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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 91.2 3.7 97.7 78.7 96.6 1.5 7.6 -
Weighted Avg. Price 95.9 1.1 98.7 85.9 96.4 0.4 7.3 -
Avg. Price Bottom 5 Trades 66.3 0.9 93.0 66.3 91.8 0.9 7.6 -
2nd Quartile Price 88.5 1.8 96.8 72.0 94.2 0.7 * -
3rd Quartile Price 96.4 2.9 98.4 81.2 98.0 1.8 * -
4th Quartile Price 98.8 7.3 99.2 89.8 101.6 2.9 * -
Avg. Price Top 5 Trades 103.3 6.9 101.5 93.6 102.1 2.1 7.6 -
Standard Deviation 11.1 3.2 2.8 10.5 5.5 1.0 1.9 -
VOLUME OF TRADES (000'S) 223,474.8 402,579.8 127,703.7 37,764.8 58,006.4 360,258.3 42,321.5 -
Customer Buy 111,148.5 * 34,777.2 23,699.8 52,671.5 * * -
Customer Sell 83,335.5 3,574.3 70,437.7 12,785.8 * * * -
Dealer to Dealer 28,990.9 6,403.1 22,488.9 1,279.2 5,222.8 5,657.8 * -
<= $1MM 15,226.0 7,231.1 9,960.2 4,726.8 539.0 5,437.9 1,793.1 -
<= $10MM 140,769.7 * 82,710.5 33,037.9 25,021.3 * - -
> $10MM * * * - * * * -
NUMBER OF TRADES 91 17 45 30 16 11 6 -
Customer Buy 33 * 13 12 8 * * -
Customer Sell 35 5 19 13 * * * -
Dealer to Dealer 23 8 13 5 5 6 * -
<= $1MM 55 11 24 23 8 6 5 -
<= $10MM 32 * 19 7 6 * - -
> $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 97.8 46.6 98.1 94.3 107.7 98.1 * 105.6 - - * 88.6 * 102.3 * * - 84.8 - 100.5 - - *
Weighted Avg. Price 97.1 15.0 97.5 102.1 108.4 99.1 * 106.7 - - * 86.9 * 97.6 * * - 91.0 - 101.1 - - *
Avg. Price Bottom 5 Trades 59.9 3.9 95.2 94.3 107.0 97.3 * 104.3 - - * 84.9 * 101.4 * * - 68.7 - 100.5 - - *
2nd Quartile Price 96.2 5.8 97.8 * 107.2 97.6 * 105.1 - - * 85.1 * 103.2 * * - 90.3 - * - - *
3rd Quartile Price 99.5 91.5 98.7 * 108.3 98.1 * 105.7 - - * 86.4 * 104.1 * * - 92.2 - * - - *
4th Quartile Price 100.6 100.4 99.3 * 108.9 99.0 * 106.4 - - * 96.4 * 104.1 * * - 97.0 - * - - *
Avg. Price Top 5 Trades 108.7 97.4 99.5 94.3 108.3 99.2 * 107.0 - - * 91.5 * 104.2 * * - 95.4 - 100.5 - - *
Standard Deviation 8.7 48.8 1.7 8.4 0.8 0.9 * 1.3 - - * 5.7 * 4.8 * * - 24.7 - 2.1 - - *
VOLUME OF TRADES (000'S) 566,269.5 132,223.5 97,813.9 26,553.0 2,368.0 24,184.9 * 22,902.7 - - * 26,605.0 * 11,436.0 * * - 54,112.4 - 4,699.8 - - *
Customer Buy 208,107.2 21,651.9 44,454.9 * 1,233.0 4,537.2 * 6,294.4 - - - * * * * - - 27,059.7 - * - - *
Customer Sell 322,465.6 * 41,019.0 * * 17,953.5 - 16,608.3 - - * 21,915.0 * 10,361.0 - - - 24,052.7 - - - - *
Dealer to Dealer 35,696.8 * 12,340.0 * * 1,694.3 - - - - * - - * - * - * - * - - -
