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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 11/11/2024 to 11/15/2024

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 97.1 95.8 86.0 92.2 88.0 95.9 98.4 18.7 3.6 6.0 0.0 4.7 * 12.3
Weighted Avg. Price 97.2 95.4 81.2 90.2 90.7 99.1 98.5 9.3 2.8 5.7 0.0 4.8 * 4.8
Avg. Price Bottom 5 Trades 88.3 90.7 79.0 77.1 74.3 83.3 93.7 0.6 1.8 5.2 0.0 4.7 * 3.4
2nd Quartile Price 96.3 94.6 83.6 83.8 85.4 95.7 97.2 0.7 1.8 5.4 0.0 * * 6.7
3rd Quartile Price 97.5 95.6 86.5 99.1 93.3 98.3 98.6 3.3 4.8 6.7 0.0 * * 6.8
4th Quartile Price 98.5 99.3 88.6 99.3 95.3 100.3 100.1 51.7 4.8 7.0 0.0 * * 27.2
Avg. Price Top 5 Trades 99.6 100.3 94.1 99.4 98.0 100.5 102.4 50.3 4.8 6.6 0.0 4.7 * 25.1
Standard Deviation 2.4 3.2 5.0 9.7 12.7 7.9 2.4 29.0 1.8 1.0 0.0 0.3 * 13.7
VOLUME OF TRADES (000'S) 428,390.5 122,013.5 30,925.6 74,373.2 50,142.1 125,831.0 618,213.3 2,491,821.9 439,380.9 260,191.7 0.0 1,011,528.7 * 1,597,531.5
Customer Buy 183,235.1 74,069.3 15,934.6 34,655.8 24,064.0 51,069.3 399,090.0 1,113,213.6 * * 0.0 * * 1,083,418.2
Customer Sell 156,283.1 25,853.2 6,342.5 14,908.7 22,115.7 74,511.7 127,190.5 1,276,586.0 287,936.0 157,312.0 0.0 0.0 * *
Dealer to Dealer 88,872.4 22,091.0 8,648.6 24,808.7 * * 91,932.7 * * * 0.0 * 0.0 508,113.3
<= $1MM 15,127.8 3,592.4 505.9 2,174.3 2,174.8 2,234.9 3,312.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 100,541.8 60,986.0 30,419.8 72,198.9 28,863.9 58,230.6 153,258.2 0.0 0.0 * 0.0 0.0 0.0 *
> $10MM 312,720.9 * 0.0 0.0 * * 461,642.4 2,491,821.9 439,380.9 252,881.0 0.0 1,011,528.7 * 1,578,404.4
NUMBER OF TRADES 144 33 35 24 19 28 51 14 12 10 0 5 * 17
Customer Buy 69 15 12 11 10 13 35 5 * * 0 * * 8
Customer Sell 48 12 13 5 6 12 8 8 6 6 0 0 * *
Dealer to Dealer 27 6 10 8 * * 8 * * * 0 * 0 8
<= $1MM 97 15 28 6 8 10 8 0 0 0 0 0 0 0
<= $10MM 33 15 7 18 10 14 30 0 0 * 0 0 0 *
> $10MM 14 * 0 0 * * 13 14 12 7 0 5 * 14

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 91.8 85.6 * 96.3 * 102.7
Weighted Avg. Price 97.2 91.5 85.0 * 100.0 * 102.8
Avg. Price Bottom 5 Trades 92.8 90.1 83.3 * 96.3 * 101.9
2nd Quartile Price 95.5 91.0 84.6 * * * 102.3
3rd Quartile Price 96.7 91.2 85.7 * * * 103.6
4th Quartile Price 97.8 94.6 88.8 * * * 103.8
Avg. Price Top 5 Trades 99.6 94.1 88.0 * 96.3 * 103.6
Standard Deviation 1.8 2.1 2.6 * 5.6 * 1.2
VOLUME OF TRADES (000'S) 269,096.4 35,560.0 95,520.1 * 8,884.0 * 21,019.0
