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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 98.7 * 98.7 94.7 101.2 * - *
Weighted Avg. Price 100.0 * 98.8 97.1 101.9 * - *
Avg. Price Bottom 5 Trades 88.5 * 95.7 88.5 98.1 * - *
2nd Quartile Price 98.3 * 98.3 90.0 100.6 * - *
3rd Quartile Price 99.2 * 98.8 95.8 101.4 * - *
4th Quartile Price 100.0 * 99.4 99.6 102.0 * - *
Avg. Price Top 5 Trades 104.0 * 100.1 99.6 104.0 * - *
Standard Deviation 2.9 * 1.1 4.5 1.8 * - *
VOLUME OF TRADES (000'S) 514,558.8 * 77,853.4 157,740.9 278,964.5 * - *
Customer Buy 400,385.5 * 21,105.7 131,769.1 247,510.7 - - *
Customer Sell 72,307.0 * 45,513.4 3,222.5 23,571.0 * - *
Dealer to Dealer 41,866.4 - 11,234.3 22,749.3 7,882.8 - - -
<= $1MM 23,086.1 - 14,405.2 4,993.3 3,687.7 - - -
<= $10MM 128,558.1 - 34,448.3 42,183.0 51,926.8 - - -
> $10MM * * * * * * - *
NUMBER OF TRADES 158 * 97 23 38 * - *
Customer Buy 75 * 45 10 20 - - *
Customer Sell 56 * 42 6 8 * - *
Dealer to Dealer 27 - 10 7 10 - - -
<= $1MM 122 - 82 16 24 - - -
<= $10MM 33 - 14 6 13 - - -
> $10MM * * * * * * - *

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 95.0 16.7 98.4 94.5 105.3 97.9 * 104.6 1.2 4.5 5.7 84.3 66.1 - * * - 79.5 * 101.9 - * *
Weighted Avg. Price 95.0 15.6 98.7 92.5 105.5 98.4 * 105.0 1.2 4.4 5.2 88.3 68.4 - * * - 71.2 * 102.0 - * *
Avg. Price Bottom 5 Trades 31.4 0.6 94.7 88.8 104.6 96.4 * 102.8 0.8 4.5 3.5 74.9 62.4 - * * - 54.7 * 101.0 - * *
2nd Quartile Price 93.0 1.5 98.6 89.4 104.7 97.7 * 104.3 1.1 * 4.5 87.8 63.0 - * * - 79.3 * 101.6 - * *
3rd Quartile Price 99.1 4.5 99.1 95.8 105.5 98.3 * 104.9 1.5 * 4.8 90.6 77.3 - * * - 87.5 * 103.0 - * *
4th Quartile Price 100.5 8.1 99.4 106.3 106.4 98.9 * 105.6 1.6 * 8.4 94.3 84.6 - * * - 89.5 * 103.1 - * *
Avg. Price Top 5 Trades 106.6 100.5 99.8 101.2 106.0 99.0 * 106.0 1.6 4.5 8.3 95.5 70.3 - * * - 93.9 * 102.4 - * *
Standard Deviation 12.3 32.6 2.0 7.2 1.1 1.9 * 1.2 0.5 0.7 2.3 14.0 16.0 - * * - 18.5 * 1.1 - * *
VOLUME OF TRADES (000'S) 903,753.0 200,004.4 27,796.9 54,759.0 26,766.3 41,031.4 * 78,939.8 61,371.3 14,485.1 45,493.6 42,017.5 1,800.0 - * * - 92,991.5 * 9,888.2 - * *
Customer Buy 472,467.5 72,276.8 8,443.0 * * 32,370.7 * 47,292.8 25,540.9 * 18,121.3 28,389.5 * - * - - 37,214.5 - 6,109.3 - * *
Customer Sell 421,449.7 127,727.6 19,333.9 54,119.0 16,963.3 8,660.8 * 31,647.0 35,830.4 * 27,372.4 13,628.0 * - * * - 53,777.0 * * - * -
Dealer to Dealer 9,835.8 - * - - - - - - - - - - - - - - * * * - - -
