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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 95.7 96.9 96.7 100.1 100.2 99.6 100.3 89.7 86.4
Weighted Avg. Price 95.7 97.1 94.3 100.0 100.2 99.9 100.0 88.6 80.7
Avg. Price Bottom 5 Trades 7.3 42.8 37.6 99.6 99.9 93.8 99.4 42.8 37.6
2nd Quartile Price 99.9 99.9 100.0 100.0 100.1 99.9 100.1 95.0 88.4
3rd Quartile Price 100.0 100.0 100.2 100.0 100.2 100.0 100.3 99.3 100.1
4th Quartile Price 100.2 100.1 100.4 100.1 100.4 100.1 100.7 100.2 100.6
Avg. Price Top 5 Trades 101.3 100.7 101.3 100.4 100.4 100.6 101.2 100.5 101.0
Standard Deviation 16.3 12.4 14.2 0.2 0.2 2.6 0.5 21.2 25.5
VOLUME OF TRADES (000'S) 1,264,176.7 863,158.5 383,518.7 479,182.3 126,661.7 166,665.0 142,180.0 217,311.2 114,677.0
Customer Buy 593,211.3 403,294.1 187,217.7 196,142.0 47,151.7 75,168.2 73,140.0 131,983.9 66,926.0
Customer Sell 670,965.4 459,864.4 196,301.0 283,040.3 79,510.0 91,496.8 69,040.0 85,327.3 47,751.0
Dealer to Dealer - - - - - - - - -
<= $1MM 57,511.1 29,654.9 26,656.7 16,606.0 7,581.7 11,090.7 15,975.0 1,958.2 3,100.0
<= $10MM 704,171.1 452,899.1 234,972.0 114,911.3 46,080.0 155,574.3 87,690.0 182,413.4 101,202.0
> $10MM 502,494.6 380,604.6 121,890.0 347,664.9 * - * * *
NUMBER OF TRADES 309 198 104 75 30 65 47 58 27
Customer Buy 150 92 56 31 16 31 25 30 15
Customer Sell 159 106 48 44 14 34 22 28 12
Dealer to Dealer - - - - - - - - -
<= $1MM 87 51 33 29 11 17 17 5 5
<= $10MM 200 132 64 33 16 48 27 51 21
> $10MM 22 15 7 13 * - * * *

* 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].