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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 93.8 7.1 96.9 81.9 99.3 * 7.9 *
Weighted Avg. Price 91.3 3.9 98.5 85.5 99.6 * 3.8 *
Avg. Price Bottom 5 Trades 66.0 2.2 91.0 66.0 96.6 * 2.6 *
2nd Quartile Price 90.6 2.8 97.7 71.9 98.2 * 2.8 *
3rd Quartile Price 98.2 5.2 98.4 84.9 99.0 * 5.2 *
4th Quartile Price 99.5 5.2 99.4 88.1 100.5 * 5.2 *
Avg. Price Top 5 Trades 102.5 10.8 99.6 95.1 102.5 * 11.1 *
Standard Deviation 9.9 14.7 4.6 11.0 1.8 * 16.3 *
VOLUME OF TRADES (000'S) 404,315.1 109,600.8 26,205.0 235,555.4 142,554.6 * 92,683.0 *
Customer Buy 190,809.1 56,117.3 16,797.9 97,065.4 76,945.8 * 52,147.2 -
Customer Sell 57,916.2 53,483.6 9,321.3 44,157.6 4,437.2 * 40,535.8 *
Dealer to Dealer 155,589.8 - * 94,332.4 61,171.6 - - -
<= $1MM 8,956.2 * 5,768.5 2,145.9 1,041.9 * - -
<= $10MM 141,651.8 77,090.3 20,436.5 46,322.6 74,892.7 * 60,172.8 *
> $10MM 253,707.0 * - 187,087.0 * - * -
NUMBER OF TRADES 112 21 22 32 58 * 17 *
Customer Buy 43 8 13 11 19 * 6 -
Customer Sell 38 13 7 12 19 * 11 *
Dealer to Dealer 31 - * 9 20 - - -
<= $1MM 63 * 17 12 34 * - -
<= $10MM 42 19 5 15 22 * 16 *
> $10MM 7 * - 5 * - * -

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 95.6 1.4 96.4 86.8 99.5 97.1 * 101.5 1.8 - - 90.1 - - 1.2 - - 85.4 - * - - -
Weighted Avg. Price 90.3 1.3 96.9 86.3 104.2 97.9 * 103.4 1.5 - - 87.2 - - 1.3 - - 68.8 - * - - -
Avg. Price Bottom 5 Trades 45.8 1.0 91.5 85.5 96.2 92.7 * 99.3 1.8 - - 83.3 - - 1.2 - - 74.0 - * - - -
2nd Quartile Price 95.3 1.4 96.3 85.7 96.1 97.2 * 101.3 * - - 87.0 - - * - - 86.3 - * - - -
3rd Quartile Price 98.4 1.4 97.8 86.3 100.1 98.0 * 102.1 * - - 93.5 - - * - - 91.0 - * - - -
4th Quartile Price 100.0 2.0 98.3 88.6 105.1 99.0 * 103.6 * - - 96.0 - - * - - 95.0 - * - - -
Avg. Price Top 5 Trades 106.4 2.0 99.2 88.2 103.2 99.5 * 103.6 1.8 - - 95.8 - - 1.2 - - 94.1 - * - - -
Standard Deviation 9.9 0.7 3.2 1.7 5.1 4.0 * 2.1 1.0 - - 6.2 - - 0.4 - - 13.8 - * - - -
VOLUME OF TRADES (000'S) 768,885.8 142,602.8 74,942.0 8,725.0 2,855.0 27,024.1 * 94,271.5 8,891.2 - - 45,024.7 - - 111,481.7 - - 12,296.7 - * - - -
Customer Buy 360,569.8 70,805.4 31,305.0 2,350.0 * 6,774.2 * 90,731.5 8,891.2 - - 20,358.3 - - * - - * - * - - -
Customer Sell 340,389.9 - 36,647.0 6,375.0 1,765.0 15,476.6 * * - - - 24,666.3 - - - - - 7,720.7 - - - - -
Dealer to Dealer 67,926.2 * * - * * - * - - - - - - * - - * - - - - -
