8
Standard Deviation 9.9 30.4 2.1 2.3 1.3 1.0 * 1.3 - - - 3.7 - 1.6 - - - 13.8 - * - - 30.4
VOLUME OF TRADES (000'S) 615,556.8 566,663.0 23,633.1 18,211.6 24,510.0 13,425.9 * 25,738.3 - - - 13,978.0 - 14,140.0 - - - 40,570.0 - * - - 566,663.0
Customer Buy 271,720.3 556,663.0 * * 18,800.0 * * 14,675.0 - - - * - * - - - 19,310.0 - * - - 556,663.0
Customer Sell 340,888.7 * 17,389.3 * 5,710.0 13,077.5 * 11,063.3 - - - 6,689.0 - 10,640.0 - - - * - * - - *
Dealer to Dealer 2,947.8 - * - - - - - - - - - - - - - - - - - - - -
<= $1MM 58,050.2 * 8,260.1 * * 764.2 * 7,063.3 - - - 1,100.0 - 2,390.0 - - - * - - - - *
<= $10MM 338,040.0 * 15,373.0 * 22,975.0 12,661.7 * 18,675.0 - - - * - * - - - 39,520.0 - * - - *
> $10MM 219,466.6 552,308.0 - * - - - - - - - - - - - - - - - - - - 552,308.0
NUMBER OF TRADES 248 10 26 5 10 12 * 24 - - - 9 - 9 - - - 9 - * - - 10
Customer Buy 79 9 * * 5 * * 5 - - - * - * - - - 5 - * - - 9
Customer Sell 161 * 18 * 5 10 * 19 - - - 5 - 8 - - - * - * - - *
Dealer to Dealer 8 - * - - - - - - - - - - - - - - - - - - - -
<= $1MM 135 * 21 * * 6 * 19 - - - 5 - 6 - - - * - - - - *
<= $10MM 99 * 5 * 6 6 * 5 - - - * - * - - - 7 - * - - *
> $10MM 14 7 - * - - - - - - - - - - - - - - - - - - 7

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 - - - * 97.8 100.7 - - - 96.9 96.9 100.2 - - - 81.5 90.2 102.4 - - -
Weighted Avg. Price - - - * 96.7 100.6 - - - 97.2 98.2 100.0 - - - 83.1 74.9 103.8 - - -
Avg. Price Bottom 5 Trades - - - * 92.3 99.7 - - - 96.9 92.9 97.2 - - - 81.5 63.5 100.5 - - -
2nd Quartile Price - - - * 99.8 100.2 - - - * 98.6 99.4 - - - * 96.7 100.0 - - -
3rd Quartile Price - - - * 100.0 100.3 - - - * 99.3 100.2 - - - * 98.3 102.7 - - -
4th Quartile Price - - - * 100.1 101.4 - - - * 100.0 100.9 - - - * 99.5 105.6 - - -
Avg. Price Top 5 Trades - - - * 100.1 102.8 - - - 96.9 99.8 103.6 - - - 81.5 99.8 103.9 - - -
Standard Deviation - - - * 4.7 1.0 - - - 1.7 5.9 2.5 - - - 14.0 25.4 2.8 - - -
VOLUME OF TRADES (000'S) - - - * 20,662.9 136,176.0 - - - 16,467.0 8,179.1 88,646.0 - - - 5,584.0 117,454.9 31,690.0 - - -
Customer Buy - - - - * 51,106.4 - - - * 4,813.4 40,930.0 - - - * 66,573.1 * - - -
Customer Sell - - - * 16,428.9 84,736.5 - - - * 3,365.7 47,716.0 - - - * 50,881.8 16,690.0 - - -
Dealer to Dealer - - - * - * - - - - - - - - - * - - - - -
<= $1MM - - - * 3,654.4 13,637.2 - - - - 4,944.1 5,371.0 - - - * 2,400.9 * - - -
<= $10MM - - - * 17,008.5 56,538.8 - - - 16,467.0 * 29,275.0 - - - * 26,779.0 30,000.0 - - -
> $10MM - - - - - * - - - - - * - - - - 88,275.0 - - - -
NUMBER OF TRADES - - - * 17 42 - - - 5 12 24 - - - 5 21 8 - - -
Customer Buy - - - - * 15 - - - * 6 8 - - - * 10 * - - -
Customer Sell - - - * 15 25 - - - * 6 16 - - - * 11 5 - - -
Dealer to Dealer - - - * - * - - - - - - - - - * - - - - -
<= $1MM - - - * 9 23 - - - - 10 13 - - - * 7 * - - -
<= $10MM - - - * 8 15 - - - 5 * 7 - - - * 9 5 - - -
> $10MM - - - - - * - - - - - * - - - - 5 - - - -

* 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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