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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 93.3 6.7 94.5 82.8 99.8 - 7.1 *
Weighted Avg. Price 97.8 5.0 97.7 89.7 99.5 - 7.3 *
Avg. Price Bottom 5 Trades 70.6 5.8 78.9 70.6 91.5 - 6.4 *
2nd Quartile Price 88.0 6.3 93.0 75.0 99.5 - 6.3 *
3rd Quartile Price 97.9 6.9 97.7 84.2 100.5 - 6.9 *
4th Quartile Price 99.8 8.1 98.5 89.4 101.5 - 8.1 *
Avg. Price Top 5 Trades 103.6 7.8 99.8 98.4 103.6 - 7.8 *
Standard Deviation 9.1 1.5 6.1 8.7 4.4 - 0.9 *
VOLUME OF TRADES (000'S) 637,552.1 1,261,410.3 353,976.2 44,663.5 238,912.3 - 624,340.3 *
Customer Buy 279,971.3 855,402.5 129,370.4 26,794.9 123,806.1 - 218,332.5 *
Customer Sell 323,895.0 * 203,823.9 10,919.7 109,151.4 - * -
Dealer to Dealer 33,685.8 * 20,781.9 6,948.9 5,954.9 - * -
<= $1MM 25,439.7 - 10,704.9 5,498.6 9,236.2 - - -
<= $10MM 109,567.8 * 63,947.0 28,494.7 17,126.2 - * -
> $10MM 502,544.6 1,250,293.2 279,324.3 * 212,550.0 - 613,223.2 *
NUMBER OF TRADES 194 13 80 49 65 - 12 *
Customer Buy 75 6 28 13 34 - 5 *
Customer Sell 71 * 30 17 24 - * -
Dealer to Dealer 48 * 22 19 7 - * -
<= $1MM 139 - 48 37 54 - - -
<= $10MM 44 * 27 11 6 - * -
> $10MM 11 11 5 * 5 - 10 *

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 93.4 1.7 96.0 87.5 103.3 96.8 94.5 103.6 * - * 89.1 * 98.4 * - * 80.6 * * - - -
Weighted Avg. Price 94.9 1.8 94.7 88.4 103.5 95.8 92.3 103.8 * - * 88.3 * 97.7 * - * 83.8 * * - - -
Avg. Price Bottom 5 Trades 27.7 1.3 91.8 84.6 102.8 93.2 88.3 102.5 * - * 74.3 * 98.4 * - * 53.3 * * - - -
2nd Quartile Price 91.3 0.4 95.6 85.7 103.7 95.0 90.8 103.3 * - * 87.0 * * * - * 78.3 * * - - -
3rd Quartile Price 97.1 3.6 97.0 87.0 103.9 98.1 97.1 103.8 * - * 91.8 * * * - * 84.6 * * - - -
4th Quartile Price 99.2 3.6 97.5 90.6 105.3 98.8 98.1 104.3 * - * 95.9 * * * - * 93.3 * * - - -
Avg. Price Top 5 Trades 104.9 2.0 98.7 91.3 104.1 99.0 98.9 104.6 * - * 97.2 * 98.4 * - * 95.2 * * - - -
Standard Deviation 11.6 1.7 2.3 3.4 1.6 2.3 4.3 0.9 * - * 8.8 * 4.5 * - * 17.0 * * - - -
VOLUME OF TRADES (000'S) 911,976.4 64,303.4 37,619.2 22,685.0 20,605.0 76,190.8 47,236.2 111,433.0 * - * 10,196.7 * 16,818.0 * - * 71,479.0 * * - - -
Customer Buy 391,924.9 * 10,695.7 18,455.0 * 7,729.6 19,770.5 47,808.0 * - - 3,977.6 * * * - * 34,451.2 * * - - -
Customer Sell 495,446.8 - 26,898.5 4,230.0 * 68,461.2 27,465.7 63,625.0 - - - 4,719.1 * * - - - 33,069.8 - - - - -
Dealer to Dealer 24,604.7 * * - - - - - - - * * - - - - - * - * - - -
