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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 94.5 92.0 100.2 100.0 100.0 100.1 100.1 40.9 101.1
Weighted Avg. Price 89.1 83.1 100.1 100.0 100.0 100.0 100.1 23.9 101.1
Avg. Price Bottom 5 Trades 0.6 0.6 99.7 99.7 99.9 99.3 99.8 0.6 101.1
2nd Quartile Price 100.0 99.9 100.0 100.0 100.0 100.0 100.1 1.0 101.1
3rd Quartile Price 100.1 100.1 100.1 100.0 100.1 100.2 100.1 1.5 101.3
4th Quartile Price 100.3 100.3 100.3 100.1 100.1 100.4 100.3 100.1 101.4
Avg. Price Top 5 Trades 101.2 100.7 101.2 100.3 100.1 100.7 100.3 100.1 101.2
Standard Deviation 22.8 26.9 0.4 0.2 0.2 0.4 0.2 48.8 0.2
VOLUME OF TRADES (000'S) 829,107.8 537,320.5 280,787.3 184,942.2 149,037.3 233,178.8 98,750.0 119,199.5 33,000.0
Customer Buy 414,104.2 257,113.2 151,991.0 97,261.5 95,291.0 100,349.0 40,200.0 59,502.7 *
Customer Sell 406,003.6 277,207.3 128,796.3 84,680.7 53,746.3 132,829.8 58,550.0 59,696.7 *
Dealer to Dealer * * - * - - - - -
<= $1MM 28,946.9 19,050.6 9,896.3 6,590.6 * 12,460.0 7,050.0 - -
<= $10MM 394,693.8 264,943.8 118,750.0 68,459.9 24,050.0 140,978.0 61,700.0 55,505.9 33,000.0
> $10MM 405,467.1 253,326.1 152,141.0 109,891.7 * 79,740.8 * * -
NUMBER OF TRADES 167 117 47 38 13 63 28 16 6
Customer Buy 86 58 27 15 6 34 18 9 *
Customer Sell 78 58 20 22 7 29 10 7 *
Dealer to Dealer * * - * - - - - -
<= $1MM 47 31 16 12 * 19 12 - -
<= $10MM 98 70 25 20 5 37 14 13 6
> $10MM 22 16 6 6 * 7 * * -

* 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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