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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 94.2 93.1 97.2 100.1 100.1 99.8 100.3 82.5 90.2
Weighted Avg. Price 68.5 64.5 97.0 100.2 100.2 99.0 100.2 24.3 86.0
Avg. Price Bottom 5 Trades 19.3 19.3 83.6 99.9 100.0 98.3 100.3 19.3 83.6
2nd Quartile Price 99.3 99.0 100.0 100.1 100.1 100.0 100.3 87.0 97.4
3rd Quartile Price 100.1 100.1 100.2 100.2 100.2 100.2 100.5 98.5 98.9
4th Quartile Price 100.3 100.3 100.4 100.3 100.3 100.3 100.5 100.3 101.6
Avg. Price Top 5 Trades 101.2 100.8 100.9 100.3 100.3 100.6 100.4 100.6 100.0
Standard Deviation 18.5 20.5 10.2 0.1 0.1 1.1 0.2 29.9 17.4
VOLUME OF TRADES (000'S) 1,093,708.9 962,343.8 122,485.1 416,433.6 82,705.1 95,237.5 12,480.0 450,672.6 27,300.0
Customer Buy 438,362.3 357,394.2 76,718.1 220,655.0 50,988.1 55,047.5 8,480.0 81,691.7 17,250.0
Customer Sell 648,846.6 598,449.6 45,767.0 190,778.6 31,717.0 40,190.0 * 367,481.0 *
Dealer to Dealer * * - * - - - * -
<= $1MM 11,410.1 7,875.0 3,535.1 * 1,805.1 3,525.0 * 3,350.0 -
<= $10MM 297,144.5 209,314.5 78,950.0 72,608.6 40,900.0 63,412.5 * 73,293.3 27,300.0
> $10MM 785,154.3 745,154.3 * 342,825.0 * * - 374,029.3 -
NUMBER OF TRADES 134 102 27 36 13 26 6 40 8
Customer Buy 73 55 16 20 6 17 5 18 5
Customer Sell 59 45 11 15 7 9 * 21 *
Dealer to Dealer * * - * - - - * -
<= $1MM 26 17 9 * 5 8 * 5 -
<= $10MM 82 61 16 16 6 16 * 29 8
> $10MM 26 24 * 16 * * - 6 -

* 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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