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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 91.0 87.6 98.0 100.1 100.2 99.9 100.3 72.7 95.0
Weighted Avg. Price 91.3 89.1 96.9 100.0 100.2 100.1 100.2 58.3 90.5
Avg. Price Bottom 5 Trades 6.8 6.8 71.5 99.9 99.9 98.9 100.1 6.8 71.5
2nd Quartile Price 99.3 98.1 100.1 100.0 100.1 100.0 100.2 50.1 99.4
3rd Quartile Price 100.1 100.0 100.2 100.1 100.2 100.2 100.3 98.1 100.4
4th Quartile Price 100.3 100.2 100.4 100.2 100.3 100.3 100.4 100.1 101.0
Avg. Price Top 5 Trades 102.6 101.2 102.0 100.3 100.3 100.4 100.5 101.1 102.0
Standard Deviation 24.2 28.9 8.3 0.1 0.2 0.7 0.4 37.9 12.1
VOLUME OF TRADES (000'S) 763,699.2 496,732.6 241,220.8 276,740.6 123,112.8 89,871.0 35,546.0 130,121.0 82,562.0
Customer Buy 346,111.3 215,930.7 104,434.8 126,497.7 52,387.8 38,590.0 * 50,843.0 42,447.0
Customer Sell 353,427.9 229,561.9 123,866.0 100,242.9 70,725.0 50,041.0 * 79,278.0 40,115.0
Dealer to Dealer 64,160.0 * * * - * * - -
<= $1MM 28,037.7 15,648.7 12,389.0 3,108.7 3,521.0 3,540.0 * 9,000.0 6,318.0
<= $10MM 398,716.5 216,138.9 156,831.8 35,557.9 60,591.8 59,460.0 32,996.0 121,121.0 63,244.0
> $10MM 336,945.0 264,945.0 * 238,074.0 * * - - *
NUMBER OF TRADES 163 99 60 32 24 22 10 45 26
Customer Buy 77 47 26 17 12 8 * 22 10
Customer Sell 80 48 32 13 12 12 * 23 16
Dealer to Dealer 6 * * * - * * - -
<= $1MM 37 21 16 7 6 5 * 9 7
<= $10MM 108 64 40 13 15 15 7 36 18
> $10MM 18 14 * 12 * * - - *

* 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].