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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 94.7 97.0 100.5 100.1 * 99.9 100.8 * *
Weighted Avg. Price 95.6 97.8 100.6 100.1 * 99.9 100.8 * *
Avg. Price Bottom 5 Trades 73.8 87.7 100.0 100.1 * 99.6 100.8 * *
2nd Quartile Price 99.9 99.9 100.2 100.1 * 99.9 * * *
3rd Quartile Price 100.1 100.1 100.5 100.1 * 100.2 * * *
4th Quartile Price 100.4 100.2 101.2 100.2 * 100.3 * * *
Avg. Price Top 5 Trades 100.7 100.3 100.8 100.1 * 100.3 100.8 * *
Standard Deviation 17.7 13.3 0.5 0.1 * 0.5 0.3 * *
VOLUME OF TRADES (000'S) 120,211.9 80,609.0 33,602.9 45,664.4 * 29,928.7 21,200.0 * *
Customer Buy 42,355.9 24,953.0 17,402.9 * * 19,428.7 * * *
Customer Sell 58,156.0 52,156.0 - * - * - * -
Dealer to Dealer 19,700.0 * 16,200.0 - * * * - -
<= $1MM 7,024.4 4,024.4 * * * * - * *
<= $10MM 83,547.6 46,944.7 30,602.9 * * 28,428.7 21,200.0 * -
> $10MM * * - * - - - - -
NUMBER OF TRADES 33 20 11 7 * 10 6 * *
Customer Buy 17 12 5 * * 7 * * *
Customer Sell 9 7 - * - * - * -
Dealer to Dealer 7 * 6 - * * * - -
<= $1MM 9 6 * * * * - * *
<= $10MM 22 12 8 * * 8 6 * -
> $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 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].