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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 11/25/2024 to 11/29/2024

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 96.3 95.8 89.2 84.0 86.5 98.4 99.6 1.6 13.5 6.9 * * * 30.8
Weighted Avg. Price 96.7 95.8 92.6 89.6 90.1 97.3 100.9 0.7 15.1 6.5 * * * 15.9
Avg. Price Bottom 5 Trades 83.6 91.2 83.2 72.1 71.7 94.2 89.4 0.2 2.5 6.9 * * * 27.8
2nd Quartile Price 95.8 94.0 84.5 74.1 81.9 96.8 98.9 0.4 2.6 * * * * 38.1
3rd Quartile Price 97.2 96.0 89.4 85.2 88.1 99.1 100.1 1.2 3.6 * * * * 39.5
4th Quartile Price 98.1 98.0 92.4 91.3 94.2 100.9 102.8 2.9 6.5 * * * * 39.6
Avg. Price Top 5 Trades 99.6 99.9 98.6 95.7 96.7 101.1 103.2 3.5 20.4 6.9 * * * 39.4
Standard Deviation 3.3 2.6 5.2 9.0 9.1 2.5 4.2 1.7 29.2 1.0 * * * 15.5
VOLUME OF TRADES (000'S) 701,346.9 378,783.4 311,533.8 284,583.4 219,304.3 218,272.9 858,310.0 2,054,186.9 726,506.4 427,692.7 * * * 149,165.6
Customer Buy 382,113.2 210,818.0 155,893.7 97,642.2 140,844.6 85,892.0 439,952.6 978,830.9 * * 0.0 * 0.0 126,603.8
Customer Sell 118,419.1 120,142.8 2,217.2 21,773.5 11,392.6 59,040.5 149,288.5 1,075,356.0 560,580.5 * * * * *
Dealer to Dealer 200,814.6 47,822.6 * 165,167.7 67,067.1 73,340.5 269,068.9 0.0 0.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 21,088.1 1,025.3 1,923.5 8,676.2 3,952.6 6,230.0 3,604.0 * 0.0 0.0 0.0 0.0 0.0 *
<= $10MM 197,284.6 98,789.5 * 36,702.0 41,655.5 56,798.8 121,542.8 26,728.8 0.0 * * * * *
> $10MM 482,974.2 278,968.6 * * 173,696.2 155,244.1 733,163.2 2,024,784.8 726,506.4 * 0.0 * * *
NUMBER OF TRADES 172 45 31 32 26 27 50 18 8 5 * * * 8
Customer Buy 53 13 12 12 14 13 27 8 * * 0 * 0 5
Customer Sell 68 20 16 12 6 8 10 10 5 * * * * *
Dealer to Dealer 51 12 * 8 6 6 13 0 0 0 0 0 0 0
<= $1MM 89 14 25 20 9 7 10 * 0 0 0 0 0 *
<= $10MM 60 19 * 9 9 11 21 5 0 * * * * *
> $10MM 23 12 * * 8 9 19 9 8 * 0 * * *

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 97.5 92.9 86.9 85.4 98.2 107.5 104.5
Weighted Avg. Price 98.6 93.1 88.8 86.4 95.6 104.6 104.9
Avg. Price Bottom 5 Trades 94.3 90.7 85.7 84.4 98.2 105.3 103.7
2nd Quartile Price 96.4 91.8 85.9 85.2 * 105.2 104.4
3rd Quartile Price 97.8 94.9 86.5 85.3 * 106.6 104.8
4th Quartile Price 98.8 95.0 89.3 87.0 * 112.5 105.6
Avg. Price Top 5 Trades 99.5 95.1 87.8 86.6 98.2 109.3 105.3
Standard Deviation 1.5 2.5 1.9 1.2 5.4 3.6 1.2
