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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 10/21/2024 to 10/25/2024

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 95.3 95.5 88.7 81.3 80.7 98.3 100.3 2.9 4.9 6.4 5.9 7.8 9.9 -
Weighted Avg. Price 96.6 94.3 93.7 87.7 88.7 97.8 101.5 3.1 6.1 5.9 6.6 4.2 4.9 -
Avg. Price Bottom 5 Trades 80.7 89.5 71.2 68.6 47.7 89.1 88.5 1.4 3.7 4.0 3.2 5.8 2.5 -
2nd Quartile Price 93.4 93.4 84.3 73.5 81.7 96.3 99.6 2.5 5.2 4.5 3.6 2.3 3.3 -
3rd Quartile Price 97.4 96.4 89.3 78.2 89.1 99.2 100.7 3.4 6.0 6.7 7.8 17.9 4.9 -
4th Quartile Price 98.3 97.7 99.8 90.9 92.2 101.4 102.9 3.6 6.3 8.3 8.8 18.0 36.2 -
Avg. Price Top 5 Trades 99.6 100.0 100.0 99.4 96.3 102.3 103.9 4.1 6.2 8.9 8.6 9.0 17.3 -
Standard Deviation 4.5 3.1 9.2 10.7 16.6 4.1 4.3 1.0 2.0 2.0 3.3 7.9 13.9 -
VOLUME OF TRADES (000'S) 353,736.9 263,842.5 181,781.2 145,372.2 221,730.0 372,063.5 1,144,944.4 444,137.0 99,910.4 617,723.5 491,488.8 101,133.5 1,039,191.2 -
Customer Buy 184,824.4 175,406.4 94,909.5 52,794.6 90,727.8 91,343.6 424,159.6 80,709.8 * * * * * -
Customer Sell 96,172.2 15,790.8 42,286.8 16,790.2 110,124.1 205,517.3 594,355.7 363,427.3 98,832.2 451,583.9 398,819.5 94,133.5 229,597.1 -
Dealer to Dealer 72,740.4 72,645.3 44,584.9 75,787.4 20,878.1 75,202.7 126,429.1 - - - - - * -
<= $1MM 32,422.9 8,045.6 4,189.8 3,982.4 5,560.1 13,058.2 5,591.0 1,934.3 * * - - - -
<= $10MM 173,079.8 107,983.7 111,474.1 85,129.9 70,076.4 148,978.5 223,305.6 10,991.7 * * * * * -
> $10MM 148,234.2 147,813.2 * * 146,093.5 210,026.8 916,047.8 431,211.0 * 604,709.8 471,771.6 * 1,016,191.6 -
NUMBER OF TRADES 223 59 62 44 38 63 85 26 9 19 10 6 10 -
Customer Buy 99 37 31 14 18 25 43 20 * * * * * -
Customer Sell 73 13 17 18 15 23 28 6 7 15 9 5 5 -
Dealer to Dealer 51 9 14 12 5 15 14 - - - - - * -
<= $1MM 160 19 32 22 14 24 11 14 * * - - - -
<= $10MM 54 34 28 19 17 31 46 6 * * * * * -
> $10MM 9 6 * * 7 8 28 6 * 13 6 * 7 -

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 97.3 92.3 88.1 85.3 96.5 106.0 103.8
Weighted Avg. Price 97.5 93.4 87.9 85.1 90.9 106.4 104.1
Avg. Price Bottom 5 Trades 93.9 90.6 88.1 83.7 89.4 104.5 100.2
2nd Quartile Price 96.2 91.3 * 85.2 91.6 105.3 102.3
3rd Quartile Price 97.6 92.1 * 85.4 97.8 107.0 105.0
4th Quartile Price 98.7 94.8 * 86.2 101.6 107.5 105.5
Avg. Price Top 5 Trades 99.6 94.3 88.1 86.6 102.3 107.4 106.0
Standard Deviation 1.7 1.8 1.8 1.1 6.5 1.4 2.1
VOLUME OF TRADES (000'S) 146,353.2 10,759.1 2,923.0 42,088.0 44,215.0 13,885.0 289,195.0
Customer Buy 88,096.9 9,379.1 * 14,078.0 21,640.0 9,095.0 171,148.0
Customer Sell 38,210.1 * * 26,360.0 20,075.0 4,790.0 118,047.0
Dealer to Dealer 20,046.2 - - * * - -
<= $1MM 22,362.3 5,181.8 2,923.0 2,500.0 2,725.0 3,440.0 *
<= $10MM 89,831.8 * - 39,588.0 * 10,445.0 97,582.0
> $10MM * - - - * - 189,293.0
NUMBER OF TRADES 87 15 5 19 13 14 31
Customer Buy 39 12 * 7 5 9 19
Customer Sell 31 * * 11 7 5 12
Dealer to Dealer 17 - - * * - -
<= $1MM 55 13 5 5 7 8 *
<= $10MM 29 * - 14 * 6 17
> $10MM * - - - * - 10

