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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 07/22/2024 to 07/26/2024

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 96.6 94.2 84.7 84.5 86.9 97.7 99.7 2.0 * 4.7 5.6 0.0 * 16.7
Weighted Avg. Price 96.9 95.8 83.0 93.5 90.5 98.9 100.9 1.2 * 2.7 5.5 0.0 * 3.2
Avg. Price Bottom 5 Trades 81.9 82.3 68.6 66.2 70.3 85.6 87.8 0.5 * 1.7 4.4 0.0 * 12.2
2nd Quartile Price 96.0 90.9 76.1 76.1 81.3 96.1 99.6 1.3 * 3.2 5.5 0.0 * 1.8
3rd Quartile Price 97.0 96.2 86.3 89.6 90.6 99.9 102.1 2.3 * 6.6 6.5 0.0 * 30.0
4th Quartile Price 98.4 98.6 95.6 99.0 93.6 100.7 102.6 2.6 * 6.8 7.2 0.0 * 30.0
Avg. Price Top 5 Trades 100.0 100.4 99.8 99.4 97.2 101.7 103.6 3.7 * 7.6 6.8 0.0 * 18.7
Standard Deviation 3.0 5.7 10.1 14.3 9.6 5.0 4.6 1.1 * 4.3 1.9 0.0 * 19.1
VOLUME OF TRADES (000'S) 1,351,077.5 109,807.1 427,697.8 92,627.4 361,133.7 282,983.2 1,004,395.9 430,248.1 * 272,999.2 694,661.9 0.0 * 1,857,303.0
Customer Buy 593,859.4 38,924.6 175,960.5 25,499.8 274,714.3 166,316.2 518,692.3 91,009.5 * 129,949.4 363,880.2 0.0 * 1,857,303.0
Customer Sell 598,470.6 48,424.0 159,272.3 59,951.9 69,503.9 113,150.8 325,147.3 339,238.6 * * * 0.0 0.0 0.0
Dealer to Dealer 158,747.5 22,458.6 92,465.0 7,175.7 16,915.6 3,516.2 160,556.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 42,615.5 13,561.4 3,279.4 2,622.9 4,102.6 13,061.4 8,100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 234,200.9 69,702.8 44,422.7 30,162.4 36,585.8 47,647.3 62,944.6 131,400.0 * 27,297.3 * 0.0 0.0 *
> $10MM 1,074,261.1 * 379,995.7 * 320,445.3 222,274.6 933,351.4 298,848.1 * * 691,081.6 0.0 * 1,848,242.8
NUMBER OF TRADES 279 56 51 25 30 49 58 29 * 9 9 0 * 9
Customer Buy 117 19 20 8 15 29 34 11 * 5 5 0 * 9
Customer Sell 126 21 21 9 8 15 14 18 * * * 0 0 0
Dealer to Dealer 36 16 10 8 7 5 10 0 0 0 0 0 0 0
<= $1MM 173 32 27 13 11 29 13 0 0 0 0 0 0 0
<= $10MM 72 22 17 9 10 15 18 21 * 6 * 0 0 *
> $10MM 34 * 7 * 9 5 27 8 * * 8 0 * 8

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 96.3 90.0 86.1 84.4 93.7 105.9 103.4
Weighted Avg. Price 96.3 91.1 84.4 84.0 94.6 105.9 103.6
Avg. Price Bottom 5 Trades 92.3 86.6 85.5 84.4 93.2 104.0 102.1
2nd Quartile Price 94.6 88.3 87.0 * 93.7 104.5 103.0
3rd Quartile Price 96.9 90.1 88.6 * 94.2 106.1 103.9
4th Quartile Price 97.9 91.3 88.8 * 96.7 107.1 104.2
Avg. Price Top 5 Trades 99.5 93.9 87.3 84.4 94.5 107.9 104.4
Standard Deviation 1.9 2.8 3.5 0.8 2.4 2.4 1.0
