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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 93.1 14.8 95.8 84.3 98.3 * 8.1 *
Weighted Avg. Price 96.5 6.6 98.8 89.6 99.2 * 7.0 *
Avg. Price Bottom 5 Trades 70.6 2.6 86.5 70.6 86.7 * 4.4 *
2nd Quartile Price 90.6 2.7 94.0 72.2 98.3 * 6.2 *
3rd Quartile Price 97.5 6.4 96.7 86.2 100.4 * 6.4 *
4th Quartile Price 99.8 17.7 99.1 95.5 101.6 * 17.7 *
Avg. Price Top 5 Trades 103.2 30.5 99.5 100.5 103.2 * 11.0 *
Standard Deviation 9.8 28.0 4.1 11.7 5.6 * 6.4 *
VOLUME OF TRADES (000'S) 625,720.1 429,365.5 88,194.4 172,897.3 364,628.5 * 329,794.7 *
Customer Buy 228,031.8 212,053.5 29,376.5 93,126.1 105,529.2 * 161,855.5 *
Customer Sell 99,014.2 * 54,959.2 13,096.0 30,959.0 - * -
Dealer to Dealer 298,674.1 * 3,858.7 66,675.1 228,140.3 - * *
<= $1MM 16,182.2 * 5,202.0 4,725.5 6,254.7 - - *
<= $10MM 132,225.2 * 35,288.3 36,312.5 60,624.4 * * -
> $10MM 477,312.7 417,152.9 * * 297,749.4 * 322,993.5 *
NUMBER OF TRADES 150 12 46 47 57 * 8 *
Customer Buy 62 8 18 18 26 * 5 *
Customer Sell 34 * 14 11 9 - * -
Dealer to Dealer 54 * 14 18 22 - * *
<= $1MM 93 * 34 32 27 - - *
<= $10MM 43 * 10 11 22 * * -
> $10MM 14 9 * * 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 88.5 69.8 98.4 * * 98.6 * 104.8 * - - 85.6 * * - - - 63.8 * * * - -
Weighted Avg. Price 89.0 13.6 98.3 * * 98.3 * 104.5 * - - 91.5 * * - - - 54.7 * * * - -
Avg. Price Bottom 5 Trades 4.1 51.5 95.2 * * 97.5 * 102.7 * - - 83.6 * * - - - 14.1 * * * - -
2nd Quartile Price 88.3 55.8 98.2 * * 98.3 * 104.8 * - - 81.5 * * - - - 59.5 * * * - -
3rd Quartile Price 98.6 100.2 98.7 * * 98.9 * 105.2 * - - 85.0 * * - - - 80.0 * * * - -
4th Quartile Price 100.2 100.3 99.2 * * 99.3 * 105.4 * - - 92.6 * * - - - 88.6 * * * - -
Avg. Price Top 5 Trades 107.6 100.2 100.0 * * 99.5 * 106.1 * - - 89.6 * * - - - 93.7 * * * - -
Standard Deviation 23.2 45.3 1.4 * * 0.8 * 1.2 * - - 5.3 * * - - - 29.4 * * * - -
VOLUME OF TRADES (000'S) 800,536.0 238,402.4 51,579.6 * * 61,608.0 * 26,445.0 * - - 13,285.0 * * - - - 76,326.4 * * * - -
Customer Buy 398,632.3 * 28,212.8 - * 40,365.3 * 14,450.0 - - - 8,189.0 - * - - - 32,229.9 * * - - -
Customer Sell 331,123.4 227,902.4 22,866.7 * * 21,242.7 * 9,895.0 * - - * * * - - - 32,684.9 * * * - -
Dealer to Dealer 70,780.4 - * - - - - * - - - * - - - - - 11,411.7 - - - - -
<= $1MM 60,560.9 * 12,929.6 - * 6,267.0 * 6,765.0 - - - 1,800.0 - * - - - 4,151.7 - - - - -
<= $10MM 626,226.4 * 38,650.0 * * 21,692.2 * 19,680.0 - - - * * * - - - 72,174.7 - * - - -
> $10MM 113,748.7 * - - - * - - * - - - - - - - - - * - * - -
NUMBER OF TRADES 343 8 46 * * 25 * 25 * - - 10 * * - - - 47 * * * - -
Customer Buy 150 * 20 - * 11 * 13 - - - 5 - * - - - 14 * * - - -
Customer Sell 155 5 25 * * 14 * 11 * - - * * * - - - 17 * * * - -
Dealer to Dealer 38 - * - - - - * - - - * - - - - - 16 - - - - -
<= $1MM 163 * 29 - * 14 * 17 - - - 7 - * - - - 32 - - - - -
<= $10MM 171 * 17 * * 8 * 8 - - - * * * - - - 15 - * - - -
> $10MM 9 * - - - * - - * - - - - - - - - - * - * - -

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 - - - * 98.0 101.0 - - - 92.9 97.4 101.2 - - - 54.2 92.9 100.4 * - 100.2
Weighted Avg. Price - - - * 99.0 102.0 - - - 93.9 95.3 102.3 - - - 57.2 95.3 100.6 * - 100.2
Avg. Price Bottom 5 Trades - - - * 96.7 98.9 - - - 90.7 90.9 99.1 - - - 14.1 69.8 98.6 * - 100.2
2nd Quartile Price - - - * 96.9 100.0 - - - 91.4 97.7 100.2 - - - 34.6 94.8 100.0 * - *
3rd Quartile Price - - - * 99.8 100.5 - - - 95.2 99.7 100.4 - - - 58.9 98.8 100.3 * - *
4th Quartile Price - - - * 100.0 102.3 - - - 95.9 100.3 103.0 - - - 71.3 100.0 100.8 * - *
Avg. Price Top 5 Trades - - - * 100.0 103.7 - - - 95.6 100.4 103.9 - - - 96.8 100.3 102.5 * - 100.2
Standard Deviation - - - * 3.5 2.1 - - - 3.6 5.4 1.8 - - - 28.7 13.0 1.6 * - 0.1
VOLUME OF TRADES (000'S) - - - * 13,252.9 76,318.0 - - - 24,736.6 56,645.9 78,603.1 - - - 86,449.0 57,922.9 119,105.0 * - 13,500.0
Customer Buy - - - * * 32,425.0 - - - 17,040.6 26,607.1 34,421.6 - - - 37,175.5 24,590.4 65,690.0 - - *
Customer Sell - - - - * 41,473.0 - - - * 30,038.8 34,181.6 - - - 41,780.0 14,125.2 35,815.0 * - *
Dealer to Dealer - - - - - * - - - - - * - - - 7,493.5 * * - - -
<= $1MM - - - - * * - - - * * 4,520.0 - - - 6,239.0 3,915.0 3,195.0 - - *
<= $10MM - - - * * 61,678.0 - - - 22,711.3 55,747.6 52,683.1 - - - 80,210.0 54,007.9 96,410.0 - - *
> $10MM - - - - - * - - - - - * - - - - - * * - -
NUMBER OF TRADES - - - * 8 20 - - - 9 20 24 - - - 39 27 25 * - 5
Customer Buy - - - * * 9 - - - 7 10 10 - - - 15 14 9 - - *
Customer Sell - - - - * 9 - - - * 10 12 - - - 17 9 12 * - *
Dealer to Dealer - - - - - * - - - - - * - - - 7 * * - - -
<= $1MM - - - - * * - - - * * 9 - - - 20 8 5 - - *
<= $10MM - - - * * 15 - - - 5 17 13 - - - 19 19 19 - - *
> $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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