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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 96.8 97.6 95.5 99.7 99.8 99.2 98.3 * 78.8
Weighted Avg. Price 96.3 95.6 98.1 99.6 99.6 99.5 98.3 * 77.1
Avg. Price Bottom 5 Trades 51.7 76.8 70.4 99.2 99.5 98.1 96.4 * 71.5
2nd Quartile Price 99.3 99.5 98.4 99.7 99.8 99.0 97.5 * 65.0
3rd Quartile Price 99.8 99.8 99.8 99.9 99.9 99.7 99.0 * 68.8
4th Quartile Price 99.9 99.9 100.0 100.0 100.0 99.9 100.0 * 100.2
Avg. Price Top 5 Trades 100.4 100.0 100.4 100.0 100.0 99.9 99.7 * 87.2
Standard Deviation 11.4 12.0 10.7 0.3 0.3 1.0 1.8 * 18.0
VOLUME OF TRADES (000'S) 1,004,395.2 705,681.8 281,020.4 631,711.8 232,245.4 30,720.0 32,415.0 * 16,360.0
Customer Buy 493,648.5 345,214.5 148,434.0 320,769.5 107,864.0 19,195.0 26,510.0 * 14,060.0
Customer Sell 490,746.7 340,467.3 132,586.4 310,942.3 124,381.4 * * * *
Dealer to Dealer * * - - - * - * -
<= $1MM 16,126.6 7,995.2 8,131.4 2,575.2 * 5,420.0 4,050.0 - *
<= $10MM 355,945.8 218,963.8 119,289.0 188,413.8 76,164.0 25,300.0 28,365.0 * 14,760.0
> $10MM 632,322.7 478,722.7 153,600.0 440,722.7 153,600.0 - - * -
NUMBER OF TRADES 125 77 45 57 22 16 15 * 8
Customer Buy 72 43 29 31 12 10 11 * 6
Customer Sell 50 31 16 26 10 * * * *
Dealer to Dealer * * - - - * - * -
<= $1MM 28 14 14 5 * 9 8 - *
<= $10MM 75 47 25 38 13 7 7 * 5
> $10MM 22 16 6 14 6 - - * -

* 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].