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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 92.9 41.5 96.4 85.9 96.9 * * *
Weighted Avg. Price 97.1 3.8 97.9 86.4 98.7 * * *
Avg. Price Bottom 5 Trades 76.5 41.5 90.1 76.6 83.7 * * *
2nd Quartile Price 85.9 * 95.3 83.3 96.2 * * *
3rd Quartile Price 96.1 * 97.4 84.3 98.9 * * *
4th Quartile Price 98.9 * 98.6 88.3 100.3 * * *
Avg. Price Top 5 Trades 102.9 41.5 99.5 98.0 102.9 * * *
Standard Deviation 7.5 53.4 3.3 5.8 6.4 * * *
VOLUME OF TRADES (000'S) 387,300.1 152,900.0 21,446.6 49,888.8 315,964.7 * * *
Customer Buy 195,725.3 * 18,991.7 48,567.6 128,166.0 * - *
Customer Sell 146,028.7 * 2,090.9 1,268.0 142,669.9 * * *
Dealer to Dealer 45,546.1 - 364.1 53.2 45,128.8 - - -
<= $1MM 13,854.0 * 4,586.9 5,617.1 3,650.0 * - *
<= $10MM 94,688.5 - 16,859.7 21,271.7 56,557.0 - - -
> $10MM 278,757.6 * - * 255,757.6 * * -
NUMBER OF TRADES 165 5 46 57 62 * * *
Customer Buy 86 * 16 42 28 * - *
Customer Sell 51 * 19 9 23 * * *
Dealer to Dealer 28 - 11 6 11 - - -
<= $1MM 129 * 39 50 40 * - *
<= $10MM 28 - 7 6 15 - - -
> $10MM 8 * - * 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 95.1 40.6 96.2 91.8 * 97.3 88.3 103.7 1.0 - - 91.2 78.6 101.9 * - - 89.2 - * - - *
Weighted Avg. Price 95.1 8.2 96.5 91.6 * 97.9 87.3 104.3 1.0 - - 91.1 82.5 101.9 * - - 91.0 - * - - *
Avg. Price Bottom 5 Trades 64.8 0.3 91.2 87.1 * 94.0 87.7 102.8 0.7 - - 88.2 76.3 101.4 * - - 75.7 - * - - *
2nd Quartile Price 91.9 0.6 97.0 88.8 * 96.6 87.4 103.0 0.6 - - 89.6 81.3 102.5 * - - 88.0 - * - - *
3rd Quartile Price 97.6 2.3 97.6 92.9 * 98.6 90.6 103.3 1.5 - - 91.2 81.7 103.6 * - - 91.3 - * - - *
4th Quartile Price 100.0 100.2 99.5 95.0 * 99.2 91.3 104.5 2.3 - - 94.6 84.4 104.1 * - - 96.5 - * - - *
Avg. Price Top 5 Trades 106.2 100.5 99.3 96.4 * 99.3 88.8 104.9 1.4 - - 95.2 82.6 102.5 * - - 97.3 - * - - *
Standard Deviation 7.7 49.4 3.7 4.8 * 2.1 2.1 1.3 0.8 - - 2.8 7.0 2.5 * - - 7.9 - * - - *
VOLUME OF TRADES (000'S) 1,163,926.6 524,988.9 102,631.4 97,134.7 * 56,354.4 10,194.6 78,589.0 411,100.6 - - 39,898.0 27,002.0 17,103.0 * - - 137,309.3 - * - - *
Customer Buy 562,331.2 150,774.6 27,335.7 42,259.0 * 15,267.2 * 75,279.0 * - - 21,481.5 * * * - - 65,243.0 - * - - *
Customer Sell 581,416.2 207,173.3 64,544.7 54,875.7 - 33,220.1 6,994.6 * * - - 18,416.5 * * * - - 72,066.4 - * - - *
Dealer to Dealer 20,179.2 167,041.0 * - - * - - * - - - * - - - - - - - - - -
<= $1MM 40,459.3 * 3,769.4 * * 4,921.7 * 1,965.0 - - - * * - - - - 372.6 - - - - -
