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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 10/09/2023 to 10/13/2023

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 96.0 94.1 92.4 84.2 84.8 85.7 90.7 * 1.2 - 6.1 4.5 * *
Weighted Avg. Price 96.0 96.7 98.3 79.9 84.0 83.5 85.9 * 0.8 - 7.0 3.5 * *
Avg. Price Bottom 5 Trades 86.5 87.2 83.3 72.2 77.2 80.3 72.5 * 1.2 - 5.5 2.9 * *
2nd Quartile Price 94.6 92.6 90.8 77.3 79.7 83.5 88.9 * * - 5.4 2.2 * *
3rd Quartile Price 96.4 93.9 94.3 83.6 83.5 86.4 92.8 * * - 7.4 6.1 * *
4th Quartile Price 98.0 97.4 97.0 92.3 92.1 89.4 97.4 * * - 7.5 7.3 * *
Avg. Price Top 5 Trades 99.4 98.9 98.6 98.4 91.9 91.7 98.5 * 1.2 - 6.7 7.1 * *
Standard Deviation 2.7 3.4 5.8 8.5 8.7 5.0 8.5 * 1.1 - 1.4 2.8 * *
VOLUME OF TRADES (000'S) 239,687.6 147,601.5 275,972.8 34,330.4 35,076.0 60,769.8 376,370.1 * 789,806.3 - 212,377.1 608,272.4 * *
Customer Buy 111,068.6 59,870.0 * 19,593.7 23,082.2 14,923.0 139,482.1 * * - 143,099.0 306,047.4 - -
Customer Sell 62,611.3 62,958.8 258,295.6 7,571.1 * 34,346.9 95,828.2 - * - * * * *
Dealer to Dealer 66,007.7 24,772.7 * 7,165.6 * 11,500.0 141,059.8 - - - - * - -
<= $1MM 17,753.8 5,932.6 8,169.0 3,631.5 2,004.4 3,893.0 11,412.0 * - - - - - -
<= $10MM 172,844.7 94,610.8 * 30,698.9 19,071.5 34,476.9 93,054.7 * - - * - - *
> $10MM * * * - * * 271,903.4 - 789,806.3 - 204,677.1 608,272.4 * -
NUMBER OF TRADES 176 77 23 57 12 18 51 * 5 - 7 11 * *
Customer Buy 59 17 * 16 6 8 26 * * - 5 6 - -
Customer Sell 85 40 15 22 * 5 11 - * - * * * *
Dealer to Dealer 32 20 * 19 * 5 14 - - - - * - -
<= $1MM 133 53 17 49 5 9 17 * - - - - - -
<= $10MM 41 20 * 8 6 7 22 * - - * - - *
> $10MM * * * - * * 12 - 5 - 6 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 94.5 91.9 85.4 77.7 77.9 86.8 97.7
Weighted Avg. Price 94.6 92.1 85.8 76.4 78.2 84.3 97.6
Avg. Price Bottom 5 Trades 89.8 91.7 83.0 73.9 76.6 84.7 97.5
2nd Quartile Price 92.3 92.0 83.8 74.1 77.3 84.8 97.7
3rd Quartile Price 95.0 92.2 85.3 79.1 78.3 89.5 98.1
4th Quartile Price 95.9 92.4 88.3 80.0 78.6 93.0 98.2
Avg. Price Top 5 Trades 99.4 92.2 88.8 80.9 79.0 89.5 98.0
Standard Deviation 2.9 0.7 2.4 3.4 1.1 5.2 0.6
VOLUME OF TRADES (000'S) 75,532.2 10,980.0 73,436.0 40,385.0 121,669.8 16,930.0 13,615.0
Customer Buy 39,634.9 * 33,184.0 16,208.0 56,853.4 * *
Customer Sell 32,243.8 * 40,252.0 24,177.0 64,816.4 * *
Dealer to Dealer 3,653.5 - - - - - -
<= $1MM 13,611.1 2,530.0 2,595.0 * 2,195.0 * *
<= $10MM 61,921.2 * 70,841.0 37,835.0 48,560.8 * 12,615.0
> $10MM - - - - * - -
NUMBER OF TRADES 64 7 18 13 16 7 7
Customer Buy 26 * 9 7 8 * *
Customer Sell 28 * 9 6 8 * *
Dealer to Dealer 10 - - - - - -
<= $1MM 46 5 5 * 6 * *
<= $10MM 18 * 13 9 7 * 5
> $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 94.7 83.6 91.4 * * * 85.4 50.1 * * - * 55.3 48.9 * - * -
Weighted Avg. Price 95.5 86.3 83.2 * * * 88.5 46.9 * * - * 66.0 65.7 * - * -
Avg. Price Bottom 5 Trades 89.5 72.0 76.9 * * * 73.0 40.2 * * - * 19.5 48.9 * - * -
2nd Quartile Price 92.4 70.5 78.9 * * * 80.0 40.0 * * - * 35.0 * * - * -
3rd Quartile Price 95.4 88.3 98.2 * * * 86.8 48.0 * * - * 66.0 * * - * -
