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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 92.6 94.1 97.0 100.1 100.1 99.5 100.5 60.3 *
Weighted Avg. Price 89.8 96.8 88.6 100.1 100.2 98.6 100.5 86.2 *
Avg. Price Bottom 5 Trades 17.6 39.2 82.6 99.8 99.9 97.5 100.4 39.4 *
2nd Quartile Price 99.8 99.9 100.0 100.0 100.0 99.9 100.2 14.0 *
3rd Quartile Price 100.0 100.0 100.2 100.0 100.3 100.1 101.1 95.9 *
4th Quartile Price 100.3 100.2 100.3 100.3 100.3 100.3 101.1 98.8 *
Avg. Price Top 5 Trades 100.8 100.6 100.6 100.5 100.3 100.5 100.6 97.4 *
Standard Deviation 23.8 21.4 11.4 0.2 0.2 1.5 0.5 44.0 *
VOLUME OF TRADES (000'S) 464,107.5 344,830.7 89,821.4 167,841.0 45,171.4 107,035.0 15,250.0 69,954.7 *
Customer Buy 301,834.4 224,478.9 47,900.0 129,213.2 27,750.0 60,330.0 * 34,935.7 *
Customer Sell 162,273.2 120,351.8 41,921.4 38,627.8 17,421.4 46,705.0 * 35,019.0 *
Dealer to Dealer - - - - - - - - -
<= $1MM 20,897.7 15,826.3 5,071.4 6,485.1 5,071.4 7,765.0 - * -
<= $10MM 290,564.9 225,854.3 60,250.0 100,855.8 40,100.0 99,270.0 15,250.0 25,728.5 *
> $10MM 152,644.9 103,150.0 * * - - - * *
NUMBER OF TRADES 128 97 27 48 17 35 6 14 *
Customer Buy 81 65 12 35 7 21 * 9 *
Customer Sell 47 32 15 13 10 14 * 5 *
Dealer to Dealer - - - - - - - - -
<= $1MM 37 30 7 17 7 10 - * -
<= $10MM 81 61 18 27 10 25 6 9 *
> $10MM 10 6 * * - - - * *

* 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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