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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 98.1 98.2 97.8 99.9 100.2 99.7 100.2 77.1 73.8
Weighted Avg. Price 98.0 98.0 98.0 99.8 100.2 99.8 100.3 78.4 94.8
Avg. Price Bottom 5 Trades 44.7 55.5 79.5 97.1 100.1 95.5 99.7 58.0 73.8
2nd Quartile Price 99.9 99.9 100.1 99.9 100.2 99.9 100.1 60.8 *
3rd Quartile Price 100.1 100.1 100.2 100.1 100.3 100.1 100.3 99.9 *
4th Quartile Price 100.3 100.3 100.3 100.2 100.3 100.4 100.4 100.1 *
Avg. Price Top 5 Trades 101.1 100.8 100.8 100.5 100.3 100.8 100.8 100.0 73.8
Standard Deviation 11.0 10.6 11.9 1.0 0.1 1.5 0.3 34.7 32.6
VOLUME OF TRADES (000'S) 1,286,224.2 1,026,542.2 251,682.0 701,176.4 41,800.0 236,535.0 104,512.0 88,830.8 105,370.0
Customer Buy 720,561.0 572,569.0 139,992.0 400,838.1 30,300.0 113,150.0 51,322.0 58,580.8 58,370.0
Customer Sell 540,823.3 431,453.3 109,370.0 299,088.3 * 122,365.0 50,870.0 * *
Dealer to Dealer 24,840.0 22,520.0 2,320.0 * - * 2,320.0 * -
<= $1MM 58,333.5 29,014.5 29,319.0 11,639.5 6,250.0 17,125.0 21,625.0 * *
<= $10MM 510,446.7 374,083.7 128,363.0 142,917.9 35,550.0 179,410.0 82,887.0 51,755.8 *
> $10MM 717,444.0 623,444.0 * 546,619.0 - * - * *
NUMBER OF TRADES 234 156 77 65 22 80 48 11 7
Customer Buy 143 89 53 39 19 44 28 6 6
Customer Sell 80 61 19 24 * 35 15 * *
Dealer to Dealer 11 6 5 * - * 5 * -
<= $1MM 85 43 42 17 8 25 32 * *
<= $10MM 128 94 33 33 14 53 16 8 *
> $10MM 21 19 * 15 - * - * *

* 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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