Customer Buy 118,815.6 12,755.0 * 0.0 * * *
Customer Sell 113,944.5 22,805.0 31,867.1 * * * 12,885.0
Dealer to Dealer 36,336.3 0.0 30,502.0 * * 0.0 0.0
<= $1MM 12,203.9 2,960.0 * * * 0.0 *
<= $10MM 170,352.5 32,600.0 * 0.0 * * 20,720.0
> $10MM * 0.0 * 0.0 0.0 0.0 0.0
NUMBER OF TRADES 88 15 12 * 5 * 9
Customer Buy 21 5 * 0 * * *
Customer Sell 44 10 5 * * * 6
Dealer to Dealer 23 0 6 * * 0 0
<= $1MM 47 6 * * * 0 *
<= $10MM 38 9 * 0 * * 7
> $10MM * 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 97.7 91.1 101.2 * * 0.0 90.7 78.8 88.2 0.0 0.0 0.0 70.8 78.8 * * 0.0 0.0
Weighted Avg. Price 97.6 90.8 99.0 * * 0.0 91.0 78.2 86.2 0.0 0.0 0.0 68.4 91.3 * * 0.0 0.0
Avg. Price Bottom 5 Trades 93.9 84.4 93.5 * * 0.0 80.6 65.2 70.5 0.0 0.0 0.0 36.4 78.8 * * 0.0 0.0
2nd Quartile Price 96.7 89.5 100.4 * * 0.0 87.5 75.1 84.7 0.0 0.0 0.0 56.2 * * * 0.0 0.0
3rd Quartile Price 98.5 93.4 101.7 * * 0.0 92.0 81.8 86.7 0.0 0.0 0.0 81.5 * * * 0.0 0.0
4th Quartile Price 98.8 96.0 103.7 * * 0.0 95.3 82.3 101.7 0.0 0.0 0.0 89.9 * * * 0.0 0.0
Avg. Price Top 5 Trades 99.4 96.1 105.3 * * 0.0 98.0 88.3 101.5 0.0 0.0 0.0 94.0 78.8 * * 0.0 0.0
Standard Deviation 1.6 4.9 3.2 * * 0.0 5.5 7.2 13.4 0.0 0.0 0.0 20.5 15.5 * * 0.0 0.0
VOLUME OF TRADES (000'S) 92,594.2 19,497.0 208,305.0 * * 0.0 52,755.1 109,596.0 72,325.0 0.0 0.0 0.0 156,193.5 14,733.0 * * 0.0 0.0
Customer Buy 31,810.5 6,878.7 112,298.3 * 0.0 0.0 29,120.9 52,123.0 31,008.0 0.0 0.0 0.0 71,511.6 * * * 0.0 0.0
Customer Sell 56,036.6 11,634.3 95,056.6 0.0 * 0.0 22,275.5 57,473.0 34,317.0 0.0 0.0 0.0 76,287.9 * * * 0.0 0.0
Dealer to Dealer 4,747.1 * * * 0.0 0.0 1,358.7 0.0 * 0.0 0.0 0.0 8,394.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 15,915.0 5,566.0 7,950.0 0.0 0.0 0.0 10,189.1 4,215.0 7,001.0 0.0 0.0 0.0 9,745.0 * * 0.0 0.0 0.0
<= $10MM 76,679.2 13,931.0 118,965.0 0.0 * 0.0 42,566.0 105,381.0 65,324.0 0.0 0.0 0.0 146,448.6 * * 0.0 0.0 0.0
> $10MM 0.0 0.0 81,390.0 * 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 74 22 63 * * 0 45 36 22 0 0 0 56 5 * * 0 0
Customer Buy 16 10 33 * 0 0 21 17 11 0 0 0 24 * * * 0 0
Customer Sell 42 10 29 0 * 0 18 19 9 0 0 0 26 * * * 0 0
Dealer to Dealer 16 * * * 0 0 6 0 * 0 0 0 6 0 0 0 0 0
<= $1MM 50 16 30 0 0 0 32 7 9 0 0 0 20 * * 0 0 0
<= $10MM 24 6 28 0 * 0 13 29 13 0 0 0 36 * * 0 0 0
