As of

FINRA-ICE Data Services Structured Trading Activity Reports

Weekly CMBS data from 09/26/2022 to 09/30/2022

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 96.1 94.6 93.8 92.7 82.4 88.4 89.8 * * 0.0 2.8 5.7 5.8 9.3
Weighted Avg. Price 97.1 96.6 95.5 91.5 89.9 93.3 91.6 * * 0.0 2.0 1.5 4.6 3.1
Avg. Price Bottom 5 Trades 83.1 86.1 85.0 84.7 71.0 80.5 82.7 * * 0.0 1.2 1.5 3.5 0.7
2nd Quartile Price 94.9 93.6 92.6 89.9 79.0 81.9 85.5 * * 0.0 1.5 3.5 4.8 0.6
3rd Quartile Price 96.9 95.0 94.8 93.9 82.7 87.3 91.4 * * 0.0 4.0 6.3 6.5 5.0
4th Quartile Price 98.7 97.4 96.7 95.4 86.4 97.1 92.2 * * 0.0 4.6 8.4 6.9 6.5
Avg. Price Top 5 Trades 99.6 99.2 99.3 98.8 98.7 97.7 98.1 * * 0.0 4.5 10.6 8.0 23.1
Standard Deviation 3.6 3.5 4.1 4.2 7.5 7.3 5.0 * * 0.0 1.8 4.5 2.0 16.9
VOLUME OF TRADES (000'S) 356,223.3 292,206.0 79,924.7 57,503.5 86,091.0 81,922.5 1,093,442.1 * * 0.0 81,000.0 492,531.6 165,716.4 277,992.9
Customer Buy 145,793.6 56,880.6 30,777.5 11,763.2 20,039.4 13,458.3 235,832.6 * * 0.0 * 423,308.1 19,102.4 207,547.3
Customer Sell 150,545.0 218,089.5 47,806.0 41,825.8 63,183.7 58,590.4 502,368.2 * * 0.0 58,276.0 66,799.6 140,052.6 66,469.6
Dealer to Dealer 59,884.7 17,235.8 1,341.3 3,914.5 2,867.8 * 355,241.3 0.0 0.0 0.0 0.0 * * *
<= $1MM 17,556.4 16,666.5 11,706.6 12,942.3 11,867.0 6,387.8 11,083.2 0.0 0.0 0.0 0.0 0.0 * 0.0
<= $10MM 272,741.9 109,607.7 56,718.2 44,561.3 * 24,220.2 66,489.0 * * 0.0 20,737.1 41,993.9 58,600.9 36,700.5
> $10MM * * * 0.0 * * 1,015,870.0 0.0 0.0 0.0 60,262.8 * * 241,292.5
NUMBER OF TRADES 239 120 97 47 70 23 48 * * 0 11 17 21 14
Customer Buy 86 42 23 17 18 6 26 * * 0 * 5 5 7
Customer Sell 110 56 54 25 33 13 12 * * 0 7 11 14 6
Dealer to Dealer 43 22 20 5 19 * 10 0 0 0 0 * * *
<= $1MM 155 80 77 31 63 15 14 0 0 0 0 0 * 0
<= $10MM 81 37 19 16 * 5 18 * * 0 6 13 17 8
> $10MM * * * 0 * * 16 0 0 0 5 * * 6

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 96.5 92.2 94.1 88.5 80.8 80.9 92.2
Weighted Avg. Price 96.9 91.7 94.3 88.0 81.5 80.5 93.0
Avg. Price Bottom 5 Trades 90.7 91.1 92.8 85.3 77.5 79.1 85.4
2nd Quartile Price 95.2 91.6 93.8 86.0 78.5 80.2 89.7
3rd Quartile Price 96.6 92.2 94.2 89.3 81.8 81.3 93.7
4th Quartile Price 98.8 93.1 94.6 91.4 83.2 81.9 94.9
Avg. Price Top 5 Trades 99.6 93.4 95.0 92.2 84.9 82.3 97.9
Standard Deviation 2.4 0.9 0.7 2.8 2.7 1.3 4.2
VOLUME OF TRADES (000'S) 389,271.4 86,961.1 85,252.6 38,486.6 91,509.0 63,846.0 283,636.2
Customer Buy 133,535.9 52,078.0 39,770.6 * 52,682.0 22,981.0 162,682.9
