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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 100.0 100.0 100.1 100.0 100.1 100.1 100.1 * *
Weighted Avg. Price 100.0 100.0 100.1 100.0 100.2 100.1 99.9 * *
Avg. Price Bottom 5 Trades 99.3 99.3 99.8 99.7 100.0 99.9 99.9 * *
2nd Quartile Price 99.9 99.9 100.1 99.9 100.1 100.0 100.1 * *
3rd Quartile Price 100.1 100.0 100.2 100.0 100.2 100.1 100.3 * *
4th Quartile Price 100.2 100.2 100.3 100.2 100.3 100.4 100.4 * *
Avg. Price Top 5 Trades 100.4 100.4 100.3 100.3 100.2 100.3 100.3 * *
Standard Deviation 0.3 0.3 0.2 0.2 0.1 0.3 0.3 * *
VOLUME OF TRADES (000'S) 215,499.8 123,858.1 82,668.7 92,188.1 50,514.8 25,670.0 31,843.8 * *
Customer Buy 145,972.9 101,223.1 44,749.8 83,653.1 25,364.8 14,570.0 19,385.0 * -
Customer Sell 67,526.9 22,635.0 35,918.8 8,535.0 25,150.0 11,100.0 * * *
Dealer to Dealer * - * - - - * - -
<= $1MM 15,287.9 10,378.1 4,909.8 7,143.1 3,214.8 3,235.0 * - *
<= $10MM 200,211.9 113,480.0 77,758.8 85,045.0 47,300.0 22,435.0 30,458.8 * -
> $10MM - - - - - - - - -
NUMBER OF TRADES 76 49 26 33 15 14 10 * *
Customer Buy 52 35 17 26 10 8 7 * -
Customer Sell 23 14 8 7 5 6 * * *
Dealer to Dealer * - * - - - * - -
<= $1MM 25 16 9 10 6 6 * - *
<= $10MM 51 33 17 23 9 8 8 * -
> $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.

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