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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 94.0 93.0 99.3 100.2 100.1 100.4 100.2 70.7 *
Weighted Avg. Price 87.6 84.8 99.8 100.2 100.1 100.5 100.1 33.2 *
Avg. Price Bottom 5 Trades 12.0 12.0 95.9 100.0 99.9 98.9 100.0 12.0 *
2nd Quartile Price 99.9 99.9 100.0 100.1 100.0 100.3 100.0 52.9 *
3rd Quartile Price 100.2 100.2 100.1 100.2 100.1 100.5 100.1 98.1 *
4th Quartile Price 100.5 100.5 100.3 100.3 100.3 100.7 100.4 99.2 *
Avg. Price Top 5 Trades 100.7 100.7 100.4 100.3 100.3 100.7 100.3 100.1 *
Standard Deviation 19.8 21.3 2.8 0.1 0.2 0.5 0.2 34.7 *
VOLUME OF TRADES (000'S) 1,567,988.9 1,276,661.6 283,827.3 464,588.5 251,778.3 517,079.0 23,695.0 294,994.1 *
Customer Buy 728,267.4 591,589.4 129,178.0 190,620.3 108,253.0 255,352.0 * 145,617.1 *
Customer Sell 829,876.5 675,227.2 154,649.3 273,968.2 143,525.3 261,727.0 * 139,532.1 *
Dealer to Dealer * * - - - - - * -
<= $1MM 19,257.6 13,681.6 5,576.0 6,681.6 4,506.0 * * * -
<= $10MM 575,974.8 526,805.0 41,669.8 128,378.8 * 274,750.0 22,625.0 123,676.3 *
> $10MM 972,756.5 736,175.0 236,581.5 329,528.1 236,581.5 239,329.0 - 167,317.9 -
NUMBER OF TRADES 182 155 25 47 15 70 8 38 *
Customer Buy 111 96 13 35 8 41 * 20 *
Customer Sell 70 58 12 12 7 29 * 17 *
Dealer to Dealer * * - - - - - * -
<= $1MM 30 21 9 14 7 * * * -
<= $10MM 117 104 11 24 * 51 6 29 *
> $10MM 35 30 5 9 5 16 - 5 -

* 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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