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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 01/30/2023 to 02/03/2023

Pricing Table: Agency CMBS by Deal Vintage
METRIC AGENCY CMBS (P&I) AGENCY CMBS (IO/PO)
PRE-2018 2018 2019 2020 2021 2022 2023 PRE-2018 2018 2019 2020 2021 2022 2023
AVERAGE PRICE 96.3 98.2 96.2 83.5 80.5 89.8 98.7 4.8 0.0 * 9.0 4.1 10.5 *
Weighted Avg. Price 96.5 98.2 97.2 83.6 77.5 94.8 99.8 4.3 0.0 * 7.5 1.8 2.1 *
Avg. Price Bottom 5 Trades 82.7 95.3 92.1 72.1 70.7 73.0 97.9 1.9 0.0 * 5.9 1.5 10.5 *
2nd Quartile Price 95.6 97.3 94.1 81.1 73.1 82.6 98.0 2.8 0.0 * 6.0 2.1 * *
3rd Quartile Price 96.9 98.6 96.8 83.0 81.3 93.2 99.6 6.3 0.0 * 10.3 4.9 * *
4th Quartile Price 97.8 99.2 98.0 86.6 86.0 98.0 100.2 8.0 0.0 * 15.7 6.8 * *
Avg. Price Top 5 Trades 99.6 100.0 99.1 97.5 96.1 100.7 99.9 7.7 0.0 * 12.2 6.6 10.5 *
Standard Deviation 2.8 1.3 2.3 6.4 9.2 9.0 1.8 2.8 0.0 * 3.9 2.7 21.1 *
VOLUME OF TRADES (000'S) 1,499,217.0 566,749.0 234,762.4 74,728.5 31,021.2 416,553.5 202,297.7 254,339.6 0.0 * 81,190.5 1,700,096.5 167,193.0 *
Customer Buy 610,932.3 215,098.9 39,185.9 10,247.6 8,165.1 154,764.1 * 116,466.7 0.0 * 64,941.1 960,723.5 * *
Customer Sell 854,858.1 344,870.6 152,170.4 35,936.6 11,059.4 112,634.3 * 137,872.9 0.0 0.0 * 739,373.0 * 0.0
Dealer to Dealer 33,426.6 6,779.6 43,406.1 28,544.3 * 149,155.1 * 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 32,805.4 14,091.2 8,362.0 6,777.9 5,276.8 8,672.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 160,542.9 76,568.6 59,233.4 52,950.6 25,744.4 167,498.9 * * 0.0 * 13,660.7 0.0 * 0.0
> $10MM 1,305,868.7 476,089.2 167,167.0 * 0.0 240,382.6 * 237,613.5 0.0 * 67,529.8 1,700,096.5 * *
NUMBER OF TRADES 246 94 42 76 30 79 8 14 0 * 10 11 5 *
Customer Buy 88 31 16 20 14 35 * 6 0 * 7 6 * *
Customer Sell 112 44 15 34 12 25 * 8 0 0 * 5 * 0
Dealer to Dealer 46 19 11 22 * 19 * 0 0 0 0 0 0 0
<= $1MM 182 63 17 62 22 28 0 0 0 0 0 0 0 0
<= $10MM 47 26 20 13 8 41 * * 0 * 5 0 * 0
> $10MM 17 5 5 * 0 10 * 11 0 * 5 11 * *

Pricing Table: CMBS Conduit AAA LCF (P&I) by Deal Vintage
METRIC CONDUIT AAA LCF (P&I)
PRE-2018 2018 2019 2020 2021 2022 2023
AVERAGE PRICE 96.4 97.1 91.7 85.7 85.4 97.6 103.5
Weighted Avg. Price 96.6 97.2 91.0 85.8 85.2 97.3 103.8
Avg. Price Bottom 5 Trades 92.6 95.6 89.6 82.5 83.9 88.2 103.3
2nd Quartile Price 94.9 96.8 90.2 84.2 84.8 92.1 103.3
3rd Quartile Price 96.6 97.4 91.0 86.2 85.7 98.9 103.8
4th Quartile Price 98.1 97.6 94.2 87.7 86.3 105.8 104.7
Avg. Price Top 5 Trades 99.5 98.0 95.6 88.9 86.7 108.6 103.6
Standard Deviation 1.9 0.8 2.3 2.4 1.0 7.7 0.7
