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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 10/28/2024 to 11/01/2024

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 97.1 94.0 87.9 86.9 80.2 97.8 98.5 20.6 2.7 5.9 3.3 3.2 * *
Weighted Avg. Price 97.1 95.4 91.3 89.7 90.1 97.7 99.4 15.4 2.0 4.7 2.8 2.0 * *
Avg. Price Bottom 5 Trades 90.6 89.7 72.7 73.0 45.7 85.8 84.6 1.8 0.8 4.5 1.3 2.6 * *
2nd Quartile Price 96.7 91.4 84.6 74.8 69.3 96.4 97.7 3.9 0.6 4.7 1.5 2.1 * *
3rd Quartile Price 97.8 93.8 89.2 90.3 89.6 98.9 100.0 5.3 3.9 6.7 2.8 4.9 * *
4th Quartile Price 98.4 96.5 92.3 99.1 93.9 100.7 102.1 82.8 5.3 7.3 5.5 6.3 * *
Avg. Price Top 5 Trades 99.5 99.2 99.9 99.2 94.2 101.8 103.4 36.1 4.5 7.2 6.1 3.6 * *
Standard Deviation 2.1 3.2 7.5 11.1 17.6 4.8 5.4 35.4 2.2 1.3 2.8 1.9 * *
VOLUME OF TRADES (000'S) 673,872.7 155,352.1 816,547.2 376,264.6 413,644.1 280,821.3 975,575.3 98,377.0 773,534.5 302,020.8 662,457.0 126,454.3 * *
Customer Buy 228,480.8 62,108.5 157,747.2 105,002.5 177,552.7 130,337.0 287,486.8 65,615.5 413,147.9 254,642.4 327,958.0 - - *
Customer Sell 374,979.9 70,976.1 518,302.2 268,641.9 162,190.2 113,463.9 373,130.9 * 360,386.6 * 334,499.0 126,454.3 * *
Dealer to Dealer 70,412.1 22,267.4 140,497.8 * 73,901.2 37,020.4 314,957.5 - - - - - - -
<= $1MM 37,034.9 5,165.0 3,764.4 3,995.5 2,642.9 7,833.3 16,830.8 - - * - * - -
<= $10MM 250,724.8 44,272.2 43,432.8 36,294.1 83,133.4 92,894.5 187,518.1 31,393.7 * * 17,874.0 * - -
> $10MM 386,113.0 105,914.8 769,350.0 335,974.9 327,867.9 180,093.5 771,226.4 * 768,570.5 292,320.1 644,583.0 * * *
NUMBER OF TRADES 201 46 57 21 35 63 94 9 10 12 14 6 * *
Customer Buy 83 18 18 13 16 33 48 6 5 8 5 - - *
Customer Sell 89 19 27 6 12 23 23 * 5 * 9 6 * *
Dealer to Dealer 29 9 12 * 7 7 23 - - - - - - -
<= $1MM 117 26 43 8 9 28 27 - - * - * - -
<= $10MM 67 12 9 8 16 28 39 6 * * 5 * - -
> $10MM 17 8 5 5 10 7 28 * 9 8 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 97.2 91.7 85.8 84.7 94.8 105.6 102.8
Weighted Avg. Price 97.1 91.5 84.2 85.0 95.7 105.8 103.5
Avg. Price Bottom 5 Trades 94.2 89.0 82.5 82.4 90.0 105.0 99.6
2nd Quartile Price 96.3 90.5 83.2 84.3 90.1 106.4 100.8
3rd Quartile Price 97.3 91.3 85.6 85.0 95.2 106.5 103.6
4th Quartile Price 98.5 92.0 89.1 86.0 104.7 106.6 104.7
Avg. Price Top 5 Trades 99.2 95.8 89.8 86.5 101.1 106.5 105.4
Standard Deviation 1.3 2.3 2.8 1.4 5.8 2.0 2.2
VOLUME OF TRADES (000'S) 226,294.5 85,781.0 198,012.3 51,779.0 96,860.9 26,430.0 79,875.0
Customer Buy 65,304.8 25,436.0 93,362.0 * 62,311.9 * 28,500.0
Customer Sell 159,484.7 60,325.0 104,650.3 44,844.0 34,549.0 25,430.0 51,375.0
Dealer to Dealer 1,505.0 * - * - - -
<= $1MM 22,998.6 4,440.0 5,621.0 5,347.0 * 2,250.0 4,398.0
<= $10MM 170,495.9 41,563.0 53,206.3 32,932.0 30,464.0 * 60,777.0
> $10MM * * 139,185.0 * * * *
NUMBER OF TRADES 107 28 33 25 14 8 27
Customer Buy 29 8 10 * 6 * 12
Customer Sell 73 18 23 19 8 7 15
Dealer to Dealer 5 * - * - - -
<= $1MM 68 14 16 13 * 5 11
<= $10MM 37 12 11 11 7 * 15
> $10MM * * 6 * * * *