Customer Sell 226,434.8 34,733.1 41,222.0 33,586.6 31,507.0 39,435.0 118,164.0
Dealer to Dealer 29,300.7 * * 0.0 7,320.0 * *
<= $1MM 31,964.9 2,225.0 5,423.0 2,462.4 4,773.0 4,260.0 3,915.0
<= $10MM 253,331.2 49,476.1 59,813.1 36,024.2 54,580.5 23,586.0 95,536.3
> $10MM * * * 0.0 * * 184,184.9
NUMBER OF TRADES 159 24 32 22 29 22 35
Customer Buy 59 11 9 * 11 8 20
Customer Sell 88 11 19 18 13 13 14
Dealer to Dealer 12 * * 0 5 * *
<= $1MM 87 7 13 9 11 12 8
<= $10MM 68 14 18 13 16 8 17
> $10MM * * * 0 * * 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 96.2 91.2 84.2 * 3.5 6.5 89.6 78.4 79.3 * 0.0 0.0 77.1 65.8 85.6 0.0 0.0 0.0
Weighted Avg. Price 96.0 89.5 83.5 * 4.6 5.8 89.3 82.2 83.5 * 0.0 0.0 77.9 58.7 95.5 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 88.7 83.8 76.3 * 2.8 5.5 72.4 59.9 65.7 * 0.0 0.0 51.0 56.6 85.6 0.0 0.0 0.0
2nd Quartile Price 95.3 85.8 78.5 * 2.8 5.7 82.7 70.7 81.1 * 0.0 0.0 71.5 54.5 * 0.0 0.0 0.0
3rd Quartile Price 96.4 91.5 83.9 * 3.5 6.8 93.3 84.6 83.0 * 0.0 0.0 85.3 65.4 * 0.0 0.0 0.0
4th Quartile Price 98.2 94.8 89.3 * 3.9 8.3 95.0 87.8 86.2 * 0.0 0.0 88.9 88.8 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 99.7 99.3 95.9 * 4.0 7.2 98.1 89.3 88.0 * 0.0 0.0 90.9 72.7 85.6 0.0 0.0 0.0
Standard Deviation 2.5 4.8 5.9 * 1.2 1.3 8.1 10.4 10.6 * 0.0 0.0 14.8 15.0 9.1 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 425,411.5 292,328.3 223,948.0 * 127,100.3 234,704.6 206,516.2 109,285.0 83,064.0 * 0.0 0.0 135,183.5 57,328.0 3,832.5 0.0 0.0 0.0
Customer Buy 197,118.0 123,626.7 111,716.5 * * 127,465.8 85,276.0 57,446.0 41,837.0 * 0.0 0.0 71,466.5 28,664.0 * 0.0 0.0 0.0
Customer Sell 226,427.1 166,617.0 109,926.4 0.0 45,695.4 107,238.7 117,795.2 48,255.0 41,227.0 0.0 0.0 0.0 63,687.0 * * 0.0 0.0 0.0
Dealer to Dealer 1,866.4 * * 0.0 0.0 0.0 3,445.0 * 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0
<= $1MM 24,038.1 10,901.1 8,078.0 0.0 0.0 * 14,198.0 2,967.0 * 0.0 0.0 0.0 1,826.0 0.0 * 0.0 0.0 0.0
<= $10MM 276,005.8 165,532.2 184,282.0 * 24,240.7 * 125,958.2 94,147.0 48,254.0 0.0 0.0 0.0 86,862.5 36,148.0 * 0.0 0.0 0.0
> $10MM 125,367.6 115,895.0 * * * 221,802.6 66,360.0 * * * 0.0 0.0 * * 0.0 0.0 0.0 0.0
NUMBER OF TRADES 160 72 63 * 8 10 68 39 17 * 0 0 30 8 5 0 0 0
Customer Buy 66 30 27 * * 5 30 18 10 * 0 0 18 5 * 0 0 0
Customer Sell 89 39 34 0 6 5 32 19 7 0 0 0 11 * * 0 0 0
Dealer to Dealer 5 * * 0 0 0 6 * 0 0 0 0 * 0 0 0 0 0
<= $1MM 75 26 20 0 0 * 32 12 * 0 0 0 8 0 * 0 0 0
