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-2021 2021-2024 PRE-2021 2021-2024 PRE-2021 2021-2024 PRE-2021 2021-2024
AVERAGE PRICE 90.4 88.3 94.7 100.1 100.1 97.1 100.7 72.4 78.1
Weighted Avg. Price 86.4 83.9 90.6 100.1 100.3 98.2 101.0 61.7 76.9
Avg. Price Bottom 5 Trades 34.6 43.6 50.7 98.8 99.8 87.1 100.2 43.6 50.7
2nd Quartile Price 95.0 83.8 99.8 100.2 100.0 100.0 100.3 46.5 69.3
3rd Quartile Price 100.1 100.1 100.1 100.2 100.2 100.3 100.6 75.3 95.2
4th Quartile Price 100.3 100.3 100.5 100.3 100.3 100.6 101.3 100.0 99.3
Avg. Price Top 5 Trades 101.6 101.0 101.7 100.6 100.6 100.8 101.7 100.5 99.6
Standard Deviation 20.5 21.0 17.0 0.9 0.3 6.4 0.7 25.7 28.3
VOLUME OF TRADES (000'S) 800,360.9 482,639.7 310,506.2 254,530.5 139,867.6 25,325.2 40,550.0 202,784.0 130,088.6
Customer Buy 495,737.5 275,973.8 218,863.7 148,322.8 107,560.1 12,405.0 30,440.0 115,246.0 80,863.6
Customer Sell 264,637.9 175,837.2 82,485.7 79,396.9 26,480.7 10,076.3 8,080.0 86,364.0 47,925.0
Dealer to Dealer 39,985.5 30,828.7 9,156.8 26,810.8 5,826.8 2,843.9 * * *
<= $1MM 31,834.8 16,190.6 13,304.2 5,625.4 6,304.2 9,165.2 7,000.0 * -
<= $10MM 390,233.1 229,071.1 156,286.9 98,932.1 62,945.4 16,160.0 33,550.0 113,979.0 59,791.6
> $10MM - - - - - - - - -
NUMBER OF TRADES 181 100 75 36 34 24 22 40 19
Customer Buy 96 51 44 17 21 10 12 24 11
Customer Sell 62 36 21 13 7 8 7 15 7
Dealer to Dealer 23 13 10 6 6 6 * * *
<= $1MM 59 30 25 12 13 16 12 * -
<= $10MM 103 60 41 19 17 8 10 33 14
> $10MM - - - - - - - - -

* 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 Listor 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].