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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 97.8 6.3 97.0 95.8 99.8 * 6.7 -
Weighted Avg. Price 97.2 6.4 96.1 96.9 98.4 * 6.5 -
Avg. Price Bottom 5 Trades 81.4 5.7 88.5 87.3 94.5 * 6.5 -
2nd Quartile Price 97.6 5.7 95.6 92.9 99.0 * 6.9 -
3rd Quartile Price 99.0 7.1 98.7 99.2 100.6 * 7.6 -
4th Quartile Price 99.9 7.9 99.2 99.5 101.6 * 7.9 -
Avg. Price Top 5 Trades 103.1 7.0 99.9 99.6 103.1 * 7.0 -
Standard Deviation 4.6 1.5 3.5 6.3 4.4 * 1.1 -
VOLUME OF TRADES (000'S) 273,183.7 36,336.4 126,011.0 19,386.0 127,786.6 * 35,005.4 -
Customer Buy 176,739.8 36,336.4 56,833.4 3,681.4 116,225.0 * 35,005.4 -
Customer Sell 41,275.0 - 31,507.7 9,648.3 119.0 - - -
Dealer to Dealer 55,168.8 - 37,669.9 * 11,442.6 - - -
<= $1MM 21,126.5 - 10,885.7 6,234.2 4,006.6 - - -
<= $10MM 100,887.1 36,336.4 69,535.3 13,151.8 18,200.0 * 35,005.4 -
> $10MM * - * - * - - -
NUMBER OF TRADES 115 7 55 20 40 * 6 -
Customer Buy 42 7 26 7 9 * 6 -
Customer Sell 46 - 18 10 18 - - -
Dealer to Dealer 27 - 11 * 13 - - -
<= $1MM 76 - 28 14 34 - - -
<= $10MM 35 7 24 6 5 * 6 -
> $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 98.4 * 98.4 * 105.6 98.0 - 105.0 - - - 89.8 * 101.4 - - - * - * - - *
Weighted Avg. Price 99.9 * 98.7 * 104.9 98.2 - 104.9 - - - 93.4 * 102.4 - - - * - * - - *
Avg. Price Bottom 5 Trades 74.4 * 96.1 * 104.8 96.6 - 102.9 - - - 85.8 * 100.4 - - - * - * - - *
2nd Quartile Price 97.8 * 98.1 * 105.0 98.1 - 104.2 - - - 87.0 * 100.3 - - - * - * - - *
3rd Quartile Price 99.4 * 98.5 * 105.4 98.5 - 105.3 - - - 89.1 * 100.9 - - - * - * - - *
4th Quartile Price 101.3 * 99.5 * 106.7 98.9 - 105.9 - - - 96.1 * 105.0 - - - * - * - - *
Avg. Price Top 5 Trades 108.7 * 100.2 * 106.4 99.1 - 106.8 - - - 94.3 * 101.9 - - - * - * - - *
Standard Deviation 6.9 * 1.3 * 1.1 1.5 - 1.6 - - - 4.9 * 1.9 - - - * - * - - *
VOLUME OF TRADES (000'S) 641,541.2 * 175,207.6 * 30,358.9 66,171.0 - 123,725.3 - - - 29,337.7 * 20,366.0 - - - * - * - - *
Customer Buy 347,121.1 * 69,175.1 * 30,358.9 37,011.4 - 53,639.0 - - - * * * - - - - - - - - *
Customer Sell 267,224.2 - 106,032.5 * - 29,159.6 - 69,390.3 - - - 17,552.7 - - - - - * - - - - -
Dealer to Dealer 27,195.9 - - - - - - 696.0 - - - - - * - - - * - * - - -
<= $1MM 30,814.0 * 5,243.7 * 984.0 2,334.8 - 2,971.3 - - - 3,207.7 * * - - - * - * - - -
<= $10MM 319,016.3 * 51,024.1 * * 46,106.2 - * - - - 26,130.0 - * - - - - - - - - *
> $10MM 291,710.8 - 118,939.8 - * * - 112,291.0 - - - - - - - - - - - - - - -
NUMBER OF TRADES 186 * 34 * 10 20 - 25 - - - 11 * 7 - - - * - * - - *
Customer Buy 102 * 15 * 10 8 - 12 - - - * * * - - - - - - - - *
Customer Sell 69 - 19 * - 12 - 7 - - - 7 - - - - - * - - - - -
Dealer to Dealer 15 - - - - - - 6 - - - - - * - - - * - * - - -
<= $1MM 86 * 13 * 6 7 - 18 - - - 6 * * - - - * - * - - -
<= $10MM 84 * 14 * * 12 - * - - - 5 - * - - - - - - - - *
> $10MM 16 - 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 - - - * 98.3 100.1 - - - * 97.8 101.1 - - - 97.7 93.8 95.8 - - *
Weighted Avg. Price - - - * 96.1 99.9 - - - * 97.6 101.6 - - - 97.6 98.4 99.8 - - *
Avg. Price Bottom 5 Trades - - - * 96.9 99.2 - - - * 97.3 100.0 - - - 97.7 83.9 90.3 - - *
2nd Quartile Price - - - * 99.4 99.6 - - - * 97.2 100.3 - - - * 98.8 88.8 - - *
3rd Quartile Price - - - * 100.0 100.1 - - - * 98.3 100.9 - - - * 99.9 100.8 - - *
4th Quartile Price - - - * 100.0 101.1 - - - * 100.2 103.1 - - - * 100.1 109.8 - - *
Avg. Price Top 5 Trades - - - * 99.8 101.2 - - - * 98.0 102.1 - - - 97.7 100.1 101.8 - - *
Standard Deviation - - - * 3.7 1.3 - - - * 1.3 1.5 - - - 1.0 14.0 12.3 - - *
VOLUME OF TRADES (000'S) - - - * 9,592.1 29,550.9 - - - * 26,670.0 17,864.7 - - - 21,561.2 61,017.0 18,750.0 - - *
Customer Buy - - - * 8,489.0 26,000.9 - - - * * 15,864.7 - - - * 42,589.0 12,950.0 - - *
Customer Sell - - - * * 3,550.0 - - - - * * - - - * 18,427.9 * - - -
Dealer to Dealer - - - - - - - - - - * - - - - - - - - - -
<= $1MM - - - * 1,643.7 2,170.0 - - - * * * - - - - * * - - *
<= $10MM - - - * * 27,380.9 - - - - 26,020.0 16,464.7 - - - 21,561.2 40,362.9 18,100.0 - - -
> $10MM - - - - - - - - - - - - - - - - * - - - -
NUMBER OF TRADES - - - * 9 15 - - - * 6 10 - - - 5 13 7 - - *
Customer Buy - - - * 8 10 - - - * * 9 - - - * 7 5 - - *
Customer Sell - - - * * 5 - - - - * * - - - * 6 * - - -
Dealer to Dealer - - - - - - - - - - * - - - - - - - - - -
<= $1MM - - - * 5 7 - - - * * * - - - - * * - - *
<= $10MM - - - * * 8 - - - - 5 6 - - - 5 9 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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