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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 95.9 94.2 100.3 100.2 100.3 100.2 100.6 82.3 *
Weighted Avg. Price 77.8 68.8 100.4 100.2 100.4 100.1 100.6 33.2 *
Avg. Price Bottom 5 Trades 41.5 41.5 99.3 99.9 100.1 99.8 100.5 41.5 *
2nd Quartile Price 99.8 99.1 100.3 100.0 100.3 100.1 100.6 69.5 *
3rd Quartile Price 100.2 100.0 100.5 100.2 100.4 100.3 100.6 95.1 *
4th Quartile Price 100.4 100.3 100.6 100.3 100.5 100.5 100.7 99.1 *
Avg. Price Top 5 Trades 100.7 100.6 100.8 100.5 100.6 100.5 100.6 99.5 *
Standard Deviation 14.9 17.5 0.6 0.2 0.2 0.4 0.2 26.8 *
VOLUME OF TRADES (000'S) 886,515.8 633,260.8 250,375.0 287,055.7 222,000.0 49,735.0 23,025.0 296,470.1 *
Customer Buy 362,125.0 226,620.0 133,625.0 142,930.0 108,100.0 33,985.0 20,275.0 49,705.0 *
Customer Sell 408,298.2 290,548.2 116,750.0 137,125.7 113,900.0 14,750.0 * 138,672.5 *
Dealer to Dealer 116,092.5 116,092.5 - * - * - * -
<= $1MM 16,151.5 12,851.5 2,300.0 4,861.5 * 5,615.0 - 2,375.0 *
<= $10MM 276,655.2 197,600.2 77,175.0 61,990.2 50,000.0 33,700.0 23,025.0 101,910.0 *
> $10MM 593,709.1 422,809.1 170,900.0 220,204.0 170,900.0 * - * -
NUMBER OF TRADES 120 84 34 34 22 22 8 28 *
Customer Buy 71 49 21 20 11 16 7 13 *
Customer Sell 43 29 13 13 11 5 * 11 *
Dealer to Dealer 6 6 - * - * - * -
<= $1MM 30 23 6 10 * 8 - 5 *
<= $10MM 65 45 19 11 10 13 8 21 *
> $10MM 25 16 9 13 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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