As of
Download

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 97.1 95.1 100.3 100.1 100.3 99.6 100.4 83.0 *
Weighted Avg. Price 94.5 90.9 100.3 100.1 100.4 100.2 100.4 73.6 *
Avg. Price Bottom 5 Trades 57.8 57.8 99.6 99.4 100.1 98.0 100.3 57.8 *
2nd Quartile Price 100.0 99.8 100.2 100.1 100.2 100.1 100.4 78.8 *
3rd Quartile Price 100.2 100.1 100.4 100.2 100.4 100.2 100.4 99.0 *
4th Quartile Price 100.4 100.2 100.4 100.3 100.4 100.6 100.8 99.8 *
Avg. Price Top 5 Trades 100.7 100.6 100.6 100.4 100.5 100.6 100.6 99.9 *
Standard Deviation 12.0 15.1 0.5 0.6 0.2 2.8 0.2 24.6 *
VOLUME OF TRADES (000'S) 521,074.5 322,966.4 156,658.1 165,132.6 114,438.1 46,039.2 35,270.0 111,794.6 *
Customer Buy 288,478.6 173,550.5 96,058.1 85,634.0 80,938.1 18,654.2 * 69,262.3 *
Customer Sell 190,260.9 122,080.9 45,600.0 59,763.6 18,500.0 19,785.0 24,100.0 42,532.3 *
Dealer to Dealer 42,335.0 27,335.0 * 19,735.0 * * - - -
<= $1MM 18,047.8 9,777.7 8,270.1 4,568.5 4,770.1 3,534.2 * * *
<= $10MM 276,097.6 136,509.6 98,138.0 55,364.5 59,418.0 42,505.0 32,770.0 38,640.1 *
> $10MM 226,929.1 176,679.1 * 105,199.6 * - - * -
NUMBER OF TRADES 104 63 34 30 20 15 10 18 *
Customer Buy 49 28 18 11 12 6 * 11 *
Customer Sell 45 28 13 14 5 7 6 7 *
Dealer to Dealer 10 7 * 5 * * - - -
<= $1MM 27 16 11 8 7 6 * * *
<= $10MM 64 36 21 15 11 9 7 12 *
> $10MM 13 11 * 7 * - - * -

* 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].