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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 95.3 94.9 96.0 100.1 100.2 100.1 100.4 71.3 72.9
Weighted Avg. Price 93.5 95.0 90.2 100.2 100.2 100.1 100.4 62.6 66.5
Avg. Price Bottom 5 Trades 23.7 23.7 63.6 99.8 99.8 98.8 99.6 23.7 63.6
2nd Quartile Price 100.0 100.0 99.9 100.0 99.9 100.1 100.3 40.4 63.2
3rd Quartile Price 100.1 100.1 100.3 100.1 100.3 100.2 100.5 92.0 70.7
4th Quartile Price 100.3 100.2 100.5 100.2 100.4 100.4 100.8 99.7 99.4
Avg. Price Top 5 Trades 101.6 101.0 101.3 100.3 100.4 101.0 101.1 100.2 82.2
Standard Deviation 15.9 17.8 11.5 0.1 0.2 0.7 0.5 33.2 15.1
VOLUME OF TRADES (000'S) 885,024.7 603,060.6 280,964.1 398,603.8 118,009.1 121,356.8 79,425.0 83,100.0 83,530.0
Customer Buy 392,099.3 265,348.8 126,250.5 189,498.0 63,330.5 38,550.8 27,420.0 37,300.0 *
Customer Sell 473,257.5 320,043.9 152,713.6 208,182.9 54,678.6 66,061.0 50,005.0 45,800.0 48,030.0
Dealer to Dealer 19,667.9 17,667.9 * * - 16,745.0 * - -
<= $1MM 41,335.0 26,036.0 14,299.1 17,121.0 4,934.1 6,950.0 9,365.0 * -
<= $10MM 367,371.7 256,706.7 110,665.0 73,164.8 17,075.0 102,406.8 70,060.0 81,135.0 23,530.0
> $10MM 476,318.0 320,318.0 156,000.0 308,318.0 * * - - *
NUMBER OF TRADES 199 133 64 70 22 39 32 24 10
Customer Buy 76 46 29 20 11 15 14 11 *
Customer Sell 113 79 33 47 11 19 16 13 6
Dealer to Dealer 10 8 * * - 5 * - -
<= $1MM 81 57 22 43 11 11 11 * -
<= $10MM 99 63 36 15 7 27 21 21 8
> $10MM 19 13 6 12 * * - - *

* 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].