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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 06/24/2024 to 06/28/2024

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 95.8 93.9 84.4 87.5 83.6 95.5 97.8 5.9 19.7 5.6 5.0 4.1 * 3.0
Weighted Avg. Price 97.1 94.4 90.5 94.3 87.8 97.1 98.0 4.5 20.4 6.4 6.2 2.8 * 2.4
Avg. Price Bottom 5 Trades 61.0 87.6 74.3 72.9 52.0 75.0 84.5 0.2 3.1 3.8 2.5 3.8 * 2.4
2nd Quartile Price 95.4 92.8 82.0 80.8 81.6 95.5 96.9 0.5 2.3 4.4 3.0 4.4 * 2.5
3rd Quartile Price 97.2 95.1 85.5 84.6 88.2 98.4 99.0 1.1 5.0 4.9 6.5 4.5 * 5.0
4th Quartile Price 98.2 96.8 88.3 99.2 93.3 99.7 101.8 2.3 62.5 8.3 7.0 4.8 * 6.3
Avg. Price Top 5 Trades 100.2 99.1 96.6 99.5 99.7 102.1 102.5 24.6 26.8 8.8 7.3 4.6 * 3.4
Standard Deviation 6.0 3.8 6.7 10.8 14.5 7.8 6.3 16.2 28.4 2.2 2.1 1.0 * 2.2
VOLUME OF TRADES (000'S) 756,534.9 48,814.6 55,915.2 127,785.0 219,326.1 554,658.1 561,142.1 1,293,425.5 270,008.1 240,883.6 863,130.5 47,603.3 * 690,757.3
Customer Buy 303,798.5 17,239.5 11,090.2 20,841.0 138,400.9 294,147.7 256,843.3 671,980.1 * 35,165.9 229,886.9 * * *
Customer Sell 227,909.3 21,204.9 25,999.6 43,253.6 31,922.5 43,356.8 108,470.2 620,711.9 254,217.7 183,228.6 627,550.0 45,120.1 * *
Dealer to Dealer 224,827.1 10,370.2 18,825.4 63,690.4 49,002.7 217,153.7 195,828.6 * 0.0 * * * 0.0 0.0
<= $1MM 42,361.1 6,912.7 2,648.8 2,706.8 9,039.0 10,204.6 3,539.0 * 0.0 * 0.0 4,106.7 0.0 0.0
<= $10MM 351,076.6 41,901.9 32,742.9 53,861.2 57,842.7 99,608.8 58,537.1 15,747.4 * 94,906.8 45,769.1 * * 0.0
> $10MM 363,097.2 0.0 * 71,217.0 152,444.4 444,844.8 499,066.0 1,274,674.6 262,056.9 * 817,361.4 * * 690,757.3
NUMBER OF TRADES 283 34 42 29 51 61 49 23 7 19 19 8 * 6
Customer Buy 110 13 14 7 22 27 27 9 * 6 9 * * *
Customer Sell 117 15 21 11 17 14 11 13 6 9 8 5 * *
Dealer to Dealer 56 6 7 11 12 20 11 * 0 * * * 0 0
<= $1MM 163 22 28 13 27 26 13 * 0 * 0 6 0 0
<= $10MM 104 12 12 10 17 19 16 6 * 16 10 * * 0
> $10MM 16 0 * 6 7 16 20 13 5 * 9 * * 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 96.6 89.8 85.2 83.8 93.4 103.3 104.1
Weighted Avg. Price 97.0 90.6 85.9 84.0 89.5 104.4 103.8
Avg. Price Bottom 5 Trades 91.7 87.6 81.0 82.9 85.1 100.4 103.6
2nd Quartile Price 94.5 89.2 81.9 83.1 85.5 102.1 103.8
3rd Quartile Price 97.3 89.9 87.8 84.0 93.0 103.1 104.6
4th Quartile Price 98.1 90.4 88.3 84.8 103.5 105.8 105.1
Avg. Price Top 5 Trades 99.5 92.5 88.3 84.7 103.0 106.6 104.7
Standard Deviation 2.1 1.8 3.6 0.9 7.7 2.8 1.0
VOLUME OF TRADES (000'S) 345,188.4 54,251.5 32,794.0 8,155.0 18,465.0 7,970.0 21,250.0
