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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 89.5 86.9 98.4 100.2 100.3 100.3 100.4 70.6 92.2
Weighted Avg. Price 75.2 73.2 98.6 100.3 100.4 100.7 100.4 43.1 94.2
Avg. Price Bottom 5 Trades 24.3 24.4 87.9 100.0 100.0 100.1 100.2 24.4 80.8
2nd Quartile Price 99.9 99.0 100.2 100.0 100.1 100.1 100.4 34.5 100.4
3rd Quartile Price 100.1 100.0 100.4 100.2 100.4 100.3 100.5 98.3 101.6
4th Quartile Price 100.4 100.3 100.6 100.4 100.5 100.7 100.6 100.0 102.1
Avg. Price Top 5 Trades 101.9 100.8 101.8 100.4 100.5 100.5 100.6 100.5 101.8
Standard Deviation 25.0 27.4 10.5 0.2 0.2 0.4 0.2 34.8 20.8
VOLUME OF TRADES (000'S) 741,590.2 610,038.9 99,781.2 296,558.5 54,278.5 23,780.0 16,740.0 289,700.4 28,762.7
Customer Buy 354,861.5 293,013.8 61,535.0 130,569.8 28,295.0 * 16,140.0 159,098.9 17,100.0
Customer Sell 340,463.7 275,525.1 33,481.2 125,988.6 21,218.5 18,935.0 * 130,601.5 11,662.7
Dealer to Dealer 46,265.0 41,500.0 * 40,000.0 * * - - -
<= $1MM 22,017.0 9,318.1 12,386.2 2,860.0 5,483.5 * 5,090.0 5,138.2 *
<= $10MM 267,762.2 161,712.9 87,395.0 93,198.5 48,795.0 22,460.0 * 46,054.4 26,950.0
> $10MM 451,811.0 439,007.9 - * - - - 238,507.9 -
NUMBER OF TRADES 120 69 45 29 23 9 11 31 11
Customer Buy 56 29 26 10 10 * 10 17 6
Customer Sell 55 32 18 12 12 6 * 14 5
Dealer to Dealer 9 8 * 7 * * - - -
<= $1MM 46 22 23 9 13 * 7 11 *
<= $10MM 62 36 22 18 10 7 * 11 8
> $10MM 12 11 - * - - - 9 -

* 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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