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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 99.0 98.8 99.6 99.7 99.7 97.3 99.7 98.3 99.2
Weighted Avg. Price 99.3 99.2 99.6 99.5 99.6 97.9 99.5 98.6 99.7
Avg. Price Bottom 5 Trades 92.6 92.8 96.8 99.0 99.5 92.8 98.4 97.7 97.7
2nd Quartile Price 99.1 99.0 99.5 99.5 99.6 96.0 99.5 98.7 98.6
3rd Quartile Price 99.8 99.7 100.1 99.8 99.9 98.7 100.2 98.8 100.3
4th Quartile Price 100.0 99.9 100.3 99.9 100.1 99.7 100.4 99.9 101.0
Avg. Price Top 5 Trades 100.7 100.0 100.7 100.0 100.0 99.9 100.4 99.2 100.6
Standard Deviation 1.9 2.1 1.2 0.3 0.3 3.0 1.3 1.6 1.6
VOLUME OF TRADES (000'S) 1,004,727.5 840,830.0 162,722.4 710,608.8 105,322.4 119,471.2 35,680.0 10,750.0 21,720.0
Customer Buy 535,042.2 415,894.7 119,147.4 355,658.5 90,322.4 55,486.2 17,340.0 * 11,485.0
Customer Sell 449,685.3 404,935.3 43,575.0 334,950.3 * 63,985.0 18,340.0 * 10,235.0
Dealer to Dealer * * - * - - - - -
<= $1MM 26,122.8 16,300.3 9,822.4 7,525.3 * 4,025.0 5,540.0 4,750.0 *
<= $10MM 363,531.4 263,346.4 99,010.0 141,900.2 49,150.0 115,446.2 30,140.0 * 19,720.0
> $10MM 615,073.3 561,183.3 * 561,183.3 * - - - -
NUMBER OF TRADES 160 112 47 67 14 38 22 7 11
Customer Buy 97 66 31 42 12 20 13 * 6
Customer Sell 61 44 16 23 * 18 9 * 5
Dealer to Dealer * * - * - - - - -
<= $1MM 43 28 15 13 * 10 10 5 *
<= $10MM 95 65 29 35 8 28 12 * 9
> $10MM 22 19 * 19 * - - - -

* 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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