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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 91.5 4.1 94.9 84.0 97.5 1.6 6.0 *
Weighted Avg. Price 91.2 6.1 94.8 88.2 98.2 0.8 6.7 *
Avg. Price Bottom 5 Trades 52.7 0.5 81.4 52.7 91.9 0.5 3.4 *
2nd Quartile Price 87.8 2.4 94.3 81.9 97.0 0.8 4.6 *
3rd Quartile Price 97.4 3.3 97.6 88.5 98.6 2.3 6.1 *
4th Quartile Price 98.4 6.1 98.4 98.1 101.0 3.3 8.9 *
Avg. Price Top 5 Trades 101.2 8.2 99.4 98.8 101.2 2.7 8.2 *
Standard Deviation 11.6 2.8 5.7 15.5 4.6 1.3 2.3 *
VOLUME OF TRADES (000'S) 600,284.7 536,231.0 119,706.1 376,628.5 103,950.0 27,545.6 472,818.7 *
Customer Buy 261,375.6 241,527.4 53,835.2 156,010.4 51,530.0 * 216,233.8 *
Customer Sell 269,615.2 294,703.7 45,193.2 211,967.4 * 27,435.9 256,584.9 *
Dealer to Dealer 69,293.9 - 20,677.7 8,650.7 39,965.4 - - -
<= $1MM 14,847.8 1,683.4 8,548.1 5,715.4 584.4 1,121.1 * -
<= $10MM 121,052.1 53,591.6 47,836.1 23,085.3 50,130.7 * 29,773.1 *
> $10MM 464,384.8 480,956.0 * 347,827.8 * * 442,483.3 *
NUMBER OF TRADES 97 28 44 35 18 10 15 *
Customer Buy 35 8 15 11 9 * 6 *
Customer Sell 36 20 16 16 * 9 9 *
Dealer to Dealer 26 - 13 8 5 - - -
<= $1MM 50 6 24 21 5 5 * -
<= $10MM 35 12 17 8 10 * 6 *
> $10MM 12 10 * 6 * * 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 94.6 48.0 96.8 90.8 99.9 96.8 * 102.1 - * * 93.0 - * - - - 56.8 - - - - -
Weighted Avg. Price 95.3 61.4 96.5 88.2 102.5 97.6 * 103.1 - * * 93.2 - * - - - 65.6 - - - - -
Avg. Price Bottom 5 Trades 26.7 21.0 91.8 87.9 98.0 94.3 * 99.0 - * * 90.8 - * - - - 29.3 - - - - -
2nd Quartile Price 94.4 7.1 97.0 89.6 97.3 95.1 * 100.6 - * * 90.8 - * - - - 5.0 - - - - -
3rd Quartile Price 97.9 78.1 97.5 90.6 101.9 97.5 * 102.8 - * * 94.0 - * - - - 81.5 - - - - -
4th Quartile Price 100.0 100.0 99.0 93.1 103.5 98.5 * 103.5 - * * 97.0 - * - - - 86.8 - - - - -
Avg. Price Top 5 Trades 105.4 72.9 99.3 93.6 102.7 99.2 * 104.9 - * * 96.2 - * - - - 90.2 - - - - -
Standard Deviation 13.5 44.9 2.9 5.0 3.5 1.9 * 2.2 - * * 3.4 - * - - - 39.2 - - - - -
VOLUME OF TRADES (000'S) 1,064,236.8 50,224.5 114,255.9 12,412.8 39,730.0 53,698.4 * 62,292.0 - * * 33,315.9 - * - - - 42,969.8 - - - - -
Customer Buy 448,041.7 * 50,906.4 * - 31,588.4 * 34,365.3 - - - 18,012.5 - * - - - 20,521.4 - - - - -
Customer Sell 519,255.9 28,794.5 54,989.5 4,042.8 39,700.0 22,089.9 * 27,866.8 - * * * - * - - - 22,398.4 - - - - -
Dealer to Dealer 96,939.2 - * - * 20.1 - 60.0 - - - - - - - - - * - - - - -
<= $1MM 49,503.6 - 4,859.5 1,275.0 730.0 4,817.5 * 2,397.2 - - - * - - - - - 3,418.8 - - - - -
