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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 88.1 88.9 97.9 99.9 99.9 100.0 100.0 69.4 89.6
Weighted Avg. Price 69.8 74.3 94.8 99.8 100.1 100.0 100.1 40.9 79.9
Avg. Price Bottom 5 Trades 0.9 4.2 73.3 97.0 98.9 98.4 98.6 4.2 73.3
2nd Quartile Price 96.3 97.2 99.9 99.9 100.0 100.0 100.0 42.6 87.1
3rd Quartile Price 100.0 100.0 100.1 100.1 100.1 100.2 100.3 94.3 99.7
4th Quartile Price 100.3 100.2 100.4 100.2 100.3 100.5 100.4 98.1 100.6
Avg. Price Top 5 Trades 101.6 101.4 101.4 100.4 100.4 100.9 100.9 101.1 101.2
Standard Deviation 27.7 26.6 6.9 1.3 1.0 0.6 1.1 37.0 12.4
VOLUME OF TRADES (000'S) 2,126,259.0 1,222,525.3 550,904.3 494,981.3 314,746.3 197,883.2 92,905.0 529,660.8 143,253.0
Customer Buy 999,736.0 603,429.2 225,906.3 214,396.4 98,486.3 108,297.6 52,670.0 280,735.3 74,750.0
Customer Sell 836,109.0 466,265.5 323,798.0 230,584.9 216,260.0 85,585.6 39,035.0 150,095.0 68,503.0
Dealer to Dealer 290,414.0 152,830.6 * * - * * 98,830.6 -
<= $1MM 44,113.0 30,168.7 11,769.8 9,609.3 727.8 13,481.3 9,860.0 7,078.2 *
<= $10MM 742,254.6 487,846.2 204,056.5 118,525.7 101,330.5 171,921.9 70,855.0 197,398.6 31,871.0
> $10MM 1,339,891.4 704,510.4 335,078.0 366,846.3 212,688.0 * * 325,184.1 *
NUMBER OF TRADES 329 221 85 62 31 79 37 80 17
Customer Buy 164 111 41 32 12 38 21 41 8
Customer Sell 148 99 43 28 19 39 15 32 9
Dealer to Dealer 17 11 * * - * * 7 -
<= $1MM 77 51 23 21 5 20 16 10 *
<= $10MM 208 147 49 28 18 58 20 61 11
> $10MM 44 23 13 13 8 * * 9 *

* 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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