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 91.2 103.4 1.9 * 4.8 89.6 75.3 86.5 * - - 72.8 70.0 101.8 - - *
Weighted Avg. Price 97.3 90.9 103.3 1.9 * 4.3 90.2 78.8 90.3 * - - 70.3 61.1 102.4 - - *
Avg. Price Bottom 5 Trades 92.2 81.9 99.4 1.7 * 3.9 66.3 49.4 74.5 * - - 4.0 60.7 99.9 - - *
2nd Quartile Price 96.6 90.4 101.6 1.5 * 4.3 86.0 74.3 76.6 * - - 69.0 60.6 100.1 - - *
3rd Quartile Price 97.3 92.7 103.5 2.1 * 5.4 90.8 79.4 101.9 * - - 81.9 61.0 102.6 - - *
4th Quartile Price 98.8 94.9 105.4 2.4 * 5.4 94.3 84.0 102.7 * - - 90.5 97.8 102.8 - - *
Avg. Price Top 5 Trades 99.3 96.1 107.5 2.1 * 5.7 98.6 89.1 98.4 * - - 96.7 78.0 102.8 - - *
Standard Deviation 2.3 5.3 2.3 0.4 * 1.2 7.6 12.4 14.5 * - - 24.5 21.8 1.4 - - *
VOLUME OF TRADES (000'S) 182,545.4 67,115.1 344,183.6 567,483.6 * 827,142.7 172,225.0 90,988.5 20,042.0 * - - 374,847.5 19,825.0 87,920.0 - - *
Customer Buy 76,223.0 45,906.2 134,626.6 * - 405,337.3 85,119.4 36,117.0 13,242.0 - - - 172,726.3 10,425.0 50,920.0 - - *
Customer Sell 105,797.9 21,208.9 192,317.0 * * 421,805.4 80,838.6 53,513.5 * * - - 183,377.0 * 37,000.0 - - -
Dealer to Dealer * - 17,240.0 - - - 6,267.0 * - - - - 18,744.2 - - - - -
<= $1MM 4,551.0 4,892.8 10,149.6 - - - 18,504.5 9,390.0 * - - - 18,305.1 * * - - -
<= $10MM 95,984.3 62,222.3 173,815.0 * - * 153,720.5 81,598.5 18,042.0 - - - 326,542.4 17,800.0 60,750.0 - - *
> $10MM * - 160,219.0 565,902.0 * 810,674.6 - - - * - - * - * - - *
NUMBER OF TRADES 53 30 65 7 * 12 112 56 10 * - - 134 8 16 - - *
Customer Buy 27 18 33 * - 5 51 29 6 - - - 64 5 8 - - *
Customer Sell 25 12 27 * * 7 45 24 * * - - 63 * 8 - - -
Dealer to Dealer * - 5 - - - 16 * - - - - 7 - - - - -
<= $1MM 19 12 21 - - - 68 29 * - - - 51 * * - - -
<= $10MM 30 18 35 * - * 44 27 8 - - - 81 5 14 - - *
> $10MM * - 9 6 * 9 - - - * - - * - * - - *

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 95.7 100.0 - - - 92.2 93.8 98.4 * * - 76.0 81.6 100.9 - * *
Weighted Avg. Price - - - 96.3 96.8 99.7 - - - 91.8 93.7 99.1 * * - 85.1 75.8 100.7 - * *
Avg. Price Bottom 5 Trades - - - 91.2 83.0 90.9 - - - 84.5 75.4 93.3 * * - 11.0 13.4 96.4 - * *
2nd Quartile Price - - - 95.3 92.0 99.9 - - - 90.0 91.4 95.8 * * - 70.8 71.5 100.2 - * *
3rd Quartile Price - - - 97.9 99.1 100.2 - - - 92.7 96.6 99.8 * * - 87.8 94.3 100.6 - * *
4th Quartile Price - - - 99.5 99.5 100.7 - - - 95.9 98.9 100.4 * * - 95.5 98.5 101.8 - * *
Avg. Price Top 5 Trades - - - 99.6 99.9 103.9 - - - 98.3 99.8 103.0 * * - 98.5 100.1 106.3 - * *
Standard Deviation - - - 3.3 5.4 2.4 - - - 4.6 6.9 2.9 * * - 27.1 24.7 1.9 - * *
VOLUME OF TRADES (000'S) - - - 61,681.3 191,720.4 594,993.2 - - - 75,787.2 153,996.1 98,353.3 * * - 139,684.1 529,954.0 490,898.5 - * *
Customer Buy - - - 26,738.9 94,222.7 271,938.9 - - - 30,504.5 72,943.3 39,853.1 - - - 66,438.9 263,848.5 220,072.2 - - *
Customer Sell - - - 14,722.4 73,291.5 300,017.2 - - - 26,422.6 62,115.8 40,638.3 * * - 71,435.9 117,956.5 269,146.3 - * -
Dealer to Dealer - - - 20,220.0 24,206.2 23,037.2 - - - * 18,937.0 17,861.9 - - - 1,809.2 148,149.0 * - - -
<= $1MM - - - 6,811.3 14,081.9 35,141.7 - - - 8,843.9 15,568.1 10,431.4 - - - 11,073.8 13,299.6 15,135.0 - - -
<= $10MM - - - 42,670.0 177,638.6 253,612.8 - - - 66,943.3 117,325.0 87,921.9 * * - 67,798.8 204,496.4 386,438.5 - * *
> $10MM - - - * - 306,238.6 - - - - * - - - - * * 89,325.0 - - -
NUMBER OF TRADES - - - 23 82 151 - - - 37 94 75 * * - 62 80 109 - * *
Customer Buy - - - 11 30 68 - - - 15 43 30 - - - 29 42 49 - - *
Customer Sell - - - 7 41 69 - - - 19 35 23 * * - 27 33 58 - * -
Dealer to Dealer - - - 5 11 14 - - - * 16 22 - - - 6 5 * - - -
<= $1MM - - - 14 35 79 - - - 17 58 48 - - - 39 29 22 - - -
<= $10MM - - - 8 47 58 - - - 20 35 27 * * - 19 47 82 - * *
> $10MM - - - * - 14 - - - - * - - - - * * 5 - - -

* 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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