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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 03/04/2024 to 03/08/2024

Pricing Table: Agency CMBS by Deal Vintage
METRIC AGENCY CMBS (P&I) AGENCY CMBS (IO/PO)
PRE-2019 2019 2020 2021 2022 2023 2024 PRE-2019 2019 2020 2021 2022 2023 2024
AVERAGE PRICE 96.1 93.2 86.6 77.8 86.4 95.0 98.5 2.2 15.3 11.0 6.1 15.5 * *
Weighted Avg. Price 97.2 94.4 80.9 77.4 87.1 96.2 99.6 1.8 27.5 4.5 5.6 13.3 * *
Avg. Price Bottom 5 Trades 82.7 88.6 75.9 74.1 74.2 72.1 84.3 0.8 2.3 0.4 2.4 8.9 * *
2nd Quartile Price 94.7 91.7 82.0 75.7 82.9 94.1 100.1 1.8 3.7 4.0 4.3 6.3 * *
3rd Quartile Price 97.3 92.8 86.8 77.3 86.9 97.5 100.6 2.6 4.3 6.0 5.5 17.7 * *
4th Quartile Price 98.4 95.7 92.7 82.1 91.3 100.5 103.7 3.0 59.3 8.8 7.1 26.0 * *
Avg. Price Top 5 Trades 101.1 97.4 98.7 83.5 94.6 102.3 104.2 3.5 22.7 50.4 13.3 23.4 * *
Standard Deviation 4.0 3.0 7.0 3.5 5.7 8.5 7.3 1.0 25.1 15.7 4.5 9.1 * *
VOLUME OF TRADES (000'S) 216,296.5 51,126.0 133,049.7 186,338.0 852,431.8 321,281.3 232,388.0 351,493.5 420,418.6 6,247,083.7 586,193.3 91,863.6 * *
Customer Buy 70,491.7 22,451.9 58,325.4 41,306.4 476,957.5 110,883.0 90,805.0 104,635.0 221,551.3 3,155,339.1 188,415.2 * - *
Customer Sell 118,697.7 17,867.5 48,282.7 79,447.2 283,892.6 8,315.6 * 246,774.3 * 3,048,313.7 353,641.8 71,407.3 * -
Dealer to Dealer 27,107.1 10,806.6 26,441.6 65,584.4 91,581.7 202,082.6 101,233.0 * * 43,430.9 * * * *
<= $1MM 24,272.8 2,757.5 7,672.7 1,942.7 14,303.9 9,037.4 1,547.0 * - * - - - -
<= $10MM 158,476.4 36,498.5 33,271.3 42,601.9 135,433.5 121,590.8 39,891.0 42,959.1 * 79,020.7 111,008.7 49,757.1 * -
> $10MM * * 92,105.7 141,793.4 702,694.4 190,653.0 190,950.0 307,526.5 404,866.7 6,167,349.2 475,184.7 * - *
NUMBER OF TRADES 201 32 42 22 91 63 28 24 9 44 30 11 * *
Customer Buy 59 20 20 7 37 28 17 13 5 21 11 * - *
Customer Sell 86 7 14 7 28 9 * 10 * 18 15 8 * -
Dealer to Dealer 56 5 8 8 26 26 8 * * 5 * * * *
<= $1MM 147 17 26 5 31 22 7 * - * - - - -
<= $10MM 52 14 9 6 41 34 10 10 * 16 17 8 * -
> $10MM * * 7 11 19 7 11 10 5 26 13 * - *

Pricing Table: CMBS Conduit AAA LCF (P&I) by Deal Vintage
METRIC CONDUIT AAA LCF (P&I)
PRE-2019 2019 2020 2021 2022 2023 2024
AVERAGE PRICE 96.1 91.4 87.2 83.8 94.9 106.1 *
Weighted Avg. Price 96.4 92.0 86.5 83.1 93.0 106.8 *
Avg. Price Bottom 5 Trades 91.8 88.8 87.2 82.4 90.5 105.7 *
2nd Quartile Price 94.9 90.1 * 83.3 91.0 105.9 *
