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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 95.6 15.2 96.7 88.1 99.4 * 8.2 *
Weighted Avg. Price 99.7 8.6 99.0 91.3 101.3 * 7.2 *
Avg. Price Bottom 5 Trades 70.9 6.5 89.7 70.9 88.0 * 6.5 *
2nd Quartile Price 92.0 6.9 96.6 85.6 98.6 * 6.4 *
3rd Quartile Price 98.6 17.2 98.3 90.3 100.8 * 6.9 *
4th Quartile Price 100.3 20.0 99.1 93.6 102.4 * 8.0 *
Avg. Price Top 5 Trades 104.3 27.5 99.9 99.4 104.3 * 9.3 *
Standard Deviation 7.8 11.4 4.2 9.4 4.9 * 3.7 *
VOLUME OF TRADES (000'S) 377,539.6 493,806.3 54,235.0 48,456.2 274,848.4 * 357,346.4 *
Customer Buy 141,073.9 222,166.6 37,919.9 24,853.4 78,300.5 * 205,064.1 *
Customer Sell 216,133.0 211,291.0 15,270.3 12,432.6 188,430.1 * * *
Dealer to Dealer 20,332.7 * 1,044.7 11,170.2 8,117.7 - * -
<= $1MM 17,316.4 - 4,385.5 6,009.8 6,921.1 - - -
<= $10MM 116,653.4 39,502.1 29,349.5 42,446.4 44,857.4 * * *
> $10MM 243,569.8 454,304.2 * - 223,069.8 - 352,049.4 *
NUMBER OF TRADES 132 15 38 36 58 * 8 *
Customer Buy 48 9 17 12 19 * 6 *
Customer Sell 47 5 10 14 23 * * *
Dealer to Dealer 37 * 11 10 16 - * -
<= $1MM 85 - 29 22 34 - - -
<= $10MM 38 7 8 14 16 * * *
> $10MM 9 8 * - 8 - 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 94.9 0.7 97.8 92.1 107.7 98.6 89.6 104.7 0.9 - - 96.1 - * 0.4 - - * * * - - -
Weighted Avg. Price 96.6 0.9 96.5 93.5 109.0 98.6 91.1 104.6 1.1 - - 97.1 - * 0.5 - - * * * - - -
Avg. Price Bottom 5 Trades 35.1 0.1 94.3 88.5 106.5 98.0 89.6 104.2 0.2 - - 96.1 - * 0.3 - - * * * - - -
2nd Quartile Price 93.8 0.3 98.2 89.0 106.7 98.5 * 104.5 0.4 - - * - * 0.1 - - * * * - - -
3rd Quartile Price 98.6 0.6 98.8 90.8 106.9 98.7 * 104.6 0.6 - - * - * 0.4 - - * * * - - -
4th Quartile Price 100.1 0.8 99.3 98.6 108.5 98.8 * 106.4 1.2 - - * - * 0.6 - - * * * - - -
Avg. Price Top 5 Trades 108.7 1.7 99.5 95.0 108.7 99.1 89.6 105.1 1.7 - - 96.1 - * 0.5 - - * * * - - -
Standard Deviation 12.9 0.9 2.2 4.5 2.3 0.5 5.9 1.0 1.0 - - 3.4 - * 0.2 - - * * * - - -
VOLUME OF TRADES (000'S) 511,766.5 52,463.0 34,783.4 48,182.0 53,045.1 48,690.0 1,080.0 47,391.0 38,668.2 - - 23,043.3 - * 13,794.8 - - * * * - - -
Customer Buy 345,509.4 8,516.7 28,343.0 46,207.0 48,165.1 35,097.7 * * 5,918.7 - - * - * * - - * * * - - -
Customer Sell 165,941.1 43,946.3 6,440.4 1,975.0 * 13,592.3 * 24,391.0 32,749.5 - - * - * * - - * * * - - -
Dealer to Dealer * - - - - - - - - - - - - - - - - - - - - - -
<= $1MM 33,594.2 4,671.8 5,323.4 1,975.0 * 2,668.8 1,080.0 1,391.0 2,565.5 - - * - * * - - * * * - - -
<= $10MM 278,343.8 37,322.8 * * * * - - 25,634.3 - - * - * * - - * - * - - -
> $10MM 199,828.6 * * * * * - * * - - - - - - - - - - - - - -
NUMBER OF TRADES 185 25 20 11 8 16 5 7 17 - - 5 - * 8 - - * * * - - -
Customer Buy 91 11 5 5 5 10 * * 7 - - * - * * - - * * * - - -
Customer Sell 92 14 15 6 * 6 * 6 10 - - * - * * - - * * * - - -
Dealer to Dealer * - - - - - - - - - - - - - - - - - - - - - -
<= $1MM 102 12 16 6 * 11 5 5 8 - - * - * * - - * * * - - -
<= $10MM 71 12 * * * * - - 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 - - - 96.4 96.0 101.7 - - - 94.7 94.8 100.8 - - - 60.8 89.4 99.1 - - -
Weighted Avg. Price - - - 96.5 97.4 102.0 - - - 96.6 97.7 100.3 - - - 71.0 90.2 100.1 - - -
Avg. Price Bottom 5 Trades - - - 96.4 95.2 100.4 - - - 93.1 85.0 99.5 - - - 35.1 82.4 97.0 - - -
2nd Quartile Price - - - * 98.5 100.0 - - - 94.3 87.4 100.0 - - - 45.0 84.0 100.1 - - -
3rd Quartile Price - - - * 99.7 101.6 - - - 96.2 98.3 100.5 - - - 86.0 91.3 100.2 - - -
4th Quartile Price - - - * 99.9 103.2 - - - 97.1 100.0 101.1 - - - 96.9 97.4 100.9 - - -
Avg. Price Top 5 Trades - - - 96.4 97.3 102.9 - - - 96.6 100.4 102.9 - - - 83.6 96.8 100.9 - - -
Standard Deviation - - - 1.7 5.0 2.0 - - - 3.8 6.6 1.8 - - - 33.7 7.4 3.4 - - -
VOLUME OF TRADES (000'S) - - - 6,079.5 13,696.3 30,500.7 - - - 7,450.0 64,666.0 25,525.9 - - - 47,980.0 11,383.0 32,455.0 - - -
Customer Buy - - - * * * - - - * 38,569.1 21,327.0 - - - * * 22,455.0 - - -
Customer Sell - - - * * * - - - * 26,096.9 4,198.9 - - - 25,410.0 7,107.0 * - - -
Dealer to Dealer - - - - - - - - - - - - - - - - * - - - -
<= $1MM - - - * * * - - - 950.0 2,956.0 3,869.0 - - - * 1,768.0 3,455.0 - - -
<= $10MM - - - * * 29,872.7 - - - * 39,510.0 10,356.9 - - - 47,850.0 9,615.0 29,000.0 - - -
> $10MM - - - - - - - - - - * * - - - - - - - - -
NUMBER OF TRADES - - - 5 6 8 - - - 8 26 17 - - - 9 12 11 - - -
Customer Buy - - - * * * - - - * 14 11 - - - * * 10 - - -
Customer Sell - - - * * * - - - * 12 6 - - - 5 7 * - - -
Dealer to Dealer - - - - - - - - - - - - - - - - * - - - -
<= $1MM - - - * * * - - - 5 11 11 - - - * 7 6 - - -
<= $10MM - - - * * 6 - - - * 13 5 - - - 8 5 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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