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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/CDO Daily CMBS Weekly CMBS

Weekly CMBS data from 04/08/2024 to 04/12/2024

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 95.2 93.1 85.8 87.9 87.9 95.1 99.2 1.6 20.9 6.1 6.9 16.5 * 17.0
Weighted Avg. Price 92.6 92.6 82.3 93.1 88.1 95.9 99.8 1.8 4.8 6.1 4.9 12.8 * 9.0
Avg. Price Bottom 5 Trades 68.1 85.0 78.7 73.1 79.0 81.3 89.6 0.4 0.4 6.1 1.9 10.7 * 12.0
2nd Quartile Price 94.4 89.6 83.1 82.5 82.9 94.5 98.2 1.0 0.4 * 3.1 17.8 * 8.9
3rd Quartile Price 95.9 94.3 86.3 87.6 90.5 96.0 100.6 1.3 20.2 * 6.9 18.4 * 29.5
4th Quartile Price 98.0 95.6 88.2 99.0 94.5 99.6 101.6 2.2 62.4 * 14.2 25.7 * 29.7
Avg. Price Top 5 Trades 100.3 99.8 92.2 99.9 96.0 101.0 102.1 3.5 54.0 6.1 13.3 22.3 * 21.3
Standard Deviation 5.9 4.6 4.6 9.5 6.3 6.5 3.7 1.0 28.1 0.2 6.5 7.9 * 11.8
VOLUME OF TRADES (000'S) 641,206.6 113,680.3 167,757.1 110,176.3 456,701.4 394,996.3 933,096.4 495,778.6 6,088,047.3 46,126.0 575,092.5 304,867.7 * 536,668.4
Customer Buy 213,740.3 78,865.1 97,583.4 61,465.7 136,458.8 190,703.7 414,776.3 130,702.4 3,044,023.7 * 253,742.4 * * *
Customer Sell 248,828.5 8,611.7 63,503.0 27,790.4 317,977.6 112,068.7 417,058.0 300,247.7 3,044,023.7 * 321,350.0 110,691.8 * *
Dealer to Dealer 178,637.7 26,203.5 6,670.8 20,920.2 2,265.0 92,223.9 101,262.1 64,828.5 0.0 0.0 0.0 0.0 0.0 *
<= $1MM 18,302.6 4,520.2 1,702.8 2,313.2 8,374.0 3,263.8 8,200.0 6,736.8 0.0 0.0 0.0 0.0 * 0.0
<= $10MM 161,425.4 69,224.5 35,054.4 38,227.8 79,675.8 93,184.4 113,667.8 * 0.0 * * 0.0 0.0 *
> $10MM 461,478.6 * * 69,635.3 368,651.6 298,548.0 811,228.6 479,173.6 6,088,047.3 * 571,892.5 304,867.7 * *
NUMBER OF TRADES 183 38 32 32 34 47 61 40 14 5 14 10 * 7
Customer Buy 64 16 11 14 16 21 34 14 7 * 7 * * *
Customer Sell 82 12 14 11 13 13 15 19 7 * 7 6 * *
Dealer to Dealer 37 10 7 7 5 13 12 7 0 0 0 0 0 *
<= $1MM 110 17 17 16 15 12 9 25 0 0 0 0 * 0
<= $10MM 54 19 12 11 12 19 23 * 0 * * 0 0 *
> $10MM 19 * * 5 7 16 29 13 14 * 13 10 * *

