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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 96.3 96.0 98.5 100.1 100.0 100.0 100.2 80.9 89.7
Weighted Avg. Price 97.6 97.3 98.5 100.1 100.1 100.1 100.2 87.0 80.7
Avg. Price Bottom 5 Trades 17.1 26.5 77.3 99.9 98.7 99.1 99.8 26.5 77.9
2nd Quartile Price 100.0 100.0 100.0 100.0 100.0 100.0 100.1 86.1 76.3
3rd Quartile Price 100.1 100.1 100.2 100.1 100.2 100.1 100.3 100.0 101.6
4th Quartile Price 100.3 100.2 100.3 100.1 100.3 100.3 100.3 100.1 101.8
Avg. Price Top 5 Trades 101.5 100.8 101.5 100.5 100.4 100.7 100.4 100.2 101.4
Standard Deviation 15.4 16.4 6.9 0.2 0.9 0.5 0.3 31.9 15.3
VOLUME OF TRADES (000'S) 1,142,327.0 646,702.0 469,230.0 382,389.7 330,830.0 126,883.0 100,435.0 137,429.3 37,965.0
Customer Buy 563,990.7 348,110.7 215,880.0 223,661.0 142,225.0 46,497.1 45,500.0 77,952.5 28,155.0
Customer Sell 564,686.3 294,941.3 243,350.0 158,728.7 188,605.0 76,735.8 44,935.0 59,476.8 *
Dealer to Dealer * * * - - * * - -
<= $1MM 28,499.1 24,399.1 * 12,037.0 * 8,862.1 * * -
<= $10MM 492,596.6 274,576.6 208,025.0 99,888.8 97,850.0 107,800.0 87,210.0 66,887.8 22,965.0
> $10MM 621,231.3 347,726.3 258,005.0 270,464.0 231,980.0 * * * *
NUMBER OF TRADES 188 119 65 57 28 37 27 25 10
Customer Buy 94 61 33 34 12 14 15 13 6
Customer Sell 90 56 30 23 16 21 10 12 *
Dealer to Dealer * * * - - * * - -
<= $1MM 39 34 * 18 * 12 * * -
<= $10MM 126 70 54 29 22 24 23 17 9
> $10MM 23 15 7 10 5 * * * *

* 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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