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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 98.7 98.6 99.1 99.6 99.5 99.5 99.2 88.7 98.4
Weighted Avg. Price 98.9 98.8 99.2 99.2 99.6 99.5 99.4 90.6 97.6
Avg. Price Bottom 5 Trades 71.5 71.5 96.1 98.3 99.1 98.2 97.6 71.5 96.2
2nd Quartile Price 99.1 99.1 99.1 99.4 99.4 99.1 99.1 95.0 96.5
3rd Quartile Price 99.6 99.6 99.6 99.7 99.6 99.7 99.8 97.2 99.9
4th Quartile Price 99.9 99.9 100.0 99.9 99.8 99.9 100.0 98.1 100.3
Avg. Price Top 5 Trades 100.3 100.0 100.3 100.0 100.0 100.0 100.1 98.1 100.3
Standard Deviation 5.7 6.7 1.3 0.4 0.3 0.6 1.3 20.9 2.0
VOLUME OF TRADES (000'S) 1,170,256.7 800,405.4 311,776.2 607,504.3 196,469.6 150,346.0 55,346.7 42,555.1 59,960.0
Customer Buy 538,453.0 362,680.7 157,772.2 264,002.7 87,815.6 74,028.0 27,226.7 24,650.0 42,730.0
Customer Sell 592,190.7 429,361.7 124,704.0 337,398.6 88,654.0 74,058.0 24,820.0 17,905.1 *
Dealer to Dealer 39,613.0 8,363.0 29,300.0 6,103.0 * * * - *
<= $1MM 40,373.0 33,104.8 5,018.2 21,289.6 2,491.6 9,810.0 * * *
<= $10MM 604,635.7 393,952.7 169,858.0 212,866.7 57,078.0 140,536.0 53,820.0 40,550.0 58,960.0
> $10MM 525,248.0 373,348.0 136,900.0 373,348.0 136,900.0 - - - -
NUMBER OF TRADES 247 172 61 109 27 48 19 15 15
Customer Buy 128 89 34 59 15 22 9 8 10
Customer Sell 102 73 22 42 10 24 8 7 *
Dealer to Dealer 17 10 5 8 * * * - *
<= $1MM 58 46 9 32 5 11 * * *
<= $10MM 160 109 41 60 11 37 16 12 14
> $10MM 29 17 11 17 11 - - - -

* 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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