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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 95.8 4.6 96.7 89.4 100.5 * 5.0 *
Weighted Avg. Price 97.9 4.4 97.8 96.3 100.5 * 5.2 *
Avg. Price Bottom 5 Trades 70.5 1.8 85.6 70.5 97.5 * 3.0 *
2nd Quartile Price 95.0 4.7 96.0 87.4 99.6 * 4.8 *
3rd Quartile Price 98.6 5.2 98.4 92.8 100.7 * 5.2 *
4th Quartile Price 99.6 6.3 99.2 97.0 101.5 * 6.3 *
Avg. Price Top 5 Trades 103.9 6.6 99.6 99.1 103.9 * 6.6 *
Standard Deviation 7.2 1.9 3.9 9.6 1.8 * 1.8 *
VOLUME OF TRADES (000'S) 578,935.3 1,099,068.2 66,026.6 318,049.6 194,859.0 * 828,811.1 *
Customer Buy 113,541.5 456,029.4 24,084.5 20,066.5 69,390.5 - 329,237.1 *
Customer Sell 408,753.2 616,546.9 30,313.3 286,832.1 91,607.9 * 473,082.1 -
Dealer to Dealer 56,640.5 * 11,628.8 * 33,860.7 - * -
<= $1MM 13,154.1 - 8,690.7 2,836.7 1,626.7 - - -
<= $10MM 147,266.1 * 57,335.9 32,102.4 57,827.8 - * -
> $10MM 418,515.1 1,077,208.5 - 283,110.5 135,404.6 * 806,951.4 *
NUMBER OF TRADES 154 21 63 44 47 * 18 *
Customer Buy 42 9 18 14 10 - 7 *
Customer Sell 83 10 33 26 24 * 9 -
Dealer to Dealer 29 * 12 * 13 - * -
<= $1MM 97 - 45 25 27 - - -
<= $10MM 44 * 18 12 14 - * -
> $10MM 13 18 - 7 6 * 15 *

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 93.0 21.5 97.8 91.9 105.4 98.2 94.1 104.5 - - 3.9 86.1 68.5 89.5 - - - 79.0 - * * - -
Weighted Avg. Price 91.7 3.9 98.6 93.2 104.3 98.8 93.6 104.5 - - 3.8 88.9 74.3 100.0 - - - 71.8 - * * - -
Avg. Price Bottom 5 Trades 11.4 3.2 96.2 89.7 104.8 97.8 92.7 102.0 - - 3.9 76.9 59.1 78.2 - - - 24.6 - * * - -
2nd Quartile Price 92.1 3.3 98.1 90.1 106.0 98.3 92.9 103.6 - - * 83.0 65.0 74.0 - - - 71.3 - * * - -
3rd Quartile Price 98.6 4.7 98.7 91.1 106.3 99.0 94.4 104.8 - - * 89.0 68.9 101.6 - - - 91.0 - * * - -
4th Quartile Price 100.5 81.7 99.5 98.1 107.4 99.3 96.5 105.9 - - * 94.8 82.7 105.1 - - - 92.5 - * * - -
Avg. Price Top 5 Trades 106.7 36.1 99.2 93.8 106.5 98.9 95.4 106.3 - - 3.9 93.3 77.6 103.2 - - - 96.6 - * * - -
Standard Deviation 16.5 35.2 2.0 3.7 1.9 1.6 2.5 1.5 - - 1.0 9.3 14.3 16.3 - - - 24.6 - * * - -
VOLUME OF TRADES (000'S) 1,276,296.3 334,728.6 29,533.5 13,737.9 15,691.4 23,108.7 16,555.8 125,832.0 - - 314,746.1 25,795.0 17,247.0 15,394.0 - - - 98,288.7 - * * - -
Customer Buy 638,082.4 * * 13,019.5 * * * 57,354.0 - - * 14,510.0 * * - - - 48,007.4 - * - - -
Customer Sell 584,016.1 286,290.9 14,928.5 * 4,866.4 * 11,254.8 68,478.0 - - * 11,285.0 11,170.0 7,544.0 - - - 44,156.0 - - * - -
Dealer to Dealer 54,197.7 - - - - * - - - - - - - - - - - * - - - - -
<= $1MM 66,220.1 * * 1,535.9 * * * 5,501.5 - - - 2,890.0 * 2,394.0 - - - 13,056.0 - - - - -
<= $10MM 687,784.3 * 29,103.0 * * * 15,605.6 46,955.5 - - - 22,905.0 15,500.0 * - - - 85,232.6 - * * - -
> $10MM 522,291.8 325,264.0 - - - - - * - - 314,746.1 - - - - - - - - - * - -
NUMBER OF TRADES 326 9 11 9 7 7 8 30 - - 5 14 9 9 - - - 44 - * * - -
Customer Buy 139 * * 5 * * * 8 - - * 6 * * - - - 16 - * - - -
Customer Sell 173 6 7 * 5 * 6 22 - - * 8 5 5 - - - 24 - - * - -
Dealer to Dealer 14 - - - - * - - - - - - - - - - - * - - - - -
<= $1MM 136 * * 6 * * * 16 - - - 6 * 5 - - - 20 - - - - -
<= $10MM 171 * 9 * * * 5 10 - - - 8 5 * - - - 24 - * * - -
> $10MM 19 6 - - - - - * - - 5 - - - - - - - - - * - -

