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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 92.2 12.4 93.7 83.6 101.5 * 14.1 *
Weighted Avg. Price 96.1 5.7 96.9 91.0 100.6 * 5.6 *
Avg. Price Bottom 5 Trades 63.5 4.4 81.7 63.5 97.5 * 5.1 *
2nd Quartile Price 86.6 5.2 88.8 75.2 100.4 * 5.2 *
3rd Quartile Price 97.0 6.1 97.0 85.3 101.3 * 6.7 *
4th Quartile Price 100.2 6.8 98.4 93.6 103.3 * 47.5 *
Avg. Price Top 5 Trades 104.9 23.1 99.8 100.0 104.9 * 23.1 *
Standard Deviation 10.9 16.6 6.0 11.7 2.1 * 17.8 *
VOLUME OF TRADES (000'S) 555,247.2 1,060,135.6 69,034.9 232,338.4 253,874.0 * 933,135.9 *
Customer Buy 208,036.8 * 29,340.1 87,453.7 91,243.0 * * -
Customer Sell 245,637.2 846,076.8 35,487.1 128,278.6 81,871.5 - 720,226.1 *
Dealer to Dealer 101,573.2 - 4,207.7 16,606.0 80,759.5 - - -
<= $1MM 21,369.0 * 10,139.9 6,597.9 4,631.2 - * -
<= $10MM 108,441.5 * 19,248.6 50,447.6 38,745.3 * - -
> $10MM 425,436.8 1,056,986.6 * 175,292.9 210,497.5 - 931,135.9 *
NUMBER OF TRADES 157 12 50 60 47 * 10 *
Customer Buy 47 * 13 18 16 * * -
Customer Sell 67 8 19 27 21 - 7 *
Dealer to Dealer 43 - 18 15 10 - - -
<= $1MM 98 * 39 31 28 - * -
<= $10MM 40 * 9 22 9 * - -
> $10MM 19 9 * 7 10 - 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 93.4 71.0 97.1 92.0 106.2 98.1 * 104.9 * - - 92.5 79.7 82.5 * - - 76.8 * 69.7 - * 79.7
Weighted Avg. Price 94.0 90.3 95.4 92.6 106.2 98.4 * 105.0 * - - 92.0 77.5 85.0 * - - 46.8 * 69.7 - * 96.0
Avg. Price Bottom 5 Trades 14.7 3.2 95.2 90.6 105.2 95.6 * 103.6 * - - 84.4 73.3 82.5 * - - 15.1 * 69.7 - * 28.8
2nd Quartile Price 92.1 59.3 96.3 91.3 104.6 97.7 * 104.7 * - - 91.1 76.2 * * - - 76.0 * * - * 65.5
3rd Quartile Price 97.6 100.0 98.3 91.6 106.9 98.5 * 104.8 * - - 92.5 81.4 * * - - 84.7 * * - * 100.0
4th Quartile Price 100.3 103.0 98.4 92.2 107.8 99.2 * 105.8 * - - 96.2 85.0 * * - - 95.3 * * - * 103.0
Avg. Price Top 5 Trades 107.4 102.6 98.7 93.2 107.4 99.6 * 106.5 * - - 97.8 87.0 82.5 * - - 97.8 * 69.7 - * 102.1
Standard Deviation 13.7 40.9 1.8 3.0 1.4 1.6 * 1.1 * - - 4.0 8.3 15.3 * - - 25.9 * 0.2 - * 35.3
VOLUME OF TRADES (000'S) 1,291,581.4 759,304.4 44,953.6 7,540.0 31,160.0 40,743.9 * 90,057.0 * - - 76,536.3 34,237.0 11,450.0 * - - 68,481.1 * 5,000.0 - * 706,969.0
Customer Buy 547,212.6 714,098.8 22,470.0 * 23,900.0 15,738.0 * 47,947.0 * - - 26,479.7 12,273.5 * * - - 31,279.6 * * - - 705,969.0
Customer Sell 618,015.9 * 20,733.6 * * 20,794.2 * 39,620.0 - - - 38,356.7 16,773.5 * - - - 36,156.1 - * - * -
Dealer to Dealer 126,352.8 27,842.6 * * * 4,211.7 - * * - - 11,700.0 * * * - - 1,045.4 - * - * *
<= $1MM 80,285.8 6,226.0 2,469.6 3,540.0 3,460.0 9,089.5 * 4,270.0 - - - 11,206.3 * - - - - 4,246.7 - 5,000.0 - - 5,446.0
