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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 93.0 * 95.8 81.4 100.7 * - -
Weighted Avg. Price 95.9 * 96.0 91.4 99.6 * - -
Avg. Price Bottom 5 Trades 50.3 * 90.5 50.3 98.8 * - -
2nd Quartile Price 93.0 * 95.5 78.6 99.8 * - -
3rd Quartile Price 98.9 * 98.5 88.7 100.6 * - -
4th Quartile Price 100.3 * 99.0 98.3 102.1 * - -
Avg. Price Top 5 Trades 102.7 * 99.0 98.9 102.7 * - -
Standard Deviation 14.1 * 4.4 19.5 1.5 * - -
VOLUME OF TRADES (000'S) 89,284.0 * 28,626.0 27,487.8 33,170.2 * - -
Customer Buy 48,919.8 * * 9,220.4 24,941.0 * - -
Customer Sell 23,835.4 - 11,154.0 12,391.0 290.3 - - -
Dealer to Dealer 16,528.8 - * 5,876.4 7,938.9 - - -
<= $1MM 19,691.0 * 9,613.9 7,354.7 2,722.3 * - -
<= $10MM 56,593.0 - * 20,133.1 30,447.9 - - -
> $10MM * - * - - - - -
NUMBER OF TRADES 67 * 18 22 27 * - -
Customer Buy 21 * * 7 10 * - -
Customer Sell 27 - 10 8 9 - - -
Dealer to Dealer 19 - * 7 8 - - -
<= $1MM 51 * 15 17 19 * - -
<= $10MM 15 - * 5 8 - - -
> $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 96.4 - 98.6 * * 97.3 * 105.0 - - - 88.0 * * - - - * - - - - -
Weighted Avg. Price 98.0 - 98.5 * * 95.4 * 105.2 - - - 87.6 * * - - - * - - - - -
Avg. Price Bottom 5 Trades 66.4 - 97.8 * * 96.7 * 104.1 - - - 88.0 * * - - - * - - - - -
2nd Quartile Price 93.5 - 98.1 * * 97.3 * 105.0 - - - * * * - - - * - - - - -
3rd Quartile Price 98.9 - 98.8 * * 98.1 * 105.1 - - - * * * - - - * - - - - -
4th Quartile Price 103.2 - 99.5 * * 98.7 * 105.8 - - - * * * - - - * - - - - -
Avg. Price Top 5 Trades 107.1 - 99.5 * * 98.1 * 105.7 - - - 88.0 * * - - - * - - - - -
Standard Deviation 11.3 - 0.9 * * 1.6 * 1.0 - - - 1.5 * * - - - * - - - - -
VOLUME OF TRADES (000'S) 180,940.8 - 37,704.8 * * 5,780.2 * 17,525.8 - - - 5,200.0 * * - - - * - - - - -
Customer Buy 124,063.7 - 20,141.0 * * * * 15,725.8 - - - 5,200.0 - * - - - * - - - - -
Customer Sell 40,435.8 - 17,563.8 - * 1,670.4 - * - - - - * - - - - * - - - - -
Dealer to Dealer 16,441.3 - - - - * - - - - - - - * - - - * - - - - -
<= $1MM 14,814.7 - 2,173.8 - * 1,690.4 * 3,845.0 - - - 200.0 * * - - - * - - - - -
<= $10MM 144,543.3 - 35,531.0 * * * - * - - - * - * - - - * - - - - -
> $10MM * - - - - - - - - - - - - - - - - - - - - - -
NUMBER OF TRADES 90 - 16 * * 7 * 13 - - - 9 * * - - - * - - - - -
Customer Buy 55 - 6 * * * * 11 - - - 9 - * - - - * - - - - -
Customer Sell 30 - 10 - * 5 - * - - - - * - - - - * - - - - -
Dealer to Dealer 5 - - - - * - - - - - - - * - - - * - - - - -
<= $1MM 48 - 5 - * 6 * 10 - - - 8 * * - - - * - - - - -
<= $10MM 40 - 11 * * * - * - - - * - * - - - * - - - - -
> $10MM * - - - - - - - - - - - - - - - - - - - - - -

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 - - - * 98.9 101.1 - - - - * * - - - * - * - - -
Weighted Avg. Price - - - * 99.1 102.1 - - - - * * - - - * - * - - -
Avg. Price Bottom 5 Trades - - - * 98.9 100.1 - - - - * * - - - * - * - - -
2nd Quartile Price - - - * * 100.2 - - - - * * - - - * - * - - -
3rd Quartile Price - - - * * 101.0 - - - - * * - - - * - * - - -
4th Quartile Price - - - * * 102.9 - - - - * * - - - * - * - - -
Avg. Price Top 5 Trades - - - * 98.9 102.2 - - - - * * - - - * - * - - -
Standard Deviation - - - * 1.3 1.5 - - - - * * - - - * - * - - -
VOLUME OF TRADES (000'S) - - - * 6,900.9 32,878.8 - - - - * * - - - * - * - - -
Customer Buy - - - * * 21,420.5 - - - - * * - - - * - * - - -
Customer Sell - - - * * * - - - - * - - - - * - - - - -
Dealer to Dealer - - - - - - - - - - * - - - - - - - - - -
<= $1MM - - - * * * - - - - * - - - - - - - - - -
<= $10MM - - - - * 31,675.5 - - - - - * - - - * - * - - -
> $10MM - - - - - - - - - - * - - - - - - - - - -
NUMBER OF TRADES - - - * 5 10 - - - - * * - - - * - * - - -
Customer Buy - - - * * 8 - - - - * * - - - * - * - - -
Customer Sell - - - * * * - - - - * - - - - * - - - - -
Dealer to Dealer - - - - - - - - - - * - - - - - - - - - -
<= $1MM - - - * * * - - - - * - - - - - - - - - -
<= $10MM - - - - * 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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