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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 96.7 97.0 98.2 99.7 99.8 98.5 98.3 86.9 96.4
Weighted Avg. Price 97.1 96.8 99.3 99.8 100.0 99.3 98.0 76.0 98.7
Avg. Price Bottom 5 Trades 24.3 53.5 80.0 98.3 99.2 96.5 95.4 46.9 78.4
2nd Quartile Price 99.0 99.0 99.0 99.9 99.3 99.0 96.0 93.7 99.3
3rd Quartile Price 100.0 100.0 100.0 100.1 100.0 100.1 99.3 96.6 100.0
4th Quartile Price 100.3 100.2 100.3 100.2 100.3 100.2 100.7 99.4 101.2
Avg. Price Top 5 Trades 101.9 101.0 101.8 100.4 100.4 100.6 101.3 100.7 101.8
Standard Deviation 12.5 11.0 6.3 1.1 0.5 3.1 2.8 23.4 10.6
VOLUME OF TRADES (000'S) 1,047,580.3 668,569.8 371,454.4 453,484.3 211,239.4 134,005.0 57,615.0 81,080.5 102,600.0
Customer Buy 414,935.6 261,061.0 153,874.5 177,896.2 91,999.5 49,500.0 16,225.0 33,664.9 45,650.0
Customer Sell 619,466.7 399,458.8 216,229.8 271,588.1 118,889.8 80,455.0 41,390.0 47,415.7 55,950.0
Dealer to Dealer 13,178.0 * * * * * - - *
<= $1MM 30,613.1 19,188.2 11,425.0 8,888.2 5,175.0 7,500.0 3,250.0 * *
<= $10MM 527,336.3 329,850.9 189,929.4 160,201.1 35,964.4 103,555.0 54,365.0 66,094.7 99,600.0
> $10MM 489,630.8 319,530.8 170,100.0 284,395.0 170,100.0 * - * -
NUMBER OF TRADES 226 135 89 67 32 44 29 24 28
Customer Buy 87 50 37 27 14 13 11 10 12
Customer Sell 131 82 48 38 15 30 18 14 15
Dealer to Dealer 8 * * * * * - - *
<= $1MM 56 32 24 19 16 10 5 * *
<= $10MM 146 85 59 33 10 32 24 20 25
> $10MM 24 18 6 15 6 * - * -

* 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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