As of
Download

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 06/10/2024 to 06/14/2024

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 96.0 94.4 85.3 81.9 88.3 96.9 99.2 1.5 3.0 7.3 5.3 8.3 9.5 11.2
Weighted Avg. Price 96.1 94.7 78.2 77.9 87.2 98.1 100.0 1.3 2.4 4.0 5.7 1.2 2.8 6.5
Avg. Price Bottom 5 Trades 86.7 88.2 75.8 66.2 82.7 85.9 88.9 0.4 1.9 1.3 3.1 2.0 1.6 3.6
2nd Quartile Price 95.1 93.4 81.0 72.4 82.2 95.6 100.0 1.0 2.8 4.7 4.6 2.4 2.3 3.9
3rd Quartile Price 96.1 94.5 86.1 85.2 91.9 98.7 100.2 1.5 3.9 6.5 6.0 4.9 7.1 5.9
4th Quartile Price 97.5 96.0 87.5 92.0 93.9 99.3 101.7 2.1 4.9 7.2 6.3 25.3 31.8 39.0
Avg. Price Top 5 Trades 99.5 99.7 98.6 96.8 93.3 100.4 104.2 2.5 4.1 18.6 6.8 13.9 17.5 19.9
Standard Deviation 2.3 3.0 7.4 12.1 6.2 4.9 5.4 0.9 1.5 7.2 1.5 10.4 12.1 13.9
VOLUME OF TRADES (000'S) 466,126.6 278,514.1 84,894.9 177,866.0 55,869.9 279,035.7 324,612.4 1,011,053.4 841,192.4 2,944,191.0 1,232,154.4 480,198.3 464,401.7 461,660.3
Customer Buy 131,009.2 140,917.7 27,417.2 88,634.6 34,114.9 152,624.4 160,355.2 61,957.7 * 1,069,401.0 57,969.8 156,047.0 257,664.3 433,361.1
Customer Sell 224,854.2 92,006.5 9,379.6 21,182.6 * 79,000.4 50,418.6 949,095.7 376,447.7 1,874,790.0 1,174,184.7 * * *
Dealer to Dealer 110,263.1 45,589.9 48,098.1 68,048.8 * 47,410.8 113,838.7 - * - - - - -
<= $1MM 21,796.6 3,286.0 2,418.1 2,475.9 * 20,103.7 3,229.0 760.7 - * - * * -
<= $10MM 293,759.9 188,738.0 22,613.5 56,259.2 30,479.9 29,808.1 120,287.4 * * 135,184.9 60,811.9 * * *
> $10MM 150,570.0 86,490.0 * 119,130.8 * 229,123.9 201,096.0 988,061.3 833,054.8 2,808,890.3 1,171,342.5 * 441,092.6 437,061.8
NUMBER OF TRADES 193 47 34 30 11 52 37 23 10 41 21 9 10 11
Customer Buy 55 21 8 14 6 23 19 5 * 17 6 5 6 8
Customer Sell 91 20 13 6 * 24 6 18 5 24 15 * * *
Dealer to Dealer 47 6 13 10 * 5 12 - * - - - - -
<= $1MM 113 13 19 10 * 34 7 5 - * - * * -
<= $10MM 71 28 12 12 8 10 22 * * 20 11 * * *
> $10MM 9 6 * 8 * 8 8 15 8 20 10 * 5 7

