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 95.2 94.0 100.7 99.9 100.4 100.2 101.3 63.2 *
Weighted Avg. Price 90.3 84.0 100.7 100.1 100.6 100.0 101.2 35.7 *
Avg. Price Bottom 5 Trades 13.9 13.9 99.7 97.4 100.1 99.6 100.8 13.9 *
2nd Quartile Price 100.1 100.0 100.3 100.1 100.2 100.2 101.0 26.4 *
3rd Quartile Price 100.2 100.2 100.8 100.2 100.3 100.3 101.3 84.1 *
4th Quartile Price 100.4 100.3 101.3 100.3 100.8 100.4 101.5 99.9 *
Avg. Price Top 5 Trades 101.8 100.7 101.8 100.6 100.8 100.5 101.8 95.6 *
Standard Deviation 18.1 20.2 0.9 1.4 0.3 0.3 0.8 37.8 *
VOLUME OF TRADES (000'S) 501,250.5 310,840.8 189,658.1 147,263.2 131,568.1 85,827.0 49,490.0 77,750.6 *
Customer Buy 291,612.3 145,363.4 146,248.9 57,900.1 109,358.9 63,943.5 28,290.0 23,519.8 *
Customer Sell 122,588.8 90,628.0 31,209.2 26,632.9 * * * 45,111.6 -
Dealer to Dealer 87,049.4 74,849.4 * 62,730.2 - * * * -
<= $1MM 19,475.0 17,993.4 * 12,707.1 * 3,700.0 - * -
<= $10MM 261,494.2 170,720.2 90,774.0 68,125.9 32,684.0 62,010.0 49,490.0 40,584.3 *
> $10MM 220,281.3 122,127.2 * * * * - * -
NUMBER OF TRADES 118 92 25 50 13 27 10 15 *
Customer Buy 69 52 17 23 9 23 6 6 *
Customer Sell 38 31 6 22 * * * 6 -
Dealer to Dealer 11 9 * 5 - * * * -
<= $1MM 35 33 * 25 * 5 - * -
<= $10MM 72 52 20 22 8 20 10 10 *
> $10MM 11 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].