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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 04/15/2024 to 04/19/2024

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 93.3 86.7 87.2 86.3 96.0 98.6 1.8 3.5 6.4 6.8 9.4 * *
Weighted Avg. Price 96.0 92.7 93.2 88.5 88.4 96.0 99.7 2.7 3.8 5.5 6.0 13.0 * *
Avg. Price Bottom 5 Trades 86.9 84.6 74.0 73.0 75.4 84.7 88.2 0.0 3.5 4.9 3.6 3.6 * *
2nd Quartile Price 94.5 88.6 79.8 80.0 82.5 94.8 98.0 0.7 * 5.1 5.4 4.7 * *
3rd Quartile Price 96.3 94.1 86.3 83.3 86.5 97.5 100.6 1.9 * 7.3 7.5 6.5 * *
4th Quartile Price 98.2 100.3 93.0 99.4 91.1 98.9 100.9 3.0 * 8.6 10.0 19.1 * *
Avg. Price Top 5 Trades 100.3 100.5 99.9 99.5 96.9 100.3 101.4 3.7 3.5 8.0 10.0 15.8 * *
Standard Deviation 2.6 5.4 7.6 10.8 7.1 4.6 4.8 1.3 1.2 2.1 2.9 7.1 * *
VOLUME OF TRADES (000'S) 751,572.7 276,255.2 126,915.8 391,218.1 464,604.6 1,560,634.3 884,939.6 408,205.7 144,688.5 188,845.5 462,056.9 85,906.1 * *
Customer Buy 269,101.5 73,548.7 34,760.9 141,308.4 36,598.5 380,841.9 232,762.5 298,286.9 * * 247,087.8 * * *
Customer Sell 438,349.7 131,068.4 81,274.3 228,032.3 378,006.0 832,643.0 358,500.0 109,091.7 * * 214,969.0 48,904.1 * 0.0
Dealer to Dealer 44,121.5 71,638.1 10,880.6 21,877.4 * 347,149.4 293,677.1 * * * 0.0 0.0 0.0 0.0
<= $1MM 25,788.3 4,292.4 4,015.8 1,191.5 4,794.5 7,863.0 2,637.0 6,448.7 0.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 230,075.5 104,793.8 88,233.2 27,550.3 43,936.1 125,465.7 78,542.0 78,764.8 0.0 * 33,224.8 29,906.1 0.0 0.0
> $10MM 495,708.8 167,169.0 * 362,476.3 415,874.0 1,427,305.6 803,760.6 322,992.2 144,688.5 172,025.7 428,832.0 * * *
NUMBER OF TRADES 224 41 63 32 36 74 44 38 5 9 15 11 * *
Customer Buy 80 13 16 8 16 35 25 14 * * 8 * * *
Customer Sell 97 17 31 19 19 28 10 23 * * 7 7 * 0
Dealer to Dealer 47 11 16 5 * 11 9 * * * 0 0 0 0
<= $1MM 123 9 40 10 11 14 8 10 0 0 0 0 0 0
<= $10MM 84 23 21 9 14 31 14 22 0 * 6 7 0 0
> $10MM 17 9 * 13 11 29 22 6 5 6 9 * * *

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 95.8 88.9 81.0 81.3 91.1 102.2 *
Weighted Avg. Price 95.9 90.1 81.4 81.4 93.5 102.7 *
Avg. Price Bottom 5 Trades 89.4 85.9 79.9 80.9 85.8 100.7 *
2nd Quartile Price 94.0 87.7 80.8 80.8 87.3 101.3 *
3rd Quartile Price 96.9 88.5 80.9 81.5 92.1 101.4 *
4th Quartile Price 97.4 93.0 86.4 82.1 93.6 103.2 *
Avg. Price Top 5 Trades 99.5 92.0 81.5 81.7 96.8 104.2 *
Standard Deviation 2.5 3.4 2.9 0.7 4.6 2.4 *
VOLUME OF TRADES (000'S) 409,676.5 35,756.6 18,930.0 71,315.0 72,794.0 68,779.4 *