3rd Quartile Price 96.8 93.4 * 84.6 96.7 107.0 *
4th Quartile Price 97.2 94.0 * 85.0 97.7 107.9 *
Avg. Price Top 5 Trades 99.0 93.9 87.2 85.0 99.1 106.4 *
Standard Deviation 1.7 2.6 2.0 1.4 4.3 1.2 *
VOLUME OF TRADES (000'S) 318,158.8 35,578.0 12,099.6 25,749.6 36,990.9 16,062.4 *
Customer Buy 149,266.7 17,302.0 * * 25,280.9 * *
Customer Sell 163,324.1 18,276.0 11,693.6 17,410.0 11,710.0 * -
Dealer to Dealer 5,568.0 - - - - - -
<= $1MM 38,181.0 4,460.0 * * 2,780.0 * *
<= $10MM 253,257.8 31,118.0 * 24,724.6 23,420.0 * *
> $10MM * - - - * - -
NUMBER OF TRADES 151 13 6 11 14 6 *
Customer Buy 55 7 * * 7 * *
Customer Sell 79 6 5 8 7 * -
Dealer to Dealer 17 - - - - - -
<= $1MM 82 7 * * 6 * *
<= $10MM 67 6 * 7 7 * *
> $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-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE 96.5 90.7 103.7 2.2 4.3 2.3 84.1 69.2 86.9 1.4 * - 71.9 * * * * -
Weighted Avg. Price 96.4 89.9 105.6 2.4 5.2 2.2 84.4 73.2 94.2 1.8 * - 66.0 * * * * -
Avg. Price Bottom 5 Trades 92.1 83.0 94.3 0.6 2.4 2.3 64.3 43.1 76.6 1.4 * - 22.9 * * * * -
2nd Quartile Price 94.7 87.6 102.8 2.0 3.3 * 81.5 64.5 82.7 * * - 60.0 * * * * -
3rd Quartile Price 97.2 91.6 104.4 2.2 4.2 * 84.9 72.6 92.1 * * - 73.8 * * * * -
4th Quartile Price 98.3 94.6 107.3 2.8 5.9 * 88.9 79.3 106.9 * * - 87.0 * * * * -
Avg. Price Top 5 Trades 99.8 97.9 109.8 3.2 6.4 2.3 98.3 87.8 97.1 1.4 * - 94.4 * * * * -
Standard Deviation 2.1 4.8 5.8 0.9 1.6 0.4 8.0 14.5 15.4 0.9 * - 19.3 * * * * -
VOLUME OF TRADES (000'S) 217,804.3 88,655.5 202,766.8 327,312.2 398,968.3 107,920.6 273,545.3 93,129.4 35,169.0 22,424.3 * - 204,486.9 * * * * -
Customer Buy 104,978.2 18,254.2 74,442.8 123,046.9 226,217.7 - 130,204.2 46,296.7 20,846.0 - - - 87,500.4 * - - * -
Customer Sell 108,382.9 65,487.4 125,714.0 101,062.9 105,928.8 * 114,354.4 39,129.7 * * * - 93,608.4 - - * * -
Dealer to Dealer 4,443.3 4,914.0 2,610.0 103,202.4 66,821.9 * 28,986.7 7,703.0 - * * - 23,378.0 * * * - -
<= $1MM 32,909.9 15,129.3 9,032.8 * - - 20,673.1 3,744.0 * * - - 10,537.9 - - - - -
<= $10MM 184,894.5 49,376.3 43,834.0 193,724.6 124,550.1 - 252,872.2 89,385.4 33,369.0 21,872.4 * - 193,949.0 * * * * -
> $10MM - * 149,900.0 132,844.1 274,418.1 107,920.6 - - - - - - - - - * - -
NUMBER OF TRADES 140 50 37 41 32 5 126 36 9 6 * - 92 * * * * -
Customer Buy 53 20 13 6 9 - 48 15 5 - - - 36 * - - * -
