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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 93.2 87.7 100.2 100.0 100.3 100.3 100.3 66.4 100.0
Weighted Avg. Price 91.9 87.1 100.2 100.1 100.3 100.5 100.3 59.5 99.7
Avg. Price Bottom 5 Trades 43.8 43.8 95.1 99.7 100.1 100.0 100.1 43.8 96.3
2nd Quartile Price 99.9 97.4 100.2 100.1 100.3 100.1 100.0 38.0 100.5
3rd Quartile Price 100.2 100.1 100.4 100.1 100.3 100.2 100.2 63.9 100.9
4th Quartile Price 100.5 100.2 100.7 100.3 100.5 100.4 101.3 99.1 102.5
Avg. Price Top 5 Trades 102.8 100.9 102.8 100.4 100.6 100.8 100.4 99.3 102.8
Standard Deviation 18.2 23.0 3.4 0.6 0.2 0.5 0.7 26.8 6.0
VOLUME OF TRADES (000'S) 558,299.3 357,780.7 188,218.7 208,801.2 122,941.2 34,365.0 33,930.0 114,614.4 31,347.5
Customer Buy 298,645.9 212,997.2 73,348.7 113,625.5 44,401.2 20,875.0 * 78,496.7 17,317.5
Customer Sell 200,113.4 125,243.4 74,870.0 78,865.7 38,540.0 10,260.0 * 36,117.7 14,030.0
Dealer to Dealer 59,540.0 19,540.0 * * * * - - -
<= $1MM 22,184.8 7,769.8 14,115.0 2,799.8 9,565.0 3,720.0 * * 3,550.0
<= $10MM 265,664.1 154,640.4 99,023.7 57,110.0 38,296.2 30,645.0 32,930.0 66,885.4 27,797.5
> $10MM 270,450.5 195,370.5 * 148,891.5 * - - * -
NUMBER OF TRADES 114 62 49 23 26 16 7 23 16
Customer Buy 71 39 29 15 16 8 * 16 9
Customer Sell 36 18 18 6 8 5 * 7 7
Dealer to Dealer 7 5 * * * * - - -
<= $1MM 36 14 21 6 13 6 * * 6
<= $10MM 66 40 24 12 9 10 5 18 10
> $10MM 12 8 * 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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