As of
Download

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
Pricing Table: CBO/CDO/CLO
METRIC CBO/CDO/CLO CBO/CDO/CLO AAA NON-AAA IG NON-INVESTMENT GRADE
PRE-2022 2022-2025 PRE-2022 2022-2025 PRE-2022 2022-2025 PRE-2022 2022-2025
AVERAGE PRICE 97.5 98.1 96.6 100.0 100.0 99.9 99.8 94.1 89.2
Weighted Avg. Price 93.7 96.3 88.0 99.9 100.0 99.9 99.4 83.2 72.7
Avg. Price Bottom 5 Trades 44.3 62.2 66.1 99.6 99.6 98.6 98.6 62.2 66.1
2nd Quartile Price 99.6 99.7 99.6 100.0 99.9 99.8 99.9 97.0 88.8
3rd Quartile Price 100.0 100.0 100.0 100.0 100.0 100.0 100.2 99.6 99.6
4th Quartile Price 100.1 100.1 100.2 100.1 100.1 100.2 100.6 100.0 100.5
Avg. Price Top 5 Trades 100.9 100.4 100.9 100.2 100.2 100.4 100.7 100.2 100.4
Standard Deviation 10.3 10.2 10.6 0.2 0.2 0.5 1.1 17.6 17.1
VOLUME OF TRADES (000'S) 790,878.6 538,361.3 249,450.7 301,428.9 112,801.4 120,727.5 27,370.0 116,204.8 109,279.3
Customer Buy 441,880.6 291,132.7 150,497.9 189,352.7 90,022.7 56,485.0 9,070.0 45,295.0 51,405.2
Customer Sell 312,372.5 213,419.7 98,952.8 95,644.2 22,778.7 64,242.5 18,300.0 53,533.0 57,874.1
Dealer to Dealer 36,625.5 33,808.8 - * - - - * -
<= $1MM 34,283.8 24,505.1 9,528.7 2,380.1 2,638.7 16,035.0 5,890.0 6,090.0 *
<= $10MM 395,850.6 301,847.3 91,186.6 112,053.8 28,237.7 93,942.5 21,480.0 95,851.0 41,468.9
> $10MM 360,744.2 212,008.8 148,735.4 186,995.0 81,925.0 * - * *
NUMBER OF TRADES 184 127 55 41 21 46 17 40 17
Customer Buy 103 73 29 30 15 25 7 18 7
Customer Sell 74 48 26 7 6 21 10 20 10
Dealer to Dealer 7 6 - * - - - * -
<= $1MM 55 39 15 8 7 20 7 11 *
<= $10MM 111 77 33 24 9 25 10 28 14
> $10MM 18 11 7 9 5 * - * *

* 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].