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 97.2 91.4 102.9 1.4 5.7 * 89.3 79.7 94.7 * - - 80.1 * 90.0 * - -
Weighted Avg. Price 96.6 90.0 102.5 1.5 5.9 * 89.1 79.4 93.7 * - - 82.1 * 80.1 * - -
Avg. Price Bottom 5 Trades 94.3 79.6 97.4 0.7 5.6 * 64.6 65.1 80.0 * - - 41.0 * 79.5 * - -
2nd Quartile Price 95.9 90.6 101.5 1.1 5.6 * 85.5 76.3 85.6 * - - 74.5 * 100.1 * - -
3rd Quartile Price 97.3 93.9 103.0 1.8 5.8 * 90.8 81.3 101.0 * - - 85.8 * 102.2 * - -
4th Quartile Price 98.7 96.0 104.5 2.0 5.9 * 94.8 84.5 103.4 * - - 90.2 * 103.0 * - -
Avg. Price Top 5 Trades 99.5 97.0 107.1 1.9 5.8 * 99.1 87.0 104.1 * - - 97.0 * 102.6 * - -
Standard Deviation 1.6 6.7 2.2 0.7 0.3 * 7.9 6.8 9.9 * - - 14.7 * 20.8 * - -
VOLUME OF TRADES (000'S) 294,850.2 40,728.6 499,033.4 294,866.4 206,586.8 * 188,146.1 126,754.6 69,028.0 * - - 300,376.4 * 73,239.0 * - -
Customer Buy 112,494.8 26,669.0 210,545.7 * * * 84,440.2 64,285.0 36,039.0 - - - 138,771.4 * * - - -
Customer Sell 176,795.4 14,008.1 287,717.7 202,755.9 * * 83,756.0 61,995.5 32,589.0 * - - 148,949.6 * 58,482.0 * - -
Dealer to Dealer * * * * * - 19,949.9 * * - - - 12,655.4 * - - - -
<= $1MM 15,558.1 4,830.6 19,545.9 * - - 15,413.5 7,625.1 4,830.0 * - - 16,070.5 * * - - -
<= $10MM 164,751.9 35,898.0 261,187.5 * * * 162,346.4 119,129.5 64,198.0 - - - 258,304.3 - 28,725.0 * - -
> $10MM 114,540.1 - 218,300.0 287,846.3 * * * - - * - - * - * - - -
NUMBER OF TRADES 88 33 99 11 7 * 112 48 33 * - - 113 * 11 * - -
Customer Buy 32 18 45 * * * 50 23 16 - - - 48 * * - - -
Customer Sell 53 14 52 7 * * 48 22 15 * - - 54 * 8 * - -
Dealer to Dealer * * * * * - 14 * * - - - 11 * - - - -
<= $1MM 45 19 37 * - - 62 17 9 * - - 43 * * - - -
<= $10MM 35 14 49 * * * 49 31 24 - - - 68 - 5 * - -
> $10MM 8 - 13 6 * * * - - * - - * - * - - -

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 * - - 96.3 94.9 100.1 - - - 90.9 95.4 99.3 - - - 71.5 90.8 100.4 - * -
Weighted Avg. Price * - - 97.3 94.6 99.8 - - - 88.6 95.0 98.1 - - - 68.8 89.8 100.5 - * -
Avg. Price Bottom 5 Trades * - - 91.0 83.4 95.4 - - - 79.4 88.7 94.9 - - - 18.2 50.8 94.2 - * -
2nd Quartile Price * - - 94.9 90.7 99.8 - - - 89.5 91.7 97.4 - - - 60.7 93.3 99.7 - * -
3rd Quartile Price * - - 97.0 96.4 100.3 - - - 94.8 96.1 99.9 - - - 86.3 94.3 100.1 - * -
4th Quartile Price * - - 98.8 99.4 100.6 - - - 96.3 99.3 101.1 - - - 91.1 99.3 101.4 - * -
Avg. Price Top 5 Trades * - - 99.8 100.0 103.8 - - - 98.6 99.9 104.4 - - - 96.2 100.4 106.9 - * -
Standard Deviation * - - 3.4 4.9 1.8 - - - 7.9 3.9 2.7 - - - 26.6 14.5 2.9 - * -
VOLUME OF TRADES (000'S) * - - 75,039.0 357,841.8 459,861.5 - - - 50,392.7 232,411.0 174,031.6 - - - 168,239.4 359,753.5 173,611.0 - * -
Customer Buy * - - 38,907.2 153,599.6 153,733.4 - - - 16,791.9 73,970.7 57,960.0 - - - 73,034.4 161,956.2 85,423.0 - * -
Customer Sell - - - 36,131.8 182,210.7 258,783.9 - - - 33,600.8 141,381.5 88,964.6 - - - 86,395.0 163,557.4 78,188.0 - * -
Dealer to Dealer - - - - 22,031.5 47,344.2 - - - - * * - - - * 34,240.0 * - - -
<= $1MM - - - 6,315.0 33,007.4 29,714.3 - - - 3,580.0 13,992.5 20,720.6 - - - 10,270.9 10,123.5 11,605.0 - - -
<= $10MM * - - 68,724.0 244,390.5 232,688.3 - - - 46,812.7 183,810.5 111,305.0 - - - 103,007.7 261,630.0 124,156.0 - * -
> $10MM - - - - 80,444.0 197,458.9 - - - - * * - - - * 88,000.0 * - - -
NUMBER OF TRADES * - - 33 151 145 - - - 26 69 69 - - - 49 80 61 - * -
Customer Buy * - - 14 61 51 - - - 8 28 28 - - - 24 35 27 - * -
Customer Sell - - - 19 84 85 - - - 18 37 38 - - - 22 40 32 - * -
Dealer to Dealer - - - - 6 9 - - - - * * - - - * 5 * - - -
<= $1MM - - - 18 78 73 - - - 8 25 36 - - - 20 16 25 - - -
<= $10MM * - - 15 67 62 - - - 18 42 30 - - - 25 58 33 - * -
> $10MM - - - - 6 10 - - - - * * - - - * 6 * - - -

* 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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