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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 90.6 91.5 95.3 99.9 99.7 99.0 100.2 77.2 70.3
Weighted Avg. Price 95.6 96.5 93.8 99.6 99.9 99.2 100.1 85.3 66.4
Avg. Price Bottom 5 Trades 27.1 50.7 73.5 99.6 99.1 92.5 99.6 50.7 70.3
2nd Quartile Price 95.7 92.3 99.8 100.0 99.9 99.4 100.1 66.6 *
3rd Quartile Price 100.0 99.8 100.2 100.0 100.2 99.9 100.2 72.5 *
4th Quartile Price 100.2 100.1 100.3 100.1 100.2 100.2 100.4 99.3 *
Avg. Price Top 5 Trades 101.0 100.6 100.7 100.2 100.2 100.5 100.7 100.3 70.3
Standard Deviation 19.8 15.2 16.3 0.7 0.9 3.0 0.6 18.0 32.9
VOLUME OF TRADES (000'S) 588,858.1 391,549.2 187,715.6 179,492.7 74,450.6 131,079.3 78,865.0 80,977.2 34,400.0
Customer Buy 355,079.9 234,524.3 120,455.6 120,071.4 43,450.6 69,169.1 64,305.0 45,283.8 *
Customer Sell 213,546.9 145,396.9 60,550.0 59,421.3 31,000.0 57,910.1 * 28,065.4 *
Dealer to Dealer 20,231.3 * * - - * * * -
<= $1MM 28,465.8 24,065.8 3,700.0 5,779.1 * 14,625.0 3,200.0 3,661.6 -
<= $10MM 357,792.4 229,883.5 119,015.6 90,113.6 48,950.6 62,454.3 35,665.0 77,315.6 34,400.0
> $10MM 202,600.0 137,600.0 * * * * * - -
NUMBER OF TRADES 159 115 38 29 14 45 18 41 6
Customer Buy 87 62 24 18 8 23 13 21 *
Customer Sell 66 50 12 11 6 20 * 19 *
Dealer to Dealer 6 * * - - * * * -
<= $1MM 52 42 6 8 * 18 5 16 -
<= $10MM 99 68 29 18 12 25 11 25 6
> $10MM 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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