<= $1MM 67,913.4 * 8,729.2 6,630.0 * 9,279.4 6,488.8 * * - - 8,946.7 * * - - - 3,100.1 * - - - -
<= $10MM 594,946.5 * 28,890.0 * 20,315.0 16,911.4 22,235.4 85,932.0 * - * * - * * - - 68,378.8 - * - - -
> $10MM 249,116.6 * - - - * * * - - - - - - - - * - - - - - -
NUMBER OF TRADES 349 6 29 14 7 29 25 18 * - * 29 * 5 * - * 29 * * - - -
Customer Buy 152 * 11 6 * 7 17 9 * - - 12 * * * - * 12 * * - - -
Customer Sell 184 - 17 8 * 22 8 9 - - - 14 * * - - - 14 - - - - -
Dealer to Dealer 13 * * - - - - - - - * * - - - - - * - * - - -
<= $1MM 175 * 21 11 * 20 14 * * - - 28 * * - - - 12 * - - - -
<= $10MM 161 * 8 * 5 7 10 14 * - * * - * * - - 17 - * - - -
> $10MM 13 * - - - * * * - - - - - - - - * - - - - - -

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 - - - 93.2 96.5 99.8 * - - * 97.2 99.1 - - - 67.0 93.5 98.1 - - -
Weighted Avg. Price - - - 96.5 97.6 99.3 * - - * 98.6 99.2 - - - 62.9 93.9 98.0 - - -
Avg. Price Bottom 5 Trades - - - 88.8 85.0 98.6 * - - * 93.4 97.2 - - - 37.5 85.2 98.1 - - -
2nd Quartile Price - - - 90.4 96.6 99.0 * - - * 98.4 98.1 - - - 60.0 91.6 * - - -
3rd Quartile Price - - - 94.0 98.8 99.3 * - - * 98.6 98.9 - - - 72.8 96.5 * - - -
4th Quartile Price - - - 99.3 99.4 100.1 * - - * 99.4 100.1 - - - 92.2 98.5 * - - -
Avg. Price Top 5 Trades - - - 98.2 99.9 102.2 * - - * 99.3 101.5 - - - 91.4 98.9 98.1 - - -
Standard Deviation - - - 4.4 5.1 1.5 * - - * 3.8 1.6 - - - 26.5 6.7 4.8 - - -
VOLUME OF TRADES (000'S) - - - 26,163.8 113,183.2 123,896.9 * - - * 27,404.4 48,471.2 - - - 41,396.5 91,965.7 10,464.0 - - -
Customer Buy - - - 17,127.3 52,709.4 71,515.6 * - - * * 17,249.7 - - - 10,006.9 37,143.8 * - - -
Customer Sell - - - 9,036.5 59,482.1 52,381.3 * - - * 15,974.4 31,221.5 - - - 23,389.6 54,821.9 * - - -
Dealer to Dealer - - - - * - - - - - * - - - - * - - - - -
<= $1MM - - - 2,063.8 4,660.5 4,401.6 - - - * 2,891.0 2,487.0 - - - 3,279.5 * * - - -
<= $10MM - - - 24,100.0 65,751.3 60,495.3 - - - * 24,513.4 45,984.2 - - - 27,000.0 48,884.6 * - - -
> $10MM - - - - * * * - - - - - - - - * * - - - -
NUMBER OF TRADES - - - 14 33 27 * - - * 15 28 - - - 15 17 5 - - -
Customer Buy - - - 5 17 16 * - - * * 11 - - - 5 6 * - - -
Customer Sell - - - 9 15 11 * - - * 10 17 - - - 8 11 * - - -
Dealer to Dealer - - - - * - - - - - * - - - - * - - - - -
<= $1MM - - - 9 14 11 - - - * 7 7 - - - 6 * * - - -
<= $10MM - - - 5 16 14 - - - * 8 21 - - - 8 13 * - - -
> $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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