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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

Weekly CMBS data from 07/18/2022 to 07/22/2022

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 98.2 97.6 99.5 98.3 86.7 91.5 94.3 2.1 - 7.7 7.2 6.4 7.2 -
Weighted Avg. Price 98.2 98.4 99.4 99.6 95.2 88.6 94.5 1.7 - 5.1 6.7 7.0 5.4 -
Avg. Price Bottom 5 Trades 88.5 91.6 93.2 94.1 80.7 83.8 89.4 1.7 - 4.6 7.2 6.3 6.2 -
2nd Quartile Price 97.8 97.3 98.8 97.3 83.6 86.1 92.3 1.5 - 3.4 * 6.2 7.8 -
3rd Quartile Price 98.8 98.1 99.9 99.6 85.3 91.1 94.1 2.9 - 7.8 * 7.0 8.0 -
4th Quartile Price 99.5 99.0 101.0 99.9 88.2 98.0 97.8 3.6 - 22.9 * 7.2 8.2 -
Avg. Price Top 5 Trades 100.2 99.6 102.5 100.0 99.1 98.1 99.4 2.5 - 9.1 7.2 6.6 8.1 -
Standard Deviation 2.2 2.2 2.1 2.2 5.2 6.2 3.3 1.0 - 8.0 1.2 0.7 1.9 -
VOLUME OF TRADES (000'S) 1,970,124.6 117,823.2 302,441.9 765,697.4 35,456.6 361,543.4 750,284.4 300,644.2 - 142,446.8 155,127.7 72,737.6 918,669.7 -
Customer Buy 960,222.0 46,610.3 144,238.3 96,109.4 22,726.2 34,578.6 276,277.3 * - * - * * -
Customer Sell 929,299.4 56,217.5 76,337.6 340,491.9 12,626.9 205,486.8 209,205.0 160,971.1 - * * * 206,617.2 -
Dealer to Dealer 80,603.2 14,995.4 81,866.1 329,096.1 103.6 * 264,802.1 - - - * * * -
<= $1MM 28,147.4 11,945.1 8,638.2 5,802.6 2,154.0 3,636.4 7,163.0 - - - - * - -
<= $10MM 256,344.0 49,281.1 43,047.9 54,010.0 33,302.6 17,328.0 108,479.7 * - * * * * -
> $10MM 1,685,633.3 * 250,755.9 705,884.8 - 340,579.0 634,641.7 291,282.0 - 133,446.8 * * 917,135.4 -
NUMBER OF TRADES 256 67 99 59 61 21 45 7 - 6 5 6 10 -
Customer Buy 109 25 34 23 15 7 21 * - * - * * -
Customer Sell 101 27 32 21 29 10 11 5 - * * * 5 -
Dealer to Dealer 46 15 33 15 17 * 13 - - - * * * -
<= $1MM 155 47 74 18 53 7 9 - - - - * - -
<= $10MM 72 17 17 16 8 5 23 * - * * * * -
> $10MM 29 * 8 25 - 9 13 5 - 5 * * 9 -

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 98.5 96.7 99.4 93.3 87.5 86.9 96.6
Weighted Avg. Price 98.7 96.9 99.6 92.9 88.8 87.2 93.7
Avg. Price Bottom 5 Trades 94.8 95.8 97.7 90.8 84.6 85.1 91.3
2nd Quartile Price 97.9 96.1 99.0 91.5 85.1 86.2 93.7
3rd Quartile Price 98.7 96.9 99.8 92.7 88.5 87.4 96.3
4th Quartile Price 99.4 97.4 100.4 94.8 89.7 88.0 102.2
Avg. Price Top 5 Trades 100.0 97.6 100.8 97.8 90.5 88.3 102.7
Standard Deviation 1.2 0.7 1.2 2.5 2.4 1.4 4.9
VOLUME OF TRADES (000'S) 358,347.1 36,749.0 61,824.6 67,407.0 76,960.0 54,953.0 102,184.0
Customer Buy 165,071.0 17,800.0 13,940.0 16,212.0 31,160.0 21,755.0 35,534.0
Customer Sell 187,381.0 18,949.0 32,484.6 22,595.0 28,978.0 33,144.0 66,650.0
Dealer to Dealer 5,895.0 - * 28,600.0 * * -
<= $1MM 40,025.9 6,579.0 4,300.0 5,826.0 4,103.0 1,737.0 2,729.0
<= $10MM 155,380.6 30,170.0 57,524.6 61,581.0 46,347.0 53,216.0 41,025.0
> $10MM 162,940.5 - - - * - *
NUMBER OF TRADES 175 22 22 32 25 19 16
Customer Buy 76 13 8 9 11 5 9
Customer Sell 85 9 12 15 11 13 7
Dealer to Dealer 14 - * 8 * * -
<= $1MM 102 11 5 16 11 9 8
<= $10MM 63 11 17 16 12 10 5
> $10MM 10 - - - * - *

