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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 94.3 92.3 100.3 100.2 100.2 - - 84.0 100.4
Weighted Avg. Price 97.5 96.5 100.1 100.1 100.0 - - 91.3 100.6
Avg. Price Bottom 5 Trades 3.2 3.2 99.6 99.8 99.8 - - 3.2 99.8
2nd Quartile Price 100.0 99.9 100.2 100.0 100.1 - - 94.6 100.2
3rd Quartile Price 100.2 100.2 100.3 100.1 100.3 - - 100.4 100.5
4th Quartile Price 100.4 100.4 100.4 100.4 100.3 - - 100.6 100.7
Avg. Price Top 5 Trades 101.0 100.8 101.0 100.8 100.4 - - 100.8 101.0
Standard Deviation 20.2 23.4 0.4 0.3 0.2 - - 31.6 0.6
VOLUME OF TRADES (000'S) 2,021,125.3 1,443,843.3 570,978.0 856,295.4 501,846.0 - - 587,547.9 69,132.0
Customer Buy 1,057,209.6 737,947.6 313,342.0 416,245.0 262,608.0 - - 321,702.6 50,734.0
Customer Sell 953,415.7 695,395.7 257,636.0 432,550.4 239,238.0 - - 262,845.3 18,398.0
Dealer to Dealer * * - * - - - * -
<= $1MM 27,447.1 15,783.1 10,860.0 10,104.1 4,820.0 - - 5,679.1 6,040.0
<= $10MM 468,614.4 343,932.4 119,182.0 185,562.4 77,090.0 - - 158,370.0 42,092.0
> $10MM 1,525,063.8 1,084,127.8 440,936.0 660,629.0 419,936.0 - - 423,498.8 *
NUMBER OF TRADES 198 134 58 69 36 - - 65 22
Customer Buy 123 79 39 41 24 - - 38 15
Customer Sell 72 52 19 26 12 - - 26 7
Dealer to Dealer * * - * - - - * -
<= $1MM 47 27 17 20 9 - - 7 8
<= $10MM 100 66 31 31 18 - - 35 13
> $10MM 51 41 10 18 9 - - 23 *

* 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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