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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 99.2 99.0 99.7 99.7 99.7 99.3 99.6 92.5 99.8
Weighted Avg. Price 99.1 99.0 99.6 99.7 99.6 99.2 99.4 88.4 99.8
Avg. Price Bottom 5 Trades 77.3 77.3 96.7 96.6 99.2 98.1 98.6 77.3 97.0
2nd Quartile Price 99.5 99.5 99.5 99.7 99.5 98.6 99.6 95.9 100.2
3rd Quartile Price 99.8 99.8 100.0 99.9 99.8 99.7 100.0 97.5 100.3
4th Quartile Price 100.0 99.9 100.3 99.9 100.0 99.9 100.0 99.3 100.5
Avg. Price Top 5 Trades 100.7 100.3 100.7 100.1 100.1 100.1 100.1 99.1 100.7
Standard Deviation 3.8 4.6 0.9 0.6 0.3 0.8 0.8 14.6 1.3
VOLUME OF TRADES (000'S) 2,099,537.2 1,480,005.6 615,431.6 1,173,641.1 339,779.6 218,293.0 143,722.0 88,071.5 131,930.0
Customer Buy 976,383.9 709,494.9 266,889.0 549,095.4 150,909.0 107,645.0 55,230.0 52,754.5 60,750.0
Customer Sell 1,110,563.1 757,920.5 348,542.6 611,955.5 188,870.6 110,648.0 88,492.0 35,317.0 71,180.0
Dealer to Dealer * * - * - - - - -
<= $1MM 23,998.3 18,506.7 5,391.6 10,356.7 * 3,150.0 * 5,000.0 *
<= $10MM 993,240.9 606,250.9 382,990.0 392,135.9 130,588.0 168,643.0 122,472.0 45,472.0 129,930.0
> $10MM 1,082,298.0 855,248.0 227,050.0 771,148.5 208,050.0 * * * -
NUMBER OF TRADES 339 230 107 154 40 57 30 19 37
Customer Buy 144 96 48 60 16 26 13 10 19
Customer Sell 191 130 59 90 24 31 17 9 18
Dealer to Dealer * * - * - - - - -
<= $1MM 52 43 8 31 * 7 * 5 *
<= $10MM 241 153 87 95 26 47 26 11 35
> $10MM 46 34 12 28 11 * * * -

* 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 tracedataservices@finra.org.