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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 93.2 - 97.6 89.2 93.4 - - -
Weighted Avg. Price 93.9 - 98.0 89.0 96.4 - - -
Avg. Price Bottom 5 Trades 75.8 - 95.1 83.2 79.2 - - -
2nd Quartile Price 91.7 - 97.4 86.1 92.4 - - -
3rd Quartile Price 97.3 - 97.7 91.7 98.3 - - -
4th Quartile Price 98.9 - 99.6 92.5 99.8 - - -
Avg. Price Top 5 Trades 100.7 - 99.6 93.0 100.7 - - -
Standard Deviation 7.7 - 2.4 4.3 9.7 - - -
VOLUME OF TRADES (000'S) 331,317.1 - 91,661.1 132,152.3 107,503.7 - - -
Customer Buy 193,973.9 - 65,475.1 73,363.3 55,135.5 - - -
Customer Sell 86,791.0 - * 56,539.0 26,266.0 - - -
Dealer to Dealer 50,552.2 - * * 26,102.2 - - -
<= $1MM 17,124.2 - 6,462.7 5,656.8 5,004.7 - - -
<= $10MM 103,239.9 - * 29,595.5 60,886.0 - - -
> $10MM 210,953.0 - * * * - - -
NUMBER OF TRADES 70 - 17 20 33 - - -
Customer Buy 35 - 12 11 12 - - -
Customer Sell 16 - * 6 8 - - -
Dealer to Dealer 19 - * * 13 - - -
<= $1MM 37 - 9 11 17 - - -
<= $10MM 24 - * 7 13 - - -
> $10MM 9 - * * * - - -

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 95.3 4.8 96.5 90.4 102.3 95.3 * 102.8 0.5 * - 84.6 - - 0.2 - - 83.8 - - * - -
Weighted Avg. Price 95.8 4.0 93.5 95.5 101.5 94.1 * 102.5 0.7 * - 84.8 - - 0.3 - - 85.1 - - * - -
Avg. Price Bottom 5 Trades 52.1 0.1 90.0 86.3 100.5 90.6 * 101.7 0.1 * - 80.0 - - 0.2 - - 79.0 - - * - -
2nd Quartile Price 94.9 0.1 96.1 86.8 101.3 96.5 * 102.2 0.1 * - 85.7 - - * - - 75.3 - - * - -
3rd Quartile Price 98.1 0.3 96.9 91.3 101.5 96.5 * 102.6 0.3 * - 87.3 - - * - - 90.5 - - * - -
4th Quartile Price 99.6 0.4 99.0 99.6 103.8 97.0 * 103.8 0.4 * - 90.0 - - * - - 93.6 - - * - -
Avg. Price Top 5 Trades 105.7 35.6 99.4 94.3 103.9 97.5 * 104.4 1.3 * - 88.4 - - 0.2 - - 92.3 - - * - -
Standard Deviation 9.4 16.9 3.0 5.8 3.1 2.8 * 1.1 0.8 * - 5.8 - - 0.1 - - 10.2 - - * - -
VOLUME OF TRADES (000'S) 724,404.9 93,726.0 34,942.3 26,155.0 49,008.9 17,501.4 * 85,870.3 49,807.6 * - 16,371.6 - - 21,614.5 - - 25,472.4 - - * - -
Customer Buy 332,046.5 41,462.8 21,006.6 * 38,488.9 6,329.7 - 41,526.4 23,028.2 - - 8,978.0 - - * - - * - - * - -
Customer Sell 357,376.7 51,809.2 13,935.7 5,405.0 * 11,114.1 * 44,343.9 26,779.5 * - 7,393.6 - - * - - 10,472.4 - - * - -
Dealer to Dealer 34,981.7 * - - - * - - - - - - - - - - - * - - - - -
<= $1MM 41,697.3 3,950.4 5,489.3 755.0 * 2,176.3 * 5,145.3 2,528.2 - - 3,283.6 - - * - - * - - - - -
<= $10MM 479,764.5 89,775.6 * * * 15,325.1 - 57,725.0 47,279.4 * - 13,088.0 - - * - - 25,010.0 - - * - -
> $10MM 202,943.1 - * - * - - * - - - - - - - - - - - - - - -
NUMBER OF TRADES 248 40 37 9 9 21 * 26 25 * - 11 - - 7 - - 9 - - * - -
Customer Buy 94 24 7 * 6 7 - 10 16 - - 5 - - * - - * - - * - -
Customer Sell 147 15 30 6 * 13 * 16 9 * - 6 - - * - - 5 - - * - -
Dealer to Dealer 7 * - - - * - - - - - - - - - - - * - - - - -
<= $1MM 125 11 33 5 * 15 * 15 6 - - 6 - - * - - * - - - - -
<= $10MM 108 29 * * * 6 - 10 19 * - 5 - - * - - 7 - - * - -
> $10MM 15 - * - * - - * - - - - - - - - - - - - - - -

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 98.1 99.0 - - - 95.9 97.1 98.5 - - - 76.2 90.6 98.2 - - -
Weighted Avg. Price - - - 95.4 98.4 99.2 - - - 95.5 98.2 99.4 - - - 84.7 92.3 98.2 - - -
Avg. Price Bottom 5 Trades - - - 94.6 97.6 96.1 - - - 94.8 92.8 97.6 - - - 58.0 70.3 97.7 - - -
2nd Quartile Price - - - 97.8 97.9 98.5 - - - 94.0 98.1 97.0 - - - 71.4 97.2 98.8 - - -
3rd Quartile Price - - - 99.6 98.2 99.1 - - - 96.5 98.3 99.4 - - - 82.0 98.3 99.5 - - -
4th Quartile Price - - - 99.8 98.9 99.9 - - - 97.8 101.9 100.3 - - - 95.7 99.1 99.7 - - -
Avg. Price Top 5 Trades - - - 99.1 98.7 102.2 - - - 97.2 100.3 99.6 - - - 93.2 99.0 99.4 - - -
Standard Deviation - - - 5.2 1.3 1.9 - - - 1.9 6.2 1.7 - - - 21.3 14.7 3.0 - - -
VOLUME OF TRADES (000'S) - - - 29,103.9 40,808.7 124,580.9 - - - 4,186.0 32,143.0 13,410.0 - - - 53,987.5 119,672.0 51,000.0 - - -
Customer Buy - - - * * 63,240.3 - - - * * 10,100.0 - - - 29,531.7 * * - - -
Customer Sell - - - * * 61,340.5 - - - 2,468.0 16,554.0 * - - - * 87,052.0 28,000.0 - - -
Dealer to Dealer - - - - - - - - - - * - - - - * * - - - -
<= $1MM - - - * * 13,958.0 - - - 4,186.0 2,115.0 * - - - * * - - - -
<= $10MM - - - 28,538.7 30,183.6 80,622.8 - - - - * 13,000.0 - - - 40,142.4 57,157.0 51,000.0 - - -
> $10MM - - - - * * - - - - * - - - - * 61,515.0 - - - -
NUMBER OF TRADES - - - 7 8 44 - - - 8 11 8 - - - 12 18 9 - - -
Customer Buy - - - * * 21 - - - * * 5 - - - 6 * * - - -
Customer Sell - - - * * 23 - - - 5 7 * - - - * 12 5 - - -
Dealer to Dealer - - - - - - - - - - * - - - - * * - - - -
<= $1MM - - - * * 22 - - - 8 5 * - - - * * - - - -
<= $10MM - - - 6 6 20 - - - - * 5 - - - 9 11 9 - - -
> $10MM - - - - * * - - - - * - - - - * 5 - - - -

* 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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