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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 06/20/2022 to 06/24/2022

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 98.3 97.0 98.4 97.1 88.7 93.5 92.7 * 3.1 8.2 * 9.4 8.4 *
Weighted Avg. Price 98.8 97.7 98.6 98.6 98.5 96.5 93.9 * 1.3 5.4 * 8.6 8.0 *
Avg. Price Bottom 5 Trades 90.8 89.6 94.3 90.0 80.3 85.6 89.4 * 2.4 8.2 * 6.7 8.4 *
2nd Quartile Price 98.0 96.3 96.9 95.9 83.8 88.1 90.8 * 3.5 * * 6.6 * *
3rd Quartile Price 98.8 97.6 99.0 98.8 86.0 98.0 91.5 * 3.7 * * 6.9 * *
4th Quartile Price 99.5 98.3 99.9 99.6 95.0 98.5 95.3 * 4.1 * * 16.2 * *
Avg. Price Top 5 Trades 100.3 99.4 101.4 99.9 99.8 98.6 98.0 * 4.0 8.2 * 10.6 8.4 *
Standard Deviation 1.9 2.6 2.0 3.4 6.7 5.8 3.1 * 1.6 4.0 * 4.7 3.9 *
VOLUME OF TRADES (000'S) 2,097,161.9 143,492.7 70,249.2 345,435.3 160,797.5 436,818.3 770,222.7 * 1,730,255.1 220,890.1 * 120,453.7 31,969.7 *
Customer Buy 608,765.1 10,743.9 23,175.8 163,898.0 71,232.2 125,899.7 235,531.7 * * * * * * *
Customer Sell 685,710.6 108,084.3 44,920.0 167,178.9 87,076.4 212,232.1 296,761.0 * * * 0.0 * * *
Dealer to Dealer 802,686.3 24,664.4 2,153.3 14,358.4 2,488.9 * * 0.0 * * 0.0 0.0 0.0 0.0
<= $1MM 21,867.9 7,750.2 6,602.2 4,069.8 2,984.0 68.5 * * 0.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 226,228.4 66,709.5 50,013.7 74,172.7 36,015.3 48,540.0 65,285.9 0.0 0.0 0.0 * * * 0.0
> $10MM 1,849,065.7 * * 267,192.8 * 388,209.8 702,740.0 0.0 1,730,255.1 220,890.1 * * * *
NUMBER OF TRADES 240 79 90 49 59 25 35 * 8 5 * 7 5 *
Customer Buy 86 21 22 16 17 9 15 * * * * * * *
Customer Sell 84 36 42 21 30 12 19 * * * 0 * * *
Dealer to Dealer 70 22 26 12 12 * * 0 * * 0 0 0 0
<= $1MM 135 59 72 22 44 5 * * 0 0 0 0 0 0
<= $10MM 62 19 17 16 11 7 12 0 0 0 * * * 0
> $10MM 43 * * 11 * 13 19 0 8 5 * * * *

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 98.4 95.5 98.4 92.4 85.4 85.8 94.6
Weighted Avg. Price 98.8 95.2 98.2 92.6 84.1 85.7 94.7
Avg. Price Bottom 5 Trades 93.8 95.0 97.9 90.6 82.7 84.5 88.8
2nd Quartile Price 97.4 95.2 98.1 91.0 83.9 85.2 92.1
3rd Quartile Price 98.9 95.7 98.4 92.4 86.1 85.9 94.5
4th Quartile Price 99.6 96.0 98.6 93.1 89.2 86.3 101.3
Avg. Price Top 5 Trades 100.2 95.8 98.8 95.0 88.2 86.9 102.1
Standard Deviation 1.5 0.5 0.7 1.9 3.0 1.0 5.2
VOLUME OF TRADES (000'S) 201,840.1 91,995.2 22,777.2 55,547.0 23,360.0 76,200.0 86,530.0