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 96.6 90.4 83.8 83.2 92.7 105.6 *
Weighted Avg. Price 98.0 90.5 84.3 82.9 97.1 109.3 *
Avg. Price Bottom 5 Trades 91.8 90.4 81.6 82.6 87.5 101.4 *
2nd Quartile Price 95.2 * 81.9 83.1 88.1 102.7 *
3rd Quartile Price 97.1 * 86.2 83.4 91.2 105.9 *
4th Quartile Price 98.2 * 86.3 83.9 96.1 110.4 *
Avg. Price Top 5 Trades 99.2 90.4 86.0 83.7 98.6 110.2 *
Standard Deviation 2.0 2.4 2.7 0.6 6.0 3.7 *
VOLUME OF TRADES (000'S) 637,156.1 44,271.4 38,060.4 113,959.8 52,682.0 100,744.2 *
Customer Buy 267,283.3 * * 58,755.0 14,982.0 46,720.0 *
Customer Sell 360,697.9 * 17,833.2 55,204.8 37,700.0 54,024.2 *
Dealer to Dealer 9,175.0 0.0 * 0.0 0.0 0.0 0.0
<= $1MM 15,511.1 * * 2,639.8 2,377.0 3,246.2 *
<= $10MM 177,576.7 0.0 * * * 22,915.0 *
> $10MM 444,068.3 * * * * * 0.0
NUMBER OF TRADES 118 5 10 11 12 18 *
Customer Buy 37 * * 5 6 12 *
Customer Sell 72 * 5 6 6 6 *
Dealer to Dealer 9 0 * 0 0 0 0
<= $1MM 46 * * 6 6 10 *
<= $10MM 52 0 * * * 5 *
> $10MM 20 * * * * * 0

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 95.6 91.1 102.7 * * * 80.9 69.6 97.0 * 5.7 * 71.1 61.9 * * 6.3 0.0
Weighted Avg. Price 95.4 90.3 103.4 * * * 78.9 71.9 97.7 * 5.8 * 63.1 56.5 * * 6.0 0.0
Avg. Price Bottom 5 Trades 90.1 81.7 97.0 * * * 60.7 52.8 81.3 * 4.5 * 37.9 40.9 * * 6.0 0.0
2nd Quartile Price 94.2 87.6 101.4 * * * 72.5 60.0 98.7 * 6.0 * 64.0 51.5 * * 6.0 0.0
3rd Quartile Price 96.2 93.5 103.0 * * * 84.0 72.5 100.8 * 6.6 * 79.0 63.0 * * 7.8 0.0
4th Quartile Price 97.4 95.4 104.5 * * * 90.5 78.5 101.6 * 7.1 * 85.8 87.4 * * 7.8 0.0
Avg. Price Top 5 Trades 99.0 98.4 107.8 * * * 95.1 81.9 103.9 * 6.8 * 91.1 77.4 * * 6.6 0.0
Standard Deviation 2.5 5.6 2.7 * * * 11.0 10.5 10.4 * 1.5 * 18.2 20.7 * * 1.2 0.0
VOLUME OF TRADES (000'S) 216,836.5 86,291.7 365,178.5 * * * 193,394.3 99,580.3 38,513.2 * 127,210.3 * 111,515.6 45,100.9 * * 76,815.0 0.0
Customer Buy 94,238.8 40,067.1 142,847.4 * * 0.0 83,600.2 59,222.3 19,169.2 0.0 70,762.3 * 42,440.0 20,553.5 * 0.0 * 0.0
Customer Sell 122,547.1 46,224.6 222,331.1 * * * 91,635.1 36,673.0 19,294.0 * * * 57,455.6 24,547.4 0.0 * * 0.0
Dealer to Dealer * 0.0 0.0 0.0 0.0 0.0 18,159.0 3,685.0 * 0.0 0.0 0.0 11,620.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 15,525.3 9,433.5 7,212.4 0.0 0.0 0.0 4,148.0 5,943.0 5,160.0 0.0 0.0 0.0 4,003.0 * 0.0 0.0 0.0 0.0
<= $10MM 111,749.1 25,608.2 180,730.7 0.0 0.0 0.0 189,246.3 93,637.3 33,353.2 0.0 * 0.0 72,118.6 44,900.9 * 0.0 * 0.0
> $10MM 89,562.0 * 177,235.4 * * * 0.0 0.0 0.0 * 112,896.0 * * 0.0 0.0 * * 0.0
NUMBER OF TRADES 92 52 77 * * * 68 45 24 * 10 * 38 14 * * 6 0
Customer Buy 35 19 39 * * 0 36 23 13 0 6 * 13 8 * 0 * 0
Customer Sell 55 33 38 * * * 24 14 9 * * * 20 6 0 * * 0
Dealer to Dealer * 0 0 0 0 0 8 8 * 0 0 0 5 0 0 0 0 0
<= $1MM 49 41 29 0 0 0 20 20 17 0 0 0 15 * 0 0 0 0
<= $10MM 36 9 37 0 0 0 48 25 7 0 * 0 20 12 * 0 * 0
> $10MM 7 * 11 * * * 0 0 0 * 8 * * 0 0 * * 0

