As of
Download

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 10/07/2024 to 10/11/2024

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 96.2 95.4 93.0 88.4 78.9 98.2 99.1 1.3 3.2 7.3 4.8 4.6 10.3 5.9
Weighted Avg. Price 96.6 95.2 94.6 91.3 79.2 97.5 98.9 0.7 4.8 3.9 4.2 4.1 11.2 6.0
Avg. Price Bottom 5 Trades 79.5 90.2 79.5 72.7 50.1 87.8 88.5 0.1 1.9 4.2 3.4 4.2 5.2 5.9
2nd Quartile Price 96.3 94.1 88.7 76.7 71.6 98.6 99.4 0.3 2.0 6.4 3.0 4.7 7.0 *
3rd Quartile Price 97.6 95.4 93.6 95.8 84.7 101.0 100.6 1.2 2.8 7.4 4.5 6.6 7.5 *
4th Quartile Price 98.7 97.5 99.8 99.3 90.3 101.8 101.3 2.1 5.2 9.9 7.4 6.6 23.1 *
Avg. Price Top 5 Trades 99.6 99.6 100.0 99.5 94.7 102.8 103.8 3.4 4.3 9.9 6.3 5.1 13.6 5.9
Standard Deviation 4.2 2.8 7.4 11.7 15.9 6.8 4.3 1.1 1.4 3.5 2.1 1.9 9.1 1.2
VOLUME OF TRADES (000'S) 430,940.9 293,699.2 248,421.9 58,554.7 53,157.4 82,433.7 255,392.7 109,281.8 134,141.5 154,004.1 170,418.5 117,694.9 142,376.5 376,962.4
Customer Buy 212,250.7 95,088.9 41,586.2 17,548.0 23,655.7 42,338.6 169,885.3 15,244.5 117,635.7 84,292.8 * * 117,989.2 *
Customer Sell 167,758.6 180,058.8 44,245.5 32,052.2 14,518.3 20,916.1 39,045.6 94,037.3 16,505.9 69,711.3 143,330.4 * * *
Dealer to Dealer 50,931.5 18,551.5 162,590.2 * 14,983.4 19,179.0 46,461.8 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 32,512.1 5,290.6 6,884.6 4,503.3 8,490.6 3,157.4 9,229.7 5,786.1 0.0 * 0.0 0.0 0.0 0.0
<= $10MM 205,243.0 87,556.5 116,970.6 54,051.4 44,666.8 52,781.3 194,435.0 62,008.2 22,215.8 40,970.8 22,911.5 * * 0.0
> $10MM 193,185.8 200,852.1 * 0.0 0.0 * * * * * 147,507.1 * 132,378.9 376,962.4
NUMBER OF TRADES 201 54 56 31 38 30 51 40 12 12 11 6 7 5
Customer Buy 70 23 15 12 16 14 34 7 5 6 * * 5 *
Customer Sell 82 23 20 15 13 11 7 33 7 6 8 * * *
Dealer to Dealer 49 8 21 * 9 5 10 0 0 0 0 0 0 0
<= $1MM 132 24 28 15 23 10 15 13 0 * 0 0 0 0
<= $10MM 59 22 24 16 15 18 33 26 10 7 6 * * 0
> $10MM 10 8 * 0 0 * * * * * 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 97.7 92.8 * 86.7 97.1 106.9 104.4
Weighted Avg. Price 97.9 93.1 * 86.2 97.6 106.2 104.4
Avg. Price Bottom 5 Trades 94.5 91.2 * 86.1 89.6 105.1 100.9
2nd Quartile Price 96.7 91.6 * 86.3 92.2 106.2 103.2
3rd Quartile Price 98.1 92.7 * 86.9 97.2 107.8 105.8
4th Quartile Price 98.9 93.7 * 87.6 105.6 108.3 106.2
Avg. Price Top 5 Trades 99.5 94.9 * 87.2 106.3 108.2 106.7
Standard Deviation 1.4 1.6 * 1.0 6.1 1.4 2.2