<= $10MM 78 39 40 * 5 * 31 26 11 0 0 0 18 7 * 0 0 0
> $10MM 7 7 * * * 6 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 86.4 95.3 93.4 0.0 0.0 0.0 89.5 94.2 89.6 0.0 0.0 0.0 48.3 92.6 90.5 0.0 0.0 0.0
Weighted Avg. Price * 0.0 0.0 85.3 95.0 95.6 0.0 0.0 0.0 92.9 93.8 88.4 0.0 0.0 0.0 65.0 93.7 91.1 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 70.4 82.4 74.8 0.0 0.0 0.0 82.7 85.3 72.4 0.0 0.0 0.0 16.6 83.4 68.9 0.0 0.0 0.0
2nd Quartile Price * 0.0 0.0 71.6 94.6 93.5 0.0 0.0 0.0 88.3 93.5 86.3 0.0 0.0 0.0 21.6 91.9 90.0 0.0 0.0 0.0
3rd Quartile Price * 0.0 0.0 92.1 97.5 95.9 0.0 0.0 0.0 95.3 94.8 91.5 0.0 0.0 0.0 46.3 93.3 92.4 0.0 0.0 0.0
4th Quartile Price * 0.0 0.0 95.9 98.0 97.4 0.0 0.0 0.0 96.5 96.8 94.6 0.0 0.0 0.0 84.3 97.3 94.1 0.0 0.0 0.0
Avg. Price Top 5 Trades * 0.0 0.0 97.6 98.8 99.9 0.0 0.0 0.0 96.5 99.1 96.7 0.0 0.0 0.0 92.1 98.2 98.3 0.0 0.0 0.0
Standard Deviation * 0.0 0.0 11.3 4.7 6.8 0.0 0.0 0.0 10.9 3.8 6.2 0.0 0.0 0.0 32.2 5.8 6.3 0.0 0.0 0.0
VOLUME OF TRADES (000'S) * 0.0 0.0 29,769.8 214,422.4 759,537.8 0.0 0.0 0.0 23,152.6 314,766.1 176,997.4 0.0 0.0 0.0 40,025.9 153,210.3 853,157.5 0.0 0.0 0.0
Customer Buy * 0.0 0.0 11,428.7 87,624.1 324,909.9 0.0 0.0 0.0 * 138,446.9 60,292.0 0.0 0.0 0.0 17,390.3 74,254.6 424,827.3 0.0 0.0 0.0
Customer Sell * 0.0 0.0 18,341.1 125,370.5 428,417.6 0.0 0.0 0.0 13,209.0 176,099.2 116,705.4 0.0 0.0 0.0 22,528.8 78,955.7 428,330.3 0.0 0.0 0.0
Dealer to Dealer * 0.0 0.0 0.0 * 6,210.2 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 7,378.0 12,662.1 22,263.8 0.0 0.0 0.0 4,054.6 16,698.7 19,394.0 0.0 0.0 0.0 954.2 5,567.0 12,191.2 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 22,391.8 174,970.3 242,104.6 0.0 0.0 0.0 * 58,123.5 128,103.4 0.0 0.0 0.0 39,071.8 105,725.3 422,445.0 0.0 0.0 0.0
> $10MM 0.0 0.0 0.0 0.0 * 495,169.4 0.0 0.0 0.0 0.0 239,944.0 * 0.0 0.0 0.0 0.0 * 418,521.2 0.0 0.0 0.0
NUMBER OF TRADES * 0 0 25 82 138 0 0 0 12 53 81 0 0 0 26 33 114 0 0 0
Customer Buy * 0 0 10 32 56 0 0 0 * 16 26 0 0 0 10 15 60 0 0 0
Customer Sell * 0 0 15 49 76 0 0 0 7 34 55 0 0 0 12 18 54 0 0 0
Dealer to Dealer * 0 0 0 * 6 0 0 0 * * 0 0 0 0 * 0 0 0 0 0
<= $1MM * 0 0 14 26 49 0 0 0 8 27 43 0 0 0 19 8 21 0 0 0
<= $10MM 0 0 0 11 54 65 0 0 0 * 20 36 0 0 0 7 22 73 0 0 0
> $10MM 0 0 0 0 * 24 0 0 0 0 6 * 0 0 0 0 * 20 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.
Build 8.1.17.3.20240320   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.