<= $10MM 764,536.2 38,608.0 35,359.0 33,860.7 * 51,432.7 * 37,124.0 - - - 39,287.0 26,086.0 17,103.0 - - - 126,471.8 - * - - *
> $10MM 358,931.1 485,457.2 63,503.0 * * - - * 411,100.6 - - - - - * - - * - - - - -
NUMBER OF TRADES 302 30 18 14 * 26 6 15 11 - - 18 7 6 * - - 30 - * - - *
Customer Buy 143 10 6 7 * 10 * 13 * - - 10 * * * - - 16 - * - - *
Customer Sell 150 14 11 7 - 12 5 * * - - 8 * * * - - 14 - * - - *
Dealer to Dealer 9 6 * - - * - - * - - - * - - - - - - - - - -
<= $1MM 87 * 7 * * 11 * 6 - - - * * - - - - 5 - - - - -
<= $10MM 193 12 6 7 * 15 * 7 - - - 15 5 6 - - - 24 - * - - *
> $10MM 22 15 5 * * - - * 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 - - - * 96.4 99.9 - - - 87.2 98.8 100.2 - - - 86.7 94.5 97.8 * * 100.3
Weighted Avg. Price - - - * 95.6 99.1 - - - 87.9 99.3 100.6 - - - 83.9 93.8 97.6 * * 100.3
Avg. Price Bottom 5 Trades - - - * 89.1 96.2 - - - 75.7 96.1 98.8 - - - 77.6 85.7 94.2 * * 100.2
2nd Quartile Price - - - * 96.7 100.0 - - - 80.8 98.9 99.9 - - - 80.1 92.4 98.1 * * 100.2
3rd Quartile Price - - - * 98.1 100.1 - - - 95.1 99.7 100.0 - - - 95.5 97.6 99.9 * * 100.2
4th Quartile Price - - - * 100.1 100.3 - - - 97.4 99.8 100.6 - - - 98.8 99.6 100.1 * * 100.4
Avg. Price Top 5 Trades - - - * 100.1 102.6 - - - 96.9 100.4 102.0 - - - 97.7 99.9 100.4 * * 100.3
Standard Deviation - - - * 5.0 2.4 - - - 10.4 2.1 1.5 - - - 15.5 6.5 4.1 * * 0.2
VOLUME OF TRADES (000'S) - - - * 131,249.1 55,897.0 - - - 42,064.3 41,545.5 67,024.5 - - - 40,804.3 145,525.5 38,040.0 * * 31,808.0
Customer Buy - - - * 70,032.9 22,068.8 - - - 19,627.2 15,039.0 22,180.0 - - - 17,377.1 79,902.9 24,210.0 * - *
Customer Sell - - - * 61,216.2 33,728.1 - - - 21,892.2 26,506.5 44,844.5 - - - 23,427.1 65,622.6 * * * 19,808.0
Dealer to Dealer - - - - - * - - - * - - - - - - - - * * -
<= $1MM - - - * 5,080.3 7,330.5 - - - * 2,240.0 * - - - * * * * - -
<= $10MM - - - * 54,838.9 48,566.5 - - - 38,974.3 39,305.5 53,406.1 - - - 40,344.3 58,576.4 35,940.0 - - 31,808.0
> $10MM - - - - * - - - - - - * - - - - 86,049.1 - - * -
NUMBER OF TRADES - - - * 24 28 - - - 15 18 20 - - - 11 23 13 * * 9
Customer Buy - - - * 14 13 - - - 6 7 5 - - - 5 11 9 * - *
Customer Sell - - - * 10 14 - - - 8 11 15 - - - 6 12 * * * 5
Dealer to Dealer - - - - - * - - - * - - - - - - - - * * -
<= $1MM - - - * 8 17 - - - * 5 * - - - * * * * - -
<= $10MM - - - * 13 11 - - - 11 13 15 - - - 9 17 10 - - 9
> $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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