<= $1MM 34,137.5 * 3,247.0 2,365.0 1,805.0 3,508.1 * 1,600.0 * - - 1,324.7 - - - - - 1,836.7 - - - - -
<= $10MM 483,350.9 26,797.8 34,915.0 * * 23,516.1 * * * - - 43,700.0 - - * - - * - * - - -
> $10MM 251,397.4 114,128.7 * - - - - * - - - - - - 91,898.7 - - - - - - - -
NUMBER OF TRADES 236 16 21 12 10 22 * 15 6 - - 14 - - 8 - - 12 - * - - -
Customer Buy 94 12 8 5 * 10 * 8 6 - - 6 - - * - - * - * - - -
Customer Sell 116 - 10 7 5 8 * * - - - 8 - - - - - 7 - - - - -
Dealer to Dealer 26 * * - * * - * - - - - - - * - - * - - - - -
<= $1MM 106 * 10 10 9 15 * 9 * - - 6 - - - - - 9 - - - - -
<= $10MM 120 7 9 * * 7 * * * - - 8 - - * - - * - * - - -
> $10MM 10 7 * - - - - * - - - - - - 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 - - - * 96.1 100.1 - - - 94.8 98.8 99.9 - - - 78.6 78.8 99.8 * - -
Weighted Avg. Price - - - * 96.7 99.8 - - - 93.7 98.4 100.2 - - - 46.5 77.0 99.3 * - -
Avg. Price Bottom 5 Trades - - - * 94.9 99.0 - - - 93.6 97.8 97.3 - - - 65.7 70.0 97.7 * - -
2nd Quartile Price - - - * 97.9 99.6 - - - 93.5 98.1 99.2 - - - 89.3 66.0 98.8 * - -
3rd Quartile Price - - - * 99.7 100.1 - - - 96.6 99.3 100.0 - - - 92.3 99.5 99.4 * - -
4th Quartile Price - - - * 99.8 100.4 - - - 98.3 100.0 101.0 - - - 100.0 101.1 100.1 * - -
Avg. Price Top 5 Trades - - - * 97.5 101.6 - - - 96.3 100.0 101.9 - - - 95.6 86.9 103.0 * - -
Standard Deviation - - - * 6.2 1.3 - - - 3.1 1.3 1.6 - - - 31.9 20.5 2.1 * - -
VOLUME OF TRADES (000'S) - - - * 17,552.5 49,957.3 - - - 9,727.4 24,682.0 102,378.2 - - - 101,999.9 29,780.7 160,832.1 * - -
Customer Buy - - - - * 27,011.0 - - - * 9,187.1 32,704.2 - - - * * 64,304.9 * - -
Customer Sell - - - * 11,302.5 22,650.5 - - - * * 51,044.0 - - - * * 73,535.3 - - -
Dealer to Dealer - - - - - * - - - - * * - - - * - * - - -
<= $1MM - - - * * 5,971.9 - - - * 3,872.0 2,293.2 - - - - * * - - -
<= $10MM - - - * 17,252.5 6,992.4 - - - * * 100,085.0 - - - 27,800.0 27,960.6 133,242.1 - - -
> $10MM - - - - - * - - - - - - - - - * - * * - -
NUMBER OF TRADES - - - * 8 20 - - - 7 11 31 - - - 8 7 31 * - -
Customer Buy - - - - * 6 - - - * 6 12 - - - * * 12 * - -
Customer Sell - - - * 6 13 - - - * * 15 - - - * * 15 - - -
Dealer to Dealer - - - - - * - - - - * * - - - * - * - - -
<= $1MM - - - * * 13 - - - * 7 6 - - - - * * - - -
<= $10MM - - - * 7 5 - - - * * 25 - - - 6 5 28 - - -
> $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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