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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 97.3 96.0 99.0 99.9 100.3 99.7 100.6 79.4 95.0
Weighted Avg. Price 94.8 92.9 99.9 100.0 100.3 98.2 100.7 45.6 98.1
Avg. Price Bottom 5 Trades 23.2 23.2 80.7 98.8 100.1 95.4 100.3 23.2 80.7
2nd Quartile Price 100.1 100.1 100.2 100.1 100.2 100.2 100.4 59.3 98.0
3rd Quartile Price 100.2 100.1 100.4 100.1 100.3 100.4 100.7 100.3 100.6
4th Quartile Price 100.5 100.4 100.6 100.2 100.4 100.7 100.9 101.6 102.3
Avg. Price Top 5 Trades 102.4 102.1 102.1 100.4 100.5 101.2 100.9 102.1 102.1
Standard Deviation 13.6 17.3 6.0 1.0 0.2 2.8 0.3 36.1 10.8
VOLUME OF TRADES (000'S) 1,108,634.3 803,508.3 264,546.0 604,646.3 178,001.0 96,525.0 31,645.0 102,337.0 54,900.0
Customer Buy 519,688.0 409,307.0 107,831.0 322,408.5 65,586.0 52,355.0 14,495.0 34,543.5 27,750.0
Customer Sell 505,806.3 326,361.3 155,215.0 225,767.8 112,415.0 32,800.0 17,150.0 67,793.5 25,650.0
Dealer to Dealer 83,140.0 67,840.0 * * - * - - *
<= $1MM 43,216.5 24,571.5 10,765.0 12,261.5 5,520.0 8,060.0 5,245.0 4,250.0 -
<= $10MM 360,792.6 205,122.6 150,570.0 89,407.6 69,270.0 74,665.0 26,400.0 41,050.0 54,900.0
> $10MM 704,625.2 573,814.2 103,211.0 502,977.2 103,211.0 * - * -
NUMBER OF TRADES 190 107 64 57 30 30 17 20 17
Customer Buy 81 50 29 24 13 16 8 10 8
Customer Sell 101 51 34 29 17 12 9 10 8
Dealer to Dealer 8 6 * * - * - - *
<= $1MM 71 37 20 21 10 11 10 5 -
<= $10MM 87 46 38 16 14 18 7 12 17
> $10MM 32 24 6 20 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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