VOLUME OF TRADES (000'S) 197,340.1 54,661.0 * 9,535.4 70,778.7 49,181.0 125,008.0
Customer Buy 84,520.0 33,963.0 * 7,705.4 25,436.0 24,581.0 79,423.0
Customer Sell 104,198.9 20,698.0 * * 39,342.7 * 45,585.0
Dealer to Dealer 8,621.1 0.0 0.0 0.0 * * 0.0
<= $1MM 21,108.8 4,291.0 * 1,535.4 * 2,308.0 3,835.0
<= $10MM 132,969.4 50,370.0 * * 68,112.0 34,893.0 109,118.0
> $10MM * 0.0 0.0 0.0 0.0 * *
NUMBER OF TRADES 102 19 * 8 24 18 29
Customer Buy 36 13 * 5 10 10 19
Customer Sell 56 6 * * 12 * 10
Dealer to Dealer 10 0 0 0 * * 0
<= $1MM 66 8 * 5 * 7 6
<= $10MM 33 11 * * 20 10 22
> $10MM * 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 97.4 89.6 103.8 1.3 * * 89.3 81.8 97.1 0.0 0.0 * 76.6 * * 0.0 0.0 0.0
Weighted Avg. Price 97.4 86.0 103.9 1.7 * * 90.2 80.5 99.5 0.0 0.0 * 73.6 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 95.4 84.8 96.8 1.3 * * 77.1 77.3 70.1 0.0 0.0 * 45.0 * * 0.0 0.0 0.0
2nd Quartile Price 96.6 86.0 103.0 * * * 84.3 82.6 98.9 0.0 0.0 * 72.8 * * 0.0 0.0 0.0
3rd Quartile Price 97.4 89.8 104.1 * * * 90.8 83.5 102.9 0.0 0.0 * 79.5 * * 0.0 0.0 0.0
4th Quartile Price 98.3 91.5 105.3 * * * 95.2 86.0 104.3 0.0 0.0 * 87.4 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 99.2 96.8 109.8 1.3 * * 97.1 86.4 104.8 0.0 0.0 * 93.6 * * 0.0 0.0 0.0
Standard Deviation 1.1 4.9 3.1 1.1 * * 6.5 9.5 13.0 0.0 0.0 * 14.1 * * 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 111,401.0 49,943.3 354,912.1 202,936.0 * * 78,865.1 30,504.6 92,469.0 0.0 0.0 * 161,767.6 * * 0.0 0.0 0.0
Customer Buy 57,942.2 31,733.9 200,292.6 * 0.0 0.0 43,541.5 22,238.0 50,929.0 0.0 0.0 * 73,244.0 * * 0.0 0.0 0.0
Customer Sell 51,126.7 18,209.4 151,957.6 * * * 34,887.4 8,266.6 41,540.0 0.0 0.0 0.0 79,907.6 * * 0.0 0.0 0.0
Dealer to Dealer * 0.0 * 0.0 0.0 0.0 436.2 0.0 0.0 0.0 0.0 0.0 8,616.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 13,771.5 2,326.3 8,731.1 0.0 0.0 0.0 6,630.9 1,528.6 4,733.0 0.0 0.0 0.0 2,814.6 * 0.0 0.0 0.0 0.0
<= $10MM 83,964.6 36,792.0 232,518.0 * * * 61,848.1 28,976.0 87,736.0 0.0 0.0 * 138,263.0 * * 0.0 0.0 0.0
> $10MM * * 113,663.0 * * * * 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 65 21 81 5 * * 52 13 33 0 0 * 50 * * 0 0 0
Customer Buy 34 12 50 * 0 0 26 8 20 0 0 * 21 * * 0 0 0
Customer Sell 27 9 29 * * * 21 5 13 0 0 0 24 * * 0 0 0
Dealer to Dealer * 0 * 0 0 0 5 0 0 0 0 0 5 0 0 0 0 0
<= $1MM 40 10 26 0 0 0 27 5 7 0 0 0 11 * 0 0 0 0
<= $10MM 24 10 48 * * * 24 8 26 0 0 * 37 * * 0 0 0