<= $1MM 48,543.7 7,971.8 8,033.0 * * 5,113.1 * 3,232.0 * * 4,646.2 1,419.0 1,800.0 - - - - * * 2,523.6 - - *
<= $10MM 619,845.0 158,714.1 19,763.9 41,300.0 26,756.3 * - 75,707.8 50,375.2 * 40,847.4 40,598.5 - - * * - 66,486.5 - * - * -
> $10MM 235,364.3 * - * - * - - * - - - - - - - - * - - - - -
NUMBER OF TRADES 297 49 27 11 8 16 * 23 14 5 15 16 6 - * * - 21 * 9 - * *
Customer Buy 153 21 9 * * 5 * 13 8 * 5 10 * - * - - 11 - 6 - * *
Customer Sell 136 28 17 9 5 11 * 10 6 * 10 6 * - * * - 9 * * - * -
Dealer to Dealer 8 - * - - - - - - - - - - - - - - * * * - - -
<= $1MM 131 10 21 * * 12 * 12 * * 5 8 6 - - - - * * 5 - - *
<= $10MM 152 37 6 8 7 * - 11 12 * 10 8 - - * * - 17 - * - * -
> $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 * - - 94.5 99.0 100.8 - - - 96.0 96.0 100.6 - - - 90.5 94.4 101.9 - * *
Weighted Avg. Price * - - 94.0 99.4 100.5 - - - 94.6 95.4 101.1 - - - 89.7 95.4 102.9 - * *
Avg. Price Bottom 5 Trades * - - 94.5 97.7 99.8 - - - 93.9 88.3 99.2 - - - 83.4 84.9 99.8 - * *
2nd Quartile Price * - - * 99.2 100.2 - - - 97.5 92.2 100.3 - - - 88.0 96.5 100.6 - * *
3rd Quartile Price * - - * 99.8 100.3 - - - 98.0 99.8 100.5 - - - 92.5 97.5 102.6 - * *
4th Quartile Price * - - * 100.0 100.6 - - - 99.1 99.9 101.6 - - - 95.0 97.9 103.6 - * *
Avg. Price Top 5 Trades * - - 94.5 99.9 103.1 - - - 98.5 100.0 102.2 - - - 94.8 98.8 104.0 - * *
Standard Deviation * - - 2.6 1.4 1.4 - - - 3.6 5.6 1.5 - - - 4.9 7.0 1.8 - * *
VOLUME OF TRADES (000'S) * - - 22,957.0 102,872.9 64,864.2 - - - 12,830.0 67,961.8 50,980.7 - - - 48,704.9 86,341.3 67,516.0 - * *
Customer Buy - - - * 39,604.4 31,541.2 - - - * 43,990.0 31,814.5 - - - 31,162.5 40,753.6 56,898.6 - - *
Customer Sell * - - * * 30,163.0 - - - 6,100.0 23,971.7 19,166.2 - - - 17,542.3 45,587.7 7,617.4 - * *
Dealer to Dealer - - - - - * - - - - - - - - - - - * - - -
<= $1MM * - - * * 4,090.2 - - - * 1,852.7 2,613.2 - - - 3,370.8 * 3,562.0 - - -
<= $10MM - - - * 15,904.9 50,443.3 - - - 9,700.0 53,419.0 48,367.5 - - - 45,334.0 55,144.4 49,129.0 - * *
> $10MM - - - * * * - - - - * - - - - - * * - * -
NUMBER OF TRADES * - - 5 13 25 - - - 9 21 19 - - - 19 19 22 - * *
Customer Buy - - - * 10 15 - - - * 11 10 - - - 11 10 15 - - *
Customer Sell * - - * * 8 - - - 5 10 9 - - - 8 9 6 - * *
Dealer to Dealer - - - - - * - - - - - - - - - - - * - - -
<= $1MM * - - * * 11 - - - * 6 9 - - - 6 * 9 - - -
<= $10MM - - - * 6 13 - - - 5 14 10 - - - 13 14 12 - * *
> $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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