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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 91.1 93.0 98.0 100.1 100.0 99.8 100.4 71.7 *
Weighted Avg. Price 72.9 67.1 96.3 100.1 100.3 99.5 100.5 37.8 *
Avg. Price Bottom 5 Trades 35.4 40.6 89.6 99.7 99.2 98.7 100.4 40.6 *
2nd Quartile Price 98.8 99.1 99.9 100.0 100.0 99.8 100.3 36.1 *
3rd Quartile Price 100.0 100.0 100.3 100.1 100.3 100.2 100.6 97.0 *
4th Quartile Price 100.3 100.3 100.4 100.3 100.4 100.3 100.7 99.9 *
Avg. Price Top 5 Trades 100.7 100.6 100.6 100.5 100.4 100.4 100.5 100.0 *
Standard Deviation 21.3 20.7 7.4 0.4 0.6 0.8 0.2 34.6 *
VOLUME OF TRADES (000'S) 514,879.6 367,863.6 100,467.7 120,473.1 63,892.7 52,975.0 16,980.0 194,415.5 *
Customer Buy 340,497.9 243,594.0 83,030.6 104,858.5 54,550.6 37,822.5 * 100,913.0 *
Customer Sell 173,086.3 123,145.3 17,266.0 * * 15,152.5 * 93,502.5 *
Dealer to Dealer * * * * * - - - -
<= $1MM 14,556.3 9,508.9 2,792.1 5,786.4 1,342.1 3,095.0 * * -
<= $10MM 240,258.3 144,554.7 71,410.6 49,336.7 36,285.6 49,880.0 * 45,338.0 *
> $10MM 260,065.0 213,800.0 * * * - - * -
NUMBER OF TRADES 100 61 28 25 18 21 7 15 *
Customer Buy 64 41 18 19 12 13 * 9 *
Customer Sell 32 18 8 * * 8 * 6 *
Dealer to Dealer * * * * * - - - -
<= $1MM 35 21 10 13 7 7 * * -
<= $10MM 56 34 16 9 9 14 * 11 *
> $10MM 9 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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