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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 96.1 - 95.7 87.9 100.8 - - -
Weighted Avg. Price 97.1 - 97.4 91.7 100.3 - - -
Avg. Price Bottom 5 Trades 78.2 - 85.7 79.5 92.0 - - -
2nd Quartile Price 93.8 - 94.4 82.7 100.4 - - -
3rd Quartile Price 99.1 - 98.5 89.0 101.4 - - -
4th Quartile Price 101.2 - 99.2 93.8 103.6 - - -
Avg. Price Top 5 Trades 105.2 - 99.7 97.9 105.2 - - -
Standard Deviation 7.6 - 5.4 7.6 4.4 - - -
VOLUME OF TRADES (000'S) 434,153.3 - 37,781.9 150,447.9 245,923.5 - - -
Customer Buy 271,281.5 - 22,199.2 83,877.0 165,205.2 - - -
Customer Sell 48,786.8 - 9,750.7 * 37,159.1 - - -
Dealer to Dealer 114,085.0 - * 64,693.9 43,559.2 - - -
<= $1MM 9,808.2 - 3,021.1 5,408.0 1,379.0 - - -
<= $10MM 112,049.2 - 34,760.8 27,161.6 50,126.8 - - -
> $10MM 312,295.9 - - * 194,417.7 - - -
NUMBER OF TRADES 97 - 28 24 45 - - -
Customer Buy 55 - 14 15 26 - - -
Customer Sell 26 - 10 * 13 - - -
Dealer to Dealer 16 - * 6 6 - - -
<= $1MM 55 - 20 12 23 - - -
<= $10MM 30 - 8 8 14 - - -
> $10MM 12 - - * 8 - - -

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 91.2 28.0 98.4 * 105.7 98.3 * 103.8 - - * * * * - * - 32.5 - - * - -
Weighted Avg. Price 92.7 29.4 99.0 * 104.4 98.5 * 103.6 - - * * * * - * - 6.3 - - * - -
Avg. Price Bottom 5 Trades 9.5 19.6 95.2 * 105.2 96.9 * 102.3 - - * * * * - * - 16.0 - - * - -
2nd Quartile Price 93.3 1.0 98.3 * 104.6 98.1 * 103.0 - - * * * * - * - 4.2 - - * - -
3rd Quartile Price 99.0 3.1 98.9 * 107.3 98.8 * 104.0 - - * * * * - * - 6.0 - - * - -
4th Quartile Price 102.5 83.8 99.7 * 108.2 99.5 * 104.7 - - * * * * - * - 75.5 - - * - -
Avg. Price Top 5 Trades 107.8 39.6 100.0 * 106.0 99.4 * 105.2 - - * * * * - * - 61.7 - - * - -
Standard Deviation 22.1 43.4 1.9 * 1.7 1.3 * 1.1 - - * * * * - * - 36.5 - - * - -
VOLUME OF TRADES (000'S) 448,673.9 34,947.3 83,542.7 * 34,711.9 35,147.1 * 82,251.0 - - * * * * - * - 5,318.3 - - * - -
Customer Buy 301,373.7 11,847.3 68,231.7 * 34,621.9 32,049.5 * 39,607.0 - - * * * * - - - 4,230.3 - - * - -
Customer Sell 130,980.8 * 15,211.0 - * * * 40,580.0 - - - * - * - * - * - - - - -
Dealer to Dealer 16,319.4 - * - - - - * - - - * - - - - - * - - - - -
<= $1MM 27,371.0 * 4,334.6 * * 2,932.3 * 5,580.0 - - - * * - - - - 2,112.0 - - - - -
<= $10MM 261,624.8 14,467.3 38,658.1 * * * * 39,501.0 - - * - - * - - - * - - * - -
> $10MM 159,678.2 * * - * * - * - - - - - - - * - - - - - - -
NUMBER OF TRADES 180 10 28 * 6 15 * 32 - - * * * * - * - 12 - - * - -
Customer Buy 113 8 17 * 5 11 * 21 - - * * * * - - - 7 - - * - -
Customer Sell 50 * 9 - * * * 8 - - - * - * - * - * - - - - -
Dealer to Dealer 17 - * - - - - * - - - * - - - - - * - - - - -
<= $1MM 100 * 18 * * 10 * 21 - - - * * - - - - 9 - - - - -
<= $10MM 71 6 8 * * * * 9 - - * - - * - - - * - - * - -
> $10MM 9 * * - * * - * - - - - - - - * - - - - - - -

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 - - - * 98.5 99.2 - - - * 79.6 100.8 - - - 67.2 * 103.0 * * -
Weighted Avg. Price - - - * 98.2 99.3 - - - * 70.4 100.2 - - - 67.5 * 102.1 * * -
Avg. Price Bottom 5 Trades - - - * 98.2 98.7 - - - * 64.0 99.9 - - - 64.4 * 100.0 * * -
2nd Quartile Price - - - * 98.3 99.3 - - - * 61.5 100.4 - - - 72.5 * 100.2 * * -
3rd Quartile Price - - - * 99.8 100.1 - - - * 95.4 100.9 - - - 72.5 * 102.7 * * -
4th Quartile Price - - - * 99.9 100.2 - - - * 96.0 101.9 - - - 79.0 * 108.5 * * -
Avg. Price Top 5 Trades - - - * 99.1 100.1 - - - * 97.2 101.7 - - - 74.7 * 106.0 * * -
Standard Deviation - - - * 1.7 1.6 - - - * 17.7 1.0 - - - 17.4 * 3.5 * * -
VOLUME OF TRADES (000'S) - - - * 9,880.8 13,372.5 - - - * 80,078.7 19,315.6 - - - 17,154.0 * 27,219.0 * * -
Customer Buy - - - * * 13,094.1 - - - * 43,072.1 14,606.6 - - - 8,577.0 - 13,397.0 * * -
Customer Sell - - - - 8,196.4 * - - - - 37,006.6 * - - - 8,577.0 * * - * -
Dealer to Dealer - - - - - - - - - - - * - - - - * 8,822.0 - - -
<= $1MM - - - * * * - - - - * 1,815.0 - - - 1,154.0 - * * - -
<= $10MM - - - - * * - - - * 34,167.8 17,500.6 - - - * * 25,560.0 - * -
> $10MM - - - - - - - - - - * - - - - - - - - - -
NUMBER OF TRADES - - - * 6 8 - - - * 14 12 - - - 14 * 11 * * -
Customer Buy - - - * * 7 - - - * 9 7 - - - 8 - 5 * * -
Customer Sell - - - - 5 * - - - - 5 * - - - 6 * * - * -
Dealer to Dealer - - - - - - - - - - - * - - - - * 5 - - -
<= $1MM - - - * * * - - - - * 5 - - - 10 - * * - -
<= $10MM - - - - * * - - - * 7 7 - - - * * 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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