Customer Buy 203,600.7 22,500.3 * * 34,419.0 13,020.0 *
Customer Sell 198,215.5 13,256.3 * 32,600.0 38,375.0 55,759.4 *
Dealer to Dealer 7,860.3 0.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 18,818.2 * 0.0 * 3,620.0 * 0.0
<= $10MM 284,097.4 34,175.6 18,930.0 * 57,494.0 34,284.4 *
> $10MM 106,760.9 0.0 0.0 * * * 0.0
NUMBER OF TRADES 115 12 6 8 20 13 *
Customer Buy 57 7 * * 8 5 *
Customer Sell 44 5 * 6 12 8 *
Dealer to Dealer 14 0 0 0 0 0 0
<= $1MM 49 * 0 * 5 * 0
<= $10MM 59 8 6 * 14 8 *
> $10MM 7 0 0 * * * 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 95.7 83.9 100.2 0.0 0.0 0.0 86.3 73.1 90.3 0.0 5.7 0.0 72.0 84.7 95.3 * * 0.0
Weighted Avg. Price 96.1 84.1 100.8 0.0 0.0 0.0 80.9 67.6 89.8 0.0 5.2 0.0 71.2 85.1 95.4 * * 0.0
Avg. Price Bottom 5 Trades 87.4 76.2 89.2 0.0 0.0 0.0 67.4 54.5 74.7 0.0 3.4 0.0 33.0 84.7 95.3 * * 0.0
2nd Quartile Price 95.1 81.4 100.0 0.0 0.0 0.0 82.0 68.2 81.3 0.0 4.8 0.0 60.0 * * * * 0.0
3rd Quartile Price 96.5 84.6 101.3 0.0 0.0 0.0 88.6 76.0 96.2 0.0 5.7 0.0 78.0 * * * * 0.0
4th Quartile Price 97.8 86.0 102.2 0.0 0.0 0.0 92.1 79.0 99.6 0.0 6.8 0.0 86.7 * * * * 0.0
Avg. Price Top 5 Trades 99.2 91.2 104.4 0.0 0.0 0.0 97.6 87.4 101.6 0.0 7.8 0.0 92.6 84.7 95.3 * * 0.0
Standard Deviation 3.4 5.4 4.5 0.0 0.0 0.0 8.3 10.2 10.6 0.0 1.6 0.0 17.8 5.7 3.1 * * 0.0
VOLUME OF TRADES (000'S) 136,709.0 81,035.1 193,872.9 0.0 0.0 0.0 170,603.8 98,137.0 101,816.0 0.0 344,614.4 0.0 209,712.7 6,609.6 7,911.2 * * 0.0
Customer Buy 74,114.7 34,836.0 109,092.9 0.0 0.0 0.0 87,267.1 54,376.0 47,405.0 0.0 172,307.2 0.0 92,391.3 * * 0.0 * 0.0
Customer Sell 61,579.6 45,902.2 84,180.0 0.0 0.0 0.0 80,443.7 42,781.0 54,411.0 0.0 172,307.2 0.0 111,427.4 * * * * 0.0
Dealer to Dealer * * * 0.0 0.0 0.0 2,893.0 * 0.0 0.0 0.0 0.0 * * 0.0 0.0 0.0 0.0
<= $1MM 4,562.1 8,081.1 8,683.0 0.0 0.0 0.0 14,439.3 7,535.0 2,339.0 0.0 0.0 0.0 12,189.7 * 0.0 0.0 0.0 0.0
<= $10MM 111,200.9 32,612.0 130,414.9 0.0 0.0 0.0 130,342.5 90,602.0 88,529.0 0.0 65,545.3 0.0 197,523.0 * 7,911.2 0.0 0.0 0.0
> $10MM * * * 0.0 0.0 0.0 * 0.0 * 0.0 279,069.1 0.0 0.0 0.0 0.0 * * 0.0
NUMBER OF TRADES 54 29 46 0 0 0 72 37 39 0 24 0 78 5 5 * * 0
Customer Buy 30 10 24 0 0 0 34 20 18 0 12 0 36 * * 0 * 0
Customer Sell 21 18 21 0 0 0 31 16 21 0 12 0 39 * * * * 0
Dealer to Dealer * * * 0 0 0 7 * 0 0 0 0 * * 0 0 0 0
<= $1MM 24 13 13 0 0 0 31 13 7 0 0 0 29 * 0 0 0 0
<= $10MM 28 14 29 0 0 0 39 24 31 0 8 0 49 * 5 0 0 0
