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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 06/17/2024 to 06/21/2024

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 95.8 94.6 82.0 88.2 89.7 95.4 99.3 * * 37.4 5.0 * 6.8 *
Weighted Avg. Price 96.1 93.3 85.7 89.9 92.7 95.5 100.1 * * 54.8 5.0 * 5.0 *
Avg. Price Bottom 5 Trades 80.3 90.9 73.9 81.7 77.8 87.7 93.2 * * 37.4 4.2 * 6.8 *
2nd Quartile Price 95.4 94.9 82.5 83.2 86.5 94.0 99.1 * * * 4.2 * * *
3rd Quartile Price 96.7 95.5 83.0 90.0 93.7 95.4 100.2 * * * 6.0 * * *
4th Quartile Price 98.1 97.2 86.8 99.5 94.7 98.3 101.9 * * * 6.9 * * *
Avg. Price Top 5 Trades 99.7 97.2 87.2 94.1 94.8 101.0 102.7 * * 37.4 5.9 * 6.8 *
Standard Deviation 4.2 2.7 5.6 10.1 7.0 4.4 5.1 * * 27.5 1.8 * 1.8 *
VOLUME OF TRADES (000'S) 616,724.3 47,549.6 18,185.8 17,390.7 122,407.6 156,678.4 408,718.1 * * 344,294.0 144,728.0 * 121,761.4 *
Customer Buy 243,454.2 19,731.4 7,251.7 9,040.2 9,678.2 36,484.8 148,542.5 * - * 143,529.3 * * *
Customer Sell 308,550.4 14,468.2 9,906.0 * 47,334.6 62,907.3 206,381.2 - * * * * * -
Dealer to Dealer 64,719.7 * 1,028.1 * 65,394.7 57,286.4 * * - * - - - -
<= $1MM 18,214.9 3,123.8 2,785.8 * 2,872.5 1,768.0 7,250.0 - - * - * - -
<= $10MM 215,652.5 44,425.7 * * 41,173.2 114,910.4 34,887.4 * - - * - * -
> $10MM 382,856.9 - - - * * 366,580.7 * * * * * * *
NUMBER OF TRADES 192 17 19 8 26 33 33 * * 5 7 * 5 *
Customer Buy 69 8 8 5 8 12 19 * - * 6 * * *
Customer Sell 76 6 6 * 10 9 10 - * * * * * -
Dealer to Dealer 47 * 5 * 8 12 * * - * - - - -
<= $1MM 127 8 16 * 10 10 11 - - * - * - -
<= $10MM 53 9 * * 13 21 10 * - - * - * -
> $10MM 12 - - - * * 12 * * * * * * *

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 95.2 86.2 * 85.0 * 105.6 *
Weighted Avg. Price 95.8 90.5 * 84.9 * 105.9 *
Avg. Price Bottom 5 Trades 89.7 81.3 * 85.0 * 105.6 *
2nd Quartile Price 94.0 83.2 * * * * *
3rd Quartile Price 95.6 88.1 * * * * *
4th Quartile Price 97.4 90.6 * * * * *
Avg. Price Top 5 Trades 99.3 90.9 * 85.0 * 105.6 *
Standard Deviation 2.6 4.5 * 0.8 * 1.3 *
VOLUME OF TRADES (000'S) 188,861.8 11,675.0 * 5,758.7 * 20,095.0 *
Customer Buy 78,185.9 * * * * * *
Customer Sell 108,786.7 * * * * * *
Dealer to Dealer 1,889.2 150.0 - - - - -
<= $1MM 11,241.4 1,675.0 - * - * *
<= $10MM 82,536.4 * * * * * *
> $10MM * - - - * - -
NUMBER OF TRADES 67 15 * 5 * 5 *
Customer Buy 27 * * * * * *
Customer Sell 28 * * * * * *
Dealer to Dealer 12 7 - - - - -
<= $1MM 40 14 - * - * *
<= $10MM 23 * * * * * *
> $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 97.0 90.3 104.2 - * - 87.1 74.0 95.9 - - - 68.2 - * - - *
Weighted Avg. Price 97.8 89.9 104.6 - * - 87.5 75.0 96.1 - - - 82.2 - * - - *
Avg. Price Bottom 5 Trades 93.0 83.3 101.6 - * - 79.6 54.5 69.4 - - - 13.5 - * - - *
2nd Quartile Price 96.7 88.7 103.7 - * - 81.5 71.4 90.2 - - - 69.0 - * - - *
3rd Quartile Price 97.9 90.0 104.0 - * - 86.0 80.2 100.4 - - - 82.6 - * - - *
4th Quartile Price 98.7 94.2 105.1 - * - 94.0 81.0 103.0 - - - 88.1 - * - - *
Avg. Price Top 5 Trades 99.4 95.6 107.0 - * - 95.9 83.0 105.1 - - - 91.5 - * - - *
Standard Deviation 2.2 5.5 2.0 - * - 6.0 11.0 11.0 - - - 29.3 - * - - *
VOLUME OF TRADES (000'S) 43,997.3 106,401.0 133,596.7 - * - 146,919.1 81,564.3 130,860.0 - - - 146,037.3 - * - - *
Customer Buy 12,577.0 40,998.2 71,913.7 - * - 65,126.2 38,910.1 53,664.4 - - - 69,232.7 - * - - *
Customer Sell 26,875.2 65,402.8 60,403.0 - - - 79,226.1 42,654.2 72,995.6 - - - 68,157.2 - * - - *
Dealer to Dealer * - * - - - * - * - - - * - - - - -
<= $1MM 8,134.4 4,027.0 4,929.7 - * - 2,522.2 11,609.3 6,172.0 - - - 2,826.8 - - - - -
<= $10MM 35,863.0 53,920.0 48,961.0 - - - 97,096.9 69,955.0 124,688.0 - - - 104,146.3 - * - - -
> $10MM - * * - - - * - - - - - * - * - - *
NUMBER OF TRADES 42 24 25 - * - 48 33 48 - - - 42 - * - - *
Customer Buy 11 11 16 - * - 20 14 20 - - - 19 - * - - *
Customer Sell 29 13 7 - - - 25 19 26 - - - 20 - * - - *
Dealer to Dealer * - * - - - * - * - - - * - - - - -
<= $1MM 24 9 11 - * - 17 16 11 - - - 13 - - - - -
<= $10MM 18 11 10 - - - 27 17 37 - - - 26 - * - - -
> $10MM - * * - - - * - - - - - * - * - - *

