As of
Download

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-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE 94.8 1.6 95.2 92.5 96.2 0.9 * -
Weighted Avg. Price 93.8 2.0 95.0 92.4 97.2 0.9 * -
Avg. Price Bottom 5 Trades 75.6 0.7 84.8 85.1 83.8 0.7 * -
2nd Quartile Price 92.4 0.8 93.1 91.0 97.6 0.4 * -
3rd Quartile Price 97.0 1.7 97.1 93.2 99.1 1.0 * -
4th Quartile Price 98.5 1.9 97.9 97.4 100.5 1.9 * -
Avg. Price Top 5 Trades 101.4 2.6 99.4 98.1 101.4 1.2 * -
Standard Deviation 5.9 2.0 4.7 5.2 8.1 0.8 * -
VOLUME OF TRADES (000'S) 981,155.5 206,874.8 115,901.7 647,498.2 217,755.5 28,311.8 * -
Customer Buy 406,433.2 * 30,091.4 312,721.6 63,620.2 * * -
Customer Sell 143,136.2 174,372.3 12,591.5 31,687.2 98,857.6 * * -
Dealer to Dealer 431,586.0 - 73,218.8 303,089.4 55,277.8 - - -
<= $1MM 14,853.5 * 7,474.4 2,817.5 4,561.6 * - -
<= $10MM 123,612.3 26,728.8 57,199.3 * 51,094.0 26,728.8 - -
> $10MM 842,689.6 * * 629,361.6 162,100.0 - * -
NUMBER OF TRADES 101 9 52 26 23 7 * -
Customer Buy 42 * 18 12 12 * * -
Customer Sell 25 5 12 7 6 * * -
Dealer to Dealer 34 - 22 7 5 - - -
<= $1MM 52 * 30 14 8 * - -
<= $10MM 32 5 19 * 9 5 - -
> $10MM 17 * * 8 6 - * -

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-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE 91.9 * 97.1 88.0 103.7 97.4 87.5 102.1 * - - 87.3 69.3 78.3 - - - 79.6 * - - - -
Weighted Avg. Price 91.6 * 98.5 87.0 105.0 97.0 85.5 103.1 * - - 83.2 60.9 56.3 - - - 80.1 * - - - -
Avg. Price Bottom 5 Trades 37.5 * 94.3 84.6 103.1 95.8 83.5 100.7 * - - 78.8 60.0 72.9 - - - 63.7 * - - - -
2nd Quartile Price 87.0 * 96.1 85.3 104.8 96.2 85.2 101.2 * - - 79.8 57.6 52.3 - - - 63.4 * - - - -
3rd Quartile Price 96.5 * 97.1 87.0 106.6 97.8 86.1 104.0 * - - 89.5 77.2 104.4 - - - 88.8 * - - - -
4th Quartile Price 99.5 * 98.7 92.2 106.6 98.6 91.0 104.1 * - - 92.0 85.1 105.5 - - - 92.0 * - - - -
Avg. Price Top 5 Trades 105.9 * 99.5 93.4 105.0 99.0 93.3 104.2 * - - 94.6 82.1 83.6 - - - 92.7 * - - - -
Standard Deviation 12.6 * 1.7 3.9 3.6 1.4 4.1 3.5 * - - 6.7 13.8 28.7 - - - 14.1 * - - - -
VOLUME OF TRADES (000'S) 1,037,149.4 * 132,849.9 124,303.0 20,735.0 41,813.3 46,299.5 44,720.0 * - - 17,768.0 30,852.0 28,227.0 - - - 64,100.0 * - - - -
Customer Buy 495,445.4 * 50,534.5 62,447.0 * 11,479.7 18,756.0 39,495.0 * - - 8,901.0 15,906.0 * - - - 17,405.0 * - - - -
Customer Sell 513,303.3 - 76,773.3 56,456.0 * 30,333.7 27,543.5 * - - - 8,117.0 * 17,751.0 - - - 30,395.0 * - - - -
Dealer to Dealer 28,400.7 * 5,542.2 * - - - - * - - * - - - - - * - - - - -
<= $1MM 39,701.6 * 7,781.3 3,680.0 * 1,304.2 1,578.7 * * - - 3,218.0 * * - - - * - - - - -
