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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/CDO Daily CMBS Weekly CMBS

Weekly CMBS data from 05/16/2022 to 05/20/2022

Pricing Table: Agency CMBS by Deal Vintage
METRIC AGENCY CMBS (P&I) AGENCY CMBS (IO/PO)
PRE-2017 2017 2018 2019 2020 2021 2022 PRE-2017 2017 2018 2019 2020 2021 2022
AVERAGE PRICE 99.5 99.1 100.7 99.0 88.0 88.0 90.5 6.8 * 0.0 * * 4.0 *
Weighted Avg. Price 100.1 99.4 99.7 100.3 85.8 82.6 90.6 4.8 * 0.0 * * 3.2 *
Avg. Price Bottom 5 Trades 90.7 94.5 96.8 94.9 82.6 80.4 86.4 0.4 * 0.0 * * 2.4 *
2nd Quartile Price 99.1 98.6 99.3 97.9 85.5 82.0 91.0 1.1 * 0.0 * * 2.7 *
3rd Quartile Price 99.9 99.4 100.9 99.5 86.8 87.0 91.3 2.1 * 0.0 * * 3.6 *
4th Quartile Price 100.5 100.0 102.2 100.5 88.7 96.4 92.0 4.0 * 0.0 * * 7.2 *
Avg. Price Top 5 Trades 101.2 100.7 103.8 102.2 100.2 98.5 92.8 28.1 * 0.0 * * 5.9 *
Standard Deviation 1.8 1.5 2.0 2.4 4.7 6.9 4.2 18.5 * 0.0 * * 2.0 *
VOLUME OF TRADES (000'S) 2,295,203.2 660,975.1 387,186.2 181,399.5 172,356.9 530,610.4 880,178.6 4,289,679.6 * 0.0 * * 429,109.2 *
Customer Buy 472,161.8 242,558.6 221,435.3 47,801.7 100,992.2 406,940.2 172,733.6 2,144,541.5 0.0 0.0 * * 218,401.1 *
Customer Sell 1,714,306.8 264,048.9 151,790.6 95,906.1 63,252.6 108,670.2 370,945.0 2,134,804.5 * 0.0 * * 80,822.7 *
Dealer to Dealer 108,734.6 154,367.6 13,960.3 37,691.6 8,112.2 * 336,500.0 * 0.0 0.0 0.0 0.0 * 0.0
<= $1MM 18,857.4 8,013.1 5,461.7 4,495.5 5,784.5 3,042.3 * * 0.0 0.0 0.0 0.0 * 0.0
<= $10MM 185,406.1 115,127.5 47,704.6 66,336.5 37,625.0 64,095.0 * * 0.0 0.0 * * 18,724.3 0.0
> $10MM 2,090,939.7 537,834.6 334,019.9 110,567.5 128,947.4 463,473.1 873,118.6 4,282,012.0 * 0.0 * 0.0 409,945.8 *
NUMBER OF TRADES 208 87 76 40 66 24 24 31 * 0 * * 13 *
Customer Buy 81 27 29 14 19 9 6 15 0 0 * * 6 *
Customer Sell 110 42 35 19 34 13 11 15 * 0 * * 6 *
Dealer to Dealer 17 18 12 7 13 * 7 * 0 0 0 0 * 0
<= $1MM 125 44 54 16 45 6 * * 0 0 0 0 * 0
<= $10MM 46 25 12 18 15 11 * * 0 0 * * 5 0
> $10MM 37 18 10 6 6 7 20 25 * 0 * 0 7 *

Pricing Table: CMBS Conduit AAA LCF (P&I) by Deal Vintage
METRIC CONDUIT AAA LCF (P&I)
PRE-2017 2017 2018 2019 2020 2021 2022
AVERAGE PRICE 99.2 * 100.3 93.0 86.2 87.1 92.4
Weighted Avg. Price 99.3 * 99.8 94.6 85.3 87.3 90.9
Avg. Price Bottom 5 Trades 94.9 * 100.1 91.5 84.4 84.9 90.2
2nd Quartile Price 98.6 * 100.3 92.0 84.7 86.5 90.5
3rd Quartile Price 99.3 * 100.6 92.6 86.3 87.1 93.7
4th Quartile Price 100.3 * 101.0 94.4 88.8 88.4 96.1
Avg. Price Top 5 Trades 101.0 * 100.7 95.2 88.5 88.9 95.0
Standard Deviation 1.4 * 0.6 1.7 2.1 1.3 2.6
VOLUME OF TRADES (000'S) 466,051.9 * 11,975.0 19,043.0 45,253.3 184,748.0 43,858.0
Customer Buy 231,379.5 * * 5,840.0 44,413.3 122,337.0 21,563.0
Customer Sell 223,817.8 * * 12,203.0 840.0 62,085.0 *
Dealer to Dealer 10,854.6 0.0 0.0 * 0.0 * 0.0
<= $1MM 28,856.1 * * 5,763.0 1,807.0 3,493.0 *
<= $10MM 190,270.7 * * * 16,705.0 128,155.0 43,588.0
> $10MM 246,925.1 0.0 0.0 0.0 * * 0.0
NUMBER OF TRADES 155 * 7 18 13 39 11
Customer Buy 78 * * 5 8 20 7
Customer Sell 63 * * 11 5 17 *
Dealer to Dealer 14 0 0 * 0 * 0
<= $1MM 88 * * 15 6 11 *
<= $10MM 57 * * * 5 24 9
> $10MM 10 0 0 0 * * 0

