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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 94.3 21.9 96.5 87.9 99.7 * 6.3 *
Weighted Avg. Price 94.7 76.4 98.2 90.5 99.6 * 6.3 *
Avg. Price Bottom 5 Trades 80.8 6.1 93.6 81.0 97.2 * 6.2 *
2nd Quartile Price 88.9 6.6 97.1 84.3 100.0 * 6.6 *
3rd Quartile Price 97.6 6.9 98.0 87.4 100.3 * 6.6 *
4th Quartile Price 100.1 90.5 98.7 91.0 100.4 * 6.9 *
Avg. Price Top 5 Trades 101.1 40.8 98.7 95.7 101.1 * 6.5 *
Standard Deviation 6.9 34.0 4.2 5.7 2.1 * 0.5 *
VOLUME OF TRADES (000'S) 315,246.2 27,172.0 27,845.5 164,686.5 122,714.2 * 2,807.3 *
Customer Buy 145,403.3 * 3,699.9 97,373.3 44,330.1 * * -
Customer Sell 104,899.6 15,049.6 24,008.1 * 65,054.0 * * *
Dealer to Dealer 64,943.2 - * 51,475.7 13,330.1 - - -
<= $1MM 6,005.4 4,631.6 1,045.5 1,655.9 3,304.0 - 2,807.3 *
<= $10MM 129,240.8 - 26,800.0 48,030.6 54,410.2 - - -
> $10MM 180,000.0 * - 115,000.0 * * - -
NUMBER OF TRADES 60 11 13 24 23 * 6 *
Customer Buy 22 * 5 12 5 * * -
Customer Sell 23 8 6 * 13 * * *
Dealer to Dealer 15 - * 8 5 - - -
<= $1MM 25 9 5 10 10 - 6 *
<= $10MM 27 - 8 9 10 - - -
> $10MM 8 * - 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 91.1 - 97.3 86.0 103.4 98.4 * 104.1 - - - 96.0 77.3 * - - - 71.1 - - - - -
Weighted Avg. Price 94.2 - 97.4 85.9 104.1 98.8 * 104.5 - - - 97.5 76.3 * - - - 56.9 - - - - -
Avg. Price Bottom 5 Trades 18.4 - 96.7 85.7 102.9 98.0 * 102.2 - - - 94.1 74.2 * - - - 18.4 - - - - -
2nd Quartile Price 86.0 - 97.8 86.0 102.7 98.3 * 103.6 - - - 94.3 64.0 * - - - 77.0 - - - - -
3rd Quartile Price 97.7 - 98.2 86.1 103.7 98.5 * 104.2 - - - 96.7 84.8 * - - - 82.7 - - - - -
4th Quartile Price 100.3 - 99.0 87.3 105.7 99.3 * 105.0 - - - 97.4 86.1 * - - - 90.9 - - - - -
Avg. Price Top 5 Trades 106.0 - 98.3 86.2 103.6 98.9 * 105.8 - - - 97.6 85.6 * - - - 92.9 - - - - -
Standard Deviation 17.8 - 2.2 0.8 1.2 0.7 * 1.3 - - - 2.0 11.5 * - - - 29.7 - - - - -
VOLUME OF TRADES (000'S) 656,564.0 - 4,571.0 8,851.0 8,263.0 9,447.1 * 160,885.0 - - - 12,074.7 62,050.0 * - - - 18,894.1 - - - - -
Customer Buy 311,664.8 - * - * * * 58,914.0 - - - 6,267.0 32,525.0 * - - - 9,108.0 - - - - -
Customer Sell 307,957.2 - * 8,851.0 * 3,689.4 * 71,971.0 - - - * * * - - - 9,196.1 - - - - -
Dealer to Dealer 36,942.0 - - - - - - * - - - * - - - - - 590.0 - - - - -
<= $1MM 29,836.3 - 2,815.0 * * 3,384.7 * 3,032.0 - - - 1,797.7 - - - - - 1,738.1 - - - - -
<= $10MM 365,577.6 - * * * * * 42,800.0 - - - * 29,500.0 * - - - * - - - - -
> $10MM 261,150.0 - - - - - - 115,053.0 - - - - * - - - - - - - - - -
NUMBER OF TRADES 199 - 7 6 6 9 * 26 - - - 12 8 * - - - 33 - - - - -
Customer Buy 77 - * - * * * 10 - - - 5 5 * - - - 5 - - - - -
Customer Sell 98 - * 6 * 5 * 14 - - - * * * - - - 12 - - - - -
Dealer to Dealer 24 - - - - - - * - - - * - - - - - 16 - - - - -
<= $1MM 95 - 6 * * 6 * 11 - - - 8 - - - - - 29 - - - - -
<= $10MM 85 - * * * * * 7 - - - * 5 * - - - * - - - - -
> $10MM 19 - - - - - - 8 - - - - * - - - - - - - - - -

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 - - - * 99.5 100.8 - - - - 88.9 100.7 - - - 73.2 90.8 99.6 - - -
Weighted Avg. Price - - - * 99.6 100.9 - - - - 88.6 100.3 - - - 90.7 85.0 99.7 - - -
Avg. Price Bottom 5 Trades - - - * 98.9 99.7 - - - - 82.1 99.3 - - - 73.2 78.8 99.6 - - -
2nd Quartile Price - - - * 99.7 100.1 - - - - 83.3 100.3 - - - * 91.6 * - - -
3rd Quartile Price - - - * 100.0 100.2 - - - - 85.8 100.5 - - - * 96.6 * - - -
4th Quartile Price - - - * 100.1 101.7 - - - - 100.2 102.7 - - - * 98.0 * - - -
Avg. Price Top 5 Trades - - - * 100.1 102.6 - - - - 99.2 102.1 - - - 73.2 99.7 99.6 - - -
Standard Deviation - - - * 1.2 1.6 - - - - 8.2 2.4 - - - 17.6 10.6 0.2 - - -
VOLUME OF TRADES (000'S) - - - * 25,616.2 110,084.7 - - - - 82,595.8 35,160.0 - - - 12,108.0 66,737.4 13,000.0 - - -
Customer Buy - - - * * 75,265.8 - - - - * 23,410.0 - - - 5,804.0 35,913.0 * - - -
Customer Sell - - - * 24,616.2 34,818.8 - - - - 54,490.5 * - - - * 27,224.4 * - - -
Dealer to Dealer - - - - - - - - - - - - - - - - * - - - -
<= $1MM - - - * * * - - - - * * - - - 1,356.8 4,241.4 * - - -
<= $10MM - - - * 24,229.4 56,102.7 - - - - 56,275.9 22,000.0 - - - * 40,061.0 * - - -
> $10MM - - - - - * - - - - * * - - - - * - - - -
NUMBER OF TRADES - - - * 9 16 - - - - 14 9 - - - 8 20 5 - - -
Customer Buy - - - * * 10 - - - - * 5 - - - 5 8 * - - -
Customer Sell - - - * 8 6 - - - - 10 * - - - * 10 * - - -
Dealer to Dealer - - - - - - - - - - - - - - - - * - - - -
<= $1MM - - - * * * - - - - * * - - - 6 8 * - - -
<= $10MM - - - * 7 10 - - - - 11 7 - - - * 10 * - - -
> $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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