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 - - - 96.6 96.8 100.8 - - - 94.3 97.7 100.4 - - - 71.1 91.9 100.5 - * -
Weighted Avg. Price - - - 97.4 98.4 100.5 - - - 95.8 97.6 100.0 - - - 38.7 89.9 100.4 - * -
Avg. Price Bottom 5 Trades - - - 94.4 93.0 97.3 - - - 91.8 94.9 98.1 - - - 23.1 84.4 99.7 - * -
2nd Quartile Price - - - 95.3 94.7 100.0 - - - 89.8 97.7 100.2 - - - 49.5 85.9 100.2 - * -
3rd Quartile Price - - - 98.5 97.9 100.3 - - - 97.3 99.9 100.5 - - - 96.5 94.3 100.3 - * -
4th Quartile Price - - - 99.0 99.9 103.2 - - - 98.3 100.2 101.1 - - - 96.6 100.0 101.0 - * -
Avg. Price Top 5 Trades - - - 98.5 99.9 104.0 - - - 96.3 100.2 102.4 - - - 97.2 100.0 101.9 - * -
Standard Deviation - - - 2.3 3.2 2.3 - - - 4.7 3.0 1.7 - - - 33.3 7.4 1.0 - * -
VOLUME OF TRADES (000'S) - - - 15,080.9 54,494.3 191,012.0 - - - 9,436.0 249,597.0 52,398.6 - - - 103,676.0 42,819.5 173,858.0 - * -
Customer Buy - - - * 46,619.9 88,748.4 - - - * 153,560.0 27,566.0 - - - 15,383.1 26,115.9 84,643.0 - * -
Customer Sell - - - 13,786.6 7,874.4 102,263.5 - - - 4,436.0 * 24,522.6 - - - 63,087.6 * 84,215.0 - - -
Dealer to Dealer - - - - - - - - - - * * - - - * * * - - -
<= $1MM - - - 5,179.1 4,022.5 3,404.3 - - - 4,436.0 * 7,034.6 - - - 1,092.8 6,147.0 * - * -
<= $10MM - - - * 27,698.1 122,763.1 - - - * 16,024.3 45,364.0 - - - 52,172.6 36,672.5 93,226.0 - - -
> $10MM - - - - * * - - - - * - - - - * - 78,860.0 - - -
NUMBER OF TRADES - - - 11 17 38 - - - 8 13 28 - - - 19 16 27 - * -
Customer Buy - - - * 10 18 - - - * 8 12 - - - 8 10 15 - * -
Customer Sell - - - 9 7 20 - - - 5 * 14 - - - 10 * 11 - - -
Dealer to Dealer - - - - - - - - - - * * - - - * * * - - -
<= $1MM - - - 9 7 9 - - - 6 * 16 - - - 6 9 * - * -
<= $10MM - - - * 8 26 - - - * 8 12 - - - 11 7 18 - - -
> $10MM - - - - * * - - - - * - - - - * - 6 - - -

* 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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