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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 97.5 * 98.2 93.1 99.4 - * -
Weighted Avg. Price 97.7 * 98.8 93.8 98.1 - * -
Avg. Price Bottom 5 Trades 87.2 * 97.1 87.2 95.5 - * -
2nd Quartile Price 97.3 * 97.8 87.4 97.7 - * -
3rd Quartile Price 98.6 * 98.5 99.9 100.1 - * -
4th Quartile Price 100.0 * 99.3 100.7 101.7 - * -
Avg. Price Top 5 Trades 102.4 * 99.3 97.2 102.4 - * -
Standard Deviation 4.5 * 1.1 6.5 3.6 - * -
VOLUME OF TRADES (000'S) 281,024.9 * 49,854.1 36,049.1 195,121.7 - * -
Customer Buy 171,597.0 * 31,993.8 20,438.4 119,164.7 - * -
Customer Sell 68,154.0 * * - 50,957.0 - * -
Dealer to Dealer 41,273.9 - * * * - - -
<= $1MM 4,913.3 - 3,736.3 - 1,177.0 - - -
<= $10MM 48,125.2 - * 36,049.1 * - - -
> $10MM 227,986.5 * * - 186,444.7 - * -
NUMBER OF TRADES 44 * 18 10 16 - * -
Customer Buy 27 * 12 6 9 - * -
Customer Sell 10 * * - 6 - * -
Dealer to Dealer 7 - * * * - - -
<= $1MM 20 - 12 - 8 - - -
<= $10MM 15 - * 10 * - - -
> $10MM 9 * * - 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 94.1 * * 97.4 - 98.1 * 103.7 * - - 91.1 - * - - - 83.2 - - - - *
Weighted Avg. Price 92.9 * * 101.0 - 98.7 * 104.3 * - - 91.4 - * - - - 80.8 - - - - *
Avg. Price Bottom 5 Trades 58.4 * * 97.4 - 97.0 * 103.7 * - - 87.6 - * - - - 80.8 - - - - *
2nd Quartile Price 90.9 * * * - 98.3 * * * - - 90.1 - * - - - 84.9 - - - - *
3rd Quartile Price 98.3 * * * - 99.0 * * * - - 91.3 - * - - - 86.0 - - - - *
4th Quartile Price 100.1 * * * - 99.3 * * * - - 92.8 - * - - - 86.2 - - - - *
Avg. Price Top 5 Trades 104.7 * * 97.4 - 99.1 * 103.7 * - - 94.1 - * - - - 85.8 - - - - *
Standard Deviation 11.4 * * 7.2 - 1.9 * 1.4 * - - 3.7 - * - - - 4.2 - - - - *
VOLUME OF TRADES (000'S) 280,567.7 * * 20,888.0 - 9,693.0 * 23,655.0 * - - 16,220.0 - * - - - 7,595.0 - - - - *
Customer Buy 165,001.6 * * * - 4,411.8 * * * - - * - * - - - * - - - - *
Customer Sell 90,406.1 - - * - 5,281.1 - * - - - 7,160.0 - - - - - * - - - - -
Dealer to Dealer 25,160.0 - - - - - - - - - - 5,380.0 - * - - - * - - - - -
<= $1MM 24,970.5 - * * - 3,411.4 * - - - - 7,040.0 - - - - - 1,595.0 - - - - -
<= $10MM 240,597.3 * * * - * * * - - - 9,180.0 - * - - - * - - - - *
> $10MM * * - - - - - * * - - - - - - - - - - - - - -
NUMBER OF TRADES 114 * * 5 - 10 * 5 * - - 21 - * - - - 9 - - - - *
Customer Buy 64 * * * - 5 * * * - - * - * - - - * - - - - *
Customer Sell 33 - - * - 5 - * - - - 8 - - - - - * - - - - -
Dealer to Dealer 17 - - - - - - - - - - 10 - * - - - * - - - - -
<= $1MM 52 - * * - 7 * - - - - 16 - - - - - 7 - - - - -
<= $10MM 61 * * * - * * * - - - 5 - * - - - * - - - - *
> $10MM * * - - - - - * * - - - - - - - - - - - - - -

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 - - - * * 100.6 - - - * * 99.7 - - - 62.8 * 100.5 - - -
Weighted Avg. Price - - - * * 101.0 - - - * * 99.5 - - - 55.4 * 100.3 - - -
Avg. Price Bottom 5 Trades - - - * * 99.4 - - - * * 99.3 - - - 62.8 * 99.9 - - -
2nd Quartile Price - - - * * 100.0 - - - * * 100.0 - - - * * 100.1 - - -
3rd Quartile Price - - - * * 100.1 - - - * * 100.1 - - - * * 100.3 - - -
4th Quartile Price - - - * * 102.7 - - - * * 100.5 - - - * * 100.5 - - -
Avg. Price Top 5 Trades - - - * * 102.3 - - - * * 100.2 - - - 62.8 * 100.8 - - -
Standard Deviation - - - * * 1.9 - - - * * 0.8 - - - 23.6 * 1.1 - - -
VOLUME OF TRADES (000'S) - - - * * 43,018.3 - - - * * 33,373.4 - - - 38,410.0 * 33,175.0 - - -
Customer Buy - - - * * 38,908.3 - - - * - 15,773.4 - - - * * 12,910.0 - - -
Customer Sell - - - - - * - - - * * * - - - * - 17,265.0 - - -
Dealer to Dealer - - - - - - - - - * * * - - - - - * - - -
<= $1MM - - - - * * - - - * * * - - - - - 4,005.0 - - -
<= $10MM - - - * * 41,805.3 - - - - - 31,873.4 - - - 38,410.0 * 29,170.0 - - -
> $10MM - - - - - - - - - - - - - - - - - - - - -
NUMBER OF TRADES - - - * * 12 - - - * * 10 - - - 7 * 14 - - -
Customer Buy - - - * * 10 - - - * - 7 - - - * * 8 - - -
Customer Sell - - - - - * - - - * * * - - - * - 5 - - -
Dealer to Dealer - - - - - - - - - * * * - - - - - * - - -
<= $1MM - - - - * * - - - * * * - - - - - 5 - - -
<= $10MM - - - * * 8 - - - - - 8 - - - 7 * 9 - - -
> $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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