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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 97.2 96.5 100.4 99.3 100.3 100.2 100.8 89.8 99.3
Weighted Avg. Price 97.3 96.1 100.3 98.0 100.3 99.9 100.8 88.8 99.5
Avg. Price Bottom 5 Trades 38.8 55.3 98.4 93.2 100.0 98.4 100.3 55.3 98.8
2nd Quartile Price 100.0 99.8 100.2 100.0 100.1 100.1 100.5 92.0 100.2
3rd Quartile Price 100.1 100.1 100.5 100.1 100.4 100.2 100.9 100.1 101.6
4th Quartile Price 100.6 100.5 100.9 100.1 100.6 100.8 101.0 100.6 101.6
Avg. Price Top 5 Trades 102.9 102.7 101.7 100.6 100.7 101.4 101.3 102.7 100.0
Standard Deviation 12.1 13.1 1.1 2.1 0.3 1.2 0.7 21.6 2.6
VOLUME OF TRADES (000'S) 834,450.7 534,895.2 269,031.8 269,492.5 213,661.8 127,042.1 43,370.0 138,360.5 12,000.0
Customer Buy 494,341.3 344,376.2 136,965.1 223,505.5 100,595.1 60,919.0 30,370.0 59,951.7 *
Customer Sell 316,413.2 169,311.7 131,577.8 42,106.8 112,577.8 65,796.1 * 61,408.8 *
Dealer to Dealer 23,696.1 21,207.3 * * * * - * -
<= $1MM 28,110.4 19,523.7 8,586.7 12,484.6 4,141.7 5,104.1 * * *
<= $10MM 342,718.7 240,181.0 85,014.0 61,255.5 34,089.0 72,500.0 40,925.0 106,425.5 *
> $10MM 463,621.6 275,190.4 175,431.1 195,752.4 175,431.1 * - * -
NUMBER OF TRADES 168 118 45 51 23 29 16 38 6
Customer Buy 88 58 29 25 12 16 14 17 *
Customer Sell 72 54 15 23 10 12 * 19 *
Dealer to Dealer 8 6 * * * * - * -
<= $1MM 46 33 13 22 8 8 * * *
<= $10MM 99 70 25 20 8 17 13 33 *
> $10MM 23 15 7 9 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.

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