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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 03/20/2023 to 03/24/2023

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 96.4 96.4 94.2 83.7 84.7 88.7 98.9 2.7 * * 6.4 6.6 2.0 13.8
Weighted Avg. Price 97.0 97.7 95.3 94.4 85.0 88.4 98.9 2.7 * * 4.2 5.5 2.1 4.2
Avg. Price Bottom 5 Trades 87.4 90.8 89.3 73.0 73.8 75.9 96.8 0.8 * * 3.9 3.6 2.0 2.9
2nd Quartile Price 95.6 95.7 92.5 79.5 81.2 85.2 97.3 1.3 * * 6.9 7.0 * 3.1
3rd Quartile Price 97.1 96.9 93.8 83.8 85.0 89.6 99.6 2.6 * * 7.9 7.3 * 7.5
4th Quartile Price 98.0 98.0 97.3 86.5 90.1 93.4 100.4 3.6 * * 8.2 7.3 * 33.4
Avg. Price Top 5 Trades 99.5 99.2 98.0 99.0 96.4 97.1 100.6 5.2 * * 8.2 8.5 2.0 27.4
Standard Deviation 2.4 2.2 2.9 7.5 7.9 6.5 1.9 1.9 * * 2.6 2.2 0.3 14.9
VOLUME OF TRADES (000'S) 366,988.6 149,011.7 66,391.2 43,613.0 61,011.8 843,759.4 228,830.0 243,810.4 * * 1,357,802.4 1,013,536.8 907,191.0 2,821,220.9
Customer Buy 189,967.9 95,381.3 25,601.8 13,819.0 42,473.0 130,193.5 * 105,128.3 * * 1,100,554.2 322,570.7 * 2,481,349.2
Customer Sell 89,536.0 39,332.0 23,084.4 24,853.8 9,099.3 34,664.1 88,830.0 138,682.0 * * 257,248.3 690,966.0 * *
Dealer to Dealer 87,484.7 14,298.3 17,705.0 4,940.2 9,439.5 678,901.8 105,000.0 0.0 0.0 0.0 0.0 0.0 0.0 *
<= $1MM 30,870.9 13,579.2 7,343.0 2,570.8 2,875.3 11,531.4 * 3,580.4 0.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 211,404.9 38,075.6 44,205.2 19,508.9 58,136.5 133,208.5 42,000.0 30,391.1 0.0 * * 33,541.5 0.0 *
> $10MM 124,712.8 97,356.9 * * 0.0 699,019.4 186,500.0 209,838.9 * * 1,333,688.9 979,995.3 907,191.0 2,806,420.9
NUMBER OF TRADES 210 78 46 57 29 65 15 20 * * 14 26 5 18
Customer Buy 78 29 16 14 14 26 * 5 * * 8 11 * 15
Customer Sell 87 36 17 29 9 14 6 15 * * 6 15 * *
Dealer to Dealer 45 13 13 14 6 25 7 0 0 0 0 0 0 *
<= $1MM 146 57 29 49 12 17 * 6 0 0 0 0 0 0
<= $10MM 58 16 16 6 17 32 5 6 0 * * 5 0 *
> $10MM 6 5 * * 0 16 9 8 * * 10 21 5 16

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 94.4 93.4 88.5 80.8 81.2 95.2 0.0
Weighted Avg. Price 94.6 95.0 88.2 79.6 80.8 96.3 0.0
Avg. Price Bottom 5 Trades 85.5 88.3 85.8 78.2 79.9 83.5 0.0
2nd Quartile Price 92.1 92.3 87.3 79.2 80.3 88.4 0.0
3rd Quartile Price 94.8 94.5 87.8 80.3 81.4 95.4 0.0
4th Quartile Price 96.1 95.2 89.5 83.8 81.9 103.2 0.0
Avg. Price Top 5 Trades 99.6 95.9 93.1 84.5 82.7 105.1 0.0
Standard Deviation 3.0 2.5 2.4 2.5 1.0 7.3 0.0