<= $10MM 697,656.8 171,740.4 * * * * - 50,537.0 * - - 65,330.0 34,070.0 11,450.0 * - - 33,823.6 * - - - 149,351.0
> $10MM 513,638.8 581,338.0 * - * * - * - - - - - - - - - * - - - * 552,172.0
NUMBER OF TRADES 447 67 16 8 11 32 * 22 * - - 52 15 5 * - - 42 * 5 - * 55
Customer Buy 171 57 5 * 6 7 * 10 * - - 21 5 * * - - 9 * * - - 54
Customer Sell 187 * 9 * * 18 * 9 - - - 21 7 * - - - 18 - * - * -
Dealer to Dealer 89 6 * * * 7 - * * - - 10 * * * - - 15 - * - * *
<= $1MM 198 11 10 6 6 29 * 8 - - - 25 * - - - - 30 - 5 - - 9
<= $10MM 222 40 * * * * - 12 * - - 27 13 5 * - - 10 * - - - 32
> $10MM 27 16 * - * * - * - - - - - - - - - * - - - * 14

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 - - - 94.4 99.6 101.7 - - - 93.4 95.5 102.8 - - - 87.8 92.8 102.3 - - *
Weighted Avg. Price - - - 94.6 99.7 101.0 - - - 91.2 98.4 103.9 - - - 85.3 95.0 102.0 - - *
Avg. Price Bottom 5 Trades - - - 92.8 99.2 98.8 - - - 92.0 90.9 100.7 - - - 54.8 72.0 99.6 - - *
2nd Quartile Price - - - 92.4 99.4 100.3 - - - 93.8 96.7 102.2 - - - 83.0 90.8 100.8 - - *
3rd Quartile Price - - - 95.1 99.8 102.3 - - - 95.3 97.8 103.1 - - - 95.1 97.7 103.2 - - *
4th Quartile Price - - - 98.1 100.0 103.3 - - - 95.5 99.9 105.0 - - - 97.8 98.4 103.9 - - *
Avg. Price Top 5 Trades - - - 96.2 100.1 104.3 - - - 95.3 99.6 105.3 - - - 99.5 99.3 105.0 - - *
Standard Deviation - - - 2.7 1.0 1.9 - - - 3.2 5.1 2.0 - - - 15.6 9.8 1.9 - - *
VOLUME OF TRADES (000'S) - - - 6,362.9 36,786.5 222,899.6 - - - 18,485.8 14,987.9 55,496.9 - - - 123,386.3 196,036.7 195,873.4 - - *
Customer Buy - - - 3,887.9 * 117,577.6 - - - * 6,017.9 28,105.9 - - - 37,528.3 47,547.3 90,700.7 - - *
Customer Sell - - - * 23,542.6 101,452.0 - - - * 8,869.9 25,021.0 - - - 47,913.0 107,308.6 105,172.7 - - *
Dealer to Dealer - - - * * * - - - - * * - - - 37,945.0 41,180.8 - - - -
<= $1MM - - - 4,337.9 4,064.0 7,738.0 - - - * 4,034.0 3,636.0 - - - 9,163.3 * * - - -
<= $10MM - - - * 14,691.9 85,649.6 - - - 18,235.3 10,953.9 32,860.9 - - - 114,223.0 113,936.4 72,737.4 - - *
> $10MM - - - - * 129,512.0 - - - - - * - - - - * 121,341.0 - - -
NUMBER OF TRADES - - - 9 12 45 - - - 8 15 17 - - - 58 40 31 - - *
Customer Buy - - - 5 * 27 - - - * 6 9 - - - 20 12 15 - - *
Customer Sell - - - * 5 14 - - - * 8 7 - - - 21 16 16 - - *
Dealer to Dealer - - - * * * - - - - * * - - - 17 12 - - - -
<= $1MM - - - 8 6 16 - - - * 10 7 - - - 21 * * - - -
<= $10MM - - - * 5 22 - - - 6 5 9 - - - 37 35 23 - - *
> $10MM - - - - * 7 - - - - - * - - - - * 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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