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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 94.9 5.0 96.0 87.6 99.5 * 5.3 -
Weighted Avg. Price 97.9 6.1 98.5 87.8 100.3 * 6.2 -
Avg. Price Bottom 5 Trades 72.4 4.6 87.0 72.4 95.3 * 5.3 -
2nd Quartile Price 91.9 3.7 94.5 85.5 98.9 * * -
3rd Quartile Price 98.1 6.2 98.1 88.5 100.1 * * -
4th Quartile Price 99.6 6.7 99.0 94.3 101.1 * * -
Avg. Price Top 5 Trades 102.0 5.3 99.9 100.1 102.0 * 5.3 -
Standard Deviation 7.2 1.6 4.5 9.0 2.3 * 1.5 -
VOLUME OF TRADES (000'S) 519,583.2 149,203.0 179,942.1 74,977.0 264,664.0 * 144,406.1 -
Customer Buy 302,957.4 * 51,366.7 50,733.3 200,857.4 * * -
Customer Sell 44,393.3 * 24,290.3 4,614.4 15,488.5 - * -
Dealer to Dealer 172,232.4 - 104,285.1 19,629.3 48,318.0 - - -
<= $1MM 16,323.1 - 7,836.7 4,039.0 4,447.4 - - -
<= $10MM 177,017.7 * 43,013.0 60,788.1 73,216.6 * * -
> $10MM 326,242.4 * 129,092.4 * * - * -
NUMBER OF TRADES 129 6 54 34 41 * 5 -
Customer Buy 44 * 18 14 12 * * -
Customer Sell 45 * 23 9 13 - * -
Dealer to Dealer 40 - 13 11 16 - - -
<= $1MM 79 - 36 20 23 - - -
<= $10MM 40 * 13 13 14 * * -
> $10MM 10 * 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 96.6 36.9 98.4 90.9 104.1 97.8 93.1 103.5 * * - 88.2 * 99.7 - - - 79.0 * * - - *
Weighted Avg. Price 98.4 10.3 99.0 92.4 104.4 97.9 96.6 104.7 * * - 88.0 * 95.6 - - - 92.5 * * - - *
Avg. Price Bottom 5 Trades 45.2 36.9 96.9 90.9 102.2 96.3 90.2 100.7 * * - 82.2 * 95.3 - - - 66.5 * * - - *
2nd Quartile Price 96.3 * 98.1 * 103.8 96.9 91.8 102.7 * * - 81.2 * 102.0 - - - 84.0 * * - - *
3rd Quartile Price 99.3 * 98.5 * 104.4 97.9 93.8 103.9 * * - 93.5 * 104.3 - - - 91.9 * * - - *
4th Quartile Price 100.7 * 99.3 * 105.3 98.7 102.7 105.2 * * - 97.2 * 105.6 - - - 93.1 * * - - *
Avg. Price Top 5 Trades 106.6 36.9 99.4 90.9 105.8 99.3 95.7 106.1 * * - 95.0 * 105.0 - - - 91.6 * * - - *
Standard Deviation 10.1 44.8 0.9 3.4 1.6 1.1 5.8 2.1 * * - 8.3 * 7.7 - - - 27.9 * * - - *
VOLUME OF TRADES (000'S) 896,605.6 26,316.4 98,197.7 10,769.0 48,987.0 54,695.0 25,140.0 91,188.3 * * - 14,500.0 * 22,102.0 - - - 16,202.9 * * - - *
Customer Buy 406,268.0 * 38,672.5 * 24,789.0 29,021.5 14,615.0 40,992.3 - - - 7,375.0 - 12,773.0 - - - * - * - - *
Customer Sell 472,947.8 * 56,535.4 * 24,198.0 25,673.6 * 50,196.0 * * - * - 9,329.0 - - - 8,571.0 * * - - *
Dealer to Dealer 17,389.7 - * - - - - - - - - - * - - - - * - - - - -
<= $1MM 62,866.2 * 7,888.3 * 1,523.0 4,573.5 * 312.0 - - - 2,250.0 - * - - - 1,098.9 - * - - *
