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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 100.0 100.1 100.0 100.3 * 100.5 100.9 99.7 *
Weighted Avg. Price 100.4 100.3 100.6 100.5 * 100.2 101.2 99.8 *
Avg. Price Bottom 5 Trades 98.0 99.1 99.0 100.2 * 100.4 100.9 99.1 *
2nd Quartile Price 100.0 100.0 100.4 100.1 * 100.3 * 99.3 *
3rd Quartile Price 100.3 100.2 100.4 100.6 * 100.7 * 100.0 *
4th Quartile Price 100.6 100.4 101.8 100.7 * 101.3 * 100.4 *
Avg. Price Top 5 Trades 101.3 100.8 101.1 100.3 * 100.6 100.9 100.1 *
Standard Deviation 1.3 0.6 2.5 0.3 * 0.4 0.9 0.6 *
VOLUME OF TRADES (000'S) 218,085.7 153,085.7 65,000.0 77,860.7 * 36,800.0 54,000.0 38,425.0 *
Customer Buy 107,360.7 76,610.7 30,750.0 47,860.7 * 11,400.0 * 17,350.0 *
Customer Sell 93,225.0 76,475.0 * * - * * 21,075.0 -
Dealer to Dealer * - * - - - * - -
<= $1MM 5,164.1 3,164.1 * * * * * - -
<= $10MM 59,175.0 47,925.0 * - * * * 38,425.0 *
> $10MM 153,746.6 * * * - * * - -
NUMBER OF TRADES 32 24 8 6 * 7 5 11 *
Customer Buy 22 16 6 5 * 6 * 5 *
Customer Sell 9 8 * * - * * 6 -
Dealer to Dealer * - * - - - * - -
<= $1MM 8 6 * * * * * - -
<= $10MM 17 14 * - * * * 11 *
> $10MM 7 * * * - * * - -

* 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].