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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 03/11/2024 to 03/15/2024

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 95.7 93.5 86.7 77.9 85.4 96.1 98.8 9.7 * 6.2 5.5 * 3.7 *
Weighted Avg. Price 95.7 92.1 92.4 78.9 83.3 98.1 100.4 20.6 * 6.5 6.4 * 1.7 *
Avg. Price Bottom 5 Trades 86.9 88.0 74.7 68.7 73.0 79.6 85.2 1.8 * 4.5 3.1 * 3.0 *
2nd Quartile Price 95.0 91.3 82.0 74.1 79.8 94.4 99.1 2.1 * 4.6 4.0 * 2.3 *
3rd Quartile Price 96.3 94.4 87.0 78.3 84.1 98.2 100.3 3.3 * 6.1 6.2 * 7.3 *
4th Quartile Price 97.6 96.0 91.3 84.5 93.1 100.3 103.0 3.8 * 8.2 7.2 * 7.4 *
Avg. Price Top 5 Trades 99.9 97.5 99.8 87.4 98.4 101.5 103.7 36.0 * 8.4 7.2 * 4.1 *
Standard Deviation 2.8 3.0 6.7 7.1 8.2 6.5 7.0 18.9 * 1.8 1.9 * 2.9 *
VOLUME OF TRADES (000'S) 591,533.5 152,629.0 89,057.1 28,852.4 379,741.0 701,421.8 177,890.4 723,432.5 * 532,472.5 539,997.4 * 1,527,785.9 *
Customer Buy 122,534.1 78,410.7 21,090.0 11,220.2 196,141.8 270,578.7 57,419.5 300,730.7 - 413,890.3 328,555.3 * * *
Customer Sell 273,815.8 66,673.7 47,348.2 17,030.4 141,855.5 235,372.0 48,710.0 422,701.9 * 118,582.2 211,442.1 * * -
Dealer to Dealer 195,183.7 7,544.6 20,618.9 601.7 41,743.7 195,471.2 71,760.9 - - - - - * -
<= $1MM 24,124.4 17,295.6 5,265.6 4,663.4 8,099.7 6,276.0 7,150.0 - - - * - - -
<= $10MM 146,366.4 45,944.4 56,436.4 24,189.0 78,290.0 120,018.6 78,146.3 35,518.0 - * * - * -
> $10MM 421,042.7 * * - 293,351.3 575,127.2 * 687,914.5 * 518,050.6 523,857.3 * * *
NUMBER OF TRADES 212 52 71 29 52 59 37 24 * 15 16 * 6 *
Customer Buy 66 18 20 7 20 26 21 7 - 10 10 * * *
Customer Sell 92 23 32 14 19 15 8 17 * 5 6 * * -
Dealer to Dealer 54 11 19 8 13 18 8 - - - - - * -
<= $1MM 151 36 50 23 23 14 11 - - - * - - -
<= $10MM 45 13 19 6 20 25 23 5 - * * - * -
> $10MM 16 * * - 9 20 * 19 * 11 11 * * *

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 96.0 90.4 81.2 83.3 93.6 104.0 *
Weighted Avg. Price 97.0 91.5 79.4 84.0 96.2 104.6 *
Avg. Price Bottom 5 Trades 89.1 89.4 79.8 82.2 88.7 102.2 *
2nd Quartile Price 95.0 89.7 81.5 82.4 89.5 103.6 *
3rd Quartile Price 96.8 89.7 82.5 83.7 92.0 105.0 *
4th Quartile Price 97.6 93.2 88.2 84.3 100.8 106.1 *
Avg. Price Top 5 Trades 99.5 91.0 82.3 84.3 102.5 106.0 *
Standard Deviation 2.8 2.0 4.5 1.1 6.1 2.3 *
VOLUME OF TRADES (000'S) 426,006.5 23,485.0 3,772.0 38,393.0 73,093.0 24,175.0 *
Customer Buy 165,509.8 * * * * * *
Customer Sell 246,704.6 * 2,772.0 29,493.0 71,993.0 16,450.0 *
Dealer to Dealer 13,792.0 * - - * * -
<= $1MM 21,725.9 3,180.0 3,772.0 2,380.0 3,000.0 3,930.0 *
<= $10MM 216,340.6 * - 20,708.0 8,850.0 * *
> $10MM 187,940.0 - - * * - -
NUMBER OF TRADES 145 9 6 12 19 14 *
Customer Buy 44 * * * * * *
Customer Sell 90 * 5 10 16 9 *
Dealer to Dealer 11 * - - * * -
<= $1MM 83 6 6 6 10 11 *
<= $10MM 52 * - 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-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 97.1 90.9 103.3 * * - 81.5 69.0 94.7 * - - 64.6 53.1 * * * 8.0
Weighted Avg. Price 96.9 90.6 104.0 * * - 81.6 69.7 92.2 * - - 57.9 57.5 * * * 8.3
Avg. Price Bottom 5 Trades 92.1 86.2 98.5 * * - 61.6 48.1 79.6 * - - 16.4 18.6 * * * 8.0
2nd Quartile Price 95.9 87.7 101.9 * * - 73.7 66.4 84.5 * - - 56.2 43.5 * * * *
3rd Quartile Price 97.5 89.5 102.9 * * - 82.1 68.5 99.5 * - - 67.1 72.0 * * * *
4th Quartile Price 98.9 94.7 106.2 * * - 92.5 80.3 103.8 * - - 79.5 84.5 * * * *