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 * - - 90.6 95.3 99.2 - - - 90.0 86.7 97.8 - - - 50.6 81.3 99.3 - - *
Weighted Avg. Price * - - 94.0 96.1 99.4 - - - 91.4 80.4 97.4 - - - 59.0 77.8 100.3 - - *
Avg. Price Bottom 5 Trades * - - 75.1 84.7 92.4 - - - 78.4 23.5 86.7 - - - 2.7 17.4 95.9 - - *
2nd Quartile Price * - - 88.7 92.3 98.0 - - - 89.5 90.0 97.5 - - - 5.9 75.3 96.9 - - *
3rd Quartile Price * - - 95.4 95.5 99.8 - - - 94.6 97.0 99.8 - - - 63.0 94.0 99.8 - - *
4th Quartile Price * - - 99.8 99.0 100.5 - - - 96.8 98.5 100.3 - - - 92.2 98.3 101.4 - - *
Avg. Price Top 5 Trades * - - 99.9 100.0 103.0 - - - 97.1 99.6 100.9 - - - 98.3 100.0 102.8 - - *
Standard Deviation * - - 10.1 4.3 2.7 - - - 9.1 23.5 4.7 - - - 40.2 26.9 2.9 - - *
VOLUME OF TRADES (000'S) * - - 27,160.9 214,108.6 199,175.3 - - - 91,498.2 194,055.9 91,189.3 - - - 158,446.8 326,193.7 43,328.2 - - *
Customer Buy * - - 16,811.6 89,419.6 89,626.6 - - - 41,587.6 89,383.8 49,482.9 - - - 70,805.1 148,984.1 20,280.0 - - *
Customer Sell * - - 10,349.2 114,590.8 83,107.1 - - - 49,910.6 103,197.1 41,706.4 - - - 74,855.9 168,685.6 13,718.2 - - *
Dealer to Dealer - - - - * * - - - - * - - - - 12,785.7 * 9,330.0 - - -
<= $1MM * - - 7,760.9 18,714.8 18,625.9 - - - 1,623.0 8,815.0 10,396.6 - - - 4,439.4 1,957.5 5,813.2 - - -
<= $10MM - - - 19,400.0 184,735.8 154,853.2 - - - 29,875.2 122,655.9 80,792.7 - - - 76,008.4 203,065.6 37,515.0 - - *
> $10MM - - - - * * - - - * * - - - - 77,999.0 121,170.6 - - - -
NUMBER OF TRADES * - - 21 85 76 - - - 18 50 47 - - - 38 68 23 - - *
Customer Buy * - - 10 38 37 - - - 7 20 22 - - - 14 32 9 - - *
Customer Sell * - - 11 43 35 - - - 11 28 25 - - - 17 32 8 - - *
Dealer to Dealer - - - - * * - - - - * - - - - 7 * 6 - - -
<= $1MM * - - 14 38 39 - - - 5 19 22 - - - 8 5 11 - - -
<= $10MM - - - 7 46 35 - - - 11 28 25 - - - 24 55 12 - - *
> $10MM - - - - * * - - - * * - - - - 6 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].
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