4th Quartile Price 96.4 91.2 101.7 * * * 93.8 62.7 * * - * 78.1 * * - * -
Avg. Price Top 5 Trades 99.0 92.1 101.3 * * * 95.2 59.7 * * - * 86.2 48.9 * - * -
Standard Deviation 2.8 9.6 10.8 * * * 8.1 16.6 * * - * 24.2 35.7 * - * -
VOLUME OF TRADES (000'S) 29,561.4 32,071.3 24,458.9 * * * 105,739.8 48,437.0 * * - * 37,522.0 5,872.0 * - * -
Customer Buy 11,725.8 11,705.3 14,588.9 - * - 48,696.1 25,137.0 - * - - 16,125.2 * * - - -
Customer Sell 17,835.6 18,534.1 9,870.0 * * * 54,530.1 * * * - * 17,575.0 * * - * -
Dealer to Dealer - * - - - - * - - - - - 3,821.8 * * - - -
<= $1MM 10,374.1 6,262.4 5,158.9 - - - 415.7 * - - - - 4,011.3 * - - - -
<= $10MM 19,187.3 25,808.9 19,300.0 * - * 65,734.1 19,837.0 * * - * 33,510.6 * - - - -
> $10MM - - - - * * * * - * - - - - * - * -
NUMBER OF TRADES 53 20 18 * * * 31 9 * * - * 32 5 * - * -
Customer Buy 23 9 9 - * - 14 5 - * - - 8 * * - - -
Customer Sell 30 7 9 * * * 15 * * * - * 12 * * - * -
Dealer to Dealer - * - - - - * - - - - - 12 * * - - -
<= $1MM 43 14 12 - - - 5 * - - - - 24 * - - - -
<= $10MM 10 6 6 * - * 24 5 * * - * 8 * - - - -
> $10MM - - - - * * * * - * - - - - * - * -

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 93.7 96.0 - - - 77.3 88.4 91.1 * - - 62.8 69.5 86.9 - - -
Weighted Avg. Price - - - 93.6 95.5 96.0 - - - 69.1 90.4 88.3 * - - 72.2 79.4 88.8 - - -
Avg. Price Bottom 5 Trades - - - 80.3 79.3 80.4 - - - 39.3 61.8 75.0 * - - 48.2 37.1 59.9 - - -
2nd Quartile Price - - - 85.8 91.1 97.0 - - - 65.4 84.5 87.4 * - - 28.0 42.2 84.8 - - -
3rd Quartile Price - - - 93.7 94.0 97.8 - - - 90.5 96.0 92.6 * - - 76.3 66.9 92.0 - - -
4th Quartile Price - - - 96.6 99.4 98.6 - - - 95.6 96.4 97.0 * - - 87.1 96.9 94.5 - - -
Avg. Price Top 5 Trades - - - 97.3 99.5 100.2 - - - 97.5 98.6 100.0 * - - 87.6 98.1 97.7 - - -
Standard Deviation - - - 7.8 6.7 5.2 - - - 23.2 13.0 7.0 * - - 29.5 26.5 12.1 - - -
VOLUME OF TRADES (000'S) - - - 71,002.9 248,481.1 505,085.0 - - - 75,634.3 187,268.5 338,874.0 * - - 44,515.4 78,562.6 223,222.9 - - -
Customer Buy - - - 37,543.3 87,861.3 250,197.5 - - - 18,741.3 100,740.3 156,095.1 - - - * 29,098.5 107,650.0 - - -
Customer Sell - - - 33,459.6 143,272.3 254,887.5 - - - 50,226.0 77,436.3 182,778.9 * - - 19,198.6 28,164.0 111,376.9 - - -
Dealer to Dealer - - - - 17,347.6 - - - - * 9,092.0 - - - - * * * - - -
<= $1MM - - - 2,016.4 4,570.8 10,915.0 - - - 8,366.6 3,310.0 8,885.5 * - - 543.1 3,715.5 7,226.0 - - -
<= $10MM - - - 54,540.5 80,013.8 142,171.2 - - - 67,267.7 118,958.5 191,823.3 - - - 43,972.3 53,547.1 109,876.9 - - -
> $10MM - - - * 163,896.5 351,998.8 - - - - * 138,165.2 - - - - * * - - -
NUMBER OF TRADES - - - 19 43 73 - - - 29 41 66 * - - 16 24 46 - - -
Customer Buy - - - 10 17 30 - - - 10 24 32 - - - * 11 23 - - -
Customer Sell - - - 9 21 43 - - - 18 12 34 * - - 10 11 20 - - -
Dealer to Dealer - - - - 5 - - - - * 5 - - - - * * * - - -
<= $1MM - - - 6 13 24 - - - 13 6 18 * - - 9 5 19 - - -
<= $10MM - - - 12 19 30 - - - 16 33 41 - - - 7 17 24 - - -
> $10MM - - - * 11 19 - - - - * 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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