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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-2021 2021-2024 PRE-2021 2021-2024 PRE-2021 2021-2024 PRE-2021 2021-2024
AVERAGE PRICE 81.5 77.2 91.7 100.2 100.3 100.2 100.3 54.4 76.9
Weighted Avg. Price 65.9 61.9 83.4 100.1 100.3 100.3 100.3 19.9 52.4
Avg. Price Bottom 5 Trades 1.1 4.1 17.1 100.0 100.0 99.8 99.7 4.1 17.1
2nd Quartile Price 93.6 73.0 100.0 100.1 100.1 100.1 100.2 - 67.9
3rd Quartile Price 100.1 100.1 100.2 100.2 100.2 100.3 100.3 73.0 99.6
4th Quartile Price 100.4 100.3 100.5 100.2 100.5 100.4 100.7 100.2 100.3
Avg. Price Top 5 Trades 108.9 108.2 102.4 100.6 100.8 100.7 101.2 108.2 102.3
Standard Deviation 36.4 40.5 23.6 0.2 0.3 0.3 1.2 47.2 34.4
VOLUME OF TRADES (000'S) 2,121,585.9 1,722,380.0 383,726.9 747,222.3 192,682.9 154,579.0 55,424.9 820,578.7 135,619.1
Customer Buy 977,313.2 843,305.1 129,638.2 351,488.3 31,292.2 78,262.0 28,969.9 413,554.8 69,376.1
Customer Sell 843,344.5 617,124.9 215,110.5 139,734.1 133,847.5 70,367.0 15,455.0 407,023.8 65,808.0
Dealer to Dealer 300,928.2 261,950.0 38,978.2 * * * * - *
<= $1MM 40,960.5 20,846.4 17,839.1 8,261.6 7,678.9 4,000.0 5,250.0 8,584.8 4,910.2
<= $10MM 844,169.9 591,938.1 239,027.8 107,539.0 86,004.0 150,579.0 50,174.9 333,820.0 102,848.9
> $10MM 1,236,455.5 1,109,595.5 126,860.0 631,421.7 * - - - *
NUMBER OF TRADES 291 197 84 48 33 50 20 99 31
Customer Buy 130 90 36 19 11 21 10 50 15
Customer Sell 148 101 41 26 18 26 8 49 15
Dealer to Dealer 13 6 7 * * * * - *
<= $1MM 61 29 28 14 12 6 8 9 8
<= $10MM 207 151 50 27 17 44 12 80 21
> $10MM 23 7 6 7 * - - - *

* 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].