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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 09/16/2024 to 09/20/2024

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 97.3 96.5 91.7 85.7 85.1 99.5 101.1 3.5 3.4 6.5 4.9 6.0 3.5 *
Weighted Avg. Price 98.0 93.9 93.7 91.8 92.1 99.8 100.6 5.7 4.6 7.5 5.7 5.2 2.1 *
Avg. Price Bottom 5 Trades 85.4 86.9 80.1 73.6 63.6 85.0 89.0 1.1 2.4 4.3 2.2 4.5 2.1 *
2nd Quartile Price 97.0 96.5 86.6 76.0 72.5 97.9 99.6 2.1 2.2 5.8 2.9 6.3 2.2 *
3rd Quartile Price 98.3 97.8 90.8 84.3 90.8 102.2 102.1 3.5 3.5 7.1 5.6 6.5 4.3 *
4th Quartile Price 99.1 98.7 99.7 99.4 94.2 103.6 104.6 5.4 3.6 8.3 8.1 6.6 5.7 *
Avg. Price Top 5 Trades 100.9 99.3 101.6 99.4 99.7 106.0 107.5 5.8 4.6 9.6 8.3 6.6 4.4 *
Standard Deviation 3.2 3.6 6.9 10.9 12.3 7.0 5.1 1.8 1.9 2.2 2.7 1.2 1.8 *
VOLUME OF TRADES (000'S) 459,455.6 424,878.3 198,008.1 78,954.1 241,567.0 204,910.2 264,811.6 1,492,624.8 22,647.9 425,050.7 427,918.2 594,695.2 391,390.4 *
Customer Buy 185,904.0 192,597.8 126,837.3 37,461.7 98,286.4 141,674.4 137,554.2 722,873.0 * 162,158.3 * * * 0.0
Customer Sell 192,577.5 194,765.1 26,914.1 25,503.7 127,185.8 7,937.8 101,590.4 723,550.1 9,668.8 222,255.6 88,164.5 8,159.4 * *
Dealer to Dealer 80,974.1 37,515.4 44,256.6 15,988.6 16,094.8 55,298.0 25,666.9 46,201.7 10,615.4 40,636.8 39,040.2 511,360.2 * *
<= $1MM 39,600.5 5,283.2 7,971.0 5,504.5 10,914.1 4,527.5 1,136.0 * 5,794.3 * 0.0 * 0.0 0.0
<= $10MM 146,367.5 95,242.2 60,411.1 38,895.1 82,532.1 153,801.6 137,255.5 83,001.6 16,853.6 41,481.5 61,536.8 24,291.0 * 0.0
> $10MM 273,487.7 324,352.9 129,626.0 * * * 126,420.1 1,407,789.3 0.0 381,766.2 * * 377,157.5 *
NUMBER OF TRADES 214 58 55 41 62 46 48 42 13 22 23 23 9 *
Customer Buy 71 27 22 15 22 25 21 14 * 5 * * * 0
Customer Sell 93 19 19 10 24 9 19 12 5 8 9 7 * *
Dealer to Dealer 50 12 14 16 16 12 8 16 6 9 12 15 * *
<= $1MM 157 19 36 23 35 20 8 * 6 * 0 * 0 0
<= $10MM 48 28 13 16 25 24 33 28 7 10 19 16 * 0
> $10MM 9 11 6 * * * 7 11 0 8 * * 5 *

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 97.9 93.3 87.7 88.2 96.2 108.3 108.5
Weighted Avg. Price 98.3 93.1 86.9 88.1 98.8 108.4 108.5
Avg. Price Bottom 5 Trades 94.5 91.9 85.0 87.3 90.2 104.9 106.2
2nd Quartile Price 96.8 92.9 86.8 87.6 92.7 107.4 108.6
3rd Quartile Price 98.5 93.2 87.9 88.4 93.3 109.7 108.9
4th Quartile Price 98.9 93.8 89.5 89.5 105.5 110.5 109.2
Avg. Price Top 5 Trades 99.8 94.6 90.2 89.2 106.3 110.7 109.6
Standard Deviation 1.5 1.3 2.2 0.9 7.2 2.6 1.2