<= $10MM 616,083.7 50,224.5 38,115.4 * - 48,880.9 * 59,894.8 - * * 32,267.5 - * - - - 39,551.0 - - - - -
> $10MM 398,649.5 - * - * - - - - - - - - - - - - - - - - - -
NUMBER OF TRADES 309 8 24 10 9 32 * 28 - * * 11 - * - - - 15 - - - - -
Customer Buy 131 * 9 * - 11 * 11 - - - 7 - * - - - 6 - - - - -
Customer Sell 147 5 11 6 6 15 * 11 - * * * - * - - - 8 - - - - -
Dealer to Dealer 31 - * - * 6 - 6 - - - - - - - - - * - - - - -
<= $1MM 134 - 12 6 7 21 * 16 - - - * - - - - - 8 - - - - -
<= $10MM 150 8 9 * - 11 * 12 - * * 7 - * - - - 7 - - - - -
> $10MM 25 - * - * - - - - - - - - - - - - - - - - - -

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 - - - 95.3 97.2 99.9 - - - 88.4 98.0 100.8 - - - 84.6 94.6 99.4 - * *
Weighted Avg. Price - - - 95.5 97.6 99.2 - - - 85.4 98.0 99.5 - - - 87.7 95.4 100.4 - * *
Avg. Price Bottom 5 Trades - - - 93.8 91.4 97.4 - - - 84.9 94.3 98.1 - - - 80.8 83.2 95.9 - * *
2nd Quartile Price - - - 94.8 95.8 99.6 - - - 93.5 97.4 99.6 - - - 77.3 94.7 99.5 - * *
3rd Quartile Price - - - 95.3 99.8 100.2 - - - 96.4 99.3 100.2 - - - 91.9 96.3 100.0 - * *
4th Quartile Price - - - 98.0 100.3 100.3 - - - 97.3 100.0 103.2 - - - 92.3 97.9 100.3 - * *
Avg. Price Top 5 Trades - - - 96.7 100.2 102.0 - - - 95.8 100.1 104.5 - - - 90.7 99.2 101.8 - * *
Standard Deviation - - - 2.6 4.3 1.7 - - - 12.8 2.9 2.6 - - - 7.3 7.9 3.4 - * *
VOLUME OF TRADES (000'S) - - - 15,839.4 47,212.5 103,488.0 - - - 16,263.7 61,975.6 34,056.3 - - - 69,596.6 274,172.4 69,838.7 - * *
Customer Buy - - - * 33,534.7 39,922.6 - - - * 13,741.6 15,546.4 - - - 37,879.5 84,933.6 34,821.6 - * *
Customer Sell - - - 9,345.2 10,037.6 60,363.4 - - - * 30,258.9 18,509.9 - - - 31,717.2 132,936.8 27,717.1 - * *
Dealer to Dealer - - - - * * - - - - * - - - - - * * - - -
<= $1MM - - - * 3,620.9 6,089.5 - - - * 6,550.6 2,968.9 - - - 440.0 * * - - -
<= $10MM - - - 12,839.4 28,591.7 74,398.4 - - - * 30,195.0 31,087.4 - - - 47,730.6 68,459.9 67,338.7 - * *
> $10MM - - - - * * - - - - * - - - - * 203,712.5 - - - -
NUMBER OF TRADES - - - 9 19 31 - - - 7 21 19 - - - 18 30 18 - * *
Customer Buy - - - * 10 17 - - - * 7 8 - - - 7 11 11 - * *
Customer Sell - - - 5 7 12 - - - * 12 11 - - - 11 15 6 - * *
Dealer to Dealer - - - - * * - - - - * - - - - - * * - - -
<= $1MM - - - * 8 12 - - - * 12 8 - - - 6 * * - - -
<= $10MM - - - 6 10 17 - - - * 7 11 - - - 10 15 15 - * *
> $10MM - - - - * * - - - - * - - - - * 13 - - - -

* 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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