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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 96.2 - 96.3 90.6 98.6 - - -
Weighted Avg. Price 97.5 - 97.8 89.2 99.1 - - -
Avg. Price Bottom 5 Trades 84.5 - 91.8 84.5 96.4 - - -
2nd Quartile Price 95.8 - 95.2 87.9 97.6 - - -
3rd Quartile Price 98.1 - 97.8 90.3 98.9 - - -
4th Quartile Price 99.1 - 98.6 98.2 100.0 - - -
Avg. Price Top 5 Trades 100.9 - 99.1 96.6 100.9 - - -
Standard Deviation 4.6 - 2.9 6.8 1.6 - - -
VOLUME OF TRADES (000'S) 315,863.3 - 47,876.2 43,900.4 224,086.7 - - -
Customer Buy 210,515.5 - 8,798.4 38,286.1 163,431.0 - - -
Customer Sell 40,837.2 - 36,531.5 * * - - -
Dealer to Dealer 64,510.6 - 2,546.4 * 60,651.7 - - -
<= $1MM 10,945.8 - 4,305.4 5,402.6 1,237.8 - - -
<= $10MM 82,606.1 - 18,404.5 13,497.8 50,703.8 - - -
> $10MM 222,311.4 - * * 172,145.1 - - -
NUMBER OF TRADES 71 - 25 14 32 - - -
Customer Buy 37 - 11 8 18 - - -
Customer Sell 14 - 8 * * - - -
Dealer to Dealer 20 - 6 * 12 - - -
<= $1MM 37 - 14 8 15 - - -
<= $10MM 26 - 10 5 11 - - -
> $10MM 8 - * * 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 96.7 24.9 98.5 * 103.6 97.5 90.1 103.9 * * * * - * - - - 84.2 * * - - -
Weighted Avg. Price 99.1 6.1 98.4 * 105.2 97.4 90.4 104.1 * * * * - * - - - 94.0 * * - - -
Avg. Price Bottom 5 Trades 64.8 24.9 98.0 * 101.3 96.6 89.1 103.2 * * * * - * - - - 74.9 * * - - -
2nd Quartile Price 95.3 * 98.2 * 103.0 97.8 89.0 103.4 * * * * - * - - - 79.0 * * - - -
3rd Quartile Price 99.6 * 98.5 * 103.8 98.0 91.2 103.8 * * * * - * - - - 85.3 * * - - -
4th Quartile Price 102.9 * 99.4 * 104.3 98.7 92.9 104.8 * * * * - * - - - 97.8 * * - - -
Avg. Price Top 5 Trades 106.3 24.9 99.0 * 105.8 98.5 91.2 105.1 * * * * - * - - - 93.5 * * - - -
Standard Deviation 9.1 42.5 0.7 * 2.6 1.9 2.5 0.7 * * * * - * - - - 10.7 * * - - -
VOLUME OF TRADES (000'S) 653,418.4 225,737.0 31,815.5 * 85,305.0 17,185.2 33,628.0 125,999.6 * * * * - * - - - 77,865.3 * * - - -
Customer Buy 372,747.5 * * * 59,705.0 7,553.1 * 87,085.6 - * - * - * - - - 37,952.2 * * - - -
Customer Sell 249,611.6 * 20,575.0 * * * * 38,914.0 * * * * - * - - - * * - - - -
Dealer to Dealer 31,059.3 - - - * - - - - - - - - - - - - * - - - - -
<= $1MM 22,660.0 * * * 2,575.0 * * * - - - * - * - - - 1,357.5 - - - - -
<= $10MM 317,573.8 - 29,575.0 * 20,430.0 16,679.2 16,533.0 68,954.8 - - - * - * - - - * * * - - -
> $10MM 313,184.6 * - - * - * * * * * - - - - - - * - - - - -
NUMBER OF TRADES 157 5 9 * 16 9 7 23 * * * * - * - - - 11 * * - - -
Customer Buy 95 * * * 12 5 * 15 - * - * - * - - - 6 * * - - -
Customer Sell 55 * 5 * * * * 8 * * * * - * - - - * * - - - -
Dealer to Dealer 7 - - - * - - - - - - - - - - - - * - - - - -
<= $1MM 57 * * * 8 * * * - - - * - * - - - 5 - - - - -
<= $10MM 86 - 5 * 5 6 5 19 - - - * - * - - - * * * - - -
> $10MM 14 * - - * - * * * * * - - - - - - * - - - - -

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 - - - * 97.9 100.2 - - - * * 99.7 - - - * 91.8 100.2 - - *
Weighted Avg. Price - - - * 96.5 101.1 - - - * * 99.7 - - - * 90.6 99.9 - - *
Avg. Price Bottom 5 Trades - - - * 96.3 99.0 - - - * * 98.2 - - - * 90.5 99.2 - - *
2nd Quartile Price - - - * 99.6 100.0 - - - * * 99.5 - - - * 94.6 99.8 - - *
3rd Quartile Price - - - * 99.9 100.4 - - - * * 100.0 - - - * 94.8 100.4 - - *
4th Quartile Price - - - * 100.0 101.3 - - - * * 100.2 - - - * 99.5 100.5 - - *
Avg. Price Top 5 Trades - - - * 99.5 101.3 - - - * * 100.9 - - - * 93.4 101.2 - - *
Standard Deviation - - - * 4.1 1.3 - - - * * 1.7 - - - * 6.9 1.2 - - *
VOLUME OF TRADES (000'S) - - - * 9,450.9 53,631.0 - - - * * 29,984.2 - - - * 20,100.0 107,130.0 - - *
Customer Buy - - - * * 44,156.5 - - - * * 27,711.5 - - - * * 50,930.0 - - *
Customer Sell - - - * 4,049.4 9,474.5 - - - * * * - - - * * * - - -
Dealer to Dealer - - - - - - - - - - * - - - - - - * - - -
<= $1MM - - - - 2,765.8 4,906.4 - - - * - 2,088.8 - - - * * 2,600.0 - - *
<= $10MM - - - * * 23,724.6 - - - - * 27,895.5 - - - - 20,000.0 32,730.0 - - -
> $10MM - - - - - * - - - - * - - - - - - * - - -
NUMBER OF TRADES - - - * 9 14 - - - * * 14 - - - * 7 13 - - *
Customer Buy - - - * * 8 - - - * * 13 - - - * * 8 - - *
Customer Sell - - - * 5 6 - - - * * * - - - * * * - - -
Dealer to Dealer - - - - - - - - - - * - - - - - - * - - -
<= $1MM - - - - 6 7 - - - * - 7 - - - * * 5 - - *
<= $10MM - - - * * 6 - - - - * 7 - - - - 6 6 - - -
> $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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