> $10MM * * * 0 0 0 * 0 * 0 16 0 0 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 92.6 94.9 99.3 0.0 0.0 0.0 84.0 91.7 96.1 0.0 0.0 0.0 73.6 89.6 88.5 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 93.5 94.2 96.2 0.0 0.0 0.0 88.0 90.7 93.3 0.0 0.0 0.0 74.5 88.8 88.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 84.6 77.9 89.9 0.0 0.0 0.0 67.8 70.6 71.9 0.0 0.0 0.0 19.4 55.9 54.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 91.7 92.3 99.1 0.0 0.0 0.0 74.3 87.2 95.6 0.0 0.0 0.0 57.0 82.3 89.7 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 92.8 98.6 99.8 0.0 0.0 0.0 90.3 92.8 98.8 0.0 0.0 0.0 91.3 96.4 98.7 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 97.7 99.5 100.5 0.0 0.0 0.0 95.5 98.6 100.2 0.0 0.0 0.0 97.8 99.3 99.9 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 98.7 99.9 102.6 0.0 0.0 0.0 96.4 100.0 100.7 0.0 0.0 0.0 99.6 100.0 101.8 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 5.6 6.4 2.8 0.0 0.0 0.0 11.9 7.6 7.9 0.0 0.0 0.0 27.4 12.3 18.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 82,360.6 409,265.8 627,364.4 0.0 0.0 0.0 125,528.0 324,725.6 218,181.0 0.0 0.0 0.0 152,403.4 414,203.0 203,058.7 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0 26,476.3 146,900.1 253,518.0 0.0 0.0 0.0 60,072.7 177,499.0 105,187.0 0.0 0.0 0.0 72,779.7 219,386.2 103,025.2 0.0 0.0 0.0
Customer Sell 0.0 0.0 0.0 40,521.5 194,213.7 342,566.4 0.0 0.0 0.0 64,098.7 145,926.6 112,994.0 0.0 0.0 0.0 71,623.7 191,676.8 100,033.5 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 15,362.8 68,152.1 31,280.0 0.0 0.0 0.0 * * 0.0 0.0 0.0 0.0 * * 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 3,369.1 20,518.7 11,544.8 0.0 0.0 0.0 2,770.0 22,727.3 10,703.0 0.0 0.0 0.0 6,207.0 15,920.8 4,261.5 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 58,501.4 252,762.1 224,157.4 0.0 0.0 0.0 72,758.0 276,856.3 147,358.0 0.0 0.0 0.0 135,696.4 292,277.5 89,207.2 0.0 0.0 0.0
> $10MM 0.0 0.0 0.0 * 135,985.0 391,662.2 0.0 0.0 0.0 * * * 0.0 0.0 0.0 * 106,004.7 109,590.0 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0 30 115 100 0 0 0 22 144 66 0 0 0 47 115 34 0 0 0
Customer Buy 0 0 0 11 47 45 0 0 0 10 75 31 0 0 0 23 62 18 0 0 0
Customer Sell 0 0 0 14 49 45 0 0 0 11 68 35 0 0 0 23 51 16 0 0 0
Dealer to Dealer 0 0 0 5 19 10 0 0 0 * * 0 0 0 0 * * 0 0 0 0
<= $1MM 0 0 0 9 46 27 0 0 0 6 54 22 0 0 0 18 24 8 0 0 0
<= $10MM 0 0 0 19 60 60 0 0 0 14 88 40 0 0 0 28 84 21 0 0 0
> $10MM 0 0 0 * 9 13 0 0 0 * * * 0 0 0 * 7 5 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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