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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 92.9 92.3 97.7 99.9 100.2 100.1 100.4 79.1 92.8
Weighted Avg. Price 93.5 90.7 98.8 99.9 100.2 100.2 100.3 64.4 89.5
Avg. Price Bottom 5 Trades 18.5 21.8 67.6 97.6 99.9 98.4 100.2 21.8 67.6
2nd Quartile Price 98.7 98.4 99.9 100.0 100.0 100.1 100.2 62.5 96.0
3rd Quartile Price 100.1 100.0 100.2 100.1 100.2 100.2 100.4 96.8 99.4
4th Quartile Price 100.3 100.2 100.4 100.2 100.3 100.4 100.8 99.0 101.1
Avg. Price Top 5 Trades 101.5 100.8 101.4 100.4 100.4 100.8 100.7 100.4 101.4
Standard Deviation 18.5 19.0 9.6 1.2 0.2 0.7 0.3 26.5 15.5
VOLUME OF TRADES (000'S) 1,933,726.9 1,230,308.0 680,369.0 708,932.7 575,835.1 201,073.6 19,155.0 320,301.7 85,378.9
Customer Buy 976,153.0 603,731.7 357,271.3 360,305.0 296,017.4 98,635.6 17,455.0 144,791.1 43,798.9
Customer Sell 903,414.0 582,416.3 313,097.7 327,667.6 269,817.7 79,238.1 * 175,510.6 41,580.0
Dealer to Dealer 54,160.0 44,160.0 * 20,960.0 * 23,200.0 - - -
<= $1MM 48,205.4 37,423.6 8,481.8 13,263.1 2,761.8 16,140.5 3,420.0 8,020.0 2,300.0
<= $10MM 763,589.8 576,078.8 166,761.0 210,353.0 89,747.1 114,248.1 15,735.0 251,477.7 61,278.9
> $10MM 1,121,931.7 616,805.6 505,126.2 485,316.6 483,326.2 * - * *
NUMBER OF TRADES 290 208 70 72 35 59 11 77 24
Customer Buy 160 111 41 34 21 34 8 43 12
Customer Sell 119 87 28 33 13 20 * 34 12
Dealer to Dealer 11 10 * 5 * 5 - - -
<= $1MM 79 60 15 22 5 26 5 12 5
<= $10MM 182 134 40 43 17 29 6 62 17
> $10MM 29 14 15 7 13 * - * *

* 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].