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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 CBO/CDO/CLO

Weekly CMBS data from 12/09/2024 to 12/13/2024

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 95.4 93.7 86.7 86.1 81.9 93.5 98.2 2.0 21.6 7.9 5.9 5.1 * 51.8
Weighted Avg. Price 96.6 93.9 85.5 91.1 84.6 92.4 99.2 2.1 7.6 7.4 6.1 5.9 * 4.5
Avg. Price Bottom 5 Trades 69.0 82.6 72.3 67.0 52.9 74.3 83.7 1.1 1.7 3.7 2.8 3.6 * 42.1
2nd Quartile Price 95.3 91.8 83.8 80.5 78.0 88.7 96.6 1.2 1.6 6.3 6.0 4.2 * 4.9
3rd Quartile Price 97.3 94.6 86.3 90.5 87.6 98.2 99.9 2.7 4.5 8.9 6.2 6.5 * 100.3
4th Quartile Price 98.1 96.8 90.4 93.0 92.8 100.8 100.8 3.4 71.5 10.2 7.0 6.6 * 100.4
Avg. Price Top 5 Trades 100.1 99.6 99.9 98.8 97.9 102.0 103.7 2.9 30.2 10.9 7.8 6.5 * 61.6
Standard Deviation 5.7 4.6 6.8 10.4 14.6 9.4 4.8 1.2 34.0 2.7 1.7 1.9 * 53.1
VOLUME OF TRADES (000'S) 995,013.7 200,479.9 574,101.6 289,132.6 490,475.1 536,872.3 2,050,004.3 49,049.4 544,861.0 155,985.9 2,112,987.1 1,315,200.2 * 131,116.9
Customer Buy 364,664.6 82,198.2 216,014.0 65,336.3 255,705.4 248,171.2 1,143,536.4 * * 78,181.3 840,194.4 * - *
Customer Sell 543,808.5 94,673.6 301,074.7 161,018.7 188,364.7 260,444.8 571,274.4 29,404.0 * 75,297.3 1,272,792.7 950,017.3 * *
Dealer to Dealer 86,540.6 23,608.1 57,012.8 62,777.5 46,404.9 28,256.3 335,193.4 - - * - - - -
<= $1MM 41,256.4 14,767.7 10,507.2 11,674.4 5,340.6 11,412.0 4,461.8 * - * - * - *
<= $10MM 322,695.7 65,223.7 60,215.5 52,545.7 53,026.8 88,407.3 147,462.7 36,456.7 * 82,015.8 51,694.3 - * *
> $10MM 631,061.6 120,488.6 503,378.9 224,912.5 432,107.6 437,053.0 1,898,079.8 * * * 2,061,292.8 1,314,442.6 - *
NUMBER OF TRADES 302 71 98 52 45 62 93 9 7 27 27 10 * 6
Customer Buy 109 23 25 18 20 28 51 * * 9 6 * - *
Customer Sell 146 38 58 22 19 26 23 7 * 17 21 7 * *
Dealer to Dealer 47 10 15 12 6 8 19 - - * - - - -
<= $1MM 179 41 56 28 21 23 12 * - * - * - *
<= $10MM 101 23 33 15 13 23 31 7 * 19 10 - * *
> $10MM 22 7 9 9 11 16 50 * * * 17 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 97.4 92.5 86.7 86.1 96.2 107.2 104.0
Weighted Avg. Price 97.6 93.2 87.8 85.9 100.2 107.9 104.0
Avg. Price Bottom 5 Trades 93.4 89.8 82.3 84.8 92.8 104.6 102.1
2nd Quartile Price 96.3 90.8 85.6 85.5 96.5 106.8 102.9
3rd Quartile Price 97.4 92.2 87.3 86.2 97.4 107.5 103.9
4th Quartile Price 98.9 95.0 87.8 87.2 101.5 107.8 105.7
Avg. Price Top 5 Trades 99.6 95.7 90.4 87.4 99.7 109.2 106.0
Standard Deviation 1.6 2.1 2.3 1.2 5.0 2.5 1.5
VOLUME OF TRADES (000'S) 479,405.5 63,386.7 121,794.0 64,484.0 24,475.0 27,073.0 77,730.1
Customer Buy 238,422.1 21,126.9 22,060.0 9,740.0 * * 38,120.0
Customer Sell 221,476.4 38,529.8 56,724.0 42,680.0 5,525.0 24,043.0 38,570.1
Dealer to Dealer 19,507.0 3,730.0 43,010.0 12,064.0 * * *
<= $1MM 49,258.3 9,103.8 7,355.0 1,058.0 1,705.0 4,333.0 1,780.0
<= $10MM 394,144.2 54,282.9 103,009.0 63,426.0 * 22,740.0 75,950.1
> $10MM * - * - - - -
NUMBER OF TRADES 220 38 48 21 9 18 26
Customer Buy 82 13 7 5 * * 10
Customer Sell 115 20 22 10 5 14 14
Dealer to Dealer 23 5 19 6 * * *
<= $1MM 101 20 18 5 6 12 6
<= $10MM 116 18 29 16 * 6 20
> $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 96.8 89.3 103.2 1.4 5.3 5.0 88.1 79.5 95.9 - - * 74.4 43.5 96.8 - - -
Weighted Avg. Price 97.7 89.3 103.5 1.0 4.8 5.3 91.1 80.7 95.8 - - * 71.6 48.2 100.3 - - -
Avg. Price Bottom 5 Trades 89.3 76.1 98.3 1.0 3.3 4.7 63.6 72.9 77.5 - - * 13.7 34.6 88.1 - - -
2nd Quartile Price 95.8 87.0 102.1 1.0 4.8 5.0 85.5 79.3 88.4 - - * 72.0 43.0 97.9 - - -
