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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 CBO/CDO/CLO

Weekly CMBS data from 11/18/2024 to 11/22/2024

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 95.6 94.0 86.7 81.8 79.5 89.5 97.7 1.3 9.4 14.0 5.3 4.8 5.1 6.1
Weighted Avg. Price 95.4 95.0 88.0 90.1 91.4 96.0 99.2 2.3 2.8 27.7 4.9 4.9 5.3 5.9
Avg. Price Bottom 5 Trades 76.9 79.7 60.4 66.3 43.8 67.2 75.9 0.2 0.9 5.7 3.7 4.7 5.1 6.1
2nd Quartile Price 95.9 91.3 83.6 71.1 73.0 79.1 97.7 0.4 1.8 6.4 3.7 4.8 * *
3rd Quartile Price 97.3 95.7 87.2 83.1 85.2 96.0 99.8 0.5 3.4 7.3 5.4 4.9 * *
4th Quartile Price 98.6 98.0 95.8 91.0 91.9 99.9 100.3 1.9 5.1 9.6 7.9 5.0 * *
Avg. Price Top 5 Trades 99.7 100.0 99.8 98.9 99.8 100.6 102.6 4.6 32.9 36.4 7.6 4.8 5.1 6.1
Standard Deviation 5.3 5.7 10.4 11.8 15.4 11.9 6.4 1.5 19.7 14.5 2.1 0.2 0.9 2.1
VOLUME OF TRADES (000'S) 577,031.5 243,628.2 176,737.1 442,110.9 302,018.2 221,546.8 610,024.6 252,626.8 1,499,107.9 444,221.1 109,478.8 841,645.9 307,200.3 321,846.2
Customer Buy 254,172.9 111,958.7 42,713.1 39,958.4 85,188.2 122,976.5 246,098.6 36,179.0 378,011.7 175,267.9 59,493.2 * * *
Customer Sell 220,612.3 62,974.6 111,333.5 284,762.2 123,751.0 90,697.2 201,948.7 198,052.4 626,024.3 267,752.6 44,956.6 * * *
Dealer to Dealer 102,246.3 68,694.9 22,690.5 117,390.3 93,079.0 7,873.1 161,977.4 18,395.4 * * * * * *
<= $1MM 47,916.4 3,342.6 4,925.4 4,739.7 14,510.5 14,153.0 5,165.0 8,327.0 4,892.3 * - * - -
<= $10MM 334,719.1 105,517.6 120,235.0 72,243.4 116,467.6 80,191.9 210,471.9 101,799.5 * 25,586.3 42,202.6 - - -
> $10MM 194,396.0 134,767.9 * 365,127.8 171,040.0 127,201.9 394,387.8 142,500.3 1,476,913.9 417,643.9 * 841,551.2 307,200.3 321,846.2
NUMBER OF TRADES 276 56 80 59 94 70 88 47 21 21 14 6 5 5
Customer Buy 108 25 24 18 31 24 46 17 7 7 6 * * *
Customer Sell 111 16 38 23 32 36 24 20 10 13 6 * * *
Dealer to Dealer 57 15 18 18 31 10 18 10 * * * * * *
<= $1MM 165 23 42 29 59 34 20 18 5 * - * - -
<= $10MM 100 26 35 24 28 30 47 23 * 10 12 - - -
> $10MM 11 7 * 6 7 6 21 6 12 8 * 5 5 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 96.6 90.9 85.0 84.5 92.8 104.1 100.9
Weighted Avg. Price 97.0 90.4 84.6 84.5 95.1 103.6 102.4
Avg. Price Bottom 5 Trades 93.6 89.0 82.0 82.9 85.7 101.5 99.3
2nd Quartile Price 95.5 89.3 83.2 84.0 89.0 102.2 100.3
3rd Quartile Price 96.5 90.8 85.0 84.7 93.7 105.7 101.1
4th Quartile Price 97.8 91.8 87.1 85.5 98.4 105.9 102.8
Avg. Price Top 5 Trades 99.8 93.9 88.6 85.8 101.3 106.9 102.9
Standard Deviation 1.6 1.9 2.3 1.2 6.2 3.0 2.0
VOLUME OF TRADES (000'S) 173,293.8 40,713.0 70,706.0 27,402.3 125,003.4 103,229.0 19,180.0
Customer Buy 53,276.0 20,193.0 36,731.0 22,742.3 41,045.0 22,769.0 12,840.0
Customer Sell 116,492.7 19,950.0 32,705.0 1,860.0 82,278.4 59,100.0 *
Dealer to Dealer 3,525.0 * * 2,800.0 * * *
<= $1MM 29,140.3 7,340.0 4,995.0 6,340.0 3,995.0 * 1,390.0
<= $10MM 144,153.5 33,373.0 65,711.0 21,062.3 80,840.0 * 17,790.0
> $10MM - - - - * 81,700.0 -
NUMBER OF TRADES 120 28 32 26 25 13 13
Customer Buy 29 8 14 10 6 5 6
Customer Sell 79 18 14 6 15 6 *
Dealer to Dealer 12 * * 10 * * *
<= $1MM 82 18 10 20 10 * 7
<= $10MM 38 10 22 6 12 * 6
> $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 97.3 87.5 103.0 2.3 * - 89.6 81.8 90.5 0.6 * - 72.2 49.2 94.8 - - -
Weighted Avg. Price 96.9 86.2 103.2 2.5 * - 89.5 84.6 88.7 1.0 * - 73.2 37.6 97.7 - - -
Avg. Price Bottom 5 Trades 93.3 79.4 94.8 2.1 * - 71.9 62.6 83.4 0.6 * - 17.7 27.0 91.4 - - -
2nd Quartile Price 95.9 83.3 102.0 2.5 * - 86.8 79.5 86.5 * * - 70.0 43.0 93.5 - - -
3rd Quartile Price 97.9 87.5 103.8 2.6 * - 90.8 81.7 87.2 * * - 79.5 45.0 103.1 - - -
4th Quartile Price 98.8 90.8 104.8 2.9 * - 94.0 89.3 100.4 * * - 88.0 81.6 103.2 - - -
Avg. Price Top 5 Trades 99.6 98.4 106.4 2.7 * - 98.5 91.3 102.6 0.6 * - 96.9 75.4 99.3 - - -
Standard Deviation 1.8 5.2 2.8 0.6 * - 7.0 8.7 7.1 0.6 * - 22.0 24.3 8.9 - - -
VOLUME OF TRADES (000'S) 156,257.2 200,774.4 533,302.6 73,204.2 * - 150,175.0 182,735.9 77,334.0 224,554.4 * - 247,983.2 42,579.6 16,030.1 - - -
Customer Buy 102,482.1 85,049.3 242,579.7 * * - 52,868.2 88,777.5 43,746.0 * * - 102,576.0 18,494.8 * - - -
Customer Sell 52,104.4 110,514.1 253,442.9 * * - 82,640.8 88,638.4 33,488.0 * * - 119,227.0 18,494.8 * - - -
Dealer to Dealer * 5,211.0 37,280.0 * - - 14,666.0 * * * - - 26,180.1 * * - - -
<= $1MM 14,054.2 11,015.7 9,005.0 - - - 14,341.0 8,690.4 9,398.0 - - - 19,363.0 * - - - -
<= $10MM 90,356.0 189,758.7 236,541.1 * * - 106,533.1 124,390.5 67,936.0 * - - 228,620.2 40,491.6 16,030.1 - - -
> $10MM * - 287,756.5 * * - * * - * * - - - - - - -
NUMBER OF TRADES 105 83 92 7 * - 83 51 35 6 * - 134 14 7 - - -
Customer Buy 43 30 46 * * - 36 24 17 * * - 53 5 * - - -
Customer Sell 58 47 33 * * - 35 24 17 * * - 55 5 * - - -
Dealer to Dealer * 6 13 * - - 12 * * * - - 26 * * - - -
<= $1MM 73 28 27 - - - 46 20 16 - - - 66 * - - - -
<= $10MM 28 55 51 * * - 35 29 19 * - - 68 10 7 - - -
> $10MM * - 14 * * - * * - * * - - - - - - -

