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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 98.1 98.4 98.1 99.9 100.0 100.2 99.8 90.4 89.3
Weighted Avg. Price 96.4 98.0 92.7 100.0 100.0 100.3 99.3 89.1 62.9
Avg. Price Bottom 5 Trades 49.8 51.7 78.3 99.4 99.5 99.6 98.8 51.7 79.1
2nd Quartile Price 99.9 99.9 99.9 99.9 100.0 100.0 100.0 94.2 97.1
3rd Quartile Price 100.0 100.0 100.0 100.0 100.0 100.1 100.1 98.6 100.9
4th Quartile Price 100.1 100.0 100.2 100.0 100.1 100.3 100.4 99.9 102.5
Avg. Price Top 5 Trades 102.6 102.1 101.7 100.3 100.4 102.1 100.5 100.2 101.5
Standard Deviation 9.1 8.0 10.5 0.2 0.4 0.6 0.8 17.6 24.5
VOLUME OF TRADES (000'S) 963,897.3 679,708.5 275,663.8 339,936.5 148,998.8 211,295.4 73,719.0 128,476.6 52,946.0
Customer Buy 604,481.6 424,187.2 180,294.4 241,993.7 98,931.4 121,503.0 39,100.0 60,690.5 42,263.0
Customer Sell 347,970.7 250,076.4 89,369.4 95,997.8 44,067.4 88,292.4 34,619.0 65,786.1 10,683.0
Dealer to Dealer 11,445.0 5,445.0 * * * * - * -
<= $1MM 67,402.5 54,735.1 10,667.4 31,457.6 6,067.4 16,347.4 4,600.0 6,930.0 -
<= $10MM 537,598.8 396,299.5 134,774.4 111,035.4 87,415.4 174,673.0 26,119.0 110,591.1 21,240.0
> $10MM 358,896.0 228,674.0 130,222.0 197,443.5 * * * * *
NUMBER OF TRADES 296 226 65 111 37 77 17 38 11
Customer Buy 146 113 33 49 18 47 9 17 6
Customer Sell 140 107 28 59 15 29 8 19 5
Dealer to Dealer 10 6 * * * * - * -
<= $1MM 115 97 16 64 11 25 5 8 -
<= $10MM 162 117 42 37 22 51 10 29 10
> $10MM 19 12 7 10 * * * * *

* 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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