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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 96.9 * 98.2 88.6 98.6 - - *
Weighted Avg. Price 95.0 * 98.9 85.5 95.8 - - *
Avg. Price Bottom 5 Trades 74.8 * 92.7 81.4 80.4 - - *
2nd Quartile Price 97.0 * 98.1 87.1 99.0 - - *
3rd Quartile Price 98.8 * 98.8 89.2 101.0 - - *
4th Quartile Price 99.9 * 99.5 93.8 102.0 - - *
Avg. Price Top 5 Trades 103.6 * 99.8 94.4 103.6 - - *
Standard Deviation 6.3 * 2.6 6.1 7.4 - - *
VOLUME OF TRADES (000'S) 502,552.4 * 137,742.4 79,348.2 285,461.8 - - *
Customer Buy 304,944.8 * 72,784.9 17,597.0 214,562.9 - - *
Customer Sell 148,086.1 - 38,056.6 46,836.2 63,193.3 - - -
Dealer to Dealer 49,521.5 - 26,900.9 * 7,705.6 - - -
<= $1MM 11,479.1 - 7,793.9 821.4 2,863.7 - - -
<= $10MM 208,106.6 - 90,617.1 56,470.8 61,018.7 - - -
> $10MM 282,966.7 * * * 221,579.4 - - *
NUMBER OF TRADES 124 * 60 19 45 - - *
Customer Buy 62 * 29 8 25 - - *
Customer Sell 36 - 19 8 9 - - -
Dealer to Dealer 26 - 12 * 11 - - -
<= $1MM 69 - 35 8 26 - - -
<= $10MM 46 - 24 9 13 - - -
> $10MM 9 * * * 6 - - *

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 96.2 * 98.7 * * 98.2 * 104.4 - - * 92.7 - 101.8 - - - 66.8 - - - - -
Weighted Avg. Price 93.5 * 98.8 * * 97.8 * 104.4 - - * 92.4 - 101.1 - - - 62.0 - - - - -
Avg. Price Bottom 5 Trades 16.5 * 96.8 * * 97.3 * 102.3 - - * 89.8 - 101.8 - - - 24.5 - - - - -
2nd Quartile Price 96.8 * 98.8 * * 98.0 * 103.2 - - * 91.0 - * - - - 67.5 - - - - -
3rd Quartile Price 99.5 * 99.0 * * 98.1 * 104.7 - - * 93.0 - * - - - 82.5 - - - - -
4th Quartile Price 102.2 * 99.4 * * 98.8 * 105.0 - - * 97.9 - * - - - 88.2 - - - - -
Avg. Price Top 5 Trades 107.4 * 99.6 * * 99.0 * 107.1 - - * 95.1 - 101.8 - - - 91.2 - - - - -
Standard Deviation 14.7 * 1.2 * * 0.8 * 1.5 - - * 3.5 - 1.2 - - - 30.2 - - - - -
VOLUME OF TRADES (000'S) 677,076.9 * 20,058.0 * * 7,587.4 * 31,884.1 - - * 49,844.7 - 4,750.0 - - - 69,250.1 - - - - -
Customer Buy 304,919.2 - 10,381.0 * * 4,062.9 - 25,799.0 - - - 24,859.1 - * - - - 31,751.5 - - - - -
Customer Sell 253,901.7 * 9,677.0 * * 3,524.6 * 6,085.1 - - * * - * - - - 37,348.6 - - - - -
Dealer to Dealer 118,256.0 - - - - - - - - - - * - - - - - * - - - - -
<= $1MM 42,909.7 * 8,093.0 * * 5,587.4 * 10,686.1 - - * * - * - - - * - - - - -
<= $10MM 450,703.2 - 11,965.0 - * * - 21,198.0 - - - 49,808.1 - * - - - 68,950.1 - - - - -
> $10MM 183,464.0 - - * - - - - - - - - - - - - - - - - - - -
NUMBER OF TRADES 246 * 26 * * 16 * 50 - - * 11 - 5 - - - 21 - - - - -
Customer Buy 112 - 8 * * 6 - 26 - - - 5 - * - - - 9 - - - - -
Customer Sell 120 * 18 * * 10 * 24 - - * * - * - - - 10 - - - - -
Dealer to Dealer 14 - - - - - - - - - - * - - - - - * - - - - -
<= $1MM 129 * 21 * * 15 * 44 - - * * - * - - - * - - - - -
<= $10MM 106 - 5 - * * - 6 - - - 10 - * - - - 17 - - - - -
> $10MM 11 - - * - - - - - - - - - - - - - - - - - - -

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 - - - 97.5 98.5 101.1 - - - * * 99.4 - - - 68.3 95.1 99.3 - - -
Weighted Avg. Price - - - 96.5 99.0 101.0 - - - * * 100.2 - - - 57.4 94.4 98.7 - - -
Avg. Price Bottom 5 Trades - - - 97.1 96.4 100.0 - - - * * 97.3 - - - 68.3 91.3 93.5 - - -
2nd Quartile Price - - - 97.7 98.0 100.1 - - - * * 97.8 - - - * 91.1 100.1 - - -
3rd Quartile Price - - - 98.5 99.8 100.4 - - - * * 98.9 - - - * 96.9 100.4 - - -
4th Quartile Price - - - 98.6 100.1 102.8 - - - * * 101.0 - - - * 100.2 100.8 - - -
Avg. Price Top 5 Trades - - - 98.3 100.1 103.4 - - - * * 102.4 - - - 68.3 98.9 102.1 - - -
Standard Deviation - - - 1.9 1.9 1.6 - - - * * 2.2 - - - 39.3 4.4 3.3 - - -
VOLUME OF TRADES (000'S) - - - 5,068.0 62,512.1 55,111.5 - - - * * 103,294.4 - - - 18,062.7 47,225.0 136,935.4 - - -
Customer Buy - - - * 28,478.8 19,471.0 - - - * * 30,028.4 - - - * * 49,340.0 - - -
Customer Sell - - - 3,802.0 34,033.3 35,640.5 - - - * * * - - - * 27,850.0 36,350.0 - - -
Dealer to Dealer - - - - - - - - - - - 64,324.0 - - - - - * - - -
<= $1MM - - - 1,653.0 3,493.7 3,205.5 - - - - * 3,253.0 - - - - * * - - -
<= $10MM - - - * 44,492.4 51,906.0 - - - * * 25,601.4 - - - 18,062.7 30,375.0 85,090.0 - - -
> $10MM - - - - * - - - - - - 74,440.0 - - - - * * - - -
NUMBER OF TRADES - - - 7 15 19 - - - * * 19 - - - 5 10 26 - - -
Customer Buy - - - * 7 8 - - - * * 7 - - - * * 15 - - -
Customer Sell - - - 5 8 11 - - - * * * - - - * 6 9 - - -
Dealer to Dealer - - - - - - - - - - - 8 - - - - - * - - -
<= $1MM - - - 5 7 9 - - - - * 9 - - - - * * - - -
<= $10MM - - - * 7 10 - - - * * 5 - - - 5 8 22 - - -
> $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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