Avg. Price Top 5 Trades 99.5 97.0 109.6 * * - 97.0 87.3 105.5 * - - 89.6 85.7 * * * 8.0
Standard Deviation 2.0 4.1 3.9 * * - 11.7 14.6 11.5 * - - 19.7 35.9 * * * 1.3
VOLUME OF TRADES (000'S) 142,632.1 44,714.3 185,954.6 * * - 120,393.7 90,999.2 65,577.0 * - - 266,489.4 28,397.3 * * * 616,166.0
Customer Buy 54,545.3 10,313.0 117,014.0 * * - 57,456.9 53,354.2 31,584.0 * - - 131,228.9 10,940.0 * - - 616,166.0
Customer Sell 80,808.8 24,801.3 65,390.6 * * - 53,872.8 37,425.0 28,933.0 * - - 120,537.1 13,507.3 - * * -
Dealer to Dealer 7,278.0 9,600.0 * - * - 9,064.0 * * - - - 14,723.5 * - - - -
<= $1MM 25,777.9 14,900.0 2,834.6 - - - 12,534.1 7,349.2 * - - - 9,030.0 - - - - -
<= $10MM 116,854.3 19,365.3 90,425.0 - * - 107,859.6 47,170.0 64,178.0 - - - 137,939.6 28,397.3 * * * -
> $10MM - * * * * - - * - * - - 119,519.8 - - * - 616,166.0
NUMBER OF TRADES 142 37 29 * * - 89 25 20 * - - 82 12 * * * 6
Customer Buy 38 10 14 * * - 38 15 9 * - - 30 5 * - - 6
Customer Sell 71 18 13 * * - 23 9 10 * - - 31 5 - * * -
Dealer to Dealer 33 9 * - * - 28 * * - - - 21 * - - - -
<= $1MM 105 22 6 - - - 61 11 * - - - 41 - - - - -
<= $10MM 37 14 19 - * - 28 12 18 - - - 33 12 * * * -
> $10MM - * * * * - - * - * - - 8 - - * - 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-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 * - - 93.0 94.5 99.0 - - - 88.0 93.9 98.2 - - - 65.1 93.3 99.9 - * -
Weighted Avg. Price * - - 97.0 95.9 99.8 - - - 87.7 95.1 99.0 - - - 68.0 90.8 99.6 - * -
Avg. Price Bottom 5 Trades * - - 80.8 82.2 90.3 - - - 68.0 75.1 91.3 - - - 29.1 68.0 98.2 - * -
2nd Quartile Price * - - 91.5 90.8 98.8 - - - 83.5 88.9 97.5 - - - 42.0 90.2 100.0 - * -
3rd Quartile Price * - - 95.0 97.0 100.0 - - - 90.8 97.6 99.1 - - - 65.5 97.8 100.0 - * -
4th Quartile Price * - - 98.7 99.3 100.5 - - - 98.0 99.6 100.5 - - - 84.4 99.4 100.1 - * -
Avg. Price Top 5 Trades * - - 100.2 100.0 103.8 - - - 99.4 100.0 102.0 - - - 99.7 100.0 101.1 - * -
Standard Deviation * - - 7.7 5.4 2.9 - - - 10.6 7.4 4.1 - - - 25.5 8.7 1.1 - * -
VOLUME OF TRADES (000'S) * - - 109,987.4 659,517.2 510,022.8 - - - 172,380.4 297,155.9 138,913.4 - - - 537,477.3 427,258.8 147,813.3 - * -
Customer Buy - - - 42,507.7 280,887.7 229,180.4 - - - 93,990.1 150,127.4 66,986.0 - - - 252,278.7 205,295.3 72,747.7 - * -
Customer Sell * - - 64,770.1 361,623.7 262,540.1 - - - 74,250.4 141,579.1 63,187.3 - - - 278,723.8 220,884.5 68,531.1 - * -
Dealer to Dealer - - - 2,709.6 17,005.8 18,302.3 - - - 4,140.0 5,449.4 * - - - 6,474.9 * * - - -
<= $1MM * - - 10,408.0 34,802.2 31,392.2 - - - 11,911.9 19,571.6 6,860.9 - - - 9,461.3 17,533.6 2,305.0 - - -
<= $10MM - - - 41,879.4 281,526.6 230,811.6 - - - 96,160.2 206,492.7 71,253.4 - - - 147,394.1 325,435.8 95,508.3 - - -
> $10MM - - - * 343,188.4 247,818.9 - - - * * * - - - 380,621.9 84,289.4 * - * -
NUMBER OF TRADES * - - 35 176 135 - - - 45 114 34 - - - 69 111 31 - * -
Customer Buy - - - 15 82 57 - - - 21 56 16 - - - 29 55 17 - * -
Customer Sell * - - 15 78 58 - - - 19 45 14 - - - 35 53 12 - * -
Dealer to Dealer - - - 5 16 20 - - - 5 13 * - - - 5 * * - - -
<= $1MM * - - 20 79 68 - - - 16 55 15 - - - 21 35 5 - - -
<= $10MM - - - 12 84 58 - - - 26 55 16 - - - 35 71 24 - - -
> $10MM - - - * 13 9 - - - * * * - - - 13 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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