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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 99.6 99.3 100.4 100.1 100.4 100.6 100.8 93.0 98.9
Weighted Avg. Price 99.4 98.6 100.3 100.1 100.5 100.6 100.9 81.7 94.0
Avg. Price Bottom 5 Trades 82.7 83.6 98.2 99.5 100.0 100.0 100.0 83.6 98.9
2nd Quartile Price 100.0 100.0 100.2 100.0 100.3 100.1 100.2 94.0 *
3rd Quartile Price 100.2 100.1 100.5 100.1 100.5 100.3 100.8 98.8 *
4th Quartile Price 100.5 100.2 100.8 100.2 100.7 100.7 101.2 99.9 *
Avg. Price Top 5 Trades 102.8 102.4 102.0 100.4 100.7 102.4 101.6 99.7 98.9
Standard Deviation 4.5 5.2 1.9 0.3 0.3 0.9 0.7 12.9 5.3
VOLUME OF TRADES (000'S) 558,771.2 312,585.4 233,685.8 191,398.0 197,880.7 92,806.7 26,860.0 28,380.7 8,945.2
Customer Buy 333,919.9 171,341.7 152,578.2 103,085.0 125,224.3 55,306.7 20,610.0 12,950.0 *
Customer Sell 206,659.4 123,051.8 81,107.6 86,621.1 * 27,500.0 6,250.0 8,930.7 *
Dealer to Dealer 18,191.9 18,191.9 - 1,691.9 - * - * -
<= $1MM 33,510.8 23,372.0 9,138.8 15,832.0 2,894.9 5,540.0 4,750.0 2,000.0 *
<= $10MM 240,201.0 159,153.9 69,547.0 45,506.6 39,985.8 87,266.7 22,110.0 26,380.7 *
> $10MM 285,059.4 130,059.4 * 130,059.4 * - - - -
NUMBER OF TRADES 141 98 40 55 19 30 16 13 5
Customer Buy 89 59 29 32 15 22 11 5 *
Customer Sell 44 31 11 18 * 7 5 6 *
Dealer to Dealer 8 8 - 5 - * - * -
<= $1MM 62 46 15 32 5 9 7 5 *
<= $10MM 70 47 21 18 10 21 9 8 *
> $10MM 9 5 * 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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