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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 08/05/2024 to 08/09/2024

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 93.1 86.8 79.8 85.8 96.0 101.0 2.2 3.0 13.0 6.1 * * *
Weighted Avg. Price 97.6 94.2 89.9 78.3 91.5 97.8 102.1 1.1 2.6 38.9 6.7 * * *
Avg. Price Bottom 5 Trades 76.6 85.9 77.8 73.2 54.6 72.1 91.7 1.7 2.6 5.1 5.2 * * *
2nd Quartile Price 96.3 91.8 84.1 74.0 83.3 93.9 100.3 1.6 2.3 6.0 5.9 * * *
3rd Quartile Price 97.8 95.8 86.8 76.6 92.0 100.1 101.6 3.3 3.6 7.0 6.8 * * *
4th Quartile Price 98.6 96.9 90.5 87.1 93.0 102.4 103.6 3.8 4.7 9.0 7.2 * * *
Avg. Price Top 5 Trades 99.7 98.1 96.8 92.3 98.0 104.0 105.5 2.8 3.2 28.2 6.9 * * *
Standard Deviation 4.9 4.7 6.6 8.9 13.3 9.9 4.4 1.3 1.1 17.2 1.3 * * *
VOLUME OF TRADES (000'S) 911,680.3 70,010.4 119,108.8 40,030.7 352,703.6 830,012.9 755,346.2 92,133.5 25,615.2 146,703.5 385,569.4 * * *
Customer Buy 434,689.8 17,752.6 8,615.7 17,800.9 119,479.9 322,736.4 489,137.4 38,509.9 * * * * * *
Customer Sell 296,447.9 44,199.8 108,816.3 4,428.9 211,705.6 363,048.1 180,978.7 * 24,667.3 95,544.9 16,051.2 * * -
Dealer to Dealer 180,542.6 * 1,676.9 17,800.9 21,518.1 144,228.5 85,230.0 - - - - - - -
<= $1MM 24,098.0 3,299.4 1,865.9 1,561.4 5,760.0 3,013.8 6,235.9 - * * - * - -
<= $10MM 216,378.5 29,011.0 * 17,262.3 75,619.0 56,925.2 61,750.8 23,252.8 * 27,010.7 23,938.7 - * -
> $10MM 671,203.7 * * * 271,324.7 770,073.9 687,359.4 * * * * * * *
NUMBER OF TRADES 193 26 33 18 44 55 56 7 6 16 9 * * *
Customer Buy 84 12 12 6 25 26 32 5 * * * * * *
Customer Sell 73 11 14 6 12 16 18 * 5 13 5 * * -
Dealer to Dealer 36 * 7 6 7 13 6 - - - - - - -
<= $1MM 115 16 26 7 14 9 16 - * * - * - -
<= $10MM 60 9 * 9 23 22 16 5 * 9 8 - * -
> $10MM 18 * * * 7 24 24 * * * * * * *

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 96.7 91.0 86.1 85.1 95.8 106.5 106.7
Weighted Avg. Price 96.6 90.5 82.9 84.8 96.6 106.5 106.5
Avg. Price Bottom 5 Trades 92.8 86.2 86.1 85.1 92.5 104.1 105.5
2nd Quartile Price 95.8 90.3 * * 96.0 105.3 106.1
3rd Quartile Price 97.0 91.1 * * 97.6 106.1 106.9
4th Quartile Price 97.8 92.3 * * 98.0 107.9 107.7
Avg. Price Top 5 Trades 99.2 94.7 86.1 85.1 99.2 109.1 108.0
Standard Deviation 1.6 2.9 4.0 1.3 5.2 3.1 1.1
VOLUME OF TRADES (000'S) 307,382.7 77,238.5 7,080.0 3,042.8 22,076.8 12,994.0 144,192.0
Customer Buy 153,547.5 28,257.5 * * * 5,635.0 87,955.0
Customer Sell 153,835.3 48,761.0 * * 14,985.0 7,359.0 56,237.0
Dealer to Dealer - * - - - - -
<= $1MM 22,015.7 5,072.0 * * 1,720.0 1,676.0 2,015.0
<= $10MM 181,361.0 72,166.5 * * * * 41,065.0
> $10MM * - - - - - 101,112.0
NUMBER OF TRADES 91 30 5 5 10 12 17
Customer Buy 38 11 * * * 6 9
Customer Sell 53 17 * * 6 6 8
Dealer to Dealer - * - - - - -
<= $1MM 46 13 * * 6 9 5
<= $10MM 43 17 * * * * 7
> $10MM * - - - - - 5