Pricing Table: CMBS Conduit by Deal Vintage
METRIC 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-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022
AVERAGE PRICE 98.5 97.5 88.9 2.5 4.1 * 94.4 79.4 78.6 * 0.0 * 80.1 * 77.2 * 0.0 0.0
Weighted Avg. Price 98.1 96.4 88.9 2.8 3.5 * 95.7 81.2 77.4 * 0.0 * 59.5 * 89.2 * 0.0 0.0
Avg. Price Bottom 5 Trades 94.8 90.8 83.8 1.3 2.7 * 82.5 67.3 74.6 * 0.0 * 24.6 * 60.2 * 0.0 0.0
2nd Quartile Price 97.8 96.6 85.8 1.6 3.5 * 92.4 73.3 74.8 * 0.0 * 73.3 * 53.5 * 0.0 0.0
3rd Quartile Price 98.9 98.3 88.4 2.4 3.8 * 95.8 77.1 75.3 * 0.0 * 85.1 * 70.6 * 0.0 0.0
4th Quartile Price 99.8 99.6 93.0 3.6 5.7 * 97.3 89.1 86.0 * 0.0 * 86.3 * 105.5 * 0.0 0.0
Avg. Price Top 5 Trades 100.3 100.2 96.8 4.1 5.9 * 99.8 95.2 84.1 * 0.0 * 98.3 * 80.6 * 0.0 0.0
Standard Deviation 1.6 2.6 4.6 1.2 1.5 * 4.3 10.0 5.8 * 0.0 * 14.2 * 24.5 * 0.0 0.0
VOLUME OF TRADES (000'S) 128,105.1 550,133.7 51,743.1 339,496.1 876,897.3 * 206,701.7 62,027.0 66,608.0 * 0.0 * 517,086.6 * 84,928.0 * 0.0 0.0
Customer Buy 84,449.9 284,341.1 35,016.2 110,340.2 434,049.5 * 95,308.3 29,141.0 20,483.0 * 0.0 0.0 243,547.1 * * * 0.0 0.0
Customer Sell 43,495.5 265,692.6 10,739.0 229,155.9 442,847.8 0.0 104,941.4 25,454.0 34,125.0 * 0.0 * 238,398.6 * * * 0.0 0.0
Dealer to Dealer 159.7 * 5,988.0 0.0 0.0 0.0 6,452.0 7,432.0 * 0.0 0.0 0.0 35,141.0 0.0 * 0.0 0.0 0.0
<= $1MM 8,088.6 9,347.6 11,875.1 * 0.0 0.0 18,387.0 7,200.0 * 0.0 0.0 0.0 15,210.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 109,836.1 127,456.1 39,868.0 38,866.5 * 0.0 166,424.7 54,827.0 30,275.0 * 0.0 * 291,418.5 * 27,683.0 0.0 0.0 0.0
> $10MM * 413,330.0 0.0 299,636.2 842,036.9 * * 0.0 * * 0.0 0.0 210,458.2 0.0 * * 0.0 0.0
NUMBER OF TRADES 76 77 30 18 15 * 81 32 12 * 0 * 200 * 8 * 0 0
Customer Buy 32 41 16 7 6 * 38 13 5 * 0 0 49 * * * 0 0
Customer Sell 39 35 9 11 9 0 37 13 6 * 0 * 126 * * * 0 0
Dealer to Dealer 5 * 5 0 0 0 6 6 * 0 0 0 25 0 * 0 0 0
<= $1MM 46 23 18 * 0 0 41 12 * 0 0 0 129 0 0 0 0 0
<= $10MM 29 40 12 11 * 0 38 20 8 * 0 * 62 * 5 0 0 0
> $10MM * 14 0 6 11 * * 0 * * 0 0 9 0 * * 0 0