<= $1MM 66,047.6 * 2,693.0 * 2,368.0 4,803.0 - 1,777.7 - - - * * 2,850.0 - - - * - * - - *
<= $10MM 384,972.0 * 95,120.9 * - * * * - - - 15,105.0 * * - - - 52,924.7 - * - - *
> $10MM 115,250.0 116,123.5 - * - * - - - - * * - - * * - - - - - - -
NUMBER OF TRADES 277 11 29 6 10 18 * 19 - - * 8 * 8 * * - 13 - 5 - - *
Customer Buy 94 5 13 * 6 5 * 7 - - - * * * * - - 7 - * - - *
Customer Sell 140 * 11 * * 8 - 12 - - * 6 * 5 - - - 5 - - - - *
Dealer to Dealer 43 * 5 * * 5 - - - - * - - * - * - * - * - - -
<= $1MM 169 * 6 * 10 15 - 15 - - - * * 6 - - - * - * - - *
<= $10MM 99 * 23 * - * * * - - - 5 * * - - - 10 - * - - *
> $10MM 9 6 - * - * - - - - * * - - * * - - - - - - -

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 - - - 98.6 98.2 101.4 - - - 93.0 95.8 100.5 - - - 86.1 99.6 101.7 - - -
Weighted Avg. Price - - - 98.3 95.2 101.3 - - - 93.2 96.2 101.0 - - - 94.7 99.7 101.0 - - -
Avg. Price Bottom 5 Trades - - - 98.6 95.5 100.0 - - - 91.3 84.0 99.5 - - - 82.8 99.5 99.7 - - -
2nd Quartile Price - - - * 99.0 100.1 - - - 91.1 94.5 100.4 - - - 76.9 99.8 100.3 - - -
3rd Quartile Price - - - * 99.9 100.3 - - - 92.8 98.2 100.5 - - - 93.0 100.2 100.6 - - -
4th Quartile Price - - - * 100.0 103.1 - - - 95.1 100.0 101.3 - - - 96.2 100.3 102.5 - - -
Avg. Price Top 5 Trades - - - 98.6 100.2 104.1 - - - 95.3 100.5 101.9 - - - 89.2 99.9 106.0 - - -
Standard Deviation - - - 1.4 3.5 1.8 - - - 2.6 6.6 1.1 - - - 9.9 0.8 2.9 - - -
VOLUME OF TRADES (000'S) - - - 4,446.7 13,452.7 25,932.7 - - - 12,330.0 106,339.9 20,176.0 - - - 20,348.0 30,124.4 47,193.5 - - -
Customer Buy - - - - * 8,713.8 - - - * 44,978.6 4,156.0 - - - * * 10,053.3 - - -
Customer Sell - - - * 6,449.2 15,018.8 - - - 8,370.0 54,523.6 15,700.0 - - - * * 35,850.3 - - -
Dealer to Dealer - - - * 1,605.8 * - - - * 6,837.7 * - - - * - * - - -
<= $1MM - - - 2,546.7 4,842.7 6,629.7 - - - 6,030.0 4,095.9 5,514.0 - - - 1,434.2 * 8,494.5 - - -
<= $10MM - - - * * 19,303.0 - - - * 52,744.0 14,662.0 - - - * - 38,699.0 - - -
> $10MM - - - - - - - - - - * - - - - - * - - - -
NUMBER OF TRADES - - - 6 17 28 - - - 13 35 19 - - - 8 6 24 - - -
Customer Buy - - - - * 9 - - - * 10 7 - - - * * 6 - - -
Customer Sell - - - * 9 15 - - - 6 18 11 - - - * * 16 - - -
Dealer to Dealer - - - * 5 * - - - * 7 * - - - * - * - - -
<= $1MM - - - 5 14 21 - - - 11 14 13 - - - 5 * 15 - - -
<= $10MM - - - * * 7 - - - * 17 6 - - - * - 9 - - -
> $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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