VOLUME OF TRADES (000'S) 346,018.0 17,715.0 25,560.4 122,591.0 9,025.0 43,604.9 48,720.0
Customer Buy 158,048.1 * * 64,515.0 9,025.0 * 15,570.0
Customer Sell 176,412.7 10,380.0 19,970.4 58,076.0 0.0 * *
Dealer to Dealer 11,557.2 * 0.0 0.0 0.0 0.0 0.0
<= $1MM 14,481.3 * * * * * *
<= $10MM 101,375.0 15,115.0 * 41,511.0 * * 17,850.0
> $10MM 230,161.6 0.0 * * 0.0 * *
NUMBER OF TRADES 75 10 8 14 5 8 9
Customer Buy 34 * * 9 5 * 7
Customer Sell 31 7 5 5 0 * *
Dealer to Dealer 10 * 0 0 0 0 0
<= $1MM 33 * * * * * *
<= $10MM 32 6 * 11 * * 5
> $10MM 10 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 97.3 87.0 102.6 1.5 * 0.0 89.2 75.1 87.3 * 0.0 0.0 77.2 * * 0.0 0.0 0.0
Weighted Avg. Price 96.9 86.1 103.5 2.0 * 0.0 88.5 72.5 74.5 * 0.0 0.0 77.6 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 93.6 82.2 96.9 1.2 * 0.0 77.5 56.6 59.9 * 0.0 0.0 55.6 * * 0.0 0.0 0.0
2nd Quartile Price 96.2 84.1 101.2 1.3 * 0.0 86.7 66.1 71.5 * 0.0 0.0 62.5 * * 0.0 0.0 0.0
3rd Quartile Price 98.0 85.9 103.3 2.3 * 0.0 90.0 78.3 102.7 * 0.0 0.0 80.0 * * 0.0 0.0 0.0
4th Quartile Price 98.6 89.6 104.7 2.8 * 0.0 93.8 86.2 105.5 * 0.0 0.0 89.1 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 99.3 94.4 106.4 1.7 * 0.0 97.9 88.5 105.9 * 0.0 0.0 94.8 * * 0.0 0.0 0.0
Standard Deviation 1.8 4.0 3.2 1.2 * 0.0 6.0 12.6 21.4 * 0.0 0.0 14.9 * * 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 75,823.9 116,189.5 154,493.0 201,542.7 * 0.0 60,413.1 59,009.0 47,907.0 * 0.0 0.0 78,578.3 * * 0.0 0.0 0.0
Customer Buy 29,740.0 56,621.0 86,665.0 * * 0.0 29,022.0 36,328.0 19,816.0 0.0 0.0 0.0 18,090.6 * * 0.0 0.0 0.0
Customer Sell 39,583.9 59,568.5 50,550.0 * * 0.0 17,414.1 22,681.0 28,091.0 * 0.0 0.0 39,087.7 * 0.0 0.0 0.0 0.0
Dealer to Dealer * 0.0 * * 0.0 0.0 13,977.0 0.0 0.0 0.0 0.0 0.0 21,400.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 6,712.9 1,978.7 3,525.0 * 0.0 0.0 6,663.1 1,876.0 6,355.0 0.0 0.0 0.0 988.3 0.0 0.0 0.0 0.0 0.0
<= $10MM 57,012.3 114,210.8 98,018.0 0.0 0.0 0.0 53,750.0 57,133.0 20,600.0 0.0 0.0 0.0 77,590.0 * * 0.0 0.0 0.0
> $10MM * 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 44 36 28 6 * 0 64 25 16 * 0 0 28 * * 0 0 0
Customer Buy 19 17 18 * * 0 32 15 5 0 0 0 8 * * 0 0 0
Customer Sell 23 19 7 * * 0 27 10 11 * 0 0 14 * 0 0 0 0
Dealer to Dealer * 0 * * 0 0 5 0 0 0 0 0 6 0 0 0 0 0
<= $1MM 23 8 7 * 0 0 43 10 9 0 0 0 11 0 0 0 0 0
<= $10MM 20 28 18 0 0 0 21 15 5 0 0 0 17 * * 0 0 0
