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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 08/28/2023 to 09/01/2023

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 95.5 94.7 92.6 85.1 88.9 93.5 94.8 2.9 * * 6.5 6.8 * -
Weighted Avg. Price 96.1 96.3 94.9 94.3 88.2 97.0 96.1 3.8 * * 6.3 5.8 * -
Avg. Price Bottom 5 Trades 80.8 85.7 86.6 70.4 78.1 84.2 83.5 0.9 * * 5.4 5.6 * -
2nd Quartile Price 94.3 93.1 91.0 79.6 83.1 91.9 92.5 2.0 * * 6.0 6.5 * -
3rd Quartile Price 96.3 95.0 93.8 84.6 91.5 94.7 96.3 2.7 * * 7.2 6.6 * -
4th Quartile Price 97.6 97.3 94.7 98.7 98.7 98.1 98.3 3.5 * * 8.0 9.1 * -
Avg. Price Top 5 Trades 99.5 99.7 98.5 99.6 98.8 99.5 100.1 5.7 * * 7.5 7.9 * -
Standard Deviation 3.5 3.4 4.5 9.4 9.3 5.1 5.0 2.0 * * 1.5 2.0 * -
VOLUME OF TRADES (000'S) 155,975.9 189,842.7 44,371.1 89,149.7 81,243.0 1,763,961.0 1,056,313.1 591,689.1 * * 340,154.4 533,831.3 * -
Customer Buy 73,913.2 123,907.4 30,239.7 48,696.7 21,124.1 889,226.3 377,796.9 * * * * 244,758.1 * -
Customer Sell 68,173.3 55,013.5 13,151.9 21,261.6 13,014.6 854,574.1 * * * * * * * -
Dealer to Dealer 13,889.5 10,921.8 * 19,191.4 * * 404,876.1 156,889.6 - - * * - -
<= $1MM 26,063.1 8,247.7 4,341.0 3,075.7 2,638.8 4,706.1 5,301.0 - - * - - - -
<= $10MM 95,067.8 60,872.6 24,324.6 72,054.9 * 56,599.3 96,418.8 32,967.1 * - * * - -
> $10MM * 120,722.5 * * * 1,702,655.6 954,593.3 558,722.0 * * 320,089.0 517,213.5 * -
NUMBER OF TRADES 227 78 25 70 15 41 52 19 * * 10 8 * -
Customer Buy 78 30 12 24 6 20 33 * * * * 5 * -
Customer Sell 104 30 9 27 6 18 * * * * * * * -
Dealer to Dealer 45 18 * 19 * * 15 14 - - * * - -
<= $1MM 189 52 17 49 8 9 8 - - * - - - -
<= $10MM 35 19 7 20 * 10 23 6 * - * * - -
> $10MM * 7 * * * 22 21 13 * * 6 6 * -