VOLUME OF TRADES (000'S) 606,270.3 125,586.0 94,503.0 110,046.8 259,693.2 133,977.0 20,100.0
Customer Buy 312,070.2 83,112.9 83,756.2 69,372.0 101,120.2 48,560.0 *
Customer Sell 286,325.6 42,473.1 10,746.8 20,674.8 158,573.0 85,167.0 *
Dealer to Dealer 7,874.6 0.0 0.0 * 0.0 * *
<= $1MM 27,460.2 * 1,740.0 * 3,355.0 4,385.0 *
<= $10MM 252,551.0 75,061.0 46,102.8 94,947.0 66,124.2 68,702.0 19,100.0
> $10MM 326,259.1 * * * 190,214.0 * 0.0
NUMBER OF TRADES 160 27 23 29 33 29 6
Customer Buy 84 16 16 17 17 12 *
Customer Sell 65 11 7 9 16 16 *
Dealer to Dealer 11 0 0 * 0 * *
<= $1MM 62 * 5 * 7 8 *
<= $10MM 81 20 16 24 16 17 5
> $10MM 17 * * * 10 * 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-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023
AVERAGE PRICE 95.9 92.8 92.9 3.0 5.9 0.0 88.0 77.0 78.1 0.0 0.0 0.0 70.8 * * 0.0 0.0 6.3
Weighted Avg. Price 95.5 95.4 97.5 2.9 5.9 0.0 89.8 76.5 81.9 0.0 0.0 0.0 72.0 * * 0.0 0.0 4.0
Avg. Price Bottom 5 Trades 91.6 86.2 81.0 1.2 5.8 0.0 69.4 62.1 67.7 0.0 0.0 0.0 55.3 * * 0.0 0.0 5.1
2nd Quartile Price 94.4 89.1 88.8 1.6 5.7 0.0 86.0 67.2 73.6 0.0 0.0 0.0 60.5 * * 0.0 0.0 5.6
3rd Quartile Price 96.2 93.4 98.6 3.6 6.2 0.0 89.5 77.4 83.7 0.0 0.0 0.0 70.5 * * 0.0 0.0 12.6
4th Quartile Price 97.6 96.8 98.7 4.7 6.2 0.0 92.7 85.5 91.9 0.0 0.0 0.0 84.0 * * 0.0 0.0 12.6
Avg. Price Top 5 Trades 99.0 97.5 100.6 4.5 6.1 0.0 98.7 93.5 88.5 0.0 0.0 0.0 93.4 * * 0.0 0.0 7.4
Standard Deviation 1.9 4.0 8.4 1.4 0.4 0.0 7.2 11.2 13.9 0.0 0.0 0.0 15.0 * * 0.0 0.0 5.3
VOLUME OF TRADES (000'S) 351,255.1 146,183.7 120,127.0 309,221.5 227,494.6 0.0 244,839.2 72,425.3 39,356.3 0.0 0.0 0.0 64,594.0 * * 0.0 0.0 731,388.1
Customer Buy 191,976.6 88,974.9 25,327.0 224,170.9 * 0.0 134,225.2 37,452.3 23,040.1 0.0 0.0 0.0 25,001.0 * * 0.0 0.0 *
Customer Sell 147,818.3 55,727.2 42,800.0 85,050.6 * 0.0 106,579.0 32,853.0 * 0.0 0.0 0.0 37,336.0 * * 0.0 0.0 *
Dealer to Dealer * * * 0.0 0.0 0.0 4,035.0 * * 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 *
<= $1MM 19,475.9 8,553.4 2,855.0 * 0.0 0.0 13,644.7 7,211.3 * 0.0 0.0 0.0 1,059.0 * 0.0 0.0 0.0 0.0
<= $10MM 208,571.3 69,136.0 58,660.0 51,048.1 * 0.0 197,794.5 65,214.0 38,580.3 0.0 0.0 0.0 63,535.0 * * 0.0 0.0 0.0
> $10MM 123,207.9 68,494.4 * 257,062.7 223,105.4 0.0 * 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 731,388.1
NUMBER OF TRADES 108 44 21 19 7 0 110 32 10 0 0 0 21 * * 0 0 6
Customer Buy 63 26 8 11 * 0 50 16 5 0 0 0 8 * * 0 0 *
Customer Sell 42 14 9 8 * 0 40 13 * 0 0 0 10 * * 0 0 *
Dealer to Dealer * * * 0 0 0 20 * * 0 0 0 * 0 0 0 0 *
<= $1MM 46 23 5 * 0 0 55 12 * 0 0 0 5 * 0 0 0 0
