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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 93.2 5.1 96.6 85.7 98.4 2.4 5.5 6.0
Weighted Avg. Price 92.5 6.4 96.5 87.9 98.1 2.3 6.3 6.5
Avg. Price Bottom 5 Trades 74.0 1.7 90.2 74.0 94.8 2.4 3.7 5.3
2nd Quartile Price 90.0 3.8 97.1 75.5 98.3 * 3.8 6.0
3rd Quartile Price 97.3 6.1 97.6 89.0 99.1 * 6.3 6.6
4th Quartile Price 98.6 6.6 98.5 92.1 99.6 * 7.0 6.6
Avg. Price Top 5 Trades 101.1 7.8 99.4 96.1 101.1 2.4 7.2 7.0
Standard Deviation 8.0 2.4 4.0 8.3 3.1 1.6 2.0 2.2
VOLUME OF TRADES (000'S) 254,560.2 876,657.8 78,862.7 127,639.2 48,058.2 943.1 306,657.2 569,057.6
Customer Buy 118,389.9 461,798.3 30,976.1 75,444.7 11,969.1 * 124,703.8 336,406.5
Customer Sell 60,449.8 381,687.3 33,854.7 14,520.1 12,075.0 * 148,781.2 *
Dealer to Dealer 75,720.4 * * 37,674.4 * - * -
<= $1MM 10,156.9 2,062.7 3,942.0 4,569.0 1,645.9 943.1 * -
<= $10MM 85,108.3 21,057.2 23,066.7 39,629.2 * - 21,057.2 -
> $10MM 159,295.0 853,537.9 * 83,441.0 * - 284,480.3 569,057.6
NUMBER OF TRADES 84 26 33 30 21 5 13 8
Customer Buy 47 14 19 18 10 * 5 6
Customer Sell 22 10 10 5 7 * 6 *
Dealer to Dealer 15 * * 7 * - * -
<= $1MM 50 7 19 16 15 5 * -
<= $10MM 23 5 10 9 * - 5 -
> $10MM 11 14 * 5 * - 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 92.1 39.0 95.6 87.3 102.1 96.5 * 103.0 * - - 87.3 * * - - - 69.6 * 89.5 - * -
Weighted Avg. Price 91.1 2.7 97.4 87.1 101.2 97.7 * 102.7 * - - 85.9 * * - - - 39.9 * 87.8 - * -
Avg. Price Bottom 5 Trades 4.8 1.6 90.3 85.0 98.3 92.6 * 102.0 * - - 74.1 * * - - - 33.9 * 88.4 - * -
2nd Quartile Price 91.1 1.1 92.2 85.6 99.5 95.3 * 102.1 * - - 84.0 * * - - - 58.1 * 89.8 - * -
3rd Quartile Price 97.2 6.0 97.4 88.3 102.2 97.9 * 103.3 * - - 88.0 * * - - - 78.0 * 94.3 - * -
4th Quartile Price 99.9 85.6 98.4 90.0 104.8 98.8 * 104.2 * - - 94.0 * * - - - 91.0 * 94.8 - * -
Avg. Price Top 5 Trades 106.9 90.5 99.2 89.5 106.2 99.0 * 104.2 * - - 98.4 * * - - - 94.8 * 90.6 - * -
Standard Deviation 16.2 45.8 3.3 2.1 3.8 3.3 * 1.2 * - - 8.5 * * - - - 24.0 * 4.8 - * -
VOLUME OF TRADES (000'S) 1,463,878.3 1,243,065.1 62,076.8 4,962.0 193,819.0 23,888.5 * 14,685.0 * - - 65,460.5 * * - - - 132,171.3 * 8,285.7 - * -
Customer Buy 600,410.4 * 33,692.5 * * 16,779.3 * * - - - 44,474.8 * * - - - 31,954.2 * * - * -
Customer Sell 701,132.7 312,028.1 28,384.3 3,951.0 136,419.0 5,446.9 - 14,400.0 * - - 20,985.8 * * - - - 64,986.3 - * - - -
Dealer to Dealer 162,335.2 * - - * * * - - - - - - * - - - 35,230.9 - - - - -
<= $1MM 62,176.7 * 10,130.9 4,962.0 * 3,766.8 * 5,185.0 * - - 2,131.4 - - - - - 993.1 - * - - -
