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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
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 95.4 95.7 97.2 100.1 100.3 99.7 100.4 89.4 92.9
Weighted Avg. Price 97.1 97.0 97.8 100.2 100.3 99.9 100.4 87.8 86.7
Avg. Price Bottom 5 Trades 35.4 35.4 67.6 100.0 100.1 96.7 100.0 35.4 67.6
2nd Quartile Price 98.6 98.6 100.2 100.1 100.2 100.0 100.4 92.6 97.3
3rd Quartile Price 100.1 100.0 100.4 100.2 100.3 100.2 100.5 98.6 100.6
4th Quartile Price 100.4 100.3 100.8 100.3 100.4 100.5 100.5 99.9 101.3
Avg. Price Top 5 Trades 101.7 101.2 101.5 100.3 100.4 100.7 100.8 101.1 101.5
Standard Deviation 13.3 13.5 10.1 0.1 0.2 1.4 0.4 19.7 14.7
VOLUME OF TRADES (000'S) 1,129,591.8 686,336.3 427,587.2 425,538.6 260,087.2 84,885.0 87,205.0 175,912.7 80,295.0
Customer Buy 495,128.6 310,604.5 175,110.0 198,333.0 105,635.0 34,825.0 31,400.0 77,446.5 38,075.0
Customer Sell 618,625.7 368,894.3 243,477.2 221,515.6 154,452.2 50,060.0 46,805.0 97,318.8 42,220.0
Dealer to Dealer 15,837.4 * * * - - * * -
<= $1MM 35,292.6 27,182.6 4,820.0 6,032.6 * 15,350.0 * 5,800.0 *
<= $10MM 510,339.0 326,243.5 171,717.2 108,595.8 * 69,535.0 71,205.0 148,112.7 77,075.0
> $10MM 583,960.2 332,910.2 251,050.0 310,910.2 236,050.0 - * * -
NUMBER OF TRADES 220 152 59 47 14 44 20 61 25
Customer Buy 105 72 28 29 7 18 8 25 13
Customer Sell 110 77 29 16 7 26 10 35 12
Dealer to Dealer 5 * * * - - * * -
<= $1MM 51 40 7 10 * 19 * 11 *
<= $10MM 143 96 42 23 * 25 17 48 21
> $10MM 26 16 10 14 9 - * * -

* 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].