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-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022
AVERAGE PRICE 99.8 0.0 0.0 98.7 97.6 94.7 0.0 5.6 8.1 96.9 96.5 93.7 0.0 0.0 0.0 70.8 94.7 91.6 0.0 * 0.0
Weighted Avg. Price 99.9 0.0 0.0 99.0 96.4 95.9 0.0 6.3 8.8 94.5 97.1 95.4 0.0 0.0 0.0 77.3 94.3 90.5 0.0 * 0.0
Avg. Price Bottom 5 Trades 99.6 0.0 0.0 95.4 93.0 86.1 0.0 5.2 8.0 87.0 89.0 86.9 0.0 0.0 0.0 22.7 87.9 74.2 0.0 * 0.0
2nd Quartile Price 99.8 0.0 0.0 98.3 97.8 93.1 0.0 4.8 8.5 97.0 96.3 91.2 0.0 0.0 0.0 72.3 92.8 89.4 0.0 * 0.0
3rd Quartile Price 99.9 0.0 0.0 99.1 98.6 96.0 0.0 7.5 9.0 100.4 97.0 95.3 0.0 0.0 0.0 80.0 94.9 94.9 0.0 * 0.0
4th Quartile Price 99.9 0.0 0.0 99.8 99.3 96.9 0.0 7.6 9.1 101.1 98.6 96.0 0.0 0.0 0.0 90.0 97.0 96.7 0.0 * 0.0
Avg. Price Top 5 Trades 100.0 0.0 0.0 100.8 100.1 98.6 0.0 5.8 8.4 101.2 100.1 98.7 0.0 0.0 0.0 97.7 102.6 100.2 0.0 * 0.0
Standard Deviation 0.2 0.0 0.0 1.6 2.5 3.6 0.0 1.6 1.1 6.4 3.5 3.8 0.0 0.0 0.0 26.5 4.0 7.4 0.0 * 0.0
VOLUME OF TRADES (000'S) 131,906.1 0.0 0.0 186,479.0 173,309.6 314,301.9 0.0 1,144.5 114,852.1 83,878.0 51,380.7 132,048.9 0.0 0.0 0.0 76,913.3 220,147.8 296,815.9 0.0 * 0.0
Customer Buy 87,720.3 0.0 0.0 94,352.6 72,998.2 174,871.2 0.0 * * 43,694.0 31,124.2 67,475.9 0.0 0.0 0.0 37,928.2 115,120.2 158,281.3 0.0 * 0.0
Customer Sell 44,185.8 0.0 0.0 85,386.4 99,311.4 119,420.7 0.0 * * 40,184.0 20,196.4 64,573.0 0.0 0.0 0.0 37,963.4 104,827.6 138,434.5 0.0 * 0.0
Dealer to Dealer 0.0 0.0 0.0 * * * 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 * * * 0.0 0.0 0.0
<= $1MM 3,727.5 0.0 0.0 1,451.1 8,315.1 14,014.1 0.0 1,144.5 * 2,653.0 12,037.4 9,705.3 0.0 0.0 0.0 4,964.1 1,572.6 2,082.0 0.0 0.0 0.0
<= $10MM 55,083.4 0.0 0.0 107,833.9 49,731.8 150,332.1 0.0 0.0 0.0 55,225.0 39,343.3 122,343.6 0.0 0.0 0.0 41,827.1 183,699.2 254,523.0 0.0 * 0.0
> $10MM * 0.0 0.0 77,194.1 115,262.7 149,955.7 0.0 0.0 * * 0.0 0.0 0.0 0.0 0.0 * * * 0.0 0.0 0.0
NUMBER OF TRADES 25 0 0 41 35 78 0 6 6 19 42 43 0 0 0 34 50 66 0 * 0
Customer Buy 11 0 0 21 14 43 0 * * 11 21 24 0 0 0 18 24 35 0 * 0
Customer Sell 14 0 0 17 19 33 0 * * 8 20 19 0 0 0 12 25 30 0 * 0
Dealer to Dealer 0 0 0 * * * 0 0 0 0 * 0 0 0 0 * * * 0 0 0
<= $1MM 14 0 0 10 17 39 0 6 * 6 27 16 0 0 0 23 10 6 0 0 0
<= $10MM 7 0 0 25 13 29 0 0 0 11 15 27 0 0 0 9 38 56 0 * 0
> $10MM * 0 0 6 5 10 0 0 * * 0 0 0 0 0 * * * 0 0 0

* Indicates trade count is less than 5
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 tracedataservices@finra.org.
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