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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 93.9 6.0 98.2 84.9 95.8 * 6.8 -
Weighted Avg. Price 93.8 6.8 97.9 88.4 97.7 * 6.9 -
Avg. Price Bottom 5 Trades 66.8 4.8 90.8 66.8 86.7 * 6.1 -
2nd Quartile Price 89.8 5.9 98.7 86.0 90.1 * 6.1 -
3rd Quartile Price 98.4 6.3 99.4 88.8 100.2 * 6.4 -
4th Quartile Price 100.0 7.3 101.0 92.0 101.3 * 10.1 -
Avg. Price Top 5 Trades 102.4 7.2 100.5 94.8 102.4 * 7.2 -
Standard Deviation 9.9 2.8 4.3 12.8 7.1 * 1.5 -
VOLUME OF TRADES (000'S) 159,149.0 144,189.7 47,746.3 67,918.4 43,484.3 * 143,560.0 -
Customer Buy 75,099.0 143,560.0 5,071.9 41,228.1 28,799.0 - 143,560.0 -
Customer Sell 51,078.1 * 23,541.5 22,890.3 * * - -
Dealer to Dealer 32,971.9 - 19,132.9 * * - - -
<= $1MM 12,150.9 * 4,711.2 4,376.3 3,063.4 * - -
<= $10MM 68,255.4 * 27,963.1 17,055.7 23,236.6 - * -
> $10MM 78,742.6 * * * * - * -
NUMBER OF TRADES 72 8 34 20 18 * 7 -
Customer Buy 42 7 20 11 11 - 7 -
Customer Sell 18 * 8 7 * * - -
Dealer to Dealer 12 - 6 * * - - -
<= $1MM 43 * 25 8 10 * - -
<= $10MM 24 * 8 9 7 - * -
> $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 93.3 85.3 97.1 * * 97.5 - 105.0 * - - 96.4 * * - - - 74.0 - * - - 101.5
Weighted Avg. Price 91.4 51.1 98.2 * * 98.1 - 104.2 * - - 97.2 * * - - - 95.8 - * - - 101.8
Avg. Price Bottom 5 Trades 28.2 81.9 95.2 * * 96.2 - 104.5 * - - 94.9 * * - - - 74.0 - * - - 101.5
2nd Quartile Price 95.4 101.4 95.0 * * 96.9 - 104.8 * - - 96.1 * * - - - * - * - - *
3rd Quartile Price 98.6 102.5 98.6 * * 98.2 - 105.1 * - - 96.6 * * - - - * - * - - *
4th Quartile Price 100.6 102.5 99.0 * * 98.5 - 105.8 * - - 99.6 * * - - - * - * - - *
Avg. Price Top 5 Trades 106.1 101.5 98.8 * * 98.9 - 105.6 * - - 97.8 * * - - - 74.0 - * - - 101.5
Standard Deviation 17.8 39.5 2.2 * * 1.6 - 0.9 * - - 2.3 * * - - - 18.4 - * - - 1.5
VOLUME OF TRADES (000'S) 428,546.1 13,609.9 39,911.0 * * 21,248.1 - 11,995.0 * - - 23,051.7 * * - - - 4,176.2 - * - - 6,500.0
Customer Buy 261,741.7 12,609.9 22,682.0 * * * - 11,435.0 * - - * * * - - - * - * - - *
Customer Sell 158,611.9 * 17,229.0 - - 4,590.2 - * - - - * * - - - - * - - - - *
Dealer to Dealer 8,192.5 - - - - 1,816.1 - - - - - * - - - - - * - * - - -
<= $1MM 25,807.4 * 3,920.0 * * 6,574.4 - 2,095.0 - - - 1,303.7 - - - - - * - - - - *
<= $10MM 309,034.5 * * - - * - * * - - * * * - - - * - * - - *
> $10MM 93,704.2 - * - - * - - - - - - - - - - - - - - - - -
NUMBER OF TRADES 158 6 11 * * 19 - 9 * - - 9 * * - - - 6 - * - - 5
Customer Buy 86 5 5 * * * - 6 * - - * * * - - - * - * - - *
Customer Sell 55 * 6 - - 7 - * - - - * * - - - - * - - - - *
Dealer to Dealer 17 - - - - 8 - - - - - * - - - - - * - * - - -
<= $1MM 65 * 6 * * 17 - 7 - - - 5 - - - - - * - - - - *
<= $10MM 86 * * - - * - * * - - * * * - - - * - * - - *
> $10MM 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 * - - * * 101.5 - - - 91.7 96.8 101.3 - - - 48.5 * 97.8 - - -
Weighted Avg. Price * - - * * 101.0 - - - 95.1 93.3 101.4 - - - 40.6 * 98.6 - - -
Avg. Price Bottom 5 Trades * - - * * 100.2 - - - 88.3 93.2 100.3 - - - 28.2 * 90.6 - - -
2nd Quartile Price * - - * * 100.2 - - - 91.9 97.5 100.5 - - - 32.5 * 94.6 - - -
3rd Quartile Price * - - * * 100.3 - - - 95.4 98.6 100.7 - - - 35.5 * 100.4 - - -
4th Quartile Price * - - * * 104.1 - - - 96.3 99.8 102.7 - - - 91.5 * 100.9 - - -
Avg. Price Top 5 Trades * - - * * 102.9 - - - 95.4 99.5 103.6 - - - 84.1 * 101.8 - - -
Standard Deviation * - - * * 1.8 - - - 4.9 4.7 1.5 - - - 32.6 * 5.3 - - -
VOLUME OF TRADES (000'S) * - - * * 20,992.7 - - - 54,677.1 42,897.9 52,762.2 - - - 47,241.4 * 55,665.7 - - -
Customer Buy - - - * * 18,792.7 - - - * 24,372.9 35,548.2 - - - 22,589.8 * 25,511.4 - - -
Customer Sell * - - * * * - - - * * 17,214.0 - - - 24,651.6 * 30,154.4 - - -
Dealer to Dealer - - - - - * - - - * - - - - - - - - - - -
<= $1MM * - - * - * - - - * * * - - - * * * - - -
<= $10MM - - - * * 20,432.7 - - - * 41,503.5 50,759.0 - - - 17,869.8 * 54,865.7 - - -
> $10MM - - - - - - - - - * - - - - - * - - - - -
NUMBER OF TRADES * - - * * 12 - - - 9 12 20 - - - 13 * 16 - - -
Customer Buy - - - * * 10 - - - * 9 15 - - - 5 * 8 - - -
Customer Sell * - - * * * - - - * * 5 - - - 8 * 8 - - -
Dealer to Dealer - - - - - * - - - * - - - - - - - - - - -
<= $1MM * - - * - * - - - * * * - - - * * * - - -
<= $10MM - - - * * 10 - - - * 9 16 - - - 8 * 15 - - -
> $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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