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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 97.0 95.8 99.4 100.0 100.1 99.2 100.0 84.7 96.1
Weighted Avg. Price 94.3 91.8 99.4 100.0 100.1 99.2 99.7 68.1 93.6
Avg. Price Bottom 5 Trades 15.6 15.6 91.6 99.7 99.5 93.1 99.5 15.6 91.6
2nd Quartile Price 99.5 99.5 99.9 100.0 100.0 99.3 100.0 95.9 95.8
3rd Quartile Price 100.0 100.0 100.1 100.0 100.2 100.0 100.1 99.3 98.6
4th Quartile Price 100.1 100.1 100.3 100.1 100.3 100.2 100.2 99.9 99.5
Avg. Price Top 5 Trades 100.6 100.6 100.5 100.2 100.3 100.5 100.4 100.3 99.7
Standard Deviation 13.3 16.0 2.7 0.2 0.3 2.1 0.4 29.3 5.6
VOLUME OF TRADES (000'S) 1,763,044.9 1,189,492.0 491,802.9 649,610.5 342,643.9 238,641.1 100,185.0 301,240.4 48,974.0
Customer Buy 766,308.1 522,411.1 213,897.0 263,467.9 160,550.0 115,448.0 29,985.0 143,495.2 23,362.0
Customer Sell 988,236.8 667,080.9 269,405.9 386,142.7 173,593.9 123,193.0 70,200.0 157,745.2 25,612.0
Dealer to Dealer * - * - * - - - -
<= $1MM 33,653.9 17,661.7 13,242.3 7,941.7 7,242.3 9,720.0 4,500.0 - *
<= $10MM 744,795.8 509,757.2 156,038.6 176,246.1 73,241.6 194,921.1 55,685.0 138,590.0 27,112.0
> $10MM 984,595.2 662,073.2 322,522.0 465,422.8 262,160.0 * * 162,650.4 *
NUMBER OF TRADES 267 178 69 66 37 67 20 45 12
Customer Buy 137 94 36 38 21 35 9 21 6
Customer Sell 129 84 32 28 15 32 11 24 6
Dealer to Dealer * - * - * - - - -
<= $1MM 48 26 19 13 11 13 5 - *
<= $10MM 180 127 36 35 15 52 14 40 7
> $10MM 39 25 14 18 11 * * 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].