<= $10MM 586,743.0 * 27,541.1 * 47,464.0 50,121.5 * 90,876.3 * * - * * 21,002.0 - - - * * * - - -
> $10MM 246,996.4 - * - - - - - - - - - - - - - - - - - - - -
NUMBER OF TRADES 290 5 27 5 19 24 7 22 * * - 9 * 11 - - - 10 * * - - *
Customer Buy 147 * 13 * 11 12 5 11 - - - 6 - 5 - - - * - * - - *
Customer Sell 132 * 11 * 8 12 * 11 * * - * - 6 - - - 5 * * - - *
Dealer to Dealer 11 - * - - - - - - - - - * - - - - * - - - - -
<= $1MM 125 * 16 * 5 10 * 9 - - - 5 - * - - - 6 - * - - *
<= $10MM 152 * 9 * 14 14 * 13 * * - * * 8 - - - * * * - - -
> $10MM 13 - * - - - - - - - - - - - - - - - - - - - -

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 - - - 96.0 96.8 100.8 - - - 90.5 97.1 100.5 - - - 70.4 91.1 98.6 - - -
Weighted Avg. Price - - - 95.7 96.4 100.9 - - - 90.0 96.8 100.3 - - - 95.4 92.4 99.1 - - -
Avg. Price Bottom 5 Trades - - - 95.5 90.4 99.3 - - - 90.5 91.3 98.6 - - - 65.2 75.1 95.2 - - -
2nd Quartile Price - - - 97.6 96.1 100.0 - - - * 98.3 100.1 - - - 77.3 86.0 98.2 - - -
3rd Quartile Price - - - 97.6 99.7 100.7 - - - * 98.4 100.4 - - - 80.8 97.6 99.9 - - -
4th Quartile Price - - - 98.3 99.9 101.7 - - - * 100.0 100.8 - - - 96.3 99.9 100.5 - - -
Avg. Price Top 5 Trades - - - 96.7 99.9 102.9 - - - 90.5 100.1 102.4 - - - 82.4 100.0 100.8 - - -
Standard Deviation - - - 2.7 4.5 1.2 - - - 1.7 4.3 2.2 - - - 30.3 10.6 4.3 - - -
VOLUME OF TRADES (000'S) - - - 5,124.0 96,144.4 162,736.1 - - - 9,682.0 50,916.1 34,590.0 - - - 14,671.1 85,034.4 47,612.8 - - -
Customer Buy - - - * 50,408.3 54,958.6 - - - 8,182.0 21,650.1 20,765.0 - - - * 39,310.2 14,721.4 - - -
Customer Sell - - - * 45,736.1 107,777.5 - - - * 27,516.0 13,825.0 - - - * 45,724.2 22,651.4 - - -
Dealer to Dealer - - - - - - - - - - * - - - - - - * - - -
<= $1MM - - - 5,124.0 3,498.1 8,904.6 - - - 2,682.0 8,671.4 5,465.0 - - - 768.1 * 4,000.0 - - -
<= $10MM - - - - 24,990.2 75,162.5 - - - * 42,244.7 29,125.0 - - - - 60,301.4 43,612.8 - - -
> $10MM - - - - * * - - - - - - - - - * * - - - -
NUMBER OF TRADES - - - 6 18 34 - - - 7 26 16 - - - 6 21 16 - - -
Customer Buy - - - * 6 18 - - - 5 12 10 - - - * 11 7 - - -
Customer Sell - - - * 12 16 - - - * 11 6 - - - * 10 7 - - -
Dealer to Dealer - - - - - - - - - - * - - - - - - * - - -
<= $1MM - - - 6 7 14 - - - 5 13 6 - - - 5 * 6 - - -
<= $10MM - - - - 7 16 - - - * 13 10 - - - - 17 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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