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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 05/29/2023 to 06/02/2023

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 96.2 96.4 95.0 87.6 89.4 92.0 89.2 * - * 7.9 4.1 * -
Weighted Avg. Price 96.4 96.0 97.4 99.1 97.6 95.5 86.1 * - * 4.2 4.3 * -
Avg. Price Bottom 5 Trades 90.2 91.5 89.9 77.5 78.1 86.6 53.0 * - * 4.4 4.1 * -
2nd Quartile Price 95.3 95.9 93.2 81.3 82.4 90.2 95.5 * - * 5.8 * * -
3rd Quartile Price 96.6 97.0 95.3 84.5 92.6 93.2 99.3 * - * 7.8 * * -
4th Quartile Price 97.5 98.0 97.1 95.7 98.4 95.5 100.1 * - * 11.9 * * -
Avg. Price Top 5 Trades 99.3 98.9 99.9 100.1 98.4 97.4 100.5 * - * 11.2 4.1 * -
Standard Deviation 2.0 2.2 3.3 8.0 8.9 4.4 18.9 * - * 5.1 2.5 * -
VOLUME OF TRADES (000'S) 229,370.5 80,766.9 89,005.6 129,831.3 322,951.2 699,812.8 234,465.5 * - * 578,837.4 251,353.6 * -
Customer Buy 86,536.7 34,382.9 68,137.1 71,042.4 99,477.2 411,712.8 108,148.5 * - * 339,785.1 * * -
Customer Sell 108,360.2 15,922.2 12,158.9 2,878.4 118,804.0 255,200.0 26,500.0 - - * * - * -
Dealer to Dealer 34,473.7 30,461.8 * 55,910.5 104,670.0 * 99,817.0 - - - * * - -
<= $1MM 26,985.7 4,652.5 7,670.5 1,902.9 1,418.2 1,407.8 2,270.0 - - - * - - -
<= $10MM 142,097.0 46,074.7 41,462.8 14,628.3 * 19,380.0 92,426.4 - - * - * * -
> $10MM 60,287.8 * * 113,300.1 309,303.6 679,025.0 139,769.1 * - * 578,413.6 * - -
NUMBER OF TRADES 189 72 33 48 20 21 28 * - * 9 5 * -
Customer Buy 51 23 17 18 8 13 14 * - * 5 * * -
Customer Sell 92 30 12 18 5 7 5 - - * * - * -
Dealer to Dealer 46 19 * 12 7 * 9 - - - * * - -
<= $1MM 146 56 17 36 11 5 5 - - - * - - -
<= $10MM 38 14 14 7 * 5 15 - - * - * * -
> $10MM 5 * * 5 7 11 8 * - * 8 * - -

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 95.5 94.4 89.2 83.5 82.7 94.2 *
Weighted Avg. Price 95.5 94.3 90.6 82.3 83.3 94.6 *
Avg. Price Bottom 5 Trades 91.1 93.8 87.6 82.8 82.2 87.4 *
2nd Quartile Price 93.8 93.9 87.8 83.6 82.3 89.6 *
3rd Quartile Price 96.0 94.7 88.4 85.2 82.5 96.0 *
4th Quartile Price 97.2 95.1 92.6 85.5 84.0 100.2 *
Avg. Price Top 5 Trades 98.6 95.0 90.9 84.9 83.2 102.2 *
Standard Deviation 2.3 0.6 2.4 2.5 0.8 6.2 *
VOLUME OF TRADES (000'S) 249,094.2 97,317.1 17,180.0 8,866.0 35,574.0 70,448.9 *
Customer Buy 126,960.8 67,317.1 13,440.0 * * 42,085.0 *
Customer Sell 121,632.5 * 3,740.0 * 15,059.0 28,363.9 *
Dealer to Dealer 501.0 - - * - - -
<= $1MM 14,328.4 * 3,835.0 2,866.0 * * -
<= $10MM 202,227.6 48,881.0 * * 33,506.0 69,763.9 *
> $10MM * * - - - - -
NUMBER OF TRADES 96 12 10 7 9 18 *
Customer Buy 48 9 5 * * 11 *
Customer Sell 41 * 5 * 5 7 *
Dealer to Dealer 7 - - * - - -
<= $1MM 45 * 6 5 * * -
<= $10MM 48 7 * * 6 14 *
> $10MM * * - - - - -

