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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 94.9 * 96.0 86.8 97.2 - * *
Weighted Avg. Price 96.4 * 97.1 90.1 97.7 - * *
Avg. Price Bottom 5 Trades 76.3 * 86.6 77.4 87.8 - * *
2nd Quartile Price 93.2 * 94.5 86.0 96.1 - * *
3rd Quartile Price 97.3 * 98.0 88.3 98.4 - * *
4th Quartile Price 98.8 * 98.8 91.9 99.4 - * *
Avg. Price Top 5 Trades 100.9 * 99.8 93.5 101.1 - * *
Standard Deviation 6.1 * 4.6 7.0 4.0 - * *
VOLUME OF TRADES (000'S) 686,826.8 * 206,261.2 103,639.5 376,926.1 - * *
Customer Buy 466,726.8 * 140,071.0 25,659.4 300,996.4 - - *
Customer Sell 119,953.4 * 48,275.6 71,084.3 593.6 - * -
Dealer to Dealer 100,146.6 * 17,914.6 6,895.7 75,336.2 - - *
<= $1MM 17,963.9 - 10,013.2 3,834.6 4,116.1 - - -
<= $10MM 192,129.5 - 69,370.2 22,304.9 100,454.4 - - -
> $10MM 476,733.4 * * * 272,355.6 - * *
NUMBER OF TRADES 112 * 45 19 48 - * *
Customer Buy 54 * 22 7 25 - - *
Customer Sell 27 * 14 6 7 - * -
Dealer to Dealer 31 * 9 6 16 - - *
<= $1MM 51 - 25 10 16 - - -
<= $10MM 47 - 16 7 24 - - -
> $10MM 14 * * * 8 - * *

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 95.7 * 96.5 88.7 102.3 * * 103.1 - - - * * * - - - * * - - - -
Weighted Avg. Price 95.3 * 95.8 88.7 102.6 * * 102.1 - - - * * * - - - * * - - - -
Avg. Price Bottom 5 Trades 63.1 * 93.4 88.7 102.1 * * 101.1 - - - * * * - - - * * - - - -
2nd Quartile Price 93.7 * 95.8 * 102.6 * * 102.4 - - - * * * - - - * * - - - -
3rd Quartile Price 99.3 * 97.6 * 103.5 * * 103.3 - - - * * * - - - * * - - - -
4th Quartile Price 100.1 * 98.5 * 103.6 * * 104.4 - - - * * * - - - * * - - - -
Avg. Price Top 5 Trades 104.7 * 98.9 88.7 103.0 * * 104.7 - - - * * * - - - * * - - - -
Standard Deviation 9.2 * 2.7 4.3 1.8 * * 1.6 - - - * * * - - - * * - - - -
VOLUME OF TRADES (000'S) 583,395.7 * 64,747.3 13,476.0 46,864.0 * * 77,902.5 - - - * * * - - - * * - - - -
Customer Buy 374,805.5 * 57,107.3 13,476.0 36,864.0 * * 54,727.5 - - - * * * - - - * * - - - -
Customer Sell 160,267.7 - * - * * - * - - - * - * - - - - * - - - -
Dealer to Dealer 48,322.4 - - - - - - - - - - - - - - - - - - - - - -
<= $1MM 25,942.4 - 3,468.0 * * * - 5,646.8 - - - * - - - - - - - - - - -
<= $10MM 387,603.7 * 50,839.3 * * * * 35,705.7 - - - * * * - - - * * - - - -
> $10MM 169,849.6 - * - * - - * - - - - - - - - - - - - - - -
NUMBER OF TRADES 152 * 16 5 6 * * 20 - - - * * * - - - * * - - - -
Customer Buy 106 * 15 5 5 * * 18 - - - * * * - - - * * - - - -
Customer Sell 36 - * - * * - * - - - * - * - - - - * - - - -
Dealer to Dealer 10 - - - - - - - - - - - - - - - - - - - - - -
<= $1MM 48 - 7 * * * - 12 - - - * - - - - - - - - - - -
<= $10MM 92 * 8 * * * * 5 - - - * * * - - - * * - - - -
> $10MM 12 - * - * - - * - - - - - - - - - - - - - - -

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 - - - * 99.8 99.7 - - - 93.6 97.7 99.3 - - - 71.5 95.4 100.5 - - *
Weighted Avg. Price - - - * 99.7 99.3 - - - 92.7 96.9 99.9 - - - 76.3 96.6 100.9 - - *
Avg. Price Bottom 5 Trades - - - * 99.8 98.2 - - - 91.8 94.1 97.9 - - - 64.4 95.4 99.6 - - *
2nd Quartile Price - - - * * 99.5 - - - 90.8 97.0 99.8 - - - 64.5 * 100.2 - - *
3rd Quartile Price - - - * * 100.0 - - - 96.4 99.4 100.0 - - - 75.9 * 100.5 - - *
4th Quartile Price - - - * * 100.1 - - - 99.7 99.9 100.4 - - - 90.4 * 102.6 - - *
Avg. Price Top 5 Trades - - - * 99.8 100.8 - - - 94.9 99.8 100.5 - - - 76.8 95.4 101.3 - - *
Standard Deviation - - - * 0.1 1.3 - - - 3.8 3.0 2.0 - - - 15.0 4.8 1.6 - - *
VOLUME OF TRADES (000'S) - - - * 12,506.1 65,999.3 - - - 32,425.8 64,761.3 32,066.6 - - - 54,673.5 8,030.0 26,310.0 - - *
Customer Buy - - - * * 37,325.3 - - - * 25,305.9 25,100.6 - - - 36,754.1 * 16,310.0 - - *
Customer Sell - - - * * 16,417.0 - - - * 9,188.4 * - - - * * * - - -
Dealer to Dealer - - - - - * - - - - * - - - - * - * - - -
<= $1MM - - - * * * - - - * 4,740.0 * - - - * * * - - -
<= $10MM - - - * * 51,795.7 - - - * 30,254.3 30,971.0 - - - 41,742.2 * 25,310.0 - - *
> $10MM - - - * - * - - - * * - - - - * - - - - -
NUMBER OF TRADES - - - * 5 21 - - - 7 17 12 - - - 9 5 9 - - *
Customer Buy - - - * * 11 - - - * 8 8 - - - 5 * 7 - - *
Customer Sell - - - * * 6 - - - * 5 * - - - * * * - - -
Dealer to Dealer - - - - - * - - - - * - - - - * - * - - -
<= $1MM - - - * * * - - - * 9 * - - - * * * - - -
<= $10MM - - - * * 16 - - - * 6 9 - - - 7 * 8 - - *
> $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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