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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 12/23/2024 to 12/27/2024

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 96.3 93.1 89.2 88.1 89.8 98.5 97.7 * 4.2 6.3 * - 1.9 -
Weighted Avg. Price 96.1 91.5 98.9 93.1 89.9 98.7 97.2 * 1.8 6.2 * - 1.8 -
Avg. Price Bottom 5 Trades 87.5 85.4 76.6 72.3 83.5 97.1 94.1 * 1.9 6.2 * - 1.9 -
2nd Quartile Price 95.9 91.3 82.9 76.8 88.0 99.9 96.5 * 1.6 6.3 * - * -
3rd Quartile Price 96.8 94.1 89.4 96.5 89.7 100.2 98.1 * 2.6 6.5 * - * -
4th Quartile Price 97.7 96.2 99.7 99.2 92.4 100.6 99.4 * 4.4 6.6 * - * -
Avg. Price Top 5 Trades 99.3 97.7 99.8 98.8 96.8 100.4 101.9 * 6.4 6.4 * - 1.9 -
Standard Deviation 2.7 4.5 9.2 11.9 4.8 3.7 3.3 * 6.1 0.3 * - 0.3 -
VOLUME OF TRADES (000'S) 133,579.0 23,255.8 21,043.6 40,781.4 70,815.4 26,218.8 24,784.5 * 101,950.8 224,094.2 * - 348,083.6 -
Customer Buy 93,109.5 18,833.1 5,067.0 17,568.4 29,664.4 17,120.9 14,124.2 * * * * - * -
Customer Sell 13,800.2 3,417.5 5,806.9 * * * 71.0 * 57,549.4 * - - * -
Dealer to Dealer 26,669.3 * 10,169.6 18,983.7 29,127.9 * 10,589.2 - - - - - - -
<= $1MM 7,619.8 10,775.4 766.9 1,835.8 4,121.3 3,621.8 1,554.0 * * - - - - -
<= $10MM 100,959.2 * 20,276.6 38,945.5 66,694.1 * 23,230.5 * * * * - - -
> $10MM * - - - - * - - * 216,854.8 * - 348,083.6 -
NUMBER OF TRADES 94 28 30 20 24 10 28 * 9 7 * - 6 -
Customer Buy 39 14 9 11 12 5 9 * * * * - * -
Customer Sell 29 11 11 * * * 9 * 7 * - - * -
Dealer to Dealer 26 * 10 6 9 * 10 - - - - - - -
<= $1MM 56 25 20 11 12 6 22 * * - - - - -
<= $10MM 37 * 10 9 12 * 6 * * * * - - -
> $10MM * - - - - * - - * 6 * - 6 -

