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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 93.6 92.7 97.7 100.2 100.1 100.2 100.1 81.8 93.4
Weighted Avg. Price 87.2 83.9 94.4 100.2 99.9 100.2 99.9 66.4 85.2
Avg. Price Bottom 5 Trades 22.3 25.7 72.0 99.9 99.9 99.0 98.8 25.7 72.3
2nd Quartile Price 99.0 98.2 99.9 100.1 100.1 100.1 99.9 60.2 99.8
3rd Quartile Price 100.2 100.1 100.2 100.2 100.2 100.3 100.3 96.1 100.6
4th Quartile Price 100.4 100.3 100.6 100.3 100.2 100.4 100.6 99.6 101.6
Avg. Price Top 5 Trades 101.9 101.3 101.7 100.4 100.3 100.7 101.1 101.1 101.7
Standard Deviation 17.4 19.1 9.1 0.1 0.2 0.5 0.9 26.5 14.4
VOLUME OF TRADES (000'S) 1,055,703.1 705,352.5 315,725.5 239,179.4 161,169.5 126,481.5 35,831.0 339,691.5 118,725.0
Customer Buy 505,672.2 344,173.1 149,408.7 98,179.5 76,677.7 77,804.0 15,406.0 168,189.6 57,325.0
Customer Sell 499,556.8 310,805.4 166,216.8 108,625.9 84,491.8 40,677.5 20,325.0 161,502.0 61,400.0
Dealer to Dealer 50,474.0 50,374.0 * * - * * * -
<= $1MM 33,954.1 20,212.4 11,741.8 3,982.4 4,720.8 13,040.0 5,521.0 3,190.0 *
<= $10MM 522,054.1 389,000.2 100,428.7 100,148.1 14,893.7 113,441.5 30,310.0 175,410.7 55,225.0
> $10MM 499,694.9 296,139.9 203,555.0 135,049.0 141,555.0 - - 161,090.9 *
NUMBER OF TRADES 243 164 64 39 21 58 20 67 23
Customer Buy 127 85 36 19 14 31 9 35 13
Customer Sell 104 68 27 17 7 23 10 28 10
Dealer to Dealer 12 11 * * - * * * -
<= $1MM 62 38 21 10 10 22 9 6 *
<= $10MM 155 110 33 23 5 36 11 51 17
> $10MM 26 16 10 6 6 - - 10 *

* 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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