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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 96.3 94.7 99.1 99.7 100.4 100.3 100.6 80.5 93.0
Weighted Avg. Price 97.8 97.2 99.5 99.7 100.4 100.4 100.6 72.9 92.3
Avg. Price Bottom 5 Trades 48.0 45.4 83.8 97.3 100.1 99.2 100.1 45.4 83.8
2nd Quartile Price 99.8 99.2 100.2 100.0 100.3 100.1 100.4 50.0 90.1
3rd Quartile Price 100.2 100.1 100.4 100.1 100.4 100.4 100.7 97.3 99.0
4th Quartile Price 100.5 100.4 100.7 100.2 100.6 100.7 100.9 99.7 100.8
Avg. Price Top 5 Trades 101.1 100.8 101.2 100.4 100.7 100.8 101.2 100.1 100.3
Standard Deviation 13.1 16.3 4.7 1.5 0.2 0.6 0.5 26.9 8.4
VOLUME OF TRADES (000'S) 1,219,179.4 877,540.9 337,813.5 640,401.6 247,101.5 151,065.0 51,217.0 86,074.3 39,495.0
Customer Buy 618,218.4 461,286.1 153,107.4 346,299.8 119,924.9 64,010.0 19,300.0 50,976.3 *
Customer Sell 597,846.9 416,254.8 181,592.1 294,101.8 124,062.6 87,055.0 31,917.0 35,098.0 25,612.5
Dealer to Dealer * - * - * - - - -
<= $1MM 16,826.3 8,966.3 7,110.0 * 4,550.0 5,000.0 * * -
<= $10MM 520,285.1 329,344.3 187,865.9 112,899.2 99,713.9 146,065.0 48,657.0 70,380.1 39,495.0
> $10MM 682,067.9 539,230.3 142,837.6 525,262.4 142,837.6 - - * -
NUMBER OF TRADES 170 100 68 40 34 33 21 27 13
Customer Buy 83 50 31 21 21 12 6 17 *
Customer Sell 84 50 34 19 10 21 15 10 9
Dealer to Dealer * - * - * - - - -
<= $1MM 23 11 11 * 7 5 * * -
<= $10MM 123 71 51 20 21 28 17 23 13
> $10MM 24 18 6 17 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].