VOLUME OF TRADES (000'S) 413,974.1 21,725.4 1,740.0 7,075.0 15,507.0 40,417.0 33,815.0
Customer Buy 185,522.8 10,276.0 * * * 29,320.0 25,340.0
Customer Sell 215,067.2 11,349.4 * * * 11,097.0 *
Dealer to Dealer 13,384.1 * 0.0 0.0 0.0 0.0 3,274.0
<= $1MM 18,925.6 3,315.0 640.0 * * 1,697.0 5,325.0
<= $10MM 291,770.5 18,410.4 * * * 38,720.0 28,490.0
> $10MM 103,278.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 155 21 6 5 7 12 18
Customer Buy 57 6 * * * 5 10
Customer Sell 77 14 * * * 7 *
Dealer to Dealer 21 * 0 0 0 0 5
<= $1MM 64 13 5 * * 5 11
<= $10MM 83 8 * * * 7 7
> $10MM 8 0 0 0 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 96.8 91.6 102.6 2.3 4.1 0.0 83.5 77.6 86.8 0.0 * * 73.5 0.0 * 0.0 0.0 0.0
Weighted Avg. Price 96.7 91.7 103.1 2.5 5.1 0.0 80.4 76.6 81.6 0.0 * * 73.3 0.0 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 89.0 85.1 97.3 2.0 3.3 0.0 57.9 70.6 66.2 0.0 * * 24.3 0.0 * 0.0 0.0 0.0
2nd Quartile Price 96.2 89.3 101.9 2.3 3.4 0.0 81.7 73.3 83.0 0.0 * * 59.9 0.0 * 0.0 0.0 0.0
3rd Quartile Price 97.5 92.0 103.2 2.5 5.0 0.0 85.8 78.3 84.4 0.0 * * 79.0 0.0 * 0.0 0.0 0.0
4th Quartile Price 98.3 94.8 104.1 2.9 5.0 0.0 94.3 80.8 100.9 0.0 * * 90.0 0.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 99.6 96.2 105.1 2.7 4.7 0.0 96.5 88.1 101.8 0.0 * * 98.7 0.0 * 0.0 0.0 0.0
Standard Deviation 2.7 4.0 2.4 0.6 1.0 0.0 12.3 6.8 13.8 0.0 * * 20.5 0.0 * 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 84,612.8 17,938.7 204,793.1 285,990.9 59,624.0 0.0 65,215.1 45,959.8 68,112.4 0.0 * * 276,095.0 0.0 * 0.0 0.0 0.0
Customer Buy 34,290.1 8,147.0 149,760.1 152,507.7 * 0.0 32,403.1 19,370.0 29,150.7 0.0 * 0.0 125,430.3 0.0 * 0.0 0.0 0.0
Customer Sell 43,191.3 9,226.5 47,823.1 * 14,176.1 0.0 28,409.0 26,589.8 38,961.7 0.0 * * 145,774.1 0.0 * 0.0 0.0 0.0
Dealer to Dealer 7,131.4 565.2 7,210.0 0.0 * 0.0 4,403.0 0.0 0.0 0.0 0.0 0.0 4,890.6 0.0 0.0 0.0 0.0 0.0
<= $1MM 15,278.7 10,993.7 8,591.1 0.0 0.0 0.0 9,481.1 3,273.8 3,983.4 0.0 0.0 0.0 20,023.2 0.0 0.0 0.0 0.0 0.0
<= $10MM 69,334.1 * 126,132.0 * 25,331.1 0.0 55,734.0 42,686.0 64,129.0 0.0 * 0.0 222,233.8 0.0 * 0.0 0.0 0.0
> $10MM 0.0 0.0 * 264,993.6 * 0.0 0.0 0.0 0.0 0.0 0.0 * * 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 75 32 61 9 10 0 38 25 30 0 * * 106 0 * 0 0 0
Customer Buy 24 13 30 5 * 0 17 12 13 0 * 0 46 0 * 0 0 0
Customer Sell 39 13 23 * 5 0 16 13 17 0 * * 51 0 * 0 0 0
Dealer to Dealer 12 6 8 0 * 0 5 0 0 0 0 0 9 0 0 0 0 0
<= $1MM 46 29 32 0 0 0 21 10 10 0 0 0 44 0 0 0 0 0
<= $10MM 29 * 25 * 9 0 17 15 20 0 * 0 59 0 * 0 0 0