Customer Buy 109,898.8 27,405.0 20,889.0 * 11,800.0 * 10,800.0
Customer Sell 230,895.0 26,846.5 11,905.0 5,980.0 6,665.0 2,540.0 *
Dealer to Dealer 4,394.6 0.0 0.0 * 0.0 1,500.0 0.0
<= $1MM 24,554.3 8,335.0 * 5,455.0 6,115.0 4,170.0 2,500.0
<= $10MM 202,760.6 25,406.5 30,914.0 * 12,350.0 * *
> $10MM 117,873.5 * 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 123 23 14 12 16 19 8
Customer Buy 34 9 8 * 7 * 6
Customer Sell 78 14 6 7 9 10 *
Dealer to Dealer 11 0 0 * 0 6 0
<= $1MM 56 13 * 10 11 17 5
<= $10MM 57 8 10 * 5 * *
> $10MM 10 * 0 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 96.4 89.7 101.0 * 4.7 * 87.1 79.0 89.1 0.0 0.0 0.0 61.8 0.0 101.8 0.0 0.0 0.0
Weighted Avg. Price 97.2 90.8 101.5 * 4.5 * 81.4 77.2 80.3 0.0 0.0 0.0 51.4 0.0 101.7 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 90.3 80.1 92.4 * 4.7 * 63.5 72.3 68.0 0.0 0.0 0.0 8.9 0.0 99.3 0.0 0.0 0.0
2nd Quartile Price 94.5 88.2 100.3 * * * 84.5 77.0 84.6 0.0 0.0 0.0 48.5 0.0 101.2 0.0 0.0 0.0
3rd Quartile Price 97.2 89.5 102.6 * * * 89.7 80.1 97.1 0.0 0.0 0.0 71.0 0.0 102.9 0.0 0.0 0.0
4th Quartile Price 98.3 94.0 103.7 * * * 93.0 81.8 100.6 0.0 0.0 0.0 85.0 0.0 103.1 0.0 0.0 0.0
Avg. Price Top 5 Trades 99.7 95.7 106.0 * 4.7 * 98.2 85.4 102.8 0.0 0.0 0.0 92.3 0.0 103.1 0.0 0.0 0.0
Standard Deviation 2.5 5.0 4.4 * 1.0 * 9.1 4.2 14.5 0.0 0.0 0.0 26.3 0.0 2.7 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 255,324.2 156,638.9 359,525.2 * 30,719.9 * 139,386.1 79,540.5 108,429.4 0.0 0.0 0.0 180,542.0 0.0 66,901.4 0.0 0.0 0.0
Customer Buy 96,602.0 39,817.4 166,244.1 0.0 * 0.0 60,121.5 34,655.8 66,568.1 0.0 0.0 0.0 79,689.1 0.0 19,362.8 0.0 0.0 0.0
Customer Sell 154,736.2 116,631.5 193,281.2 * * * 69,265.0 40,626.8 41,861.3 0.0 0.0 0.0 79,914.3 0.0 47,538.6 0.0 0.0 0.0
Dealer to Dealer 3,986.0 * 0.0 * * 0.0 9,999.7 * 0.0 0.0 0.0 0.0 20,938.6 0.0 0.0 0.0 0.0 0.0
<= $1MM 26,770.9 12,115.8 3,167.5 * 0.0 0.0 12,926.8 3,426.5 1,605.0 0.0 0.0 0.0 8,036.3 0.0 * 0.0 0.0 0.0
<= $10MM 187,842.8 67,405.2 147,162.1 * 30,719.9 * 126,459.3 76,114.0 32,775.5 0.0 0.0 0.0 161,105.7 0.0 38,492.3 0.0 0.0 0.0
> $10MM * 77,117.9 209,195.7 0.0 0.0 0.0 0.0 0.0 74,048.8 0.0 0.0 0.0 * 0.0 * 0.0 0.0 0.0
NUMBER OF TRADES 120 51 53 * 6 * 100 37 22 0 0 0 78 0 16 0 0 0
Customer Buy 38 20 33 0 * 0 37 14 14 0 0 0 31 0 8 0 0 0
Customer Sell 73 30 20 * * * 44 20 8 0 0 0 33 0 8 0 0 0
Dealer to Dealer 9 * 0 * * 0 19 * 0 0 0 0 14 0 0 0 0 0
<= $1MM 65 29 14 * 0 0 65 10 6 0 0 0 43 0 * 0 0 0
<= $10MM 52 16 32 * 6 * 35 27 11 0 0 0 34 0 12 0 0 0
