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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 96.0 3.3 96.3 89.1 99.0 * 3.8 -
Weighted Avg. Price 96.5 2.7 94.8 94.8 99.7 * 2.8 -
Avg. Price Bottom 5 Trades 76.3 1.9 87.8 76.5 95.0 * 2.6 -
2nd Quartile Price 94.4 2.1 94.9 81.3 99.4 * 2.3 -
3rd Quartile Price 99.0 2.5 98.9 96.7 100.3 * 3.8 -
4th Quartile Price 100.1 4.4 99.1 99.9 100.9 * 4.4 -
Avg. Price Top 5 Trades 101.8 4.8 99.7 99.9 101.8 * 4.8 -
Standard Deviation 7.1 2.3 4.7 12.0 3.3 * 2.5 -
VOLUME OF TRADES (000'S) 128,577.8 1,200,327.0 69,699.3 13,937.3 44,941.2 * 1,136,755.3 -
Customer Buy 49,774.4 * 18,780.0 10,365.7 20,628.6 * * -
Customer Sell 28,059.8 810,388.9 19,563.9 * 8,281.7 * * -
Dealer to Dealer 50,743.7 * 31,355.4 * 16,030.8 - * -
<= $1MM 17,470.6 - 8,511.8 348.6 8,610.2 - - -
<= $10MM 83,107.2 * 33,187.5 13,588.7 36,331.0 - * -
> $10MM * 1,196,251.2 * - - * 1,132,679.5 -
NUMBER OF TRADES 73 11 34 13 26 * 8 -
Customer Buy 24 * 12 6 6 * * -
Customer Sell 22 5 10 * 8 * * -
Dealer to Dealer 27 * 12 * 12 - * -
<= $1MM 50 - 26 7 17 - - -
<= $10MM 21 * 6 6 9 - * -
> $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 92.6 7.8 97.6 87.1 * 97.6 * 103.6 1.9 5.3 * 88.5 * - * - - 48.9 - - * - -
Weighted Avg. Price 95.8 7.9 98.1 86.7 * 97.2 * 101.4 1.7 7.0 * 87.1 * - * - - 68.9 - - * - -
Avg. Price Bottom 5 Trades 1.3 0.8 94.9 85.9 * 96.5 * 101.0 1.3 4.3 * 84.7 * - * - - 35.8 - - * - -
2nd Quartile Price 92.0 1.5 96.6 85.6 * 96.7 * 102.4 1.4 5.0 * 88.8 * - * - - - - - * - -
3rd Quartile Price 98.5 4.3 98.3 88.1 * 98.1 * 104.2 1.8 5.6 * 89.5 * - * - - 87.0 - - * - -
4th Quartile Price 100.0 6.7 99.2 90.6 * 99.1 * 105.3 3.6 7.1 * 90.5 * - * - - 94.1 - - * - -
Avg. Price Top 5 Trades 106.0 25.8 99.4 88.1 * 98.7 * 105.6 2.2 6.4 * 91.9 * - * - - 87.9 - - * - -
Standard Deviation 19.7 20.3 2.0 2.4 * 1.3 * 2.5 1.0 1.5 * 3.9 * - * - - 46.9 - - * - -
VOLUME OF TRADES (000'S) 515,760.1 397,653.1 40,911.3 15,394.0 * 22,467.2 * 45,825.0 10,863.3 374,785.3 * 22,707.4 * - * - - 27,374.3 - - * - -
Customer Buy 281,937.0 * 26,488.0 * * 21,934.9 * 25,934.0 - - - 12,146.7 * - - - - * - - - - -
Customer Sell 216,318.3 39,620.2 11,175.3 374.0 * * - 18,835.0 10,863.3 21,752.4 * 9,072.7 * - * - - * - - * - -
Dealer to Dealer 17,504.9 * 3,248.0 - - - - * - * - * - - - - - * - - - - -
<= $1MM 38,332.8 5,851.1 6,576.3 374.0 * 2,343.5 * 3,122.0 * 2,986.4 * * * - - - - * - - - - -
<= $10MM 285,707.7 27,655.4 34,335.0 - * * * * * * - 20,237.9 - - * - - 26,374.3 - - * - -
> $10MM 191,719.7 * - * * - - * - * - - - - - - - - - - - - -
NUMBER OF TRADES 196 23 39 7 * 11 * 16 7 9 * 13 * - * - - 9 - - * - -
Customer Buy 85 * 14 * * 7 * 6 - - - 6 * - - - - * - - - - -
Customer Sell 85 20 12 6 * * - 6 7 7 * 5 * - * - - * - - * - -
Dealer to Dealer 26 * 13 - - - - * - * - * - - - - - * - - - - -
<= $1MM 108 11 29 6 * 8 * 10 * 5 * * * - - - - * - - - - -
<= $10MM 79 9 10 - * * * * * * - 9 - - * - - 8 - - * - -
> $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 - - - * 99.5 100.4 - - - 90.6 93.8 101.3 - - - 63.9 89.9 101.9 - - *
Weighted Avg. Price - - - * 100.0 100.1 - - - 93.3 90.9 102.6 - - - 80.5 90.2 102.9 - - *
Avg. Price Bottom 5 Trades - - - * 97.9 99.3 - - - 89.0 90.0 99.0 - - - 20.2 88.7 101.5 - - *
2nd Quartile Price - - - * 99.6 100.1 - - - 91.0 96.3 99.5 - - - 8.5 88.3 102.7 - - *
3rd Quartile Price - - - * 99.9 100.2 - - - 94.6 97.1 101.4 - - - 90.0 95.9 103.7 - - *
4th Quartile Price - - - * 100.0 101.6 - - - 98.8 99.7 103.3 - - - 98.0 96.0 103.8 - - *
Avg. Price Top 5 Trades - - - * 100.5 101.6 - - - 92.3 98.3 103.6 - - - 98.4 91.4 102.4 - - *
Standard Deviation - - - * 1.8 1.1 - - - 6.8 6.5 2.5 - - - 44.4 5.2 2.1 - - *
VOLUME OF TRADES (000'S) - - - * 48,831.3 128,118.6 - - - 8,598.8 17,136.6 37,937.0 - - - 26,046.4 4,710.0 14,840.0 - - *
Customer Buy - - - - 28,145.0 79,527.1 - - - * * 19,317.0 - - - 11,614.4 * * - - *
Customer Sell - - - * 20,686.3 46,391.5 - - - * 11,486.6 18,620.0 - - - 12,219.0 * * - - -
Dealer to Dealer - - - - - * - - - - - - - - - * - * - - -
<= $1MM - - - * 5,546.3 2,680.3 - - - * * 738.0 - - - * 2,710.0 * - - -
<= $10MM - - - * * 40,948.2 - - - * 15,300.0 37,199.0 - - - 24,021.5 * * - - *
> $10MM - - - - * * - - - - - - - - - - - - - - -
NUMBER OF TRADES - - - * 17 20 - - - 6 9 12 - - - 12 6 6 - - *
Customer Buy - - - - 7 11 - - - * * 6 - - - 5 * * - - *
Customer Sell - - - * 10 7 - - - * 6 6 - - - 5 * * - - -
Dealer to Dealer - - - - - * - - - - - - - - - * - * - - -
<= $1MM - - - * 11 7 - - - * * 5 - - - * 5 * - - -
<= $10MM - - - * * 10 - - - * 5 7 - - - 9 * * - - *
> $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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