Customer Buy 97,705.7 39,576.2 7,915.0 13,300.0 8,650.0 42,825.0 49,680.0
Customer Sell 97,020.0 52,358.1 14,862.2 36,335.0 14,710.0 33,375.0 36,850.0
Dealer to Dealer 7,114.4 * 0.0 * 0.0 0.0 0.0
<= $1MM 28,875.7 1,429.1 1,890.0 7,115.0 3,550.0 1,810.0 *
<= $10MM 94,754.4 * 20,887.2 28,432.0 19,810.0 42,025.0 54,585.0
> $10MM * * 0.0 * 0.0 * *
NUMBER OF TRADES 113 11 11 20 11 20 21
Customer Buy 55 5 6 7 5 10 15
Customer Sell 51 5 5 11 6 10 6
Dealer to Dealer 7 * 0 * 0 0 0
<= $1MM 76 5 5 10 6 6 *
<= $10MM 33 * 6 9 5 11 15
> $10MM * * 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 97.3 96.6 91.5 2.6 * 6.6 91.2 81.6 80.0 0.0 0.0 0.0 78.2 * * 5.0 4.5 0.0
Weighted Avg. Price 96.7 95.9 94.0 3.3 * 7.1 86.5 78.1 82.7 0.0 0.0 0.0 74.3 * * 4.7 3.7 0.0
Avg. Price Bottom 5 Trades 92.0 90.1 81.1 1.6 * 6.2 80.9 70.7 77.5 0.0 0.0 0.0 46.4 * * 3.8 4.5 0.0
2nd Quartile Price 97.3 95.1 86.2 1.6 * 6.4 87.8 79.4 77.0 0.0 0.0 0.0 71.0 * * 3.4 * 0.0
3rd Quartile Price 97.8 97.6 94.8 2.4 * 8.5 93.2 82.0 79.7 0.0 0.0 0.0 82.0 * * 6.3 * 0.0
4th Quartile Price 98.9 99.1 96.3 4.6 * 8.5 97.0 85.7 84.5 0.0 0.0 0.0 91.5 * * 6.3 * 0.0
Avg. Price Top 5 Trades 99.8 99.9 98.4 3.6 * 7.0 98.5 89.8 82.4 0.0 0.0 0.0 94.6 * * 5.7 4.5 0.0
Standard Deviation 2.3 2.9 6.5 1.4 * 1.7 6.2 6.3 3.8 0.0 0.0 0.0 15.9 * * 1.5 1.4 0.0
VOLUME OF TRADES (000'S) 241,576.9 388,270.0 89,755.6 337,679.6 * 72,268.6 93,788.0 118,702.5 26,930.0 0.0 0.0 0.0 149,839.0 * * 114,666.0 74,253.3 0.0
Customer Buy 120,270.5 175,542.6 41,510.8 * * * 45,889.5 53,108.3 * 0.0 0.0 0.0 67,205.0 * * 57,333.0 * 0.0
Customer Sell 119,030.9 194,256.1 46,994.8 206,023.2 * * 47,898.5 59,534.3 17,110.0 0.0 0.0 0.0 78,367.0 * * 57,333.0 * 0.0
Dealer to Dealer 2,275.5 18,471.3 * 0.0 0.0 0.0 0.0 6,060.0 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0
<= $1MM 10,163.8 8,187.5 7,819.6 * 0.0 0.0 5,282.0 6,882.0 * 0.0 0.0 0.0 2,878.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 42,171.2 108,967.8 81,936.0 * 0.0 * 88,506.0 77,165.5 24,740.0 0.0 0.0 0.0 98,081.0 0.0 * 53,268.0 * 0.0
> $10MM 189,241.9 271,114.6 0.0 335,279.1 * * 0.0 * 0.0 0.0 0.0 0.0 * * * * * 0.0
NUMBER OF TRADES 67 59 28 9 * 6 36 32 8 0 0 0 38 * * 10 5 0
Customer Buy 37 28 15 * * * 15 13 * 0 0 0 16 * * 5 * 0
Customer Sell 25 25 11 5 * * 21 13 5 0 0 0 20 * * 5 * 0
Dealer to Dealer 5 6 * 0 0 0 0 6 0 0 0 0 * 0 0 0 0 0
<= $1MM 44 22 13 * 0 0 19 14 * 0 0 0 12 0 0 0 0 0