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 96.9 * * 84.5 92.8 103.4 100.9
Weighted Avg. Price 97.2 * * 84.5 94.8 105.2 101.3
Avg. Price Bottom 5 Trades 94.5 * * 84.3 92.8 103.0 99.6
2nd Quartile Price 95.9 * * 84.4 * 104.8 100.4
3rd Quartile Price 96.6 * * 84.6 * 105.5 100.8
4th Quartile Price 98.7 * * 84.7 * 105.6 103.3
Avg. Price Top 5 Trades 99.2 * * 84.7 92.8 104.2 102.2
Standard Deviation 1.8 * * 0.4 7.2 3.0 1.8
VOLUME OF TRADES (000'S) 40,770.6 * * 15,238.9 4,020.0 8,409.0 44,631.1
Customer Buy 16,737.0 * * * * 8,409.0 44,041.1
Customer Sell 24,033.6 * * 11,218.9 * - *
Dealer to Dealer - - - - - - -
<= $1MM 5,131.1 - * * * 909.0 2,366.0
<= $10MM 24,951.0 * * 12,618.9 * * *
> $10MM * - - - - - *
NUMBER OF TRADES 25 * * 9 5 6 10
Customer Buy 10 * * * * 6 9
Customer Sell 15 * * 6 * - *
Dealer to Dealer - - - - - - -
<= $1MM 18 - * * * 5 5
<= $10MM 6 * * 5 * * *
> $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 89.5 103.0 - - - 86.8 * * - - - 48.2 * - - - -
Weighted Avg. Price 97.2 87.0 104.2 - - - 94.6 * * - - - 22.6 * - - - -
Avg. Price Bottom 5 Trades 93.9 86.6 99.1 - - - 80.5 * * - - - 8.7 * - - - -
2nd Quartile Price 96.0 84.9 102.6 - - - 81.0 * * - - - 40.0 * - - - -
3rd Quartile Price 98.0 93.1 104.1 - - - 89.8 * * - - - 50.0 * - - - -
4th Quartile Price 99.1 97.8 104.8 - - - 92.0 * * - - - 70.5 * - - - -
Avg. Price Top 5 Trades 99.2 92.0 105.6 - - - 94.5 * * - - - 85.7 * - - - -
Standard Deviation 2.3 6.0 3.0 - - - 6.6 * * - - - 30.2 * - - - -
VOLUME OF TRADES (000'S) 20,689.1 2,720.2 13,693.1 - - - 31,310.9 * * - - - 69,105.1 * - - - -
Customer Buy 8,591.8 2,720.2 7,196.3 - - - 18,762.9 * * - - - 32,949.6 * - - - -
Customer Sell 12,097.2 - 6,496.8 - - - * - * - - - 36,095.5 * - - - -
Dealer to Dealer - - - - - - * - - - - - * - - - - -
<= $1MM 2,023.8 970.2 2,298.1 - - - 290.9 * * - - - 1,940.3 * - - - -
<= $10MM 18,665.3 * 11,395.0 - - - * - * - - - 27,284.7 * - - - -
> $10MM - - - - - - * - - - - - * - - - - -
NUMBER OF TRADES 19 7 19 - - - 16 * * - - - 22 * - - - -
Customer Buy 10 7 12 - - - 13 * * - - - 7 * - - - -
Customer Sell 9 - 7 - - - * - * - - - 13 * - - - -
Dealer to Dealer - - - - - - * - - - - - * - - - - -
<= $1MM 12 6 12 - - - 10 * * - - - 11 * - - - -
<= $10MM 7 * 7 - - - * - * - - - 9 * - - - -
> $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 - - - 97.5 95.8 100.2 - - - * 98.1 100.5 - - - 55.3 79.4 102.1 - - -
Weighted Avg. Price - - - 97.9 96.4 100.3 - - - * 99.0 100.0 - - - 59.5 63.3 102.8 - - -
Avg. Price Bottom 5 Trades - - - 97.1 89.3 98.9 - - - * 95.1 99.8 - - - 20.4 58.1 101.1 - - -
2nd Quartile Price - - - 98.6 99.3 100.0 - - - * 97.1 100.1 - - - 33.5 95.4 100.7 - - -
3rd Quartile Price - - - 98.7 99.8 100.4 - - - * 99.5 100.3 - - - 62.4 96.3 101.9 - - -
4th Quartile Price - - - 99.2 99.9 100.6 - - - * 99.8 101.1 - - - 90.0 97.8 107.4 - - -
Avg. Price Top 5 Trades - - - 98.7 99.9 101.1 - - - * 100.0 101.1 - - - 95.9 97.3 102.8 - - -
Standard Deviation - - - 2.9 7.5 0.8 - - - * 2.9 1.3 - - - 33.9 31.2 2.4 - - -
VOLUME OF TRADES (000'S) - - - 20,384.9 17,391.7 59,821.4 - - - * 35,950.7 9,688.0 - - - 58,646.9 25,800.0 15,385.0 - - -
Customer Buy - - - * 12,024.4 16,425.6 - - - * 16,718.4 7,550.0 - - - 31,393.5 * * - - -
Customer Sell - - - * 5,367.3 43,395.8 - - - - 19,232.3 * - - - 27,253.5 20,615.0 * - - -
Dealer to Dealer - - - * - - - - - - - - - - - - - * - - -
<= $1MM - - - - 4,369.7 8,364.2 - - - - 2,572.4 * - - - 1,424.1 600.0 * - - -
<= $10MM - - - 20,384.9 13,022.0 26,055.2 - - - * 21,878.3 * - - - 57,222.8 * 15,210.0 - - -
> $10MM - - - - - * - - - - * - - - - - * - - - -
NUMBER OF TRADES - - - 6 13 30 - - - * 18 8 - - - 36 11 7 - - -
Customer Buy - - - * 8 19 - - - * 9 6 - - - 17 * * - - -
Customer Sell - - - * 5 11 - - - - 9 * - - - 19 9 * - - -
Dealer to Dealer - - - * - - - - - - - - - - - - - * - - -
<= $1MM - - - - 6 22 - - - - 11 * - - - 19 6 * - - -
<= $10MM - - - 6 7 7 - - - * 6 * - - - 17 * 5 - - -
> $10MM - - - - - * - - - - * - - - - - * - - - -

* 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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