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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-2021 2021-2024 PRE-2021 2021-2024 PRE-2021 2021-2024 PRE-2021 2021-2024
AVERAGE PRICE 95.1 94.3 96.2 100.3 100.4 99.6 100.4 81.0 91.7
Weighted Avg. Price 94.4 93.2 95.5 100.4 100.6 99.2 100.3 76.7 90.4
Avg. Price Bottom 5 Trades 43.4 49.1 50.8 100.1 100.2 95.4 100.0 49.1 50.8
2nd Quartile Price 99.7 98.3 99.9 100.2 100.2 100.1 100.2 67.8 96.3
3rd Quartile Price 100.2 100.2 100.2 100.2 100.3 100.1 100.3 92.6 99.9
4th Quartile Price 100.4 100.3 100.8 100.3 100.8 100.4 100.5 99.9 102.6
Avg. Price Top 5 Trades 103.7 101.5 103.7 100.7 100.9 101.5 101.2 100.2 103.7
Standard Deviation 14.2 14.5 13.4 0.2 0.3 2.1 0.6 21.4 18.2
VOLUME OF TRADES (000'S) 669,653.1 328,290.9 328,749.6 127,198.1 100,559.6 106,220.0 67,725.0 94,872.9 160,465.0
Customer Buy 327,098.2 187,422.2 138,539.6 81,959.3 38,137.1 44,740.0 22,200.0 60,722.9 78,202.5
Customer Sell 308,313.0 132,216.8 164,620.0 40,586.9 49,982.5 59,480.0 33,525.0 32,150.0 81,112.5
Dealer to Dealer 34,241.9 8,651.9 25,590.0 * 12,440.0 * * * *
<= $1MM 42,430.5 25,224.1 16,070.0 9,569.6 3,970.0 11,120.0 6,220.0 4,534.5 5,880.0
<= $10MM 564,002.6 239,846.8 312,679.6 83,408.4 96,589.6 66,100.0 61,505.0 90,338.4 154,585.0
> $10MM - - - - - - - - -
NUMBER OF TRADES 234 117 109 45 32 37 24 35 53
Customer Buy 121 66 49 27 15 17 7 22 27
Customer Sell 98 46 50 15 12 19 13 12 25
Dealer to Dealer 15 5 10 * 5 * * * *
<= $1MM 71 42 23 22 9 14 7 6 7
<= $10MM 159 71 86 21 23 21 17 29 46
> $10MM - - - - - - - - -