3rd Quartile Price 97.9 90.1 103.7 1.6 5.6 5.1 90.0 81.1 102.9 - - * 80.3 45.1 102.7 - - -
4th Quartile Price 98.7 91.9 104.5 1.6 5.8 6.2 95.3 84.8 104.9 - - * 87.1 88.5 103.3 - - -
Avg. Price Top 5 Trades 99.5 98.0 106.3 1.6 6.4 5.5 98.7 85.2 106.0 - - * 96.0 48.3 103.6 - - -
Standard Deviation 2.8 5.9 2.2 0.3 1.0 1.4 8.8 5.7 10.3 - - * 19.6 25.0 8.2 - - -
VOLUME OF TRADES (000'S) 199,828.2 194,200.3 200,875.1 348,474.5 361,949.8 49,831.3 104,018.4 76,896.6 97,247.0 - - * 273,822.5 8,952.0 34,338.0 - - -
Customer Buy 90,849.3 90,890.4 100,031.4 * 286,707.3 * 49,725.0 39,230.8 42,986.0 - - * 117,925.4 * 27,266.0 - - -
Customer Sell 103,168.8 103,309.9 99,543.7 * 31,746.0 * 45,346.4 37,665.8 51,501.0 - - * 134,630.2 * * - - -
Dealer to Dealer 5,810.2 - * * 43,496.5 * 8,947.0 - 2,760.0 - - - 21,267.0 * * - - -
<= $1MM 35,397.5 8,413.5 8,054.6 - - - 17,214.8 * 4,895.0 - - - 12,386.3 * * - - -
<= $10MM 164,430.7 83,757.0 84,240.4 12,867.7 104,500.9 49,831.3 86,803.6 61,831.6 92,352.0 - - - 208,756.2 * 34,039.2 - - -
> $10MM - 102,029.8 108,580.0 335,606.8 * - - * - - - * * - - - - -
NUMBER OF TRADES 149 53 55 11 40 8 90 19 43 - - * 98 6 13 - - -
Customer Buy 46 32 25 * 13 * 30 11 17 - - * 42 * 9 - - -
Customer Sell 88 21 28 * 12 * 40 8 19 - - * 47 * * - - -
Dealer to Dealer 15 - * * 15 * 20 - 7 - - - 9 * * - - -
<= $1MM 100 17 27 - - - 63 * 14 - - - 41 * * - - -
<= $10MM 49 29 22 6 36 8 27 14 29 - - - 53 * 11 - - -
> $10MM - 7 6 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 * - - 95.7 97.5 99.9 - - - 88.6 93.3 97.9 - - - 72.5 87.4 99.4 - * -
Weighted Avg. Price * - - 95.8 97.9 99.8 - - - 87.0 93.8 96.8 - - - 72.8 89.6 95.3 - * -
Avg. Price Bottom 5 Trades * - - 87.0 86.7 89.6 - - - 74.1 76.3 73.0 - - - 25.4 36.7 75.8 - * -
2nd Quartile Price * - - 94.8 96.0 99.8 - - - 82.1 89.6 98.0 - - - 55.0 82.3 99.9 - * -
3rd Quartile Price * - - 97.4 99.1 100.3 - - - 90.6 94.9 100.3 - - - 83.5 96.3 100.4 - * -
4th Quartile Price * - - 99.0 99.8 100.6 - - - 97.0 99.1 100.9 - - - 93.8 99.6 102.1 - * -
Avg. Price Top 5 Trades * - - 99.5 100.3 105.0 - - - 99.2 100.1 103.6 - - - 99.5 100.5 108.2 - * -
Standard Deviation * - - 4.3 3.3 2.7 - - - 8.9 6.5 7.0 - - - 24.9 17.4 6.5 - * -
VOLUME OF TRADES (000'S) * - - 84,545.8 278,277.7 682,741.0 - - - 159,145.5 403,291.7 256,280.2 - - - 279,197.3 619,250.2 627,743.9 - * -
Customer Buy * - - 25,811.8 149,088.0 337,315.6 - - - 77,030.0 167,052.3 118,527.2 - - - 133,993.2 273,066.3 309,641.6 - - -
Customer Sell * - - 46,489.4 122,530.4 296,191.3 - - - 80,540.5 187,702.6 130,052.2 - - - 127,635.8 323,377.9 301,443.4 - * -
Dealer to Dealer - - - 12,244.6 6,659.3 49,234.1 - - - * 48,536.8 7,700.9 - - - 17,568.4 22,806.0 16,658.8 - - -
<= $1MM * - - 7,669.0 27,115.5 39,908.6 - - - 3,005.5 37,018.8 20,101.8 - - - 15,456.5 23,550.7 18,809.3 - - -
<= $10MM - - - 45,867.8 199,681.3 417,226.2 - - - 106,365.0 268,980.9 185,189.5 - - - 206,230.8 424,280.3 308,277.4 - * -
> $10MM - - - * * 225,606.1 - - - * 97,292.0 * - - - * 171,419.2 300,657.2 - * -
NUMBER OF TRADES * - - 31 123 241 - - - 38 159 109 - - - 86 161 149 - * -
Customer Buy * - - 6 54 103 - - - 18 68 43 - - - 37 69 70 - - -
Customer Sell * - - 19 61 114 - - - 19 67 58 - - - 35 73 70 - * -
Dealer to Dealer - - - 6 8 24 - - - * 24 8 - - - 14 19 9 - - -
<= $1MM * - - 16 64 117 - - - 9 70 46 - - - 31 38 39 - - -
<= $10MM - - - 13 55 111 - - - 26 84 59 - - - 51 113 92 - * -
> $10MM - - - * * 13 - - - * 5 * - - - * 10 18 - * -

* 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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