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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 95.1 97.1 96.9 99.7 99.8 99.3 98.7 89.4 91.8
Weighted Avg. Price 91.0 98.2 97.7 99.5 99.9 98.7 98.6 90.3 90.5
Avg. Price Bottom 5 Trades 15.1 38.7 65.5 99.1 99.4 96.7 97.2 38.7 65.5
2nd Quartile Price 98.4 98.9 97.5 99.5 99.7 99.2 97.5 95.0 96.3
3rd Quartile Price 99.6 99.6 99.8 99.7 99.9 99.9 98.9 97.3 97.5
4th Quartile Price 99.9 99.9 100.0 99.9 100.0 100.0 100.3 98.7 100.0
Avg. Price Top 5 Trades 100.6 100.5 100.4 100.0 100.2 100.4 100.0 99.5 100.2
Standard Deviation 16.7 12.0 12.7 0.3 0.3 1.3 1.5 22.9 20.8
VOLUME OF TRADES (000'S) 1,463,912.8 1,001,327.7 292,010.1 742,421.7 180,959.1 121,144.0 51,450.0 137,762.0 59,601.0
Customer Buy 742,906.4 460,293.9 220,087.5 337,922.9 149,987.0 61,569.0 36,400.0 60,802.0 33,700.5
Customer Sell 663,845.9 489,123.3 66,672.6 352,588.3 25,722.1 59,575.0 * 76,960.0 25,900.5
Dealer to Dealer 57,160.5 51,910.5 * 51,910.5 * - - - -
<= $1MM 30,286.1 22,871.1 7,415.0 11,886.1 4,940.0 6,950.0 - 4,035.0 2,475.0
<= $10MM 554,259.8 319,134.6 214,825.1 102,285.6 106,249.1 103,444.0 51,450.0 113,405.0 57,126.0
> $10MM 879,366.9 659,321.9 * 628,249.9 * * - * -
NUMBER OF TRADES 237 156 72 78 35 40 12 38 25
Customer Buy 127 80 44 43 21 20 8 17 15
Customer Sell 103 70 27 29 13 20 * 21 10
Dealer to Dealer 7 6 * 6 * - - - -
<= $1MM 62 48 14 28 9 12 - 8 5
<= $10MM 139 81 54 26 22 27 12 28 20
> $10MM 36 27 * 24 * * - * -

* 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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