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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 93.5 * 97.4 78.2 98.2 - * -
Weighted Avg. Price 97.5 * 98.1 90.3 98.1 - * -
Avg. Price Bottom 5 Trades 62.0 * 91.6 62.0 80.2 - * -
2nd Quartile Price 94.8 * 97.5 63.1 98.8 - * -
3rd Quartile Price 98.6 * 98.6 80.3 100.3 - * -
4th Quartile Price 100.0 * 99.1 95.3 101.3 - * -
Avg. Price Top 5 Trades 103.6 * 99.5 97.9 103.6 - * -
Standard Deviation 11.8 * 2.7 14.8 7.5 - * -
VOLUME OF TRADES (000'S) 293,947.1 * 122,455.2 22,584.5 148,907.3 - * -
Customer Buy 108,111.2 * 34,984.0 12,100.8 61,026.3 - * -
Customer Sell 98,591.4 * 66,231.1 4,285.8 28,074.6 - * -
Dealer to Dealer 87,244.5 - 21,240.1 6,197.9 59,806.4 - - -
<= $1MM 21,520.1 - 11,663.2 7,142.0 2,714.9 - - -
<= $10MM 190,380.0 - 43,745.0 * 131,192.4 - - -
> $10MM 82,047.0 * * - * - * -
NUMBER OF TRADES 158 * 59 35 64 - * -
Customer Buy 60 * 20 8 32 - * -
Customer Sell 43 * 22 9 12 - * -
Dealer to Dealer 55 - 17 18 20 - - -
<= $1MM 108 - 40 31 37 - - -
<= $10MM 45 - 15 * 26 - - -
> $10MM 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 93.6 * 98.4 * * 98.2 90.1 104.8 - - * 94.5 * - - - - 83.7 - - - - -
Weighted Avg. Price 94.9 * 97.7 * * 98.0 90.0 104.6 - - * 94.2 * - - - - 83.7 - - - - -
Avg. Price Bottom 5 Trades 21.0 * 97.1 * * 96.9 88.6 103.1 - - * 89.6 * - - - - 56.7 - - - - -
2nd Quartile Price 94.1 * 98.0 * * 97.7 89.4 103.6 - - * 93.5 * - - - - 78.8 - - - - -
3rd Quartile Price 98.3 * 98.3 * * 98.2 90.4 105.1 - - * 96.1 * - - - - 86.8 - - - - -
4th Quartile Price 100.4 * 99.5 * * 99.3 96.5 105.9 - - * 96.8 * - - - - 95.0 - - - - -
Avg. Price Top 5 Trades 107.4 * 99.6 * * 99.4 91.7 106.6 - - * 97.4 * - - - - 95.6 - - - - -
Standard Deviation 15.9 * 1.1 * * 1.0 3.5 1.4 - - * 3.2 * - - - - 13.9 - - - - -
VOLUME OF TRADES (000'S) 1,533,389.5 * 91,061.0 * * 41,016.0 27,611.2 197,537.0 - - * 83,712.3 * - - - - 148,484.4 - - - - -
Customer Buy 615,997.9 * 66,483.7 - - * * 84,418.0 - - * 39,459.3 * - - - - 67,509.6 - - - - -
Customer Sell 904,956.6 - 24,350.4 * * 18,146.5 18,503.5 113,119.0 - - - 44,253.1 * - - - - 80,974.8 - - - - -
Dealer to Dealer 12,435.0 - * - * * - - - - - - * - - - - - - - - - -
<= $1MM 55,487.7 * 5,054.8 * * 5,183.0 * * - - - 1,403.3 - - - - - 3,130.2 - - - - -
<= $10MM 635,224.2 - 32,090.7 - * * * 23,374.0 - - - 82,309.0 * - - - - 131,283.2 - - - - -
> $10MM 842,677.5 * * - * * - 172,591.0 - - * - - - - - - * - - - - -
NUMBER OF TRADES 325 * 24 * * 17 7 21 - - * 23 * - - - - 36 - - - - -
Customer Buy 125 * 9 - - * * 10 - - * 9 * - - - - 16 - - - - -
Customer Sell 191 - 12 * * 12 5 11 - - - 14 * - - - - 20 - - - - -
Dealer to Dealer 9 - * - * * - - - - - - * - - - - - - - - - -
<= $1MM 134 * 14 * * 14 * * - - - 8 - - - - - 6 - - - - -
<= $10MM 167 - 7 - * * * 7 - - - 15 * - - - - 29 - - - - -
> $10MM 24 * * - * * - 10 - - * - - - - - - * - - - - -

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 - - - 97.4 91.6 100.5 - - - 88.8 96.1 100.4 - - - 52.5 90.4 100.7 - - *
Weighted Avg. Price - - - 94.9 91.7 100.6 - - - 85.7 95.5 100.6 - - - 64.2 88.9 101.2 - - *
Avg. Price Bottom 5 Trades - - - 97.4 87.9 97.3 - - - 77.5 90.8 98.1 - - - 41.4 82.5 99.8 - - *
2nd Quartile Price - - - * 88.6 100.2 - - - 86.2 95.7 99.9 - - - - 83.5 100.2 - - *
3rd Quartile Price - - - * 92.5 100.4 - - - 95.3 98.3 100.3 - - - 76.9 93.1 100.4 - - *
4th Quartile Price - - - * 98.1 100.6 - - - 97.0 99.9 100.7 - - - 77.1 97.1 100.8 - - *
Avg. Price Top 5 Trades - - - 97.4 95.5 103.6 - - - 96.3 99.9 102.8 - - - 83.6 97.8 102.5 - - *
Standard Deviation - - - 2.6 5.3 1.7 - - - 11.1 5.1 1.4 - - - 40.4 6.7 1.1 - - *
VOLUME OF TRADES (000'S) - - - 32,435.6 26,748.3 89,267.7 - - - 37,655.0 495,735.1 83,963.0 - - - 42,446.4 40,734.2 57,083.2 - - *
Customer Buy - - - * * 43,333.0 - - - 16,923.0 * 28,965.6 - - - 24,764.0 24,773.0 18,027.3 - - *
Customer Sell - - - * 26,626.4 45,934.7 - - - 13,232.0 331,225.1 54,997.3 - - - 17,682.3 15,961.1 39,055.9 - - -
Dealer to Dealer - - - - - - - - - * - - - - - - - - - - -
<= $1MM - - - * 2,103.3 9,614.2 - - - * 3,668.2 6,415.2 - - - * 4,171.4 4,058.4 - - *
<= $10MM - - - - * 51,653.5 - - - 35,410.0 12,066.9 77,547.8 - - - 41,099.4 36,562.8 53,024.8 - - -
> $10MM - - - * * * - - - - * - - - - - - - - - -
NUMBER OF TRADES - - - 5 9 49 - - - 13 17 39 - - - 17 15 23 - - *
Customer Buy - - - * * 18 - - - 6 * 13 - - - 11 9 9 - - *
Customer Sell - - - * 7 31 - - - 5 13 26 - - - 6 6 14 - - -
Dealer to Dealer - - - - - - - - - * - - - - - - - - - - -
<= $1MM - - - * 6 28 - - - * 7 15 - - - * 6 9 - - *
<= $10MM - - - - * 19 - - - 10 7 24 - - - 15 9 14 - - -
> $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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