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 94.8 93.6 87.5 * 79.9 91.5 101.3
Weighted Avg. Price 95.9 92.9 87.8 * 81.1 93.8 101.0
Avg. Price Bottom 5 Trades 86.8 93.1 85.1 * 77.7 85.6 100.3
2nd Quartile Price 93.8 92.5 85.9 * 79.5 89.0 100.8
3rd Quartile Price 95.3 94.4 86.6 * 80.9 93.4 101.5
4th Quartile Price 96.8 94.8 91.5 * 81.3 96.2 101.9
Avg. Price Top 5 Trades 99.0 94.1 90.6 * 81.4 98.4 102.0
Standard Deviation 2.9 1.1 3.0 * 2.0 5.7 0.8
VOLUME OF TRADES (000'S) 172,124.0 12,428.6 41,067.0 * 73,246.0 111,943.0 174,902.0
Customer Buy 64,704.4 * 12,792.0 * 9,738.0 31,370.0 74,262.0
Customer Sell 105,520.6 * 28,275.0 * 63,276.0 80,573.0 100,640.0
Dealer to Dealer 1,899.0 - - - * - -
<= $1MM 16,937.7 * 3,032.0 * 2,637.0 4,425.0 *
<= $10MM 112,921.2 * 18,320.0 - * 46,967.0 *
> $10MM * - * - * * 151,890.0
NUMBER OF TRADES 110 7 13 * 15 18 16
Customer Buy 36 * 7 * 5 10 8
Customer Sell 67 * 6 * 6 8 8
Dealer to Dealer 7 - - - * - -
<= $1MM 70 * 7 * 8 8 *
<= $10MM 38 * 5 - * 6 *
> $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-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 95.3 95.4 90.8 - * - 73.3 45.8 * - - - 35.6 - * - - -
Weighted Avg. Price 95.2 94.0 97.9 - * - 72.3 54.6 * - - - 54.5 - * - - -
Avg. Price Bottom 5 Trades 88.8 93.7 77.1 - * - 47.2 23.8 * - - - 10.6 - * - - -
2nd Quartile Price 94.5 94.5 82.0 - * - 72.0 24.5 * - - - 11.7 - * - - -
3rd Quartile Price 95.9 95.3 100.3 - * - 75.5 48.0 * - - - 28.0 - * - - -
4th Quartile Price 96.5 98.1 103.0 - * - 85.3 70.6 * - - - 52.0 - * - - -
Avg. Price Top 5 Trades 99.6 97.2 102.5 - * - 89.1 68.8 * - - - 85.4 - * - - -
Standard Deviation 2.6 2.4 12.2 - * - 15.0 24.1 * - - - 27.0 - * - - -
VOLUME OF TRADES (000'S) 292,914.5 25,640.0 34,914.0 - * - 22,776.7 12,739.5 * - - - 27,703.1 - * - - -
Customer Buy 117,345.2 * 23,839.0 - * - 16,427.4 10,779.5 * - - - 15,614.1 - * - - -
Customer Sell 174,496.5 13,708.1 11,075.0 - - - 5,649.4 * * - - - 10,808.0 - - - - -
Dealer to Dealer * - - - - - * * - - - - 1,281.0 - - - - -
<= $1MM 13,376.5 4,046.1 1,750.0 - - - 5,072.0 3,520.0 - - - - 8,203.1 - - - - -
<= $10MM 194,903.1 - 33,164.0 - - - 17,704.7 * * - - - 19,500.0 - * - - -
> $10MM 84,634.9 * - - * - - - - - - - - - - - - -
NUMBER OF TRADES 92 10 13 - * - 37 11 * - - - 56 - * - - -
Customer Buy 39 * 8 - * - 23 7 * - - - 12 - * - - -
Customer Sell 50 6 5 - - - 11 * * - - - 21 - - - - -
Dealer to Dealer * - - - - - * * - - - - 23 - - - - -
<= $1MM 42 8 6 - - - 29 7 - - - - 49 - - - - -
<= $10MM 43 - 7 - - - 8 * * - - - 7 - * - - -
> $10MM 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 - - - 90.7 94.5 94.0 - - - 74.5 85.6 93.8 - - - 62.0 79.8 86.7 - - *
Weighted Avg. Price - - - 90.7 95.1 93.2 - - - 71.6 84.5 96.7 - - - 40.1 73.0 86.8 - - *
Avg. Price Bottom 5 Trades - - - 86.0 86.2 74.2 - - - 64.6 64.6 75.4 - - - 4.6 49.4 70.5 - - *
2nd Quartile Price - - - 88.8 90.9 90.5 - - - 68.5 75.5 95.3 - - - 48.0 90.7 85.4 - - *
3rd Quartile Price - - - 92.9 95.5 98.0 - - - 83.0 90.2 97.1 - - - 71.3 91.8 87.5 - - *
4th Quartile Price - - - 93.2 99.4 99.4 - - - 84.1 95.7 98.0 - - - 83.0 92.6 96.6 - - *
Avg. Price Top 5 Trades - - - 94.0 99.6 100.1 - - - 85.6 99.3 99.9 - - - 92.8 93.9 97.3 - - *
Standard Deviation - - - 3.5 5.0 7.9 - - - 11.2 11.6 7.5 - - - 27.9 23.3 9.2 - - *
VOLUME OF TRADES (000'S) - - - 110,832.4 147,584.1 358,994.5 - - - 75,935.4 97,307.3 204,802.0 - - - 82,263.5 31,435.4 63,435.0 - - *
Customer Buy - - - 40,578.0 69,967.2 218,347.4 - - - 45,010.2 35,613.3 115,481.0 - - - 24,523.0 16,195.3 31,072.3 - - *
Customer Sell - - - 51,230.3 73,016.9 127,359.0 - - - 30,925.2 61,694.0 89,321.0 - - - 36,393.6 12,240.2 32,362.7 - - -
Dealer to Dealer - - - * * 13,288.1 - - - - - - - - - * * - - - -
<= $1MM - - - * 6,562.3 7,577.3 - - - 3,926.9 8,093.8 6,340.0 - - - 11,508.1 5,255.1 5,215.4 - - -
<= $10MM - - - 55,244.4 116,031.9 229,085.9 - - - * 89,213.5 144,039.6 - - - 49,654.0 26,180.3 58,219.5 - - *
> $10MM - - - * * 122,331.2 - - - * - 54,422.4 - - - * - - - - -
NUMBER OF TRADES - - - 19 48 80 - - - 17 46 57 - - - 74 17 29 - - *
Customer Buy - - - 6 22 44 - - - 8 19 29 - - - 34 10 14 - - *
Customer Sell - - - 9 25 31 - - - 9 27 28 - - - 36 6 15 - - -
Dealer to Dealer - - - * * 5 - - - - - - - - - * * - - - -
<= $1MM - - - * 18 19 - - - 11 18 25 - - - 64 8 9 - - -
<= $10MM - - - 13 28 53 - - - * 28 27 - - - 8 9 20 - - *
> $10MM - - - * * 8 - - - * - 5 - - - * - - - - -

* 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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