<= $10MM 624,481.2 * 28,718.2 39,623.0 * 28,410.4 44,720.8 21,770.0 - - - 14,550.0 29,396.0 * - - - 64,090.0 * - - - -
> $10MM 372,966.6 - 96,350.4 * - * - * - - - - - * - - - - - - - - -
NUMBER OF TRADES 293 * 37 18 6 17 19 8 * - - 20 10 6 - - - 15 * - - - -
Customer Buy 151 * 17 9 * 6 8 6 * - - 12 6 * - - - 5 * - - - -
Customer Sell 125 - 13 7 * 11 11 * - - - 7 * 5 - - - 6 * - - - -
Dealer to Dealer 17 * 7 * - - - - * - - * - - - - - * - - - - -
<= $1MM 100 * 21 6 * 7 7 * * - - 13 * * - - - * - - - - -
<= $10MM 170 * 11 10 * 9 12 5 - - - 7 6 * - - - 14 * - - - -
> $10MM 23 - 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-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE - - - 90.9 93.3 100.7 - - - 83.9 94.7 99.7 - - * 83.4 95.2 100.0 - - -
Weighted Avg. Price - - - 89.7 90.4 101.2 - - - 92.9 96.3 99.4 - - * 85.7 96.2 100.0 - - -
Avg. Price Bottom 5 Trades - - - 90.9 90.6 98.4 - - - 78.3 86.9 98.7 - - * 70.5 86.7 99.7 - - -
2nd Quartile Price - - - * 91.6 99.9 - - - 70.0 92.0 99.8 - - * 80.0 95.6 99.5 - - -
3rd Quartile Price - - - * 97.0 100.5 - - - 95.0 99.2 100.0 - - * 90.0 97.6 100.1 - - -
4th Quartile Price - - - * 100.1 101.8 - - - 96.8 99.5 100.5 - - * 98.6 99.8 100.8 - - -
Avg. Price Top 5 Trades - - - 90.9 96.0 103.5 - - - 94.6 99.6 100.9 - - * 97.1 99.8 100.8 - - -
Standard Deviation - - - 4.8 6.4 1.8 - - - 12.7 6.6 1.4 - - * 18.8 9.8 0.6 - - -
VOLUME OF TRADES (000'S) - - - 12,650.0 23,621.6 119,324.3 - - - 18,692.4 44,372.1 25,374.0 - - * 83,704.0 84,815.1 65,928.0 - - -
Customer Buy - - - * * 72,866.9 - - - * 16,477.1 20,094.0 - - * 37,992.0 41,495.3 37,928.0 - - -
Customer Sell - - - * * 46,148.9 - - - 12,992.4 27,895.0 * - - - 45,712.0 43,319.8 28,000.0 - - -
Dealer to Dealer - - - - - * - - - * - - - - - - - - - - -
<= $1MM - - - * * 4,269.4 - - - * 4,617.0 3,395.0 - - - - - * - - -
<= $10MM - - - 12,450.0 * 82,034.9 - - - 18,392.4 16,755.1 21,979.0 - - * 40,560.0 64,038.6 43,928.0 - - -
> $10MM - - - - - * - - - - * - - - - * * * - - -
NUMBER OF TRADES - - - 6 7 32 - - - 10 14 14 - - * 14 19 17 - - -
Customer Buy - - - * * 18 - - - * 8 11 - - * 6 9 12 - - -
Customer Sell - - - * * 12 - - - 5 6 * - - - 8 10 5 - - -
Dealer to Dealer - - - - - * - - - * - - - - - - - - - - -
<= $1MM - - - * * 11 - - - * 5 7 - - - - - * - - -
<= $10MM - - - 5 * 18 - - - 6 7 7 - - * 10 17 14 - - -
> $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 Listor 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].
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.5.28.2.20241126   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.