VOLUME OF TRADES (000'S) 109,616.1 45,822.0 79,002.0 31,350.6 54,614.0 34,338.7 141,669.0
Customer Buy 72,621.7 22,615.0 32,111.0 26,782.0 38,785.0 * 79,944.0
Customer Sell 34,390.3 18,807.0 46,891.0 4,568.6 15,829.0 8,647.3 48,061.0
Dealer to Dealer 2,604.0 * 0.0 0.0 0.0 17,456.0 13,664.0
<= $1MM 19,338.7 2,314.0 3,010.0 1,658.6 * 6,101.0 4,860.0
<= $10MM 78,104.4 43,508.0 * 29,692.0 53,545.0 28,237.7 112,109.0
> $10MM * 0.0 * 0.0 0.0 0.0 *
NUMBER OF TRADES 88 19 17 13 17 19 33
Customer Buy 45 7 8 8 12 * 17
Customer Sell 29 8 9 5 5 9 11
Dealer to Dealer 14 * 0 0 0 6 5
<= $1MM 60 9 9 6 * 11 8
<= $10MM 27 10 * 7 13 8 23
> $10MM * 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 98.1 91.1 105.8 0.0 * 0.0 92.5 85.0 96.9 0.0 * 0.0 72.9 * 98.7 * 0.0 88.5
Weighted Avg. Price 98.5 89.0 106.5 0.0 * 0.0 92.7 86.1 95.5 0.0 * 0.0 71.1 * 92.1 * 0.0 65.8
Avg. Price Bottom 5 Trades 93.5 85.4 99.1 0.0 * 0.0 74.4 74.3 61.2 0.0 * 0.0 10.5 * 94.7 * 0.0 55.7
2nd Quartile Price 97.3 88.7 104.5 0.0 * 0.0 91.2 83.0 102.0 0.0 * 0.0 63.3 * 101.0 * 0.0 83.1
3rd Quartile Price 98.5 92.3 106.2 0.0 * 0.0 93.8 86.8 104.5 0.0 * 0.0 76.0 * 103.5 * 0.0 102.9
4th Quartile Price 98.9 94.3 107.3 0.0 * 0.0 95.6 88.9 105.3 0.0 * 0.0 91.3 * 103.6 * 0.0 103.1
Avg. Price Top 5 Trades 99.8 96.0 111.1 0.0 * 0.0 98.5 93.6 106.6 0.0 * 0.0 98.3 * 103.6 * 0.0 103.2
Standard Deviation 1.4 4.2 3.0 0.0 * 0.0 5.6 6.7 15.3 0.0 * 0.0 22.5 * 11.8 * 0.0 26.0
VOLUME OF TRADES (000'S) 162,939.8 41,921.0 390,915.6 0.0 * 0.0 184,809.5 69,830.2 180,081.7 0.0 * 0.0 281,260.7 * 52,590.1 * 0.0 129,627.0
Customer Buy 85,607.0 25,359.5 126,254.1 0.0 * 0.0 66,033.5 30,768.1 76,729.8 0.0 * 0.0 115,518.8 * 49,590.1 * 0.0 59,055.0
Customer Sell 73,384.5 16,326.9 231,161.5 0.0 0.0 0.0 113,756.0 38,990.2 89,227.1 0.0 0.0 0.0 140,737.8 * * * 0.0 70,572.0
Dealer to Dealer 3,948.3 * 33,500.0 0.0 0.0 0.0 5,020.0 * 14,124.8 0.0 0.0 0.0 25,004.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 22,292.4 3,996.0 5,320.0 0.0 0.0 0.0 8,255.5 4,468.7 13,937.3 0.0 0.0 0.0 8,046.9 0.0 * 0.0 0.0 9,472.0
<= $10MM 140,647.3 37,925.0 173,105.5 0.0 * 0.0 160,554.0 65,361.6 145,144.4 0.0 0.0 0.0 213,056.8 * 17,750.0 0.0 0.0 17,196.0
> $10MM 0.0 0.0 212,490.1 0.0 0.0 0.0 * 0.0 * 0.0 * 0.0 60,157.0 0.0 * * 0.0 102,959.0
NUMBER OF TRADES 113 21 68 0 * 0 83 29 56 0 * 0 90 * 9 * 0 24
Customer Buy 43 10 30 0 * 0 37 13 22 0 * 0 43 * 7 * 0 10
Customer Sell 61 9 30 0 0 0 41 15 27 0 0 0 39 * * * 0 14