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 95.1 88.4 95.8 * 6.8 - 81.0 64.7 63.1 - - - 59.3 - * - - -
Weighted Avg. Price 93.2 91.2 91.7 * 6.3 - 78.7 59.5 57.6 - - - 52.2 - * - - -
Avg. Price Bottom 5 Trades 90.3 82.2 86.2 * 5.3 - 58.6 41.3 56.3 - - - 15.4 - * - - -
2nd Quartile Price 93.0 85.4 93.1 * 6.8 - 76.5 52.5 57.5 - - - 40.3 - * - - -
3rd Quartile Price 96.0 92.3 101.2 * 7.1 - 85.3 63.6 66.8 - - - 70.5 - * - - -
4th Quartile Price 97.3 93.1 101.9 * 9.6 - 90.3 80.5 97.2 - - - 78.5 - * - - -
Avg. Price Top 5 Trades 98.5 93.3 102.6 * 8.2 - 93.4 89.7 65.8 - - - 92.2 - * - - -
Standard Deviation 2.8 6.1 7.8 * 2.4 - 11.0 18.4 17.8 - - - 25.9 - * - - -
VOLUME OF TRADES (000'S) 104,558.4 39,345.8 34,851.8 * 251,581.0 - 91,465.0 89,612.8 38,388.0 - - - 83,701.8 - * - - -
Customer Buy 57,499.0 17,707.8 16,509.1 * 173,327.3 - 48,218.0 39,892.4 * - - - 36,942.0 - * - - -
Customer Sell 46,917.8 * 18,342.7 * * - 42,297.0 49,720.4 * - - - 35,482.8 - - - - -
Dealer to Dealer * * - * - - * - - - - - 11,277.0 - - - - -
<= $1MM 6,653.5 1,767.6 5,482.8 * * - 8,162.0 3,359.0 * - - - 2,988.8 - * - - -
<= $10MM 25,739.7 * 29,369.0 * * - 83,303.0 86,253.8 37,388.0 - - - 54,713.0 - - - - -
> $10MM 72,165.2 * - - 242,062.5 - - - - - - - * - - - - -
NUMBER OF TRADES 44 12 17 * 10 - 38 25 6 - - - 37 - * - - -
Customer Buy 21 7 9 * 8 - 16 10 * - - - 16 - * - - -
Customer Sell 21 * 8 * * - 19 15 * - - - 15 - - - - -
Dealer to Dealer * * - * - - * - - - - - 6 - - - - -
<= $1MM 29 8 10 * * - 18 7 * - - - 16 - * - - -
<= $10MM 9 * 7 * * - 20 18 5 - - - 19 - - - - -
> $10MM 6 * - - 7 - - - - - - - * - - - - -

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 - - - 90.9 92.9 93.4 - - - 82.5 90.5 91.8 - - - 81.6 88.8 91.0 - - -
Weighted Avg. Price - - - 89.3 92.1 95.9 - - - 95.6 91.8 92.6 - - - 68.9 85.6 91.1 - - -
Avg. Price Bottom 5 Trades - - - 85.0 81.3 79.7 - - - 65.0 77.4 77.6 - - - 72.4 76.8 73.3 - - -
2nd Quartile Price - - - 88.7 89.4 88.6 - - - 85.0 85.3 87.0 - - - 85.9 80.3 91.3 - - -
3rd Quartile Price - - - 91.7 94.1 96.9 - - - 90.8 90.8 95.5 - - - 91.5 95.2 94.3 - - -
4th Quartile Price - - - 94.0 98.8 97.2 - - - 97.6 98.3 96.8 - - - 94.0 97.3 99.6 - - -
Avg. Price Top 5 Trades - - - 96.3 99.6 101.0 - - - 96.3 98.8 102.1 - - - 91.7 97.9 99.7 - - -
Standard Deviation - - - 4.2 5.8 6.1 - - - 18.3 8.3 8.9 - - - 20.8 10.3 11.4 - - -
VOLUME OF TRADES (000'S) - - - 108,441.6 306,363.3 252,509.0 - - - 169,133.8 61,665.9 66,989.9 - - - 15,175.0 61,516.6 86,352.5 - - -
Customer Buy - - - 33,618.3 144,996.7 124,859.9 - - - 85,561.9 18,447.6 40,385.6 - - - * 33,974.0 39,556.0 - - -
Customer Sell - - - 74,823.3 160,566.6 127,449.5 - - - 82,561.9 42,866.3 25,514.2 - - - 10,401.4 27,542.7 41,796.5 - - -
Dealer to Dealer - - - - * * - - - * * * - - - - - * - - -
<= $1MM - - - 3,604.6 9,557.2 8,378.5 - - - * 6,267.4 6,308.1 - - - * - 3,989.0 - - -
<= $10MM - - - 59,907.0 120,644.2 179,785.4 - - - 15,400.0 44,398.5 60,681.7 - - - 13,326.1 34,012.7 82,363.5 - - -
> $10MM - - - * 176,161.9 * - - - * * - - - - - * - - - -
NUMBER OF TRADES - - - 23 74 70 - - - 13 29 30 - - - 9 13 27 - - -
Customer Buy - - - 9 33 35 - - - 6 9 16 - - - * 7 13 - - -
Customer Sell - - - 14 39 33 - - - 5 19 12 - - - 5 6 13 - - -
Dealer to Dealer - - - - * * - - - * * * - - - - - * - - -
<= $1MM - - - 8 30 20 - - - * 16 15 - - - * - 7 - - -
<= $10MM - - - 12 35 47 - - - 7 12 15 - - - 5 11 20 - - -
> $10MM - - - * 9 * - - - * * - - - - - * - - - -

* 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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