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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 97.0 96.1 99.2 99.9 99.8 99.6 100.1 83.1 90.1
Weighted Avg. Price 99.1 99.1 99.2 99.9 99.8 99.7 99.8 89.9 92.3
Avg. Price Bottom 5 Trades 33.2 32.7 90.5 99.6 99.5 98.6 99.1 32.7 90.1
2nd Quartile Price 99.5 99.4 99.7 99.9 99.8 99.4 99.7 79.2 *
3rd Quartile Price 99.9 99.9 99.9 99.9 99.8 99.9 100.0 99.0 *
4th Quartile Price 100.0 100.0 100.2 100.0 100.0 100.0 101.0 99.8 *
Avg. Price Top 5 Trades 101.1 100.3 101.1 100.1 100.2 100.1 101.1 100.0 90.1
Standard Deviation 12.4 14.0 6.2 0.1 0.2 0.5 0.8 26.1 23.6
VOLUME OF TRADES (000'S) 1,340,795.6 932,660.9 378,384.7 610,630.9 235,299.7 247,595.0 112,085.0 74,435.0 31,000.0
Customer Buy 779,449.7 519,561.6 259,388.2 353,384.6 163,353.2 124,885.0 73,035.0 41,292.0 *
Customer Sell 548,295.9 410,549.3 118,496.6 257,246.3 71,446.6 122,710.0 39,050.0 30,593.0 *
Dealer to Dealer 13,050.0 * * - * - - * -
<= $1MM 21,595.3 11,530.8 8,564.5 3,780.8 3,314.5 * 4,250.0 6,150.0 *
<= $10MM 654,542.2 373,271.9 253,020.2 159,086.9 153,785.2 145,900.0 69,235.0 68,285.0 *
> $10MM 664,658.2 547,858.2 116,800.0 447,763.2 * 100,095.0 * - -
NUMBER OF TRADES 220 141 71 59 40 51 26 31 5
Customer Buy 126 77 48 33 26 27 18 17 *
Customer Sell 88 61 22 26 13 24 8 11 *
Dealer to Dealer 6 * * - * - - * -
<= $1MM 35 20 13 8 7 * 5 9 *
<= $10MM 158 100 52 38 29 40 19 22 *
> $10MM 27 21 6 13 * 8 * - -

* 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 tracedataservices@finra.org.