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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 97.3 97.8 98.5 99.6 100.5 98.7 100.9 96.4 91.3
Weighted Avg. Price 93.0 93.3 94.9 100.4 100.7 97.6 100.8 88.5 80.4
Avg. Price Bottom 5 Trades 45.6 66.6 82.0 97.5 100.1 93.5 100.4 60.4 82.1
2nd Quartile Price 99.6 99.2 100.3 100.1 100.3 100.1 100.4 99.0 78.0
3rd Quartile Price 100.2 100.1 100.7 100.3 100.7 100.3 100.7 99.8 100.9
4th Quartile Price 100.7 100.3 101.0 100.3 100.9 101.4 101.0 100.1 103.4
Avg. Price Top 5 Trades 103.9 103.6 102.9 100.7 100.9 102.2 101.6 103.3 102.4
Standard Deviation 12.8 11.1 7.4 2.3 0.4 5.4 0.6 15.0 13.2
VOLUME OF TRADES (000'S) 657,895.1 427,173.3 222,857.8 128,631.6 89,072.8 59,086.2 70,165.0 239,455.5 63,620.0
Customer Buy 337,710.0 243,387.2 87,932.8 76,576.8 31,872.8 22,428.1 21,750.0 144,382.3 34,310.0
Customer Sell 290,785.1 155,486.1 133,825.0 52,054.9 57,200.0 14,358.1 47,315.0 89,073.2 *
Dealer to Dealer 29,400.0 28,300.0 * - - 22,300.0 * * -
<= $1MM 22,526.2 19,733.4 2,642.8 5,259.1 * 6,861.2 * 7,613.1 *
<= $10MM 368,387.3 256,758.3 103,915.0 56,290.9 * 52,225.0 69,915.0 148,242.4 17,500.0
> $10MM 266,981.7 150,681.7 116,300.0 * * - - 83,600.0 *
NUMBER OF TRADES 161 120 38 34 12 25 17 61 9
Customer Buy 88 67 19 21 7 11 7 35 5
Customer Sell 62 43 18 13 5 7 9 23 *
Dealer to Dealer 11 10 * - - 7 * * -
<= $1MM 38 30 7 10 * 10 * 10 *
<= $10MM 108 81 25 20 * 15 16 46 5
> $10MM 15 9 6 * * - - 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].