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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 98.4 98.1 100.4 100.2 100.2 99.8 100.5 93.6 100.5
Weighted Avg. Price 98.3 98.6 100.3 100.2 100.2 99.8 100.5 93.2 100.4
Avg. Price Bottom 5 Trades 61.1 71.7 99.8 99.9 100.0 96.8 100.2 73.2 99.8
2nd Quartile Price 100.0 99.9 100.1 100.1 100.1 100.1 100.3 96.7 99.9
3rd Quartile Price 100.2 100.1 100.4 100.2 100.3 100.2 100.5 99.6 100.8
4th Quartile Price 100.4 100.3 100.7 100.3 100.4 100.4 100.7 100.0 101.1
Avg. Price Top 5 Trades 101.9 101.6 101.5 100.4 100.5 100.8 101.0 101.2 101.3
Standard Deviation 8.7 8.6 0.5 0.2 0.2 2.6 0.4 14.9 0.7
VOLUME OF TRADES (000'S) 1,062,284.6 701,821.6 331,488.0 449,485.8 211,475.0 96,025.9 90,103.0 156,310.0 29,910.0
Customer Buy 473,323.2 332,540.2 125,208.0 217,754.3 72,800.0 26,525.9 38,858.0 88,260.0 13,550.0
Customer Sell 568,661.4 355,281.4 199,980.0 217,731.4 138,675.0 69,500.0 45,245.0 68,050.0 16,060.0
Dealer to Dealer * * * * - - * - *
<= $1MM 32,994.0 23,099.0 9,895.0 5,399.0 2,965.0 8,975.0 3,520.0 8,725.0 3,410.0
<= $10MM 487,727.9 322,959.9 135,793.0 158,834.0 22,710.0 72,550.9 86,583.0 91,575.0 26,500.0
> $10MM 541,562.8 355,762.8 185,800.0 285,252.8 185,800.0 * - * -
NUMBER OF TRADES 203 136 61 54 19 42 24 40 18
Customer Buy 88 60 25 20 8 18 10 22 7
Customer Sell 111 75 33 33 11 24 13 18 9
Dealer to Dealer * * * * - - * - *
<= $1MM 60 39 21 15 6 13 7 11 8
<= $10MM 121 82 33 27 6 28 17 27 10
> $10MM 22 15 7 12 7 * - * -

* 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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