VOLUME OF TRADES (000'S) 353,653.0 157,759.0 72,711.0 99,361.0 176,174.0 274,098.9 0.0
Customer Buy 140,654.1 73,354.0 41,562.0 53,999.0 112,885.0 169,843.9 0.0
Customer Sell 174,998.6 80,550.0 28,706.0 45,362.0 63,289.0 98,140.0 0.0
Dealer to Dealer 38,000.3 3,855.0 * 0.0 0.0 * 0.0
<= $1MM 44,464.8 7,149.0 4,632.0 4,257.0 4,030.0 3,980.0 0.0
<= $10MM 246,958.8 38,075.0 53,079.0 * 114,374.0 143,595.0 0.0
> $10MM 62,229.3 * * 71,126.0 * 126,523.9 0.0
NUMBER OF TRADES 234 44 33 20 28 47 0
Customer Buy 87 13 14 9 20 26 0
Customer Sell 113 26 16 11 8 17 0
Dealer to Dealer 34 5 * 0 0 * 0
<= $1MM 139 24 16 12 8 9 0
<= $10MM 90 16 16 * 18 30 0
> $10MM 5 * * 5 * 8 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 95.0 88.9 86.2 1.3 5.1 5.0 85.9 72.1 0.0 * * * 54.8 * 0.0 * 0.0 0.0
Weighted Avg. Price 95.5 90.4 90.0 1.9 4.5 2.3 86.7 73.1 0.0 * * * 65.4 * 0.0 * 0.0 0.0
Avg. Price Bottom 5 Trades 82.2 76.0 71.1 0.0 3.7 3.6 73.2 45.6 0.0 * * * 33.9 * 0.0 * 0.0 0.0
2nd Quartile Price 93.3 83.6 78.7 0.2 4.7 5.3 80.0 68.5 0.0 * * * 56.5 * 0.0 * 0.0 0.0
3rd Quartile Price 95.8 91.1 92.1 0.7 5.6 6.0 88.3 73.2 0.0 * * * 65.5 * 0.0 * 0.0 0.0
4th Quartile Price 97.4 93.6 94.2 1.1 6.1 7.2 92.0 79.5 0.0 * * * 75.0 * 0.0 * 0.0 0.0
Avg. Price Top 5 Trades 99.4 97.3 97.6 4.1 6.4 6.5 98.6 88.4 0.0 * * * 77.7 * 0.0 * 0.0 0.0
Standard Deviation 3.6 6.6 11.1 1.7 1.3 2.3 7.6 12.2 0.0 * * * 26.5 * 0.0 * 0.0 0.0
VOLUME OF TRADES (000'S) 220,802.7 111,187.1 37,345.6 1,423,215.6 307,675.5 443,139.3 127,232.7 66,741.8 0.0 * * * 37,564.0 * 0.0 * 0.0 0.0
Customer Buy 86,454.1 47,477.0 19,561.5 279,030.0 97,736.1 * 68,413.6 38,535.9 0.0 * 0.0 0.0 15,187.0 * 0.0 * 0.0 0.0
Customer Sell 120,621.3 60,285.0 15,956.5 1,144,185.6 209,939.3 226,296.2 53,007.5 27,893.5 0.0 * * * 22,377.0 0.0 0.0 * 0.0 0.0
Dealer to Dealer 13,727.3 3,425.2 * 0.0 0.0 0.0 5,811.5 312.5 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 21,052.8 17,124.1 6,632.0 0.0 * 0.0 15,909.6 6,716.8 0.0 0.0 0.0 0.0 935.0 * 0.0 0.0 0.0 0.0
<= $10MM 184,359.9 83,414.5 30,713.6 54,150.0 49,658.1 * 73,323.1 60,025.0 0.0 0.0 * 0.0 36,629.0 0.0 0.0 0.0 0.0 0.0
> $10MM * * 0.0 1,369,065.6 * 433,686.1 * 0.0 0.0 * 0.0 * 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 148 60 25 36 13 10 79 49 0 * * * 19 * 0 * 0 0
Customer Buy 62 27 12 6 5 * 32 20 0 * 0 0 6 * 0 * 0 0
Customer Sell 71 26 11 30 8 6 33 21 0 * * * 13 0 0 * 0 0
Dealer to Dealer 15 7 * 0 0 0 14 8 0 0 0 0 0 0 0 0 0 0
<= $1MM 94 40 13 0 * 0 56 37 0 0 0 0 6 * 0 0 0 0