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 97.5 95.4 91.2 - 3.2 8.0 91.5 90.2 79.3 - - - 83.7 79.3 93.9 - - -
Weighted Avg. Price 96.9 95.1 94.6 - 3.7 8.2 91.8 89.9 79.6 - - - 81.7 67.6 95.4 - - -
Avg. Price Bottom 5 Trades 93.1 87.3 81.5 - 1.8 6.2 74.2 78.2 76.9 - - - 53.5 76.0 93.9 - - -
2nd Quartile Price 96.8 94.6 86.1 - 2.1 7.6 88.0 87.4 78.4 - - - 82.5 88.9 * - - -
3rd Quartile Price 97.9 95.6 90.6 - 4.4 9.4 95.2 92.0 78.7 - - - 88.7 96.0 * - - -
4th Quartile Price 98.7 98.2 93.7 - 4.8 10.5 96.5 94.2 81.6 - - - 93.5 96.1 * - - -
Avg. Price Top 5 Trades 99.8 99.7 104.1 - 4.7 9.7 98.6 96.9 82.0 - - - 97.1 84.9 93.9 - - -
Standard Deviation 1.6 3.5 7.1 - 1.5 2.5 7.4 5.8 2.8 - - - 12.8 21.0 6.9 - - -
VOLUME OF TRADES (000'S) 404,026.8 281,175.7 164,160.4 - 333,854.0 24,498.0 223,892.2 189,813.6 28,100.0 - - - 190,727.0 28,602.2 13,160.6 - - -
Customer Buy 192,069.9 130,109.7 80,804.4 - * * 93,875.8 86,756.0 14,000.0 - - - 86,868.5 * * - - -
Customer Sell 209,526.0 149,948.5 80,886.0 - 33,225.2 19,237.6 117,129.1 85,557.6 14,100.0 - - - 99,336.5 * * - - -
Dealer to Dealer 2,430.8 * * - - - 12,887.3 * - - - - * - - - - -
<= $1MM 29,704.4 15,528.4 13,974.4 - - * 11,899.6 1,195.0 * - - - 5,402.5 * - - - -
<= $10MM 112,970.6 124,414.5 97,078.0 - 22,323.0 22,513.5 211,992.5 164,238.6 25,100.0 - - - 173,319.5 * 13,160.6 - - -
> $10MM 261,351.7 141,232.9 * - 311,531.0 - - * - - - - * - - - - -
NUMBER OF TRADES 127 70 59 - 11 9 72 50 13 - - - 59 6 5 - - -
Customer Buy 66 32 30 - * * 31 23 6 - - - 33 * * - - -
Customer Sell 53 35 27 - 7 7 32 23 7 - - - 24 * * - - -
Dealer to Dealer 8 * * - - - 9 * - - - - * - - - - -
<= $1MM 84 32 28 - - * 24 5 * - - - 22 * - - - -
<= $10MM 31 31 27 - 6 7 48 43 10 - - - 36 * 5 - - -
> $10MM 12 7 * - 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-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 99.7 - - 95.1 95.3 93.8 - - - 94.1 92.5 93.4 - * - 63.4 92.0 93.3 - - -
Weighted Avg. Price 99.7 - - 93.6 91.8 92.8 - - - 95.3 92.6 92.0 - * - 74.3 92.8 93.3 - - -
Avg. Price Bottom 5 Trades 99.6 - - 93.1 87.3 85.4 - - - 88.6 82.2 86.4 - * - 23.9 63.4 84.9 - - -
2nd Quartile Price 99.6 - - 93.5 93.2 90.5 - - - 92.5 90.8 90.9 - * - 40.0 92.3 92.4 - - -
3rd Quartile Price 99.8 - - 94.8 97.3 94.6 - - - 94.6 93.5 94.3 - * - 88.0 94.9 93.6 - - -
4th Quartile Price 99.8 - - 98.1 98.5 97.0 - - - 97.4 95.6 96.3 - * - 91.5 96.1 94.5 - - -
Avg. Price Top 5 Trades 99.8 - - 99.3 99.1 98.6 - - - 99.0 98.8 97.6 - * - 93.9 98.2 98.8 - - -
Standard Deviation 0.1 - - 2.3 3.9 4.0 - - - 3.7 5.0 3.5 - * - 31.4 9.5 2.9 - - -
VOLUME OF TRADES (000'S) 7,000.4 - - 137,975.0 110,908.2 182,310.0 - - - 19,198.0 58,950.7 87,780.2 - * - 42,983.8 306,454.6 430,108.9 - - -
Customer Buy * - - 59,366.0 47,707.2 95,098.9 - - - 10,490.3 32,963.9 50,830.4 - - - 17,193.6 153,049.0 217,984.6 - - -
Customer Sell 5,622.9 - - 58,609.0 50,581.0 84,050.0 - - - 8,563.0 25,508.8 36,949.8 - * - 25,770.2 136,699.6 205,444.3 - - -
Dealer to Dealer - - - * * 3,161.1 - - - * * - - - - * * * - - -
<= $1MM 2,859.9 - - 4,975.0 8,719.1 18,754.6 - - - 8,198.0 6,678.7 8,736.9 - - - 2,310.7 10,806.3 4,390.0 - - -
<= $10MM * - - 78,000.0 60,163.1 130,236.6 - - - * 52,272.0 55,949.3 - * - 40,673.1 191,708.3 363,402.8 - - -
> $10MM - - - * * * - - - - - * - - - - 103,940.0 * - - -
NUMBER OF TRADES 10 - - 30 43 80 - - - 27 36 51 - * - 21 85 95 - - -
Customer Buy * - - 17 21 30 - - - 12 20 29 - - - 8 44 47 - - -
Customer Sell 7 - - 11 20 43 - - - 14 14 22 - * - 12 37 47 - - -
Dealer to Dealer - - - * * 7 - - - * * - - - - * * * - - -
<= $1MM 8 - - 13 26 48 - - - 23 21 24 - - - 7 24 8 - - -
<= $10MM * - - 14 15 30 - - - * 15 25 - * - 14 54 83 - - -
> $10MM - - - * * * - - - - - * - - - - 7 * - - -

* 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 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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