Customer Sell 75 23 16 20 11 * 44 15 * * * - 36 - - * * -
Dealer to Dealer 12 7 8 15 12 * 34 6 - * * - 20 * * * - -
<= $1MM 86 35 21 * - - 72 9 * * - - 46 - - - - -
<= $10MM 54 13 11 34 25 - 54 27 7 5 * - 46 * * * * -
> $10MM - * 5 5 7 5 - - - - - - - - - * - -

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-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE * - - 91.5 93.3 100.0 * - - 91.4 93.4 98.2 * - - 66.7 86.2 99.5 * * -
Weighted Avg. Price * - - 94.7 93.9 99.5 * - - 90.1 92.7 92.7 * - - 68.3 91.7 101.5 * * -
Avg. Price Bottom 5 Trades * - - 77.0 82.1 93.8 * - - 79.0 71.7 91.4 * - - 12.9 30.9 94.5 * * -
2nd Quartile Price * - - 90.6 88.1 99.9 * - - 88.0 89.4 98.7 * - - 33.0 82.0 99.9 * * -
3rd Quartile Price * - - 93.4 94.1 100.3 * - - 90.8 96.8 99.9 * - - 90.2 93.3 100.0 * * -
4th Quartile Price * - - 96.1 99.2 100.7 * - - 97.8 99.6 100.1 * - - 98.3 97.9 100.2 * * -
Avg. Price Top 5 Trades * - - 99.8 99.8 104.6 * - - 100.0 99.9 100.7 * - - 99.0 100.1 101.8 * * -
Standard Deviation * - - 6.9 6.0 2.5 * - - 6.5 7.9 3.5 * - - 34.4 18.4 3.0 * * -
VOLUME OF TRADES (000'S) * - - 113,388.5 429,668.4 313,488.7 * - - 268,282.6 396,906.4 106,018.3 * - - 113,645.7 438,898.9 185,555.0 * * -
Customer Buy * - - 37,078.9 223,565.6 126,200.3 - - - 152,747.8 201,026.8 42,853.0 - - - 49,689.7 214,208.0 91,513.0 - * -
Customer Sell * - - 49,179.6 196,365.4 180,810.7 * - - 112,464.7 186,816.2 62,310.3 * - - 54,868.6 216,236.8 94,042.0 * * -
Dealer to Dealer - - - 27,130.0 9,737.4 6,477.7 * - - * 9,063.4 855.0 * - - 9,087.4 8,454.0 - - - -
<= $1MM * - - 12,193.0 24,558.3 22,532.3 * - - 5,575.2 23,405.2 4,453.0 - - - 4,819.1 21,883.7 3,628.0 * - -
<= $10MM - - - 90,770.5 172,629.7 101,201.4 - - - 150,643.4 248,311.2 42,361.3 * - - 96,261.6 210,471.6 79,927.0 * * -
> $10MM - - - * 232,480.4 189,755.0 * - - 112,064.0 125,190.0 * - - - * 206,543.5 * - * -
NUMBER OF TRADES * - - 58 119 106 * - - 57 118 29 * - - 43 111 31 * * -
Customer Buy * - - 18 45 43 - - - 32 53 9 - - - 17 56 13 - * -
Customer Sell * - - 32 55 45 * - - 21 53 15 * - - 19 43 18 * * -
Dealer to Dealer - - - 8 19 18 * - - * 12 5 * - - 7 12 - - - -
<= $1MM * - - 30 71 70 * - - 14 54 14 - - - 22 39 7 * - -
<= $10MM - - - 27 39 26 - - - 37 58 13 * - - 20 60 20 * * -
> $10MM - - - * 9 10 * - - 6 6 * - - - * 12 * - * -

* 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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