> $10MM 0 0 * 5 * 0 0 0 0 0 0 * * 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 93.9 93.8 99.6 0.0 0.0 0.0 92.1 92.0 98.5 0.0 0.0 0.0 61.6 82.6 95.7 0.0 * 0.0
Weighted Avg. Price * 0.0 0.0 92.6 95.4 99.0 0.0 0.0 0.0 90.1 93.4 98.7 0.0 0.0 0.0 63.6 87.4 95.5 0.0 * 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 86.9 80.9 92.8 0.0 0.0 0.0 80.9 69.8 91.2 0.0 0.0 0.0 2.5 31.4 70.2 0.0 * 0.0
2nd Quartile Price * 0.0 0.0 92.1 89.8 99.3 0.0 0.0 0.0 87.7 89.3 98.0 0.0 0.0 0.0 47.0 73.7 97.9 0.0 * 0.0
3rd Quartile Price * 0.0 0.0 94.0 94.8 99.9 0.0 0.0 0.0 95.3 94.1 99.7 0.0 0.0 0.0 68.0 90.4 99.4 0.0 * 0.0
4th Quartile Price * 0.0 0.0 98.0 98.8 100.5 0.0 0.0 0.0 98.6 98.5 100.2 0.0 0.0 0.0 90.0 97.8 99.9 0.0 * 0.0
Avg. Price Top 5 Trades * 0.0 0.0 100.0 99.9 103.8 0.0 0.0 0.0 99.3 99.8 102.1 0.0 0.0 0.0 98.3 98.8 104.2 0.0 * 0.0
Standard Deviation * 0.0 0.0 4.1 5.5 2.4 0.0 0.0 0.0 7.7 8.6 2.8 0.0 0.0 0.0 31.1 20.0 11.8 0.0 * 0.0
VOLUME OF TRADES (000'S) * 0.0 0.0 132,844.6 352,442.6 220,283.3 0.0 0.0 0.0 17,729.0 205,260.1 327,554.6 0.0 0.0 0.0 79,219.4 241,903.2 302,448.5 0.0 * 0.0
Customer Buy 0.0 0.0 0.0 60,155.8 161,864.1 116,510.1 0.0 0.0 0.0 6,462.0 89,865.7 152,423.2 0.0 0.0 0.0 37,066.5 122,041.5 143,359.8 0.0 * 0.0
Customer Sell * 0.0 0.0 72,688.9 190,578.5 79,284.5 0.0 0.0 0.0 11,267.0 99,951.7 151,219.6 0.0 0.0 0.0 35,035.7 119,861.8 137,468.8 0.0 * 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0 0.0 24,488.7 0.0 0.0 0.0 0.0 15,442.8 23,911.8 0.0 0.0 0.0 * 0.0 * 0.0 0.0 0.0
<= $1MM * 0.0 0.0 3,698.6 14,979.2 15,580.2 0.0 0.0 0.0 3,849.1 9,486.5 15,653.0 0.0 0.0 0.0 12,907.1 6,179.6 2,694.5 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 118,938.6 132,160.1 155,337.5 0.0 0.0 0.0 13,879.9 165,592.8 294,681.6 0.0 0.0 0.0 66,312.3 205,006.1 201,046.0 0.0 * 0.0
> $10MM 0.0 0.0 0.0 * 205,303.3 * 0.0 0.0 0.0 0.0 * * 0.0 0.0 0.0 0.0 * 98,708.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 0 45 105 99 0 0 0 21 74 108 0 0 0 50 66 57 0 * 0
Customer Buy 0 0 0 21 47 46 0 0 0 9 37 52 0 0 0 22 33 29 0 * 0
Customer Sell * 0 0 24 58 47 0 0 0 12 31 49 0 0 0 24 33 26 0 * 0
Dealer to Dealer 0 0 0 0 0 6 0 0 0 0 6 7 0 0 0 * 0 * 0 0 0
<= $1MM * 0 0 19 60 62 0 0 0 16 28 29 0 0 0 33 16 8 0 0 0
<= $10MM 0 0 0 25 32 34 0 0 0 5 44 78 0 0 0 17 47 41 0 * 0
> $10MM 0 0 0 * 13 * 0 0 0 0 * * 0 0 0 0 * 8 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 [email protected].
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