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 - - - 95.6 96.4 99.8 - - * 89.1 94.8 98.5 - - * 61.9 83.6 96.6 - * *
Weighted Avg. Price - - - 95.3 95.4 99.7 - - * 86.3 93.6 98.5 - - * 62.6 71.9 98.1 - * *
Avg. Price Bottom 5 Trades - - - 88.3 84.7 92.8 - - * 68.9 75.5 86.9 - - * 5.3 21.0 62.4 - * *
2nd Quartile Price - - - 95.0 95.0 99.8 - - * 84.4 94.0 98.3 - - * 40.6 77.0 99.2 - * *
3rd Quartile Price - - - 95.8 99.3 100.2 - - * 92.2 98.6 100.0 - - * 70.5 98.0 100.4 - * *
4th Quartile Price - - - 98.4 99.7 100.4 - - * 96.0 99.4 100.5 - - * 87.5 99.5 101.5 - * *
Avg. Price Top 5 Trades - - - 99.1 100.0 104.0 - - * 99.0 99.7 102.7 - - * 99.6 100.2 105.4 - * *
Standard Deviation - - - 3.9 4.5 1.8 - - * 9.7 7.1 4.2 - - * 30.6 24.7 12.7 - * *
VOLUME OF TRADES (000'S) - - - 113,719.9 184,065.0 476,339.6 - - * 144,082.6 201,716.2 179,526.1 - - * 306,807.7 361,777.9 254,477.1 - * *
Customer Buy - - - 69,758.6 91,147.1 190,057.7 - - * 72,177.8 93,726.8 77,340.7 - - * 138,190.1 171,213.2 128,651.1 - - *
Customer Sell - - - 42,861.3 59,795.5 261,993.1 - - - 70,084.9 102,769.4 96,185.4 - - - 139,049.7 176,888.1 125,826.1 - * *
Dealer to Dealer - - - * 33,122.4 24,288.7 - - - * * * - - - 29,567.9 13,676.7 - - - *
<= $1MM - - - 5,750.8 26,985.5 27,397.8 - - - 10,855.9 10,864.2 14,988.9 - - - 21,154.3 16,482.2 7,973.8 - - -
<= $10MM - - - 89,789.1 157,079.5 264,279.4 - - * 102,936.7 175,352.0 164,537.2 - - * 235,306.8 197,349.7 172,323.4 - * *
> $10MM - - - * - 184,662.4 - - - * * - - - - * 147,946.0 * - - -
NUMBER OF TRADES - - - 36 112 173 - - * 44 82 70 - - * 104 84 57 - * *
Customer Buy - - - 19 45 72 - - * 24 33 33 - - * 48 42 34 - - *
Customer Sell - - - 13 50 90 - - - 18 46 35 - - - 46 37 23 - * *
Dealer to Dealer - - - * 17 11 - - - * * * - - - 10 5 - - - *
<= $1MM - - - 14 65 104 - - - 18 31 30 - - - 42 23 17 - - -
<= $10MM - - - 21 47 59 - - * 24 50 40 - - * 58 54 36 - * *
> $10MM - - - * - 10 - - - * * - - - - * 7 * - - -

* 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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