> $10MM * 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 93.9 95.6 99.9 0.0 0.0 0.0 88.6 96.3 99.6 0.0 0.0 0.0 75.3 93.6 97.5 0.0 * 0.0
Weighted Avg. Price 0.0 0.0 0.0 94.0 91.9 100.1 0.0 0.0 0.0 91.8 96.1 99.9 0.0 0.0 0.0 80.2 94.4 33.1 0.0 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 88.3 85.8 90.9 0.0 0.0 0.0 76.7 84.4 96.5 0.0 0.0 0.0 27.9 77.1 75.8 0.0 * 0.0
2nd Quartile Price 0.0 0.0 0.0 95.0 94.9 99.9 0.0 0.0 0.0 86.5 94.6 98.2 0.0 0.0 0.0 78.5 94.0 99.5 0.0 * 0.0
3rd Quartile Price 0.0 0.0 0.0 95.3 97.1 100.3 0.0 0.0 0.0 92.9 99.2 100.1 0.0 0.0 0.0 80.9 96.5 99.5 0.0 * 0.0
4th Quartile Price 0.0 0.0 0.0 95.8 99.5 100.5 0.0 0.0 0.0 95.1 99.6 100.5 0.0 0.0 0.0 90.1 99.5 100.5 0.0 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 96.9 100.0 104.6 0.0 0.0 0.0 97.9 100.0 101.7 0.0 0.0 0.0 98.8 99.9 102.1 0.0 * 0.0
Standard Deviation 0.0 0.0 0.0 4.1 4.7 3.0 0.0 0.0 0.0 10.0 4.8 1.7 0.0 0.0 0.0 23.2 9.7 14.2 0.0 * 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 54,485.0 117,857.1 286,514.0 0.0 0.0 0.0 70,671.4 161,821.3 79,374.4 0.0 0.0 0.0 153,138.7 106,722.9 849,216.0 0.0 * 0.0
Customer Buy 0.0 0.0 0.0 19,610.0 45,795.0 152,458.0 0.0 0.0 0.0 22,909.0 48,714.2 51,223.9 0.0 0.0 0.0 78,196.0 50,758.0 701,383.0 0.0 * 0.0
Customer Sell 0.0 0.0 0.0 34,675.0 72,062.1 113,571.5 0.0 0.0 0.0 45,842.4 113,107.0 28,150.4 0.0 0.0 0.0 74,646.1 55,964.9 147,833.0 0.0 * 0.0
Dealer to Dealer 0.0 0.0 0.0 * 0.0 20,484.5 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0
<= $1MM 0.0 0.0 0.0 1,350.0 7,739.3 7,401.8 0.0 0.0 0.0 3,868.0 8,969.0 9,685.4 0.0 0.0 0.0 844.7 * 11,230.0 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 53,135.0 69,617.8 233,492.2 0.0 0.0 0.0 43,681.4 92,299.4 49,689.0 0.0 0.0 0.0 109,150.0 85,026.4 97,358.0 0.0 0.0 0.0
> $10MM 0.0 0.0 0.0 0.0 * * 0.0 0.0 0.0 * 60,552.9 * 0.0 0.0 0.0 * * 740,628.0 0.0 * 0.0
NUMBER OF TRADES 0 0 0 19 38 80 0 0 0 22 50 36 0 0 0 39 28 49 0 * 0
Customer Buy 0 0 0 9 20 40 0 0 0 8 22 26 0 0 0 19 14 38 0 * 0
Customer Sell 0 0 0 9 18 34 0 0 0 11 28 10 0 0 0 18 14 11 0 * 0
Dealer to Dealer 0 0 0 * 0 6 0 0 0 * 0 0 0 0 0 * 0 0 0 * 0
<= $1MM 0 0 0 5 17 25 0 0 0 8 16 20 0 0 0 5 * 13 0 0 0
<= $10MM 0 0 0 14 19 51 0 0 0 12 29 15 0 0 0 30 23 30 0 0 0
> $10MM 0 0 0 0 * * 0 0 0 * 5 * 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].
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