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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 96.9 95.2 99.7 99.6 100.2 98.3 100.3 87.0 96.5
Weighted Avg. Price 96.6 94.4 99.9 100.0 100.0 98.8 100.2 74.6 96.8
Avg. Price Bottom 5 Trades 35.6 35.6 90.5 94.3 100.0 90.4 99.9 35.6 90.5
2nd Quartile Price 99.9 98.1 100.0 100.0 100.0 99.8 100.1 94.4 99.8
3rd Quartile Price 100.1 100.1 100.2 100.1 100.2 100.1 100.3 98.0 100.3
4th Quartile Price 100.3 100.2 100.4 100.2 100.3 100.3 100.4 100.3 102.1
Avg. Price Top 5 Trades 101.8 101.3 101.6 100.4 100.4 100.7 100.9 101.2 101.2
Standard Deviation 11.5 14.2 5.0 1.9 0.2 4.1 0.3 23.0 13.5
VOLUME OF TRADES (000'S) 1,311,165.7 774,212.6 493,868.1 475,868.2 394,968.1 134,968.8 69,075.0 163,375.6 29,825.0
Customer Buy 778,749.8 465,506.6 306,743.1 323,534.6 252,233.1 78,497.0 38,755.0 63,475.0 15,755.0
Customer Sell 497,066.3 286,076.3 178,405.0 138,433.6 136,515.0 55,971.8 27,820.0 91,670.9 14,070.0
Dealer to Dealer 35,349.7 22,629.7 8,720.0 * * * * * -
<= $1MM 35,800.5 17,488.7 16,811.8 5,193.9 7,066.8 7,544.8 8,745.0 4,750.0 *
<= $10MM 588,686.0 380,441.7 166,659.3 169,892.0 77,504.3 85,424.1 60,330.0 125,125.6 28,825.0
> $10MM 686,679.2 376,282.3 310,397.0 300,782.3 310,397.0 * - * -
NUMBER OF TRADES 239 143 79 56 36 42 32 45 11
Customer Buy 127 80 45 36 23 24 16 20 6
Customer Sell 100 58 29 18 10 17 14 23 5
Dealer to Dealer 12 5 5 * * * * * -
<= $1MM 66 33 31 11 13 15 16 7 *
<= $10MM 153 96 42 35 17 25 16 36 9
> $10MM 20 14 6 10 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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