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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 94.9 97.9 99.6 100.1 100.0 100.0 100.1 89.3 *
Weighted Avg. Price 93.7 98.6 99.6 100.1 99.9 100.3 100.1 87.8 *
Avg. Price Bottom 5 Trades 34.9 70.5 97.3 99.8 99.8 99.6 99.7 70.5 *
2nd Quartile Price 99.7 99.8 99.8 100.0 99.8 99.9 99.8 93.6 *
3rd Quartile Price 100.0 100.0 100.0 100.1 100.0 100.0 100.1 98.4 *
4th Quartile Price 100.1 100.1 100.2 100.3 100.1 100.2 100.2 99.7 *
Avg. Price Top 5 Trades 100.9 100.6 100.5 100.4 100.2 100.5 100.6 99.7 *
Standard Deviation 15.5 8.6 1.8 0.2 0.2 0.3 0.7 16.9 *
VOLUME OF TRADES (000'S) 417,669.8 262,110.3 113,809.4 118,781.8 67,018.7 109,525.0 40,820.0 33,803.6 *
Customer Buy 277,069.7 171,867.8 85,577.0 85,340.9 49,891.7 71,115.0 32,700.0 15,411.9 *
Customer Sell 112,850.3 62,492.9 28,232.4 33,440.9 * 19,210.0 * * *
Dealer to Dealer 27,749.7 27,749.7 - - - * - * -
<= $1MM 26,232.0 15,927.4 7,804.6 5,197.4 6,414.6 9,730.0 * * -
<= $10MM 261,187.8 150,532.9 71,404.9 40,434.3 26,004.2 77,295.0 39,430.0 32,803.6 *
> $10MM 130,250.0 95,650.0 * * * * - - -
NUMBER OF TRADES 115 74 31 24 16 35 13 15 *
Customer Buy 74 47 23 16 12 24 10 7 *
Customer Sell 34 20 8 8 * 8 * * *
Dealer to Dealer 7 7 - - - * - * -
<= $1MM 36 23 10 10 8 12 * * -
<= $10MM 71 46 18 10 5 22 11 14 *
> $10MM 8 5 * * * * - - -

* 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].