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 88.4 84.8 82.9 96.4 * *
Weighted Avg. Price 95.3 88.9 85.4 84.1 99.7 * *
Avg. Price Bottom 5 Trades 91.7 85.7 83.0 81.3 90.4 * *
2nd Quartile Price 94.5 86.9 83.1 82.3 92.1 * *
3rd Quartile Price 95.9 89.3 87.1 82.9 103.1 * *
4th Quartile Price 97.5 90.4 87.5 85.1 104.4 * *
Avg. Price Top 5 Trades 98.6 91.2 86.9 84.5 102.4 * *
Standard Deviation 2.0 2.7 3.3 1.8 6.9 * *
VOLUME OF TRADES (000'S) 122,621.7 10,368.0 8,853.0 3,993.0 23,040.0 * *
Customer Buy 40,022.7 5,750.0 * * * * *
Customer Sell 82,314.0 4,618.0 7,293.0 2,573.0 10,150.0 * -
Dealer to Dealer * - - - - - -
<= $1MM 13,029.4 4,018.0 * 1,393.0 * * *
<= $10MM 97,119.3 * * * 11,400.0 * -
> $10MM * - - - * * -
NUMBER OF TRADES 67 14 8 11 10 * *
Customer Buy 24 5 * * * * *
Customer Sell 40 9 6 9 7 * -
Dealer to Dealer * - - - - - -
<= $1MM 33 11 * 9 * * *
<= $10MM 33 * * * 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-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 96.1 91.3 103.1 1.3 * - 87.2 79.4 90.8 - - - 64.2 82.5 77.3 - - -
Weighted Avg. Price 95.0 90.7 103.1 1.6 * - 86.6 74.9 91.4 - - - 71.3 89.7 86.5 - - -
Avg. Price Bottom 5 Trades 91.4 83.0 97.1 0.9 * - 72.7 74.2 75.4 - - - 36.0 82.5 67.1 - - -
2nd Quartile Price 94.7 89.4 102.0 1.4 * - 83.5 77.7 83.4 - - - 51.0 * 68.6 - - -
3rd Quartile Price 96.8 89.9 103.9 1.5 * - 90.0 79.2 95.4 - - - 70.5 * 70.7 - - -
4th Quartile Price 98.1 96.3 105.1 2.1 * - 95.0 87.1 101.3 - - - 78.0 * 101.0 - - -
Avg. Price Top 5 Trades 99.1 97.9 107.1 1.8 * - 95.9 84.6 105.9 - - - 89.6 82.5 88.8 - - -
Standard Deviation 2.4 5.0 3.7 0.8 * - 7.7 6.9 11.6 - - - 18.1 9.9 15.2 - - -
VOLUME OF TRADES (000'S) 209,027.4 70,357.8 101,033.0 99,306.7 * - 95,349.0 9,422.0 59,402.0 - - - 90,971.3 21,423.6 59,889.4 - - -
Customer Buy 83,118.3 32,935.1 72,056.0 * - - 56,314.9 * 29,228.0 - - - 45,340.7 * 40,543.4 - - -
Customer Sell 125,819.4 37,422.7 28,850.0 * * - 38,031.1 8,606.0 30,174.0 - - - 42,380.7 * 19,346.0 - - -
Dealer to Dealer * - * - - - * * - - - - 3,250.0 - - - - -
<= $1MM 7,641.8 7,429.6 4,897.0 * - - 4,481.0 1,832.0 8,031.0 - - - 4,306.0 * * - - -
<= $10MM 92,340.7 62,928.2 81,366.0 * * - 90,868.0 * 51,371.0 - - - 86,665.3 * 33,415.8 - - -
> $10MM 109,045.0 - * * * - - - - - - - - - * - - -
NUMBER OF TRADES 52 36 37 8 * - 38 11 30 - - - 43 5 11 - - -
Customer Buy 17 14 27 * - - 17 * 16 - - - 15 * 6 - - -
Customer Sell 33 22 9 * * - 18 7 14 - - - 17 * 5 - - -
Dealer to Dealer * - * - - - * * - - - - 11 - - - - -
<= $1MM 21 13 16 * - - 11 10 10 - - - 25 * * - - -
<= $10MM 26 23 20 * * - 27 * 20 - - - 18 * 6 - - -
> $10MM 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 * - - 92.1 94.3 99.2 - - - 93.3 90.5 95.1 - - - 81.5 87.8 95.8 0.3 - *
Weighted Avg. Price * - - 90.2 95.9 99.5 - - - 94.2 89.8 93.6 - - - 82.3 92.3 94.8 0.1 - *
Avg. Price Bottom 5 Trades * - - 84.6 79.8 90.6 - - - 88.9 63.3 77.0 - - - 57.1 21.3 83.7 0.3 - *
2nd Quartile Price * - - 92.8 92.1 99.3 - - - 91.0 88.9 93.1 - - - 69.6 90.9 95.2 * - *
3rd Quartile Price * - - 94.2 98.3 99.9 - - - 93.3 93.0 99.6 - - - 88.1 95.6 97.3 * - *
4th Quartile Price * - - 95.3 99.2 100.2 - - - 96.8 97.7 100.4 - - - 99.5 98.4 99.3 * - *
Avg. Price Top 5 Trades * - - 96.7 100.0 103.3 - - - 97.7 99.9 102.7 - - - 99.8 99.9 100.5 0.3 - *
Standard Deviation * - - 5.3 6.5 2.6 - - - 3.9 9.8 7.5 - - - 16.4 19.7 5.3 0.2 - *
VOLUME OF TRADES (000'S) * - - 24,191.0 150,593.3 352,609.5 - - - 29,279.5 189,060.8 141,352.5 - - - 121,908.2 451,164.9 154,432.3 2,483.9 - *
Customer Buy * - - 15,048.0 80,515.6 92,458.2 - - - 9,819.8 88,087.5 97,467.0 - - - 61,252.0 211,560.2 59,945.4 * - *
Customer Sell * - - 9,143.0 55,218.5 139,911.5 - - - 19,459.8 89,187.5 43,785.4 - - - 60,656.2 236,184.6 56,753.9 1,551.0 - -
Dealer to Dealer - - - - 14,859.1 120,239.8 - - - - 11,785.8 * - - - - * 37,733.0 - - *
<= $1MM * - - 5,203.0 13,912.5 12,161.4 - - - 4,919.5 15,702.4 10,958.5 - - - 1,978.8 21,055.3 2,042.0 2,483.9 - *
<= $10MM - - - 18,988.0 126,605.8 253,035.7 - - - 24,360.0 140,228.4 130,393.9 - - - 93,043.0 276,696.0 152,390.3 - - *
> $10MM - - - - * 87,412.4 - - - - * - - - - * 153,413.6 - - - -
NUMBER OF TRADES * - - 19 72 99 - - - 16 71 71 - - - 33 93 41 7 - *
Customer Buy * - - 10 30 36 - - - 6 27 40 - - - 18 40 12 * - *
Customer Sell * - - 9 37 45 - - - 10 38 30 - - - 15 51 15 6 - -
Dealer to Dealer - - - - 5 18 - - - - 6 * - - - - * 14 - - *
<= $1MM * - - 14 40 37 - - - 10 37 30 - - - 11 32 7 7 - *
<= $10MM - - - 5 31 55 - - - 6 32 41 - - - 20 53 34 - - *
> $10MM - - - - * 7 - - - - * - - - - * 8 - - - -

* 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].
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.7.7.20250312   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.