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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 94.4 6.0 97.8 85.6 98.6 - * 5.9
Weighted Avg. Price 97.3 5.9 98.0 86.2 100.2 - * 5.9
Avg. Price Bottom 5 Trades 75.2 6.0 91.3 75.2 94.9 - * 5.9
2nd Quartile Price 91.3 * 97.7 79.7 97.5 - * *
3rd Quartile Price 98.0 * 98.5 85.8 99.3 - * *
4th Quartile Price 99.0 * 99.1 91.1 101.0 - * *
Avg. Price Top 5 Trades 101.7 6.0 99.8 97.6 101.7 - * 5.9
Standard Deviation 7.3 0.3 2.2 7.4 3.4 - * -
VOLUME OF TRADES (000'S) 561,505.0 298,630.5 487,990.4 38,771.6 34,743.0 - * 277,044.0
Customer Buy 234,124.8 293,891.7 165,564.0 34,212.8 34,348.0 - * 277,044.0
Customer Sell 161,537.5 * 160,183.4 987.1 367.0 - * -
Dealer to Dealer 165,842.7 - 162,243.0 3,571.7 * - - -
<= $1MM 14,839.2 - 6,864.5 5,294.0 2,680.6 - - -
<= $10MM 187,797.9 * 132,958.0 33,477.5 21,362.3 - * -
> $10MM 358,867.9 290,522.1 348,167.9 - * - * 277,044.0
NUMBER OF TRADES 129 10 67 38 24 - * 7
Customer Buy 55 9 23 17 15 - * 7
Customer Sell 37 * 22 8 7 - * -
Dealer to Dealer 37 - 22 13 * - - -
<= $1MM 66 - 19 31 16 - - -
<= $10MM 44 * 30 7 7 - * -
> $10MM 19 8 18 - * - * 7

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 92.3 * 96.8 * 104.4 97.8 89.7 * - * * 89.3 72.3 100.5 - - - 79.5 - - - - -
Weighted Avg. Price 84.6 * 97.2 * 104.9 98.1 89.9 * - * * 95.7 78.4 100.6 - - - 90.6 - - - - -
Avg. Price Bottom 5 Trades 19.9 * 94.6 * 103.1 97.8 86.1 * - * * 78.2 69.8 99.1 - - - 46.3 - - - - -
2nd Quartile Price 90.7 * 96.6 * 104.3 * 88.2 * - * * 84.0 80.8 99.6 - - - 72.0 - - - - -
3rd Quartile Price 98.0 * 97.6 * 104.8 * 91.9 * - * * 92.4 83.8 99.7 - - - 87.3 - - - - -
4th Quartile Price 99.9 * 99.5 * 106.7 * 94.2 * - * * 98.1 84.4 103.6 - - - 89.0 - - - - -
Avg. Price Top 5 Trades 114.7 * 98.8 * 105.7 97.8 93.6 * - * * 98.5 76.4 101.6 - - - 105.1 - - - - -
Standard Deviation 16.2 * 2.5 * 2.0 1.0 5.1 * - * * 9.3 15.9 2.6 - - - 23.6 - - - - -
VOLUME OF TRADES (000'S) 674,676.7 * 36,205.0 * 64,734.1 21,022.5 19,035.6 * - * * 32,248.6 21,470.0 19,328.0 - - - 110,635.1 - - - - -
Customer Buy 360,574.4 * 24,915.0 * 13,075.0 21,022.5 10,011.3 * - * * 18,403.6 * * - - - 56,177.7 - - - - -
Customer Sell 299,040.4 * * * * - * * - - - 12,749.0 * 11,500.0 - - - 54,409.4 - - - - -
Dealer to Dealer 15,061.9 - - - * - - - - - - * * - - - - * - - - - -
<= $1MM 36,810.1 - * * * - * * - - - 5,758.0 - * - - - 3,194.0 - - - - -
<= $10MM 477,861.5 * 35,605.0 * 28,659.1 21,022.5 18,635.6 * - * * 26,490.6 21,470.0 18,328.0 - - - 67,957.0 - - - - -
> $10MM 160,005.1 * - - * - - - - - - - - - - - - * - - - - -
NUMBER OF TRADES 209 * 11 * 10 5 9 * - * * 18 6 8 - - - 24 - - - - -
Customer Buy 121 * 8 * 5 5 5 * - * * 8 * * - - - 12 - - - - -
Customer Sell 76 * * * * - * * - - - 6 * 5 - - - 10 - - - - -
Dealer to Dealer 12 - - - * - - - - - - * * - - - - * - - - - -
<= $1MM 82 - * * * - * * - - - 13 - * - - - 10 - - - - -
<= $10MM 120 * 9 * 5 5 8 * - * * 5 6 7 - - - 12 - - - - -
> $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 - - - * 98.6 99.0 - - - 85.5 96.5 99.7 - - - 82.5 72.9 100.0 - * -
Weighted Avg. Price - - - * 98.0 99.8 - - - 80.1 97.0 100.0 - - - 83.8 25.6 100.0 - * -
Avg. Price Bottom 5 Trades - - - * 96.4 93.4 - - - 85.5 93.6 96.8 - - - 78.4 49.0 99.5 - * -
2nd Quartile Price - - - * 99.4 99.4 - - - * 94.2 98.9 - - - 81.3 92.0 100.0 - * -
3rd Quartile Price - - - * 99.5 100.0 - - - * 97.5 100.0 - - - 88.3 93.3 100.3 - * -
4th Quartile Price - - - * 99.8 101.2 - - - * 99.6 102.0 - - - 97.0 98.8 100.5 - * -
Avg. Price Top 5 Trades - - - * 100.0 102.6 - - - 85.5 99.4 102.3 - - - 87.5 97.6 100.4 - * -
Standard Deviation - - - * 4.3 3.2 - - - 13.8 2.8 2.8 - - - 10.0 40.7 0.7 - * -
VOLUME OF TRADES (000'S) - - - * 44,965.2 38,981.6 - - - 9,939.6 12,738.7 37,805.0 - - - 32,925.0 103,726.0 42,820.2 - * -
Customer Buy - - - * 27,803.3 23,005.1 - - - * 8,573.7 25,505.0 - - - 25,360.0 54,313.0 19,160.1 - * -
Customer Sell - - - - 17,162.0 15,680.6 - - - * 3,265.0 * - - - * * 23,660.1 - * -
Dealer to Dealer - - - - - * - - - - * - - - - - - - - - -
<= $1MM - - - * 3,763.3 7,861.1 - - - * 4,593.6 * - - - * 2,600.0 * - - -
<= $10MM - - - * 41,201.9 31,120.5 - - - * 8,145.1 34,705.0 - - - 17,130.0 31,300.0 41,820.2 - - -
> $10MM - - - - - - - - - - - - - - - * * - - * -
NUMBER OF TRADES - - - * 16 27 - - - 5 15 14 - - - 7 12 11 - * -
Customer Buy - - - * 11 13 - - - * 8 10 - - - 5 8 6 - * -
Customer Sell - - - - 5 13 - - - * 5 * - - - * * 5 - * -
Dealer to Dealer - - - - - * - - - - * - - - - - - - - - -
<= $1MM - - - * 8 18 - - - * 10 * - - - * 5 * - - -
<= $10MM - - - * 8 9 - - - * 5 10 - - - 5 5 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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