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 0.0 0.0 0.0 93.3 94.8 100.3 0.0 0.0 0.0 87.0 93.4 97.7 0.0 * 0.0 65.7 90.5 95.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 94.5 95.2 100.3 0.0 0.0 0.0 90.4 92.3 98.4 0.0 * 0.0 73.3 87.4 93.2 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 80.1 79.7 96.4 0.0 0.0 0.0 64.8 74.6 85.1 0.0 * 0.0 11.6 51.5 72.9 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 92.0 92.2 99.6 0.0 0.0 0.0 82.1 90.7 95.8 0.0 * 0.0 46.5 90.2 97.5 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 94.2 96.2 100.3 0.0 0.0 0.0 90.1 94.4 99.1 0.0 * 0.0 77.0 94.6 99.5 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 99.3 99.5 101.6 0.0 0.0 0.0 96.3 99.1 100.2 0.0 * 0.0 94.8 98.8 100.1 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 100.0 100.0 104.0 0.0 0.0 0.0 100.0 100.0 102.3 0.0 * 0.0 99.7 99.9 102.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 6.6 5.4 2.1 0.0 0.0 0.0 11.2 6.4 4.2 0.0 * 0.0 33.2 13.1 11.6 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 157,532.5 264,277.4 178,847.4 0.0 0.0 0.0 206,565.7 232,600.7 295,272.1 0.0 * 0.0 234,160.1 334,023.4 91,004.6 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0 79,685.1 101,765.2 102,765.7 0.0 0.0 0.0 95,031.8 110,751.5 152,045.4 0.0 * 0.0 122,901.4 171,492.2 55,572.8 0.0 0.0 0.0
Customer Sell 0.0 0.0 0.0 77,652.3 155,512.2 76,081.7 0.0 0.0 0.0 101,533.9 110,888.2 118,026.7 0.0 * 0.0 111,258.7 151,039.0 35,431.8 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 * * 0.0 0.0 0.0 0.0 * 10,961.0 25,200.0 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 5,611.6 28,326.2 11,691.3 0.0 0.0 0.0 6,400.0 17,251.6 10,208.5 0.0 0.0 0.0 12,409.1 9,358.0 7,236.6 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 62,839.2 169,631.2 111,983.1 0.0 0.0 0.0 173,301.7 215,349.1 254,003.5 0.0 0.0 0.0 167,751.0 230,811.4 83,768.0 0.0 0.0 0.0
> $10MM 0.0 0.0 0.0 * 66,320.0 * 0.0 0.0 0.0 * 0.0 * 0.0 * 0.0 * 93,854.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0 38 121 63 0 0 0 59 101 84 0 * 0 63 76 31 0 0 0
Customer Buy 0 0 0 18 54 32 0 0 0 28 50 47 0 * 0 37 39 20 0 0 0
Customer Sell 0 0 0 19 65 31 0 0 0 28 45 31 0 * 0 26 33 11 0 0 0
Dealer to Dealer 0 0 0 * * 0 0 0 0 * 6 6 0 0 0 0 * 0 0 0 0
<= $1MM 0 0 0 18 71 32 0 0 0 12 39 27 0 0 0 21 19 11 0 0 0
<= $10MM 0 0 0 16 45 27 0 0 0 45 62 55 0 0 0 38 50 20 0 0 0
> $10MM 0 0 0 * 5 * 0 0 0 * 0 * 0 * 0 * 7 0 0 0 0

* 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 Listor 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 tracedataservices@finra.org.
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