Dealer to Dealer 9 * 8 0 0 0 5 * 7 0 0 0 8 0 0 0 0 0
<= $1MM 73 12 18 0 0 0 30 13 23 0 0 0 26 0 * 0 0 12
<= $10MM 40 9 40 0 * 0 52 16 31 0 0 0 59 * 5 0 0 6
> $10MM 0 0 10 0 0 0 * 0 * 0 * 0 5 0 * * 0 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 * 0.0 0.0 96.1 96.2 100.8 0.0 * 0.0 87.4 95.1 100.4 0.0 0.0 0.0 78.7 90.5 101.4 * * *
Weighted Avg. Price * 0.0 0.0 96.0 93.4 101.1 0.0 * 0.0 84.4 94.8 100.9 0.0 0.0 0.0 86.7 86.7 102.8 * * *
Avg. Price Bottom 5 Trades * 0.0 0.0 90.4 83.6 95.3 0.0 * 0.0 77.0 80.0 95.4 0.0 0.0 0.0 42.9 44.9 94.9 * * *
2nd Quartile Price * 0.0 0.0 95.6 95.0 99.8 0.0 * 0.0 83.1 93.0 99.8 0.0 0.0 0.0 71.9 89.5 99.6 * * *
3rd Quartile Price * 0.0 0.0 97.0 98.0 100.1 0.0 * 0.0 87.6 96.6 100.2 0.0 0.0 0.0 85.3 98.3 101.2 * * *
4th Quartile Price * 0.0 0.0 98.3 99.1 101.3 0.0 * 0.0 92.3 99.2 101.7 0.0 0.0 0.0 97.6 99.2 104.6 * * *
Avg. Price Top 5 Trades * 0.0 0.0 99.9 99.9 106.6 0.0 * 0.0 98.6 99.9 105.1 0.0 0.0 0.0 99.3 100.0 107.6 * * *
Standard Deviation * 0.0 0.0 3.5 4.1 2.5 0.0 * 0.0 9.0 5.2 2.6 0.0 0.0 0.0 21.1 15.5 3.5 * * *
VOLUME OF TRADES (000'S) * 0.0 0.0 102,741.3 519,768.9 699,884.6 0.0 * 0.0 141,212.3 254,049.9 154,231.3 0.0 0.0 0.0 86,199.5 211,629.4 131,410.7 * * *
Customer Buy * 0.0 0.0 35,679.1 238,945.3 311,475.1 0.0 * 0.0 61,581.6 127,790.7 60,028.1 0.0 0.0 0.0 40,314.1 92,217.2 65,881.3 * * *
Customer Sell * 0.0 0.0 67,062.2 272,248.0 363,505.6 0.0 * 0.0 76,153.7 125,759.3 85,548.3 0.0 0.0 0.0 43,506.7 119,206.5 49,469.3 * * *
Dealer to Dealer 0.0 0.0 0.0 0.0 8,575.5 24,903.9 0.0 0.0 0.0 * * 8,655.0 0.0 0.0 0.0 * * 16,060.0 0.0 0.0 0.0
<= $1MM * 0.0 0.0 4,128.6 18,287.9 26,498.0 0.0 0.0 0.0 2,098.0 14,392.0 9,721.2 0.0 0.0 0.0 3,092.0 6,694.0 13,800.0 * 0.0 0.0
<= $10MM 0.0 0.0 0.0 74,274.3 222,042.0 225,715.3 0.0 0.0 0.0 73,714.3 185,484.7 144,510.1 0.0 0.0 0.0 55,107.5 159,737.3 101,870.7 * * 0.0
> $10MM 0.0 0.0 0.0 * 279,439.0 447,671.2 0.0 * 0.0 * 54,173.2 0.0 0.0 0.0 0.0 * * * 0.0 0.0 *
NUMBER OF TRADES * 0 0 30 139 166 0 * 0 28 95 73 0 0 0 41 74 54 * * *
Customer Buy * 0 0 15 56 52 0 * 0 11 42 24 0 0 0 22 35 24 * * *
Customer Sell * 0 0 15 73 85 0 * 0 16 52 40 0 0 0 16 37 23 * * *
Dealer to Dealer 0 0 0 0 10 29 0 0 0 * * 9 0 0 0 * * 7 0 0 0
<= $1MM * 0 0 10 65 100 0 0 0 8 35 35 0 0 0 18 19 18 * 0 0
<= $10MM 0 0 0 18 62 50 0 0 0 16 55 38 0 0 0 21 52 35 * * 0
> $10MM 0 0 0 * 12 16 0 * 0 * 5 0 0 0 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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