<= $10MM 848,657.6 * 31,037.0 - 42,400.0 20,121.7 * * * - - 63,329.1 * * - - - 63,540.5 * * - - -
> $10MM 553,044.0 1,218,896.0 * - 150,000.0 - - - - - - - - - - - - * - - - * -
NUMBER OF TRADES 395 12 38 15 15 16 * 12 * - - 28 * * - - - 26 * 6 - * -
Customer Buy 150 * 9 * * 8 * * - - - 15 * * - - - 8 * * - * -
Customer Sell 206 6 29 12 9 6 - 11 * - - 13 * * - - - 13 - * - - -
Dealer to Dealer 39 * - - * * * - - - - - - * - - - 5 - - - - -
<= $1MM 162 * 29 15 * 8 * 11 * - - 9 - - - - - 8 - * - - -
<= $10MM 202 * 7 - 6 8 * * * - - 19 * * - - - 16 * * - - -
> $10MM 31 5 * - 6 - - - - - - - - - - - - * - - - * -

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 - - - 95.2 99.6 100.1 - * - 94.2 93.6 98.5 - - * 73.5 96.6 100.0 - * *
Weighted Avg. Price - - - 95.9 99.3 99.6 - * - 94.7 93.8 99.1 - - * 77.1 96.5 99.3 - * *
Avg. Price Bottom 5 Trades - - - 94.3 98.9 97.7 - * - 92.0 87.6 96.1 - - * 8.5 90.8 95.5 - * *
2nd Quartile Price - - - 95.3 99.4 100.0 - * - 92.1 91.2 97.6 - - * 86.0 96.3 99.8 - * *
3rd Quartile Price - - - 96.2 99.9 100.2 - * - 97.0 96.3 99.6 - - * 86.0 96.8 100.1 - * *
4th Quartile Price - - - 97.0 100.0 100.4 - * - 97.8 97.2 100.3 - - * 94.0 98.6 101.3 - * *
Avg. Price Top 5 Trades - - - 96.4 100.0 102.4 - * - 95.8 98.5 100.7 - - * 94.9 99.9 103.3 - * *
Standard Deviation - - - 2.0 0.6 1.2 - * - 4.1 5.9 2.3 - - * 33.3 2.9 3.0 - * *
VOLUME OF TRADES (000'S) - - - 31,755.2 58,803.2 171,933.5 - * - 21,182.0 57,614.3 100,452.0 - - * 92,419.6 227,269.1 174,910.0 - * *
Customer Buy - - - * 30,866.5 84,485.9 - - - 13,021.0 19,234.3 43,852.0 - - * 38,227.0 89,361.9 87,148.0 - - *
Customer Sell - - - * 23,176.7 85,973.6 - * - * 35,080.0 44,950.0 - - * 44,762.7 75,453.6 80,904.0 - * *
Dealer to Dealer - - - * * * - * - * * * - - * * 62,453.6 * - * -
<= $1MM - - - * 3,303.4 13,320.9 - * - * 3,826.0 * - - - 3,843.1 * 1,971.0 - - *
<= $10MM - - - 16,600.2 28,619.0 87,072.6 - - - 21,047.0 37,988.3 66,825.0 - - - 67,124.4 179,789.6 88,109.0 - * -
> $10MM - - - * * * - - - - * * - - * * * 84,830.0 - - -
NUMBER OF TRADES - - - 9 17 50 - * - 8 18 18 - - * 38 41 29 - * *
Customer Buy - - - * 7 11 - - - 5 8 9 - - * 23 13 14 - - *
Customer Sell - - - * 9 37 - * - * 9 6 - - * 11 16 13 - * *
Dealer to Dealer - - - * * * - * - * * * - - * * 12 * - * -
<= $1MM - - - * 9 28 - * - * 7 * - - - 19 * 5 - - *
<= $10MM - - - 6 6 18 - - - 7 10 15 - - - 17 36 19 - * -
> $10MM - - - * * * - - - - * * - - * * * 5 - - -

* 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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