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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 94.9 20.5 98.7 86.5 96.3 24.8 * *
Weighted Avg. Price 98.3 11.6 97.9 96.5 99.0 11.5 * *
Avg. Price Bottom 5 Trades 69.4 2.4 90.1 69.4 85.0 2.9 * *
2nd Quartile Price 91.7 5.3 99.0 74.8 92.0 1.7 * *
3rd Quartile Price 99.2 14.5 99.5 90.9 100.2 6.1 * *
4th Quartile Price 100.5 27.0 100.7 95.5 100.7 84.1 * *
Avg. Price Top 5 Trades 102.3 45.5 100.5 99.1 102.3 34.6 * *
Standard Deviation 8.6 27.7 4.1 11.0 6.7 37.6 * *
VOLUME OF TRADES (000'S) 772,020.8 1,487,711.8 302,612.4 77,113.6 392,294.8 1,434,505.6 * *
Customer Buy 274,581.1 80,666.0 117,116.4 42,664.8 114,799.9 * * *
Customer Sell 294,173.2 1,407,045.8 31,824.4 1,893.1 260,455.7 1,389,646.3 * *
Dealer to Dealer 203,266.5 - 153,671.6 32,555.7 17,039.2 - - -
<= $1MM 11,793.9 - 3,225.7 4,589.8 3,978.3 - - -
<= $10MM 146,459.2 * 51,127.2 20,254.3 75,077.7 - * *
> $10MM 613,767.7 1,456,504.6 248,259.5 * 313,238.8 1,434,505.6 * -
NUMBER OF TRADES 127 13 47 30 50 7 * *
Customer Buy 49 6 25 12 12 * * *
Customer Sell 48 7 13 10 25 5 * *
Dealer to Dealer 30 - 9 8 13 - - -
<= $1MM 72 - 26 19 27 - - -
<= $10MM 34 * 12 9 13 - * *
> $10MM 21 9 9 * 10 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 95.8 48.0 97.7 91.5 * 98.8 * 104.7 * - * 94.1 - - - - - 87.3 - - * - -
Weighted Avg. Price 95.4 19.9 98.2 90.8 * 99.2 * 104.6 * - * 89.6 - - - - - 88.7 - - * - -
Avg. Price Bottom 5 Trades 49.4 21.9 95.6 89.7 * 98.8 * 104.4 * - * 92.7 - - - - - 73.3 - - * - -
2nd Quartile Price 95.1 7.8 97.9 90.2 * * * 104.5 * - * 94.8 - - - - - 84.4 - - * - -
3rd Quartile Price 99.5 89.3 98.6 91.4 * * * 104.7 * - * 95.5 - - - - - 90.8 - - * - -
4th Quartile Price 100.1 92.6 99.4 92.8 * * * 105.2 * - * 99.5 - - - - - 91.8 - - * - -
Avg. Price Top 5 Trades 105.2 74.4 99.3 93.2 * 98.8 * 105.2 * - * 96.2 - - - - - 96.5 - - * - -
Standard Deviation 11.0 46.0 2.1 3.2 * 0.7 * 0.7 * - * 3.9 - - - - - 9.1 - - * - -
VOLUME OF TRADES (000'S) 441,452.4 190,746.1 27,858.0 4,913.0 * 3,413.9 * 32,873.0 * - * 21,220.0 - - - - - 64,206.2 - - * - -
Customer Buy 207,869.3 * 24,481.0 * * * - 18,828.0 - - * 10,820.0 - - - - - 34,355.2 - - - - -
Customer Sell 208,172.0 * 2,877.0 3,113.0 * * * * * - * * - - - - - 29,820.0 - - - - -
Dealer to Dealer 25,411.0 * * - - - - - - - - - - - - - - * - - * - -
<= $1MM 29,358.5 - 2,150.0 1,913.0 * * * 3,200.0 - - - 2,420.0 - - - - - 2,471.2 - - - - -
<= $10MM 386,097.4 * * * - * - 29,673.0 - - - * - - - - - 50,100.5 - - * - -
> $10MM * 170,746.1 * - - - - - * - * - - - - - - * - - - - -
NUMBER OF TRADES 166 8 14 8 * 5 * 12 * - * 7 - - - - - 24 - - * - -
Customer Buy 88 * 7 * * * - 8 - - * 5 - - - - - 14 - - - - -
Customer Sell 70 * 5 6 * * * * * - * * - - - - - 9 - - - - -
Dealer to Dealer 8 * * - - - - - - - - - - - - - - * - - * - -
<= $1MM 74 - 9 6 * * * 7 - - - 5 - - - - - 8 - - - - -
<= $10MM 90 * * * - * - 5 - - - * - - - - - 15 - - * - -
> $10MM * 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 - - - * 99.1 100.4 - - - - 98.0 100.0 - - - 67.2 93.4 100.1 - * -
Weighted Avg. Price - - - * 99.5 100.4 - - - - 97.3 99.9 - - - 60.0 95.1 100.2 - * -
Avg. Price Bottom 5 Trades - - - * 98.5 98.0 - - - - 95.6 98.9 - - - 55.1 93.4 99.9 - * -
2nd Quartile Price - - - * 99.8 99.9 - - - - 96.3 99.0 - - - 65.0 * 100.0 - * -
3rd Quartile Price - - - * 99.8 100.2 - - - - 99.9 99.8 - - - 86.8 * 100.1 - * -
4th Quartile Price - - - * 99.9 102.8 - - - - 100.0 101.5 - - - 97.6 * 100.3 - * -
Avg. Price Top 5 Trades - - - * 99.9 103.1 - - - - 100.0 101.2 - - - 86.6 93.4 100.4 - * -
Standard Deviation - - - * 1.5 2.3 - - - - 2.2 1.2 - - - 34.9 7.4 0.2 - * -
VOLUME OF TRADES (000'S) - - - * 14,219.6 62,496.1 - - - - 38,626.0 48,408.5 - - - 24,625.2 10,000.0 85,159.0 - * -
Customer Buy - - - - 9,569.6 22,229.0 - - - - 20,376.0 14,178.5 - - - * * 30,250.0 - * -
Customer Sell - - - * * 40,267.1 - - - - 18,250.0 * - - - * * 47,059.0 - * -
Dealer to Dealer - - - - - - - - - - - * - - - - - * - - -
<= $1MM - - - * * 1,651.0 - - - - 3,600.0 1,423.5 - - - * * 5,250.0 - - -
<= $10MM - - - * 12,300.0 60,845.1 - - - - 35,026.0 46,985.0 - - - 23,625.2 * 79,909.0 - * -
> $10MM - - - - - - - - - - - - - - - - - - - * -
NUMBER OF TRADES - - - * 9 18 - - - - 13 12 - - - 7 5 25 - * -
Customer Buy - - - - 7 9 - - - - 7 6 - - - * * 10 - * -
Customer Sell - - - * * 9 - - - - 6 * - - - * * 13 - * -
Dealer to Dealer - - - - - - - - - - - * - - - - - * - - -
<= $1MM - - - * * 5 - - - - 6 6 - - - * * 6 - - -
<= $10MM - - - * 5 13 - - - - 7 6 - - - 6 * 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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