> $10MM * 6 7 0 0 0 0 0 5 0 0 0 * 0 * 0 0 0

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 0.0 96.4 95.5 99.0 0.0 0.0 99.5 87.6 93.6 98.1 0.0 0.0 * 70.8 92.9 98.7 0.0 35.2 *
Weighted Avg. Price 0.0 0.0 0.0 95.2 95.1 98.8 0.0 0.0 99.6 88.0 94.9 98.6 0.0 0.0 * 73.9 93.5 97.2 0.0 14.9 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 91.7 84.8 92.4 0.0 0.0 99.5 53.9 81.0 91.2 0.0 0.0 * 8.9 73.5 91.2 0.0 6.7 *
2nd Quartile Price 0.0 0.0 0.0 93.0 93.3 98.8 0.0 0.0 * 85.5 89.6 97.0 0.0 0.0 * 67.0 90.9 98.6 0.0 8.4 *
3rd Quartile Price 0.0 0.0 0.0 96.8 96.0 99.5 0.0 0.0 * 93.3 94.0 99.4 0.0 0.0 * 82.5 96.1 99.7 0.0 77.3 *
4th Quartile Price 0.0 0.0 0.0 100.1 98.8 100.0 0.0 0.0 * 97.5 99.3 100.4 0.0 0.0 * 89.5 97.7 100.7 0.0 77.9 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 100.5 99.9 102.4 0.0 0.0 99.5 98.8 99.9 101.7 0.0 0.0 * 99.8 100.0 103.1 0.0 48.0 *
Standard Deviation 0.0 0.0 0.0 3.4 4.0 2.1 0.0 0.0 0.2 14.0 5.4 3.7 0.0 0.0 * 28.8 6.9 4.3 0.0 36.5 *
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 63,770.0 159,591.6 352,140.1 0.0 0.0 1,285.0 80,059.6 113,317.1 50,801.2 0.0 0.0 * 226,320.0 542,010.3 256,657.3 0.0 130,414.0 *
Customer Buy 0.0 0.0 0.0 27,552.0 79,674.3 119,513.0 0.0 0.0 * 35,569.6 57,682.3 26,068.9 0.0 0.0 0.0 106,905.8 254,091.8 130,177.4 0.0 65,207.0 *
Customer Sell 0.0 0.0 0.0 36,113.0 77,805.1 202,545.8 0.0 0.0 * 36,769.3 53,856.0 20,540.8 0.0 0.0 * 99,517.7 279,070.1 126,249.9 0.0 65,207.0 0.0
Dealer to Dealer 0.0 0.0 0.0 * 2,112.2 30,081.3 0.0 0.0 * * 1,778.9 4,191.6 0.0 0.0 0.0 19,896.5 * * 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 8,107.5 10,125.8 26,647.4 0.0 0.0 1,285.0 8,032.4 17,428.6 8,355.2 0.0 0.0 * 12,583.7 5,379.2 3,797.2 0.0 * *
<= $10MM 0.0 0.0 0.0 55,662.5 125,276.5 121,241.3 0.0 0.0 0.0 40,997.2 95,888.5 42,446.0 0.0 0.0 0.0 184,397.4 337,922.7 62,040.2 0.0 * 0.0
> $10MM 0.0 0.0 0.0 0.0 * 204,251.3 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0 * 198,708.5 190,819.8 0.0 * 0.0
NUMBER OF TRADES 0 0 0 39 82 122 0 0 5 41 92 37 0 0 * 73 106 32 0 10 *
Customer Buy 0 0 0 17 33 50 0 0 * 19 36 19 0 0 0 34 55 18 0 5 *
Customer Sell 0 0 0 21 38 52 0 0 * 18 44 13 0 0 * 31 48 13 0 5 0
Dealer to Dealer 0 0 0 * 11 20 0 0 * * 12 5 0 0 0 8 * * 0 0 0
<= $1MM 0 0 0 24 47 81 0 0 5 25 65 26 0 0 * 36 19 11 0 * *
<= $10MM 0 0 0 15 33 30 0 0 0 13 27 11 0 0 0 35 76 15 0 * 0
> $10MM 0 0 0 0 * 11 0 0 0 * 0 0 0 0 0 * 11 6 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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