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 93.7 91.4 99.4 99.9 100.1 99.9 100.1 66.3 *
Weighted Avg. Price 78.1 70.9 99.7 99.9 100.1 99.7 100.2 27.0 *
Avg. Price Bottom 5 Trades 24.1 26.8 91.4 99.5 99.9 98.0 99.5 26.8 *
2nd Quartile Price 99.7 98.4 100.0 99.8 100.0 100.0 100.1 45.1 *
3rd Quartile Price 100.1 100.0 100.2 100.0 100.1 100.2 100.2 77.6 *
4th Quartile Price 100.2 100.1 100.3 100.1 100.2 100.3 100.4 91.4 *
Avg. Price Top 5 Trades 100.8 100.5 100.8 100.2 100.3 100.5 100.6 99.4 *
Standard Deviation 18.5 20.5 5.5 0.2 0.2 0.8 0.4 28.8 *
VOLUME OF TRADES (000'S) 1,423,675.8 998,149.0 208,060.0 454,309.7 128,870.0 147,267.4 71,250.0 396,571.8 *
Customer Buy 740,635.0 519,776.5 129,075.0 220,254.9 87,135.0 89,577.5 36,000.0 209,944.2 *
Customer Sell 683,040.9 478,372.4 78,985.0 234,054.8 41,735.0 57,689.9 35,250.0 186,627.7 *
Dealer to Dealer - - - - - - - - -
<= $1MM 28,336.9 18,426.9 9,410.0 4,650.4 5,410.0 8,730.0 * 5,046.5 -
<= $10MM 516,451.9 282,706.9 123,045.0 107,234.8 47,855.0 109,507.4 67,250.0 65,964.7 *
> $10MM 878,887.1 697,015.2 75,605.0 342,424.6 75,605.0 * - 325,560.6 -
NUMBER OF TRADES 197 119 53 50 23 39 26 30 *
Customer Buy 118 74 34 35 17 21 14 18 *
Customer Sell 79 45 19 15 6 18 12 12 *
Dealer to Dealer - - - - - - - - -
<= $1MM 44 31 12 13 8 11 * 7 -
<= $10MM 117 64 36 21 10 26 22 17 *
> $10MM 36 24 5 16 5 * - 6 -

* 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].