<= $10MM 12 23 15 * 0 * 17 15 5 0 0 0 22 0 * 6 * 0
> $10MM 11 14 0 5 * * 0 * 0 0 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 * 0.0 0.0 93.6 96.6 94.9 0.0 0.0 0.0 92.5 94.4 91.8 0.0 0.0 0.0 59.4 89.7 91.2 0.0 0.0 0.0
Weighted Avg. Price * 0.0 0.0 94.6 96.4 96.3 0.0 0.0 0.0 91.2 93.5 90.2 0.0 0.0 0.0 37.5 89.8 88.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 87.6 86.8 83.8 0.0 0.0 0.0 89.3 85.5 80.1 0.0 0.0 0.0 19.1 62.4 77.8 0.0 0.0 0.0
2nd Quartile Price * 0.0 0.0 91.5 96.4 95.0 0.0 0.0 0.0 90.1 94.0 89.6 0.0 0.0 0.0 34.0 91.3 88.9 0.0 0.0 0.0
3rd Quartile Price * 0.0 0.0 94.5 98.0 96.2 0.0 0.0 0.0 96.0 96.4 94.0 0.0 0.0 0.0 75.1 93.6 92.0 0.0 0.0 0.0
4th Quartile Price * 0.0 0.0 99.3 98.7 97.5 0.0 0.0 0.0 96.5 96.9 95.6 0.0 0.0 0.0 87.9 96.1 94.1 0.0 0.0 0.0
Avg. Price Top 5 Trades * 0.0 0.0 99.4 100.1 98.6 0.0 0.0 0.0 96.3 97.9 97.5 0.0 0.0 0.0 94.9 97.1 98.9 0.0 0.0 0.0
Standard Deviation * 0.0 0.0 6.5 3.8 4.1 0.0 0.0 0.0 4.8 4.6 5.2 0.0 0.0 0.0 35.8 13.3 5.5 0.0 0.0 0.0
VOLUME OF TRADES (000'S) * 0.0 0.0 17,932.8 210,441.2 217,008.9 0.0 0.0 0.0 17,290.0 174,732.9 185,696.1 0.0 0.0 0.0 140,056.7 102,701.6 399,803.9 0.0 0.0 0.0
Customer Buy * 0.0 0.0 9,216.4 91,524.5 97,672.3 0.0 0.0 0.0 * 91,892.8 82,733.4 0.0 0.0 0.0 69,475.0 51,904.8 197,052.0 0.0 0.0 0.0
Customer Sell * 0.0 0.0 7,566.4 105,193.3 119,336.6 0.0 0.0 0.0 8,825.0 79,372.2 99,640.8 0.0 0.0 0.0 70,545.8 50,796.8 200,251.9 0.0 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 0.0
<= $1MM * 0.0 0.0 1,870.0 7,463.8 14,752.7 0.0 0.0 0.0 * 2,911.0 11,085.0 0.0 0.0 0.0 1,167.2 4,138.6 9,347.9 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 16,062.8 176,785.4 130,256.2 0.0 0.0 0.0 16,820.0 129,718.9 144,611.1 0.0 0.0 0.0 57,178.0 88,206.0 208,519.2 0.0 0.0 0.0
> $10MM 0.0 0.0 0.0 0.0 * * 0.0 0.0 0.0 0.0 * * 0.0 0.0 0.0 * * 181,936.9 0.0 0.0 0.0
NUMBER OF TRADES * 0 0 15 47 73 0 0 0 9 39 62 0 0 0 24 40 84 0 0 0
Customer Buy * 0 0 8 22 33 0 0 0 * 17 21 0 0 0 9 20 40 0 0 0
Customer Sell * 0 0 6 23 40 0 0 0 5 21 37 0 0 0 12 20 43 0 0 0
Dealer to Dealer 0 0 0 * * 0 0 0 0 0 * * 0 0 0 * 0 * 0 0 0
<= $1MM * 0 0 7 14 33 0 0 0 * 7 25 0 0 0 9 15 20 0 0 0
<= $10MM 0 0 0 8 31 36 0 0 0 6 29 35 0 0 0 11 24 54 0 0 0
> $10MM 0 0 0 0 * * 0 0 0 0 * * 0 0 0 * * 10 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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