<= $10MM 53 16 12 10 * 0 53 20 8 0 0 0 16 * * 0 0 0
> $10MM 9 5 * 7 6 0 * 0 0 0 0 0 0 0 0 0 0 6

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-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023 PRE-2018 2018-2020 2021-2023
AVERAGE PRICE 0.0 0.0 0.0 94.0 94.9 96.1 0.0 0.0 0.0 90.2 91.6 94.5 0.0 0.0 0.0 70.0 93.5 92.8 * * 0.0
Weighted Avg. Price 0.0 0.0 0.0 95.5 94.1 96.5 0.0 0.0 0.0 90.3 90.3 94.9 0.0 0.0 0.0 79.4 94.4 93.0 * * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 86.4 84.2 84.9 0.0 0.0 0.0 85.3 80.7 83.2 0.0 0.0 0.0 9.6 83.0 75.5 * * 0.0
2nd Quartile Price 0.0 0.0 0.0 91.5 90.7 95.6 0.0 0.0 0.0 90.4 89.4 93.1 0.0 0.0 0.0 57.0 94.0 91.3 * * 0.0
3rd Quartile Price 0.0 0.0 0.0 94.7 98.3 97.6 0.0 0.0 0.0 92.4 93.5 96.6 0.0 0.0 0.0 86.0 95.0 94.0 * * 0.0
4th Quartile Price 0.0 0.0 0.0 97.5 99.3 98.5 0.0 0.0 0.0 93.3 96.9 97.6 0.0 0.0 0.0 90.8 98.2 96.3 * * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 98.6 99.8 99.9 0.0 0.0 0.0 94.0 99.0 100.4 0.0 0.0 0.0 95.2 98.7 100.5 * * 0.0
Standard Deviation 0.0 0.0 0.0 4.6 5.3 4.1 0.0 0.0 0.0 6.1 5.9 4.9 0.0 0.0 0.0 29.5 6.6 6.2 * * 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 119,607.2 445,377.3 440,658.4 0.0 0.0 0.0 48,015.0 115,667.9 222,985.0 0.0 0.0 0.0 271,950.2 101,748.6 322,778.4 * * 0.0
Customer Buy 0.0 0.0 0.0 53,593.8 204,114.9 185,236.6 0.0 0.0 0.0 28,465.0 53,926.5 94,236.1 0.0 0.0 0.0 131,511.2 59,140.4 158,914.6 0.0 * 0.0
Customer Sell 0.0 0.0 0.0 63,013.3 227,292.8 243,880.0 0.0 0.0 0.0 19,350.0 61,741.4 126,762.9 0.0 0.0 0.0 133,160.6 36,141.2 143,469.6 * * 0.0
Dealer to Dealer 0.0 0.0 0.0 * 13,969.5 11,541.8 0.0 0.0 0.0 * 0.0 * 0.0 0.0 0.0 7,278.4 * 20,394.2 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 4,095.7 8,498.3 10,595.6 0.0 0.0 0.0 1,725.0 9,289.0 14,172.1 0.0 0.0 0.0 15,760.0 3,252.0 7,622.9 * 0.0 0.0
<= $10MM 0.0 0.0 0.0 90,362.7 191,232.5 317,805.1 0.0 0.0 0.0 35,406.0 106,378.9 148,808.0 0.0 0.0 0.0 196,797.5 98,496.6 265,356.9 0.0 0.0 0.0
> $10MM 0.0 0.0 0.0 * 245,646.5 * 0.0 0.0 0.0 * 0.0 * 0.0 0.0 0.0 59,392.7 0.0 * 0.0 * 0.0
NUMBER OF TRADES 0 0 0 40 85 96 0 0 0 14 45 69 0 0 0 77 25 74 * * 0
Customer Buy 0 0 0 23 42 47 0 0 0 6 23 35 0 0 0 35 13 38 0 * 0
Customer Sell 0 0 0 16 38 44 0 0 0 6 22 32 0 0 0 36 8 31 * * 0
Dealer to Dealer 0 0 0 * 5 5 0 0 0 * 0 * 0 0 0 6 * 5 0 0 0
<= $1MM 0 0 0 10 20 21 0 0 0 7 17 21 0 0 0 29 5 10 * 0 0
<= $10MM 0 0 0 29 53 72 0 0 0 6 28 45 0 0 0 43 20 60 0 0 0
> $10MM 0 0 0 * 12 * 0 0 0 * 0 * 0 0 0 5 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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