> $10MM * * 7 * * * * 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 97.1 96.5 100.3 0.0 0.0 0.0 91.4 95.6 99.5 0.0 0.0 0.0 69.7 86.4 98.7 0.0 * 81.7
Weighted Avg. Price * 0.0 0.0 96.7 95.5 99.7 0.0 0.0 0.0 93.7 95.4 99.5 0.0 0.0 0.0 60.8 85.6 96.7 0.0 * 86.0
Avg. Price Bottom 5 Trades * 0.0 0.0 93.3 85.6 96.9 0.0 0.0 0.0 77.1 84.2 91.4 0.0 0.0 0.0 14.7 27.0 90.2 0.0 * 81.7
2nd Quartile Price * 0.0 0.0 95.7 95.6 99.7 0.0 0.0 0.0 86.0 93.7 99.4 0.0 0.0 0.0 46.0 82.9 98.8 0.0 * *
3rd Quartile Price * 0.0 0.0 97.5 98.3 100.0 0.0 0.0 0.0 94.9 98.1 100.0 0.0 0.0 0.0 76.3 94.2 100.0 0.0 * *
4th Quartile Price * 0.0 0.0 99.2 99.3 101.3 0.0 0.0 0.0 99.2 99.0 100.7 0.0 0.0 0.0 97.4 99.0 100.2 0.0 * *
Avg. Price Top 5 Trades * 0.0 0.0 99.9 99.9 104.7 0.0 0.0 0.0 99.8 100.1 102.7 0.0 0.0 0.0 99.9 100.1 105.6 0.0 * 81.7
Standard Deviation * 0.0 0.0 2.3 3.8 1.7 0.0 0.0 0.0 8.4 4.4 2.7 0.0 0.0 0.0 28.1 19.5 4.5 0.0 * 13.6
VOLUME OF TRADES (000'S) * 0.0 0.0 126,719.1 302,599.8 302,157.5 0.0 0.0 0.0 102,018.6 246,309.0 221,119.4 0.0 0.0 0.0 240,893.6 222,139.1 311,751.0 0.0 * 152,489.0
Customer Buy 0.0 0.0 0.0 26,880.9 147,344.7 163,818.9 0.0 0.0 0.0 40,857.9 124,325.1 111,676.2 0.0 0.0 0.0 118,695.7 78,840.5 168,324.6 0.0 * *
Customer Sell * 0.0 0.0 93,698.2 121,473.1 118,338.6 0.0 0.0 0.0 61,157.6 121,983.9 109,443.1 0.0 0.0 0.0 108,566.3 134,670.6 142,826.3 0.0 * *
Dealer to Dealer 0.0 0.0 0.0 * 33,782.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0 13,631.6 * * 0.0 0.0 0.0
<= $1MM * 0.0 0.0 3,621.6 19,791.5 18,810.9 0.0 0.0 0.0 5,762.9 14,005.9 8,434.8 0.0 0.0 0.0 7,675.2 11,498.3 11,303.3 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 108,528.6 197,540.2 256,216.6 0.0 0.0 0.0 82,570.7 232,303.2 199,349.6 0.0 0.0 0.0 124,600.4 199,218.9 119,747.6 0.0 * *
> $10MM 0.0 0.0 0.0 * 85,268.0 * 0.0 0.0 0.0 * 0.0 * 0.0 0.0 0.0 108,618.0 * * 0.0 0.0 *
NUMBER OF TRADES * 0 0 39 106 115 0 0 0 40 100 83 0 0 0 60 69 58 0 * 5
Customer Buy 0 0 0 11 44 59 0 0 0 16 53 43 0 0 0 28 26 33 0 * *
Customer Sell * 0 0 25 52 52 0 0 0 23 47 40 0 0 0 25 40 24 0 * *
Dealer to Dealer 0 0 0 * 10 * 0 0 0 * 0 0 0 0 0 7 * * 0 0 0
<= $1MM * 0 0 11 45 45 0 0 0 13 34 23 0 0 0 24 16 21 0 0 0
<= $10MM 0 0 0 27 55 68 0 0 0 26 66 59 0 0 0 30 52 33 0 * *
> $10MM 0 0 0 * 6 * 0 0 0 * 0 * 0 0 0 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].
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.5.28.20240806   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.