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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 09/25/2023 to 09/29/2023

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 94.3 94.2 91.1 83.6 81.8 79.6 93.4 4.1 * * 6.8 5.7 * -
Weighted Avg. Price 92.0 94.5 92.9 94.3 92.4 82.0 92.5 4.2 * * 7.1 6.1 * -
Avg. Price Bottom 5 Trades 71.9 86.0 83.9 71.2 72.9 67.0 86.1 1.5 * * 6.8 4.7 * -
2nd Quartile Price 93.1 92.3 87.4 78.9 79.1 74.8 92.1 3.2 * * * 5.9 * -
3rd Quartile Price 95.8 94.3 90.5 83.4 80.8 81.3 94.1 3.8 * * * 6.7 * -
4th Quartile Price 97.1 97.2 94.3 84.9 86.8 85.9 95.2 5.3 * * * 7.1 * -
Avg. Price Top 5 Trades 99.3 99.2 99.5 99.5 94.4 90.1 98.1 6.6 * * 6.8 7.1 * -
Standard Deviation 4.9 3.5 4.8 7.7 8.3 8.0 3.3 1.6 * * 0.8 2.2 * -
VOLUME OF TRADES (000'S) 317,129.4 232,824.0 142,156.2 114,406.2 140,564.8 223,763.6 677,861.0 1,902,541.0 * * 521,267.2 498,380.2 * -
Customer Buy 125,471.0 112,187.0 39,180.2 9,543.6 58,151.3 71,063.8 348,548.7 762,695.6 - * * 359,407.3 * -
Customer Sell 121,077.6 84,475.1 92,726.7 103,905.4 77,212.3 125,115.3 236,713.0 1,139,845.4 * - * * - -
Dealer to Dealer 70,580.8 36,161.9 10,249.3 957.2 * 27,584.5 92,599.3 - - - - - - -
<= $1MM 22,590.8 4,289.6 4,521.6 3,735.9 5,023.9 2,876.9 4,500.0 - - - - - - -
<= $10MM 144,591.6 124,021.1 81,219.7 23,542.9 20,002.5 44,351.4 145,043.8 42,613.3 - * - * * -
> $10MM 149,947.0 104,513.3 * * * 176,535.3 528,317.2 1,859,927.7 * * 521,267.2 488,566.6 - -
NUMBER OF TRADES 267 88 45 65 23 35 59 39 * * 5 8 * -
Customer Buy 86 41 16 25 12 13 38 17 - * * 5 * -
Customer Sell 109 29 18 31 8 13 14 22 * - * * - -
Dealer to Dealer 72 18 11 9 * 9 7 - - - - - - -
<= $1MM 199 54 27 55 14 16 10 - - - - - - -
<= $10MM 57 28 16 7 6 12 27 7 - * - * * -
> $10MM 11 6 * * * 7 22 32 * * 5 7 - -

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 94.2 92.4 85.5 76.7 78.3 88.3 99.4
Weighted Avg. Price 95.1 92.2 87.8 73.9 78.0 87.7 99.5
Avg. Price Bottom 5 Trades 88.7 92.1 82.1 75.3 77.6 84.3 97.8
2nd Quartile Price 92.4 92.6 83.4 75.7 77.9 86.4 99.0
3rd Quartile Price 94.5 92.6 84.8 77.5 78.5 87.8 100.2
4th Quartile Price 96.2 92.8 89.5 83.7 80.0 90.4 100.7
Avg. Price Top 5 Trades 99.2 92.7 89.9 77.6 79.0 92.6 100.7
Standard Deviation 2.7 0.6 3.1 3.9 1.0 4.2 1.4
VOLUME OF TRADES (000'S) 313,970.5 35,000.0 40,699.9 11,964.5 63,447.0 91,420.0 90,671.7
Customer Buy 131,003.6 * 18,727.5 * 11,300.0 64,936.0 38,100.0
Customer Sell 162,635.9 * 21,922.5 1,964.5 52,147.0 * 52,571.7
Dealer to Dealer 20,331.0 - * - - - -
<= $1MM 23,219.1 * 1,508.0 * * 3,525.0 *
<= $10MM 177,261.9 34,370.0 39,191.9 * 29,290.0 25,189.0 76,050.0
> $10MM 113,489.5 - - - * * *
NUMBER OF TRADES 183 8 19 6 10 16 14
Customer Buy 62 * 8 * 5 12 6
Customer Sell 100 * 7 5 5 * 8
Dealer to Dealer 21 - * - - - -
<= $1MM 123 * 8 * * 7 *
<= $10MM 51 6 11 * 5 5 12
> $10MM 9 - - - * * *