> $10MM 0 0 5 * 0 0 0 0 0 0 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 94.2 95.9 100.1 0.0 0.0 0.0 92.8 93.6 98.5 0.0 0.0 0.0 71.7 89.0 97.1 0.0 * 93.4
Weighted Avg. Price 0.0 0.0 0.0 91.2 96.4 100.2 0.0 0.0 0.0 94.2 92.8 99.1 0.0 0.0 0.0 60.5 90.0 97.8 0.0 * 85.5
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 83.9 85.5 92.6 0.0 0.0 0.0 82.2 84.3 89.2 0.0 0.0 0.0 6.7 60.4 68.4 0.0 * 93.4
2nd Quartile Price 0.0 0.0 0.0 93.2 93.0 99.5 0.0 0.0 0.0 91.5 91.6 98.1 0.0 0.0 0.0 58.7 84.3 98.5 0.0 * *
3rd Quartile Price 0.0 0.0 0.0 96.4 98.0 100.2 0.0 0.0 0.0 95.2 92.0 100.0 0.0 0.0 0.0 86.5 95.5 100.1 0.0 * *
4th Quartile Price 0.0 0.0 0.0 98.0 99.5 100.9 0.0 0.0 0.0 97.0 99.0 100.8 0.0 0.0 0.0 98.5 99.5 101.5 0.0 * *
Avg. Price Top 5 Trades 0.0 0.0 0.0 99.5 100.0 104.1 0.0 0.0 0.0 98.0 100.0 101.7 0.0 0.0 0.0 100.0 100.3 104.4 0.0 * 93.4
Standard Deviation 0.0 0.0 0.0 5.4 4.4 2.3 0.0 0.0 0.0 5.8 4.6 3.9 0.0 0.0 0.0 31.2 13.2 9.7 0.0 * 9.2
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 215,786.8 154,961.5 291,753.5 0.0 0.0 0.0 75,837.2 363,290.2 212,347.7 0.0 0.0 0.0 160,219.3 201,650.5 231,841.6 0.0 * 41,980.0
Customer Buy 0.0 0.0 0.0 92,353.2 73,422.5 184,723.3 0.0 0.0 0.0 23,868.6 142,151.7 122,791.3 0.0 0.0 0.0 71,518.1 91,448.0 112,165.3 0.0 * *
Customer Sell 0.0 0.0 0.0 111,923.3 70,060.8 107,030.2 0.0 0.0 0.0 51,768.6 206,282.7 89,556.4 0.0 0.0 0.0 76,589.4 109,704.5 117,756.3 0.0 * *
Dealer to Dealer 0.0 0.0 0.0 * 11,478.2 0.0 0.0 0.0 0.0 * * 0.0 0.0 0.0 0.0 12,111.9 * * 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 9,728.9 17,224.1 21,479.9 0.0 0.0 0.0 4,253.7 19,000.0 10,512.6 0.0 0.0 0.0 13,425.1 8,568.8 10,888.5 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 113,048.0 114,244.0 207,868.5 0.0 0.0 0.0 71,583.6 264,098.7 141,670.0 0.0 0.0 0.0 106,794.3 171,757.6 170,819.1 0.0 * *
> $10MM 0.0 0.0 0.0 93,010.0 * * 0.0 0.0 0.0 0.0 80,191.5 * 0.0 0.0 0.0 * * * 0.0 * *
NUMBER OF TRADES 0 0 0 48 80 120 0 0 0 31 101 54 0 0 0 55 68 70 0 * 5
Customer Buy 0 0 0 21 23 61 0 0 0 11 43 29 0 0 0 24 30 34 0 * *
Customer Sell 0 0 0 23 49 59 0 0 0 19 55 25 0 0 0 26 36 34 0 * *
Dealer to Dealer 0 0 0 * 8 0 0 0 0 * * 0 0 0 0 5 * * 0 0 0
<= $1MM 0 0 0 17 46 64 0 0 0 12 32 20 0 0 0 22 20 14 0 0 0
<= $10MM 0 0 0 25 32 52 0 0 0 19 63 31 0 0 0 31 46 52 0 * *
> $10MM 0 0 0 6 * * 0 0 0 0 6 * 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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