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 96.9 91.9 103.6 - * - 86.0 81.8 99.2 - - - 71.3 * * - - -
Weighted Avg. Price 97.2 90.3 103.8 - * - 87.2 91.8 99.4 - - - 71.1 * * - - -
Avg. Price Bottom 5 Trades 93.0 86.5 97.6 - * - 56.6 74.8 93.9 - - - 37.0 * * - - -
2nd Quartile Price 95.7 89.3 103.2 - * - 85.4 76.1 101.0 - - - 61.3 * * - - -
3rd Quartile Price 97.3 91.0 104.1 - * - 90.2 86.0 101.7 - - - 75.3 * * - - -
4th Quartile Price 98.5 95.6 105.2 - * - 96.4 96.8 103.2 - - - 88.5 * * - - -
Avg. Price Top 5 Trades 99.1 96.9 107.4 - * - 98.6 88.8 103.7 - - - 92.2 * * - - -
Standard Deviation 1.8 3.9 2.9 - * - 13.1 9.2 8.8 - - - 18.9 * * - - -
VOLUME OF TRADES (000'S) 164,147.1 68,223.0 177,014.3 - * - 164,674.7 46,208.5 12,488.0 - - - 134,858.2 * * - - -
Customer Buy 82,009.1 58,110.0 79,526.9 - - - 78,871.3 * * - - - 65,533.6 * * - - -
Customer Sell 82,126.0 9,163.1 96,887.4 - * - 84,665.3 * 6,883.0 - - - 54,038.8 * * - - -
Dealer to Dealer * * * - - - * * - - - - 15,285.8 - - - - -
<= $1MM 7,838.1 6,293.0 6,466.4 - - - 6,350.6 3,335.3 2,763.0 - - - 9,264.5 - * - - -
<= $10MM 113,885.5 36,030.0 119,105.9 - * - 132,524.1 * * - - - 125,593.7 * * - - -
> $10MM * * * - - - * * - - - - - - - - - -
NUMBER OF TRADES 63 28 57 - * - 49 10 12 - - - 58 * * - - -
Customer Buy 34 18 26 - - - 24 * * - - - 25 * * - - -
Customer Sell 28 8 29 - * - 22 * 8 - - - 23 * * - - -
Dealer to Dealer * * * - - - * * - - - - 10 - - - - -
<= $1MM 30 17 23 - - - 17 6 9 - - - 19 - * - - -
<= $10MM 30 9 30 - * - 30 * * - - - 39 * * - - -
> $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 - - - 95.1 96.2 99.7 - - * 87.2 92.6 99.3 - - - 75.1 86.2 96.9 - - 99.9
Weighted Avg. Price - - - 91.7 96.8 99.8 - - * 87.9 95.1 99.7 - - - 84.2 79.6 55.4 - - 99.8
Avg. Price Bottom 5 Trades - - - 87.2 87.3 96.6 - - * 70.6 79.9 93.9 - - - 41.0 35.6 73.0 - - 99.8
2nd Quartile Price - - - 94.3 94.2 99.0 - - * 85.5 88.8 98.8 - - - 72.4 89.1 97.9 - - 99.8
3rd Quartile Price - - - 97.0 98.4 99.4 - - * 89.9 94.4 99.8 - - - 85.4 96.1 99.6 - - 99.8
4th Quartile Price - - - 99.1 99.0 99.9 - - * 95.8 98.3 101.0 - - - 91.7 97.6 100.3 - - 99.9
Avg. Price Top 5 Trades - - - 99.5 99.5 104.3 - - * 96.7 99.3 101.7 - - - 96.8 99.1 105.8 - - 99.9
Standard Deviation - - - 5.3 4.5 1.7 - - * 9.4 6.4 2.5 - - - 22.9 26.1 14.9 - - 0.3
VOLUME OF TRADES (000'S) - - - 27,256.2 34,191.8 164,955.6 - - * 63,653.7 88,265.3 124,683.1 - - - 33,636.8 245,364.2 352,199.0 - - 44,220.0
Customer Buy - - - 10,271.1 17,372.5 120,991.7 - - - 24,726.9 59,686.2 65,054.6 - - - 20,150.4 134,022.7 247,215.0 - - 24,000.0
Customer Sell - - - 15,962.8 14,199.3 36,402.7 - - * 38,926.9 28,579.1 53,628.5 - - - 13,369.4 111,341.5 88,074.0 - - *
Dealer to Dealer - - - * * * - - - - - * - - - 117.0 - 16,910.0 - - -
<= $1MM - - - 5,381.4 12,178.9 24,341.4 - - * 6,628.7 8,454.7 12,616.8 - - - 5,836.0 4,879.9 4,650.0 - - *
<= $10MM - - - 21,874.8 22,012.9 108,614.2 - - - 44,025.0 51,867.7 112,066.3 - - - 27,800.7 132,655.6 88,789.0 - - 42,000.0
> $10MM - - - - - * - - - * * - - - - - 107,828.7 258,760.0 - - -
NUMBER OF TRADES - - - 20 35 86 - - * 31 44 54 - - - 28 49 47 - - 10
Customer Buy - - - 9 15 49 - - - 14 24 31 - - - 11 28 21 - - 7
Customer Sell - - - 9 17 34 - - * 17 20 21 - - - 12 21 21 - - *
Dealer to Dealer - - - * * * - - - - - * - - - 5 - 5 - - -
<= $1MM - - - 14 25 54 - - * 18 25 28 - - - 18 8 7 - - *
<= $10MM - - - 6 10 30 - - - 12 17 26 - - - 10 35 30 - - 7
> $10MM - - - - - * - - - * * - - - - - 6 10 - - -

* 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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