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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 94.1 91.5 98.1 100.1 100.1 99.9 * 72.7 *
Weighted Avg. Price 91.4 82.8 99.5 100.1 100.3 99.9 * 53.2 *
Avg. Price Bottom 5 Trades 22.3 22.3 90.7 99.9 99.8 97.8 * 22.3 *
2nd Quartile Price 99.6 98.9 100.0 100.1 100.0 99.8 * 33.8 *
3rd Quartile Price 100.1 100.1 100.2 100.1 100.2 100.2 * 93.2 *
4th Quartile Price 100.3 100.2 100.4 100.2 100.4 100.6 * 99.4 *
Avg. Price Top 5 Trades 101.8 100.8 100.6 100.3 100.5 100.8 * 100.0 *
Standard Deviation 18.4 22.0 7.8 0.1 0.3 1.1 * 32.3 *
VOLUME OF TRADES (000'S) 882,295.2 437,404.5 151,061.3 189,558.5 135,741.3 87,010.0 * 160,836.0 *
Customer Buy 527,533.5 291,456.3 107,551.3 162,283.3 98,141.3 46,605.0 * 82,568.0 *
Customer Sell 330,761.7 127,948.2 37,510.0 17,275.2 * 32,405.0 * 78,268.0 *
Dealer to Dealer 24,000.0 * * * * * - - -
<= $1MM 24,496.9 15,217.5 8,691.3 6,872.5 5,691.3 6,345.0 * * *
<= $10MM 377,342.1 275,048.0 52,870.0 100,497.0 40,550.0 80,665.0 * 93,886.0 *
> $10MM 480,456.2 147,139.0 * 82,189.0 * - - * -
NUMBER OF TRADES 172 112 31 41 23 36 * 35 *
Customer Buy 105 71 22 31 17 20 * 20 *
Customer Sell 62 38 7 9 * 14 * 15 *
Dealer to Dealer 5 * * * * * - - -
<= $1MM 47 30 15 17 12 11 * * *
<= $10MM 99 75 12 19 7 25 * 31 *
> $10MM 26 7 * 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].