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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 92.4 * 92.3 85.1 98.4 * * -
Weighted Avg. Price 93.1 * 94.5 89.8 97.5 * * -
Avg. Price Bottom 5 Trades 71.0 * 78.2 71.0 93.1 * * -
2nd Quartile Price 89.0 * 90.5 78.3 97.6 * * -
3rd Quartile Price 94.5 * 93.8 88.3 99.2 * * -
4th Quartile Price 98.4 * 97.4 93.5 100.9 * * -
Avg. Price Top 5 Trades 101.8 * 98.9 94.9 101.8 * * -
Standard Deviation 8.1 * 6.4 9.5 3.4 * * -
VOLUME OF TRADES (000'S) 256,170.5 * 76,806.0 115,269.1 64,095.5 * * -
Customer Buy 126,158.0 * 50,044.2 30,684.1 45,429.7 * * -
Customer Sell 15,647.5 - 6,447.3 * 4,039.0 - - -
Dealer to Dealer 114,365.0 - 20,314.5 79,423.7 14,626.8 - - -
<= $1MM 23,572.1 - 16,024.7 4,364.3 3,183.1 - - -
<= $10MM 150,211.0 - 48,311.8 40,986.8 60,912.4 - - -
> $10MM * * * * - * * -
NUMBER OF TRADES 119 * 59 27 33 * * -
Customer Buy 42 * 20 10 12 * * -
Customer Sell 23 - 14 * 6 - - -
Dealer to Dealer 54 - 25 14 15 - - -
<= $1MM 83 - 48 15 20 - - -
<= $10MM 32 - 10 9 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 93.3 * 97.5 89.0 103.6 98.1 * 103.9 - * - 90.6 - * - - - 86.9 * - - * -
Weighted Avg. Price 94.4 * 96.2 86.8 104.0 97.9 * 104.7 - * - 89.9 - * - - - 81.7 * - - * -
Avg. Price Bottom 5 Trades 46.0 * 94.5 88.6 102.2 97.7 * 102.7 - * - 85.8 - * - - - 82.5 * - - * -
2nd Quartile Price 91.5 * 96.4 90.5 103.8 97.8 * 103.5 - * - 87.5 - * - - - 82.0 * - - * -
3rd Quartile Price 97.8 * 98.1 90.6 104.0 98.5 * 103.8 - * - 91.3 - * - - - 90.0 * - - * -
4th Quartile Price 99.7 * 98.8 90.7 105.8 99.1 * 105.8 - * - 93.4 - * - - - 95.0 * - - * -
Avg. Price Top 5 Trades 105.9 * 99.5 89.7 105.0 98.4 * 105.3 - * - 94.6 - * - - - 91.1 * - - * -
Standard Deviation 11.9 * 1.9 2.5 2.2 0.8 * 1.4 - * - 3.7 - * - - - 7.2 * - - * -
VOLUME OF TRADES (000'S) 877,110.6 * 95,452.0 6,752.0 22,152.5 26,578.7 * 192,560.0 - * - 22,172.7 - * - - - 14,083.7 * - - * -
Customer Buy 448,562.7 - 43,789.0 * 5,710.5 14,716.7 - 126,645.0 - - - 10,692.7 - - - - - * * - - - -
Customer Sell 390,369.5 * 51,663.1 - 16,442.0 * - * - - - 7,193.3 - * - - - * * - - * -
Dealer to Dealer 38,178.3 * - * - - * - - * - 4,286.7 - * - - - * - - - - -
<= $1MM 44,323.0 - 3,876.8 * 1,785.0 * * * - - - 6,062.7 - * - - - * - - - - -
<= $10MM 477,524.7 * 60,060.2 * 20,367.5 * - 13,050.0 - - - 16,110.0 - * - - - * * - - * -
> $10MM 355,262.9 * * - - * - 178,560.0 - * - - - - - - - - - - - - -
NUMBER OF TRADES 269 * 28 6 10 7 * 14 - * - 24 - * - - - 8 * - - * -
Customer Buy 132 - 18 * 5 5 - 11 - - - 8 - - - - - * * - - - -
Customer Sell 108 * 10 - 5 * - * - - - 6 - * - - - * * - - * -
Dealer to Dealer 29 * - * - - * - - * - 10 - * - - - * - - - - -
<= $1MM 108 - 7 * 5 * * * - - - 19 - * - - - * - - - - -
<= $10MM 142 * 19 * 5 * - 5 - - - 5 - * - - - * * - - * -
> $10MM 19 * * - - * - 7 - * - - - - - - - - - - - - -

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 - - - 94.2 98.7 100.0 - - - 95.8 94.3 99.8 - - - 71.6 91.3 99.5 - - -
Weighted Avg. Price - - - 93.4 99.2 100.2 - - - 95.2 96.1 99.9 - - - 68.9 89.5 98.9 - - -
Avg. Price Bottom 5 Trades - - - 94.2 96.9 99.3 - - - 94.3 88.7 99.0 - - - 46.9 67.1 97.6 - - -
2nd Quartile Price - - - * 99.2 99.7 - - - 95.0 96.3 99.6 - - - 68.0 88.8 98.8 - - -
3rd Quartile Price - - - * 99.5 100.0 - - - 96.3 96.8 99.9 - - - 68.7 96.9 99.4 - - -
4th Quartile Price - - - * 99.8 101.0 - - - 99.7 98.0 100.1 - - - 90.2 99.4 100.7 - - -
Avg. Price Top 5 Trades - - - 94.2 99.8 100.8 - - - 97.2 98.1 100.3 - - - 94.7 99.9 101.5 - - -
Standard Deviation - - - 3.2 2.7 0.9 - - - 3.0 7.8 0.5 - - - 18.8 11.3 2.5 - - -
VOLUME OF TRADES (000'S) - - - 24,210.0 61,311.4 40,810.1 - - - 15,020.0 54,588.7 66,597.7 - - - 110,032.6 94,115.2 12,123.5 - - -
Customer Buy - - - * * 29,204.2 - - - * 27,718.9 27,703.5 - - - 46,837.2 49,141.2 5,686.7 - - -
Customer Sell - - - * 28,855.5 * - - - 9,970.0 19,869.9 38,894.2 - - - 63,194.8 38,973.9 * - - -
Dealer to Dealer - - - * - * - - - - * - - - - * * - - - -
<= $1MM - - - * 2,653.5 * - - - * * 4,962.7 - - - 2,824.9 9,753.4 2,250.0 - - -
<= $10MM - - - 24,020.0 * 29,127.9 - - - 14,430.0 40,220.0 47,074.2 - - - 78,337.7 70,340.9 9,873.5 - - -
> $10MM - - - - * * - - - - * * - - - * * - - - -
NUMBER OF TRADES - - - 6 15 12 - - - 7 16 26 - - - 28 42 12 - - -
Customer Buy - - - * * 6 - - - * 6 14 - - - 14 23 8 - - -
Customer Sell - - - * 12 * - - - 5 8 12 - - - 13 17 * - - -
Dealer to Dealer - - - * - * - - - - * - - - - * * - - - -
<= $1MM - - - * 8 * - - - * * 10 - - - 8 20 5 - - -
<= $10MM - - - 5 * 7 - - - 6 12 15 - - - 19 21 7 - - -
> $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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