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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 08/19/2024 to 08/23/2024

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 96.6 95.1 92.4 93.1 89.7 99.6 101.9 * 30.5 18.8 * * - *
Weighted Avg. Price 96.9 96.2 93.2 94.1 93.4 101.4 102.0 * 27.1 5.7 * * - *
Avg. Price Bottom 5 Trades 74.8 83.8 82.8 71.7 79.0 89.3 92.0 * 30.5 1.3 * * - *
2nd Quartile Price 96.9 95.3 90.2 89.8 84.9 99.4 98.5 * * 0.3 * * - *
3rd Quartile Price 98.0 96.3 93.6 99.0 92.2 100.6 103.6 * * 6.2 * * - *
4th Quartile Price 98.8 97.7 97.5 99.3 96.1 101.8 105.5 * * 74.3 * * - *
Avg. Price Top 5 Trades 100.0 98.9 99.2 99.7 99.4 103.9 108.6 * 30.5 33.6 * * - *
Standard Deviation 4.8 5.3 5.6 8.9 7.0 3.8 5.3 * 36.2 31.8 * * - *
VOLUME OF TRADES (000'S) 681,933.7 203,088.4 83,443.0 249,601.0 386,452.3 303,514.0 464,632.8 * 36,672.6 2,255,960.6 * * - *
Customer Buy 316,163.5 99,924.3 65,121.0 79,158.9 173,532.0 140,947.2 262,237.7 * * 1,144,759.8 * * - *
Customer Sell 177,992.4 80,843.0 5,376.9 67,229.8 81,153.3 26,389.2 133,932.4 * * * * - - -
Dealer to Dealer 187,777.8 22,321.0 12,945.0 103,212.2 131,766.9 136,177.6 68,462.7 - - - - - - -
<= $1MM 34,682.5 6,013.8 4,297.8 5,649.5 6,140.1 12,231.8 4,513.7 - - - - - - -
<= $10MM 262,039.4 23,074.5 33,145.2 75,830.1 130,964.4 89,500.9 120,848.1 * * - * - - -
> $10MM 385,211.7 174,000.0 * 168,121.3 249,347.9 201,781.2 339,271.0 * * 2,255,960.6 - * - *
NUMBER OF TRADES 231 41 35 47 49 64 44 * 5 9 * * - *
Customer Buy 98 13 14 22 21 24 26 * * 6 * * - *
Customer Sell 90 16 14 7 16 21 10 * * * * - - -
Dealer to Dealer 43 12 7 18 12 19 8 - - - - - - -
<= $1MM 143 26 24 12 15 33 9 - - - - - - -
<= $10MM 72 7 10 25 27 26 24 * * - * - - -
> $10MM 16 8 * 10 7 5 11 * * 9 - * - *

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 97.2 93.3 87.0 85.8 95.4 109.6 107.5
Weighted Avg. Price 97.3 93.4 85.9 86.8 99.5 109.1 107.8
Avg. Price Bottom 5 Trades 94.3 91.0 84.5 84.7 89.1 107.3 107.0
2nd Quartile Price 96.3 92.1 85.5 85.7 90.4 108.9 107.0
3rd Quartile Price 97.4 93.9 87.7 86.6 98.5 109.2 107.9
4th Quartile Price 98.4 95.2 88.3 87.0 103.4 115.4 108.4
Avg. Price Top 5 Trades 99.5 95.7 89.3 86.9 101.8 111.8 108.0
Standard Deviation 1.5 1.9 2.4 1.3 6.4 3.6 0.9
VOLUME OF TRADES (000'S) 327,789.8 111,381.4 33,124.4 14,509.0 32,650.0 59,507.0 17,806.0
Customer Buy 160,920.4 40,090.4 * * 20,890.0 31,180.0 6,880.0
Customer Sell 161,989.4 71,291.0 18,930.0 9,601.0 11,760.0 * *
Dealer to Dealer * - - - - - -
<= $1MM 11,746.7 3,080.0 3,179.0 390.0 * 2,207.0 3,996.0
<= $10MM 235,880.6 21,371.6 17,103.0 14,119.0 30,530.0 * *
> $10MM 80,162.5 * * - - * *
NUMBER OF TRADES 98 19 14 10 12 9 8
Customer Buy 43 12 * * 5 5 6
Customer Sell 51 7 11 9 7 * *
Dealer to Dealer * - - - - - -
<= $1MM 40 7 7 5 * 5 5
<= $10MM 52 9 6 5 8 * *
> $10MM 6 * * - - * *