<= $10MM 53 19 12 10 8 * 20 12 0 0 * 0 13 0 0 0 0 0
> $10MM * * 0 26 * 8 * 0 0 * 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-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 91.5 95.1 0.0 0.0 0.0 82.5 91.2 93.7 * 0.0 0.0 72.8 85.5 92.2 * 0.0 *
Weighted Avg. Price 0.0 0.0 0.0 92.7 93.4 96.1 0.0 0.0 0.0 89.5 94.5 93.2 * 0.0 0.0 82.4 84.9 93.4 * 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 88.0 78.1 80.8 0.0 0.0 0.0 58.5 72.5 87.4 * 0.0 0.0 34.5 47.0 85.7 * 0.0 *
2nd Quartile Price 0.0 0.0 0.0 93.0 86.7 95.1 0.0 0.0 0.0 75.9 90.3 92.5 * 0.0 0.0 70.6 80.4 92.0 * 0.0 *
3rd Quartile Price 0.0 0.0 0.0 95.6 92.4 96.4 0.0 0.0 0.0 85.9 95.0 94.5 * 0.0 0.0 89.0 95.3 93.0 * 0.0 *
4th Quartile Price 0.0 0.0 0.0 96.5 97.4 97.5 0.0 0.0 0.0 96.0 97.3 95.8 * 0.0 0.0 98.6 96.8 95.1 * 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 97.4 99.2 99.9 0.0 0.0 0.0 99.7 97.9 97.8 * 0.0 0.0 99.4 97.0 96.6 * 0.0 *
Standard Deviation 0.0 0.0 0.0 3.5 6.5 4.8 0.0 0.0 0.0 13.4 10.8 3.1 * 0.0 0.0 29.6 21.1 3.5 * 0.0 *
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 136,159.0 232,302.1 442,987.7 0.0 0.0 0.0 192,378.0 116,171.5 96,926.7 * 0.0 0.0 72,615.3 99,744.5 120,701.1 * 0.0 *
Customer Buy 0.0 0.0 0.0 67,729.3 122,448.3 183,765.6 0.0 0.0 0.0 93,682.7 50,254.0 53,468.6 0.0 0.0 0.0 36,708.4 54,977.3 55,673.0 0.0 0.0 *
Customer Sell 0.0 0.0 0.0 68,429.7 104,853.8 245,362.0 0.0 0.0 0.0 98,695.3 65,917.5 43,458.1 * 0.0 0.0 35,906.9 42,502.1 65,028.1 * 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 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 4,447.6 14,262.1 16,380.4 0.0 0.0 0.0 2,485.7 5,510.0 8,837.9 * 0.0 0.0 2,586.0 8,039.7 5,915.2 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 31,711.4 106,700.0 232,350.5 0.0 0.0 0.0 66,201.7 58,661.5 88,088.8 * 0.0 0.0 47,113.3 78,535.7 114,786.0 0.0 0.0 *
> $10MM 0.0 0.0 0.0 * * 194,256.8 0.0 0.0 0.0 123,690.6 * 0.0 0.0 0.0 0.0 * * 0.0 * 0.0 *
NUMBER OF TRADES 0 0 0 24 71 102 0 0 0 34 33 42 * 0 0 26 37 34 * 0 *
Customer Buy 0 0 0 9 34 44 0 0 0 17 12 20 0 0 0 11 17 13 0 0 *
Customer Sell 0 0 0 15 36 55 0 0 0 17 21 22 * 0 0 15 18 21 * 0 *
Dealer to Dealer 0 0 0 0 * * 0 0 0 0 0 0 0 0 0 0 * 0 0 0 0
<= $1MM 0 0 0 13 43 45 0 0 0 6 12 15 * 0 0 12 13 11 0 0 0
<= $10MM 0 0 0 7 25 47 0 0 0 22 17 27 * 0 0 12 23 23 0 0 *
> $10MM 0 0 0 * * 10 0 0 0 6 * 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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