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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 87.2 84.6 94.2 99.9 100.3 99.9 100.5 67.6 78.8
Weighted Avg. Price 86.2 79.4 95.3 100.0 100.3 100.0 100.5 53.4 75.2
Avg. Price Bottom 5 Trades 3.3 3.3 64.8 98.7 99.9 99.0 100.3 3.3 64.8
2nd Quartile Price 91.8 93.1 99.6 100.0 100.2 99.9 100.4 40.7 72.5
3rd Quartile Price 100.0 100.0 100.3 100.1 100.3 100.3 100.5 87.9 81.3
4th Quartile Price 100.3 100.2 100.4 100.3 100.3 100.4 100.8 98.4 98.8
Avg. Price Top 5 Trades 101.0 100.5 100.8 100.3 100.5 100.4 100.7 100.2 95.9
Standard Deviation 25.2 28.7 12.7 1.1 0.3 0.7 0.2 34.6 15.4
VOLUME OF TRADES (000'S) 899,490.6 486,977.3 388,190.0 242,602.6 295,730.0 29,605.0 15,860.0 214,769.7 76,600.0
Customer Buy 471,508.0 264,129.6 192,485.0 141,796.5 148,735.0 13,750.0 5,450.0 108,583.2 38,300.0
Customer Sell 426,182.6 222,847.6 193,905.0 100,806.1 146,995.0 15,855.0 10,410.0 106,186.5 36,500.0
Dealer to Dealer * - * - - - - - *
<= $1MM 23,271.3 11,466.3 10,305.0 6,546.3 6,295.0 3,920.0 4,010.0 * -
<= $10MM 345,962.6 233,589.2 89,550.0 53,278.2 43,100.0 25,685.0 * 154,626.0 34,600.0
> $10MM 530,256.7 241,921.7 288,335.0 182,778.1 * - - * *
NUMBER OF TRADES 157 99 49 35 24 17 11 47 14
Customer Buy 82 53 22 17 10 9 5 27 7
Customer Sell 74 46 26 18 14 8 6 20 6
Dealer to Dealer * - * - - - - - *
<= $1MM 39 18 18 11 10 6 8 * -
<= $10MM 101 69 26 16 11 11 * 42 12
> $10MM 17 12 5 8 * - - * *

* 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].