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 94.2 88.2 88.9 * * - 77.4 57.5 * - 5.8 * 69.8 - 54.1 * * 7.3
Weighted Avg. Price 92.4 87.7 82.0 * * - 73.4 56.0 * - 5.7 * 66.9 - 35.6 * * 7.1
Avg. Price Bottom 5 Trades 87.1 81.9 74.5 * * - 59.8 45.3 * - 4.1 * 42.2 - 32.1 * * 7.3
2nd Quartile Price 92.2 86.1 76.8 * * - 72.1 48.3 * - 4.7 * 70.2 - 38.3 * * *
3rd Quartile Price 95.0 89.5 97.6 * * - 79.0 63.4 * - 6.6 * 72.3 - 62.8 * * *
4th Quartile Price 96.5 91.5 100.0 * * - 81.5 67.4 * - 7.6 * 77.0 - 64.7 * * *
Avg. Price Top 5 Trades 99.0 92.3 99.5 * * - 92.2 69.3 * - 7.5 * 86.7 - 74.8 * * 7.3
Standard Deviation 3.0 4.1 12.0 * * - 9.7 12.3 * - 1.7 * 13.7 - 24.3 * * 0.4
VOLUME OF TRADES (000'S) 187,411.5 83,771.1 23,370.0 * * - 161,119.0 68,003.0 * - 138,531.1 * 112,661.5 - 97,793.0 * * 41,183.6
Customer Buy 88,224.6 41,291.1 5,265.0 * * - 79,923.4 29,766.0 - - - - 57,599.8 - 56,560.9 - * 27,241.8
Customer Sell 98,891.0 41,480.0 10,305.0 - - - 77,856.6 38,237.0 * - 138,531.1 * 50,224.8 - 41,232.2 * * *
Dealer to Dealer 295.9 * * - - - 3,339.0 - - - - - 4,837.0 - - - - -
<= $1MM 14,172.1 4,613.1 2,410.0 - - - 12,304.7 * * - - - 7,081.5 - - - - -
<= $10MM 127,717.6 79,158.0 20,960.0 - - - 81,388.3 45,897.0 * - 47,505.0 * 68,856.0 - 47,448.3 - * 41,183.6
> $10MM * - - * * - 67,426.0 * - - 91,026.1 * * - * * * -
NUMBER OF TRADES 102 26 14 * * - 79 12 * - 12 * 47 - 12 * * 8
Customer Buy 41 15 6 * * - 46 6 - - - - 18 - 7 - * 5
Customer Sell 52 10 6 - - - 24 6 * - 12 * 20 - 5 * * *
Dealer to Dealer 9 * * - - - 9 - - - - - 9 - - - - -
<= $1MM 62 9 8 - - - 50 * * - - - 26 - - - - -
<= $10MM 36 17 6 - - - 24 8 * - 6 * 18 - 10 - * 8
> $10MM * - - * * - 5 * - - 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 - - - 89.5 95.0 95.6 - - - 64.6 91.7 93.5 - - - 71.3 94.1 90.3 - - 89.3
Weighted Avg. Price - - - 87.8 96.7 95.2 - - - 67.9 91.5 94.2 - - - 83.1 96.3 94.7 - - 89.4
Avg. Price Bottom 5 Trades - - - 76.7 84.1 82.2 - - - 34.3 70.8 79.8 - - - 16.5 78.6 54.5 - - 87.9
2nd Quartile Price - - - 83.0 90.8 94.3 - - - 55.6 90.1 87.7 - - - 67.0 93.8 87.6 - - 88.9
3rd Quartile Price - - - 93.4 98.2 97.8 - - - 61.5 97.1 96.4 - - - 81.8 96.6 94.3 - - 89.7
4th Quartile Price - - - 97.5 99.6 98.3 - - - 89.0 98.4 98.2 - - - 92.5 98.5 95.8 - - 91.0
Avg. Price Top 5 Trades - - - 98.1 99.8 100.1 - - - 95.5 99.2 100.2 - - - 96.4 99.5 99.3 - - 91.1
Standard Deviation - - - 8.7 5.1 4.8 - - - 23.0 10.5 6.0 - - - 27.5 9.7 11.6 - - 1.9
VOLUME OF TRADES (000'S) - - - 182,428.8 193,127.7 272,612.8 - - - 75,473.9 105,891.2 236,201.2 - - - 98,062.1 120,307.9 409,514.2 - - 12,400.0
Customer Buy - - - 86,817.9 101,692.0 138,351.3 - - - 37,509.4 47,404.2 111,915.3 - - - 46,227.0 59,394.8 183,577.6 - - *
Customer Sell - - - 94,854.8 90,535.7 134,261.5 - - - 37,789.4 58,347.0 117,837.9 - - - 51,830.3 60,913.0 203,936.6 - - 7,650.0
Dealer to Dealer - - - * * - - - - * * * - - - * - * - - -
<= $1MM - - - 2,971.2 15,267.4 16,785.3 - - - 5,525.0 3,437.2 12,671.0 - - - 8,178.6 4,868.0 12,625.0 - - 5,650.0
<= $10MM - - - 62,395.7 162,860.2 165,085.1 - - - 69,948.9 78,391.2 198,735.1 - - - 56,541.6 115,439.9 230,889.1 - - 6,750.0
> $10MM - - - 117,062.0 * 90,742.4 - - - - * * - - - * - 166,000.0 - - -
NUMBER OF TRADES - - - 24 74 87 - - - 31 39 82 - - - 36 43 90 - - 13
Customer Buy - - - 11 33 44 - - - 15 15 41 - - - 18 20 37 - - *
Customer Sell - - - 11 39 43 - - - 15 22 38 - - - 16 23 52 - - 9
Dealer to Dealer - - - * * - - - - * * * - - - * - * - - -
<= $1MM - - - 7 30 36 - - - 14 13 28 - - - 19 15 26 - - 8
<= $10MM - - - 12 43 45 - - - 17 24 53 - - - 15 28 57 - - 5
> $10MM - - - 5 * 6 - - - - * * - - - * - 7 - - -

* 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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