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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 93.6 99.1 99.8 100.4 100.3 100.5 85.9 91.1
Weighted Avg. Price 93.3 92.4 94.8 99.9 100.4 100.2 100.5 76.0 70.9
Avg. Price Bottom 5 Trades 24.7 24.7 89.3 96.0 100.1 99.9 100.2 24.7 85.1
2nd Quartile Price 99.5 98.5 100.3 100.0 100.3 100.3 100.3 84.3 100.1
3rd Quartile Price 100.2 100.0 100.4 100.1 100.4 100.4 100.6 98.5 100.5
4th Quartile Price 100.4 100.3 100.6 100.3 100.5 100.5 100.7 99.9 101.0
Avg. Price Top 5 Trades 101.2 101.0 100.9 100.5 100.5 100.5 100.7 101.1 100.8
Standard Deviation 15.2 17.8 7.1 1.4 0.1 0.3 0.2 24.6 17.7
VOLUME OF TRADES (000'S) 925,514.0 603,328.4 268,839.0 380,806.9 171,670.0 32,072.0 45,843.3 190,449.5 51,325.6
Customer Buy 437,744.1 306,407.5 105,990.0 205,111.7 56,780.0 * 21,610.0 83,993.8 27,600.0
Customer Sell 467,232.9 279,884.0 159,349.0 167,595.2 114,890.0 11,770.0 20,733.3 100,518.8 *
Dealer to Dealer 20,537.0 * * * - * * * -
<= $1MM 25,107.5 17,011.8 7,095.6 11,986.8 * * 3,810.0 3,775.0 *
<= $10MM 481,465.6 299,147.2 141,118.3 107,560.7 89,335.0 30,822.0 42,033.3 160,764.5 *
> $10MM 418,941.0 287,169.4 120,625.0 261,259.4 80,625.0 - - * *
NUMBER OF TRADES 194 121 56 54 29 13 19 54 8
Customer Buy 82 51 24 21 12 * 7 26 5
Customer Sell 106 66 30 32 17 7 10 27 *
Dealer to Dealer 6 * * * - * * * -
<= $1MM 39 28 10 19 * * 5 5 *
<= $10MM 133 79 39 23 21 9 14 47 *
> $10MM 22 14 7 12 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].