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 97.4 91.5 102.7 * * - 88.0 73.9 * 1.0 - - 73.5 49.7 103.7 * * *
Weighted Avg. Price 97.1 90.2 103.9 * * - 85.3 68.3 * 1.0 - - 75.5 30.4 103.8 * * *
Avg. Price Bottom 5 Trades 93.4 84.2 89.5 * * - 73.2 52.0 * 1.0 - - 28.7 40.8 103.5 * * *
2nd Quartile Price 96.3 89.0 102.8 * * - 84.3 73.1 * * - - 68.5 50.0 103.4 * * *
3rd Quartile Price 97.5 91.9 104.9 * * - 89.8 76.8 * * - - 84.0 93.6 104.3 * * *
4th Quartile Price 98.5 95.6 106.6 * * - 93.8 81.1 * * - - 90.1 93.8 104.8 * * *
Avg. Price Top 5 Trades 99.7 96.4 107.6 * * - 97.9 86.5 * 1.0 - - 92.3 58.9 104.0 * * *
Standard Deviation 1.4 3.8 5.9 * * - 7.1 12.1 * - - - 21.5 40.3 0.9 * * *
VOLUME OF TRADES (000'S) 627,756.5 93,087.4 136,642.1 * * - 123,882.2 55,853.0 * 216,987.0 - - 67,941.2 20,273.8 18,214.4 * * *
Customer Buy 336,419.4 55,927.9 67,215.0 - * - 68,189.1 24,983.0 - * - - 32,354.6 * 13,214.4 * * -
Customer Sell 291,337.2 36,710.5 69,427.1 * - - 52,040.1 25,336.0 * - - - 32,834.7 * * * - *
Dealer to Dealer - * - - - - 3,653.0 * * * - - 2,752.0 - - - - -
<= $1MM 19,699.4 15,241.8 8,944.8 - - - 9,514.2 5,055.0 * - - - 6,011.1 - * - - *
<= $10MM 452,350.4 77,845.6 88,797.3 - - - 114,368.0 38,798.0 - - - - 61,930.1 20,273.8 17,714.4 - * *
> $10MM 155,706.8 - * * * - - * - 216,987.0 - - - - - * - -
NUMBER OF TRADES 160 63 47 * * - 70 28 * 5 - - 42 6 6 * * *
Customer Buy 66 29 20 - * - 29 15 - * - - 14 * 5 * * -
Customer Sell 94 32 27 * - - 36 9 * - - - 22 * * * - *
Dealer to Dealer - * - - - - 5 * * * - - 6 - - - - -
<= $1MM 59 37 20 - - - 35 16 * - - - 21 - * - - *
<= $10MM 88 26 24 - - - 35 11 - - - - 21 6 5 - * *
> $10MM 13 - * * * - - * - 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 - - - 95.2 94.3 99.8 * - - 92.9 92.1 99.9 0.6 - - 73.0 82.5 97.5 - - 91.4
Weighted Avg. Price - - - 93.8 92.3 100.6 * - - 92.4 91.4 100.5 0.7 - - 82.5 71.1 91.8 - - 84.0
Avg. Price Bottom 5 Trades - - - 88.9 82.1 96.6 * - - 85.6 80.7 93.3 0.6 - - 14.0 44.7 84.7 - - 87.4
2nd Quartile Price - - - 94.1 93.3 99.1 * - - 90.8 88.7 98.8 * - - 62.1 74.4 99.8 - - 93.1
3rd Quartile Price - - - 97.2 95.2 99.8 * - - 93.8 91.7 100.4 * - - 90.1 92.3 100.7 - - 95.1
4th Quartile Price - - - 97.8 98.4 100.3 * - - 97.1 96.0 102.5 * - - 92.6 97.8 101.6 - - 96.6
Avg. Price Top 5 Trades - - - 98.4 99.3 102.8 * - - 99.1 99.1 103.7 0.6 - - 96.7 98.8 103.0 - - 96.3
Standard Deviation - - - 3.8 4.9 1.4 * - - 4.8 5.1 3.0 0.2 - - 29.4 18.8 8.4 - - 8.6
VOLUME OF TRADES (000'S) - - - 113,577.4 139,868.9 287,036.9 * - - 143,642.8 198,175.4 134,288.7 159,964.3 - - 132,730.7 365,411.5 84,576.0 - - 54,395.0
Customer Buy - - - 48,738.4 94,437.3 151,067.2 - - - 72,373.3 100,272.2 63,679.5 * - - 71,525.6 183,102.0 54,684.0 - - *
Customer Sell - - - 64,839.0 42,892.4 132,989.7 * - - 71,269.5 95,644.3 66,183.3 * - - 61,199.7 147,719.6 29,892.0 - - 19,870.0
Dealer to Dealer - - - - * * - - - - * 4,425.8 - - - * 34,590.0 - - - -
<= $1MM - - - 5,334.6 19,309.1 20,161.6 - - - * 21,526.3 14,584.2 - - - 6,528.6 6,100.0 6,284.0 - - *
<= $10MM - - - 44,688.3 98,769.8 140,286.2 * - - 126,442.8 138,488.0 107,650.5 * - - 84,202.1 114,513.5 50,500.0 - - 21,395.0
> $10MM - - - * * * - - - * * * * - - * 244,798.0 * - - *
NUMBER OF TRADES - - - 27 72 84 * - - 32 72 52 5 - - 41 53 23 - - 11
Customer Buy - - - 12 35 47 - - - 17 40 27 * - - 20 26 13 - - *
Customer Sell - - - 15 35 35 * - - 15 30 20 * - - 18 21 10 - - 8
Dealer to Dealer - - - - * * - - - - * 5 - - - * 6 - - - -
<= $1MM - - - 15 43 52 - - - * 36 25 - - - 20 17 8 - - *
<= $10MM - - - 9 27 28 * - - 27 33 26 * - - 19 28 13 - - 6
> $10MM - - - * * * - - - * * * * - - * 8 * - - *

* 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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