FINRA-Interactive Data Structured Trading Activity Reports

Pricing Table: Non-Agency CMO | CMBS | ABS | CBO/CDO/CLO
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)
NON-AGENCY CMO
(IO/PO)
CMBS (P&I) CMBS (IO/PO) ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 98.0 0.0 101.6 7.9 99.9 99.3
Weighted Avg. Price 98.9 0.0 100.7 8.7 99.8 99.3
Avg. Price Bottom 5 Trades 83.6 0.0 84.9 7.9 90.8 97.4
2nd Quartile Price 94.8 0.0 100.2 * 99.8 99.4
3rd Quartile Price 100.3 0.0 102.4 * 99.9 99.9
4th Quartile Price 103.0 0.0 104.0 * 100.1 100.1
Avg. Price Top 5 Trades 104.0 0.0 108.2 7.9 104.9 100.2
Standard Deviation 6.1 0.0 4.7 2.3 1.9 1.1
VOLUME OF TRADES (000'S) 55,970.9 0.0 210,137.0 364,837.7 695,318.0 87,160.2
Customer Buy 35,853.4 0.0 116,834.6 364,837.7 367,428.7 33,750.0
Customer Sell 16,378.4 0.0 81,034.9 0.0 315,184.1 53,410.2
Dealer to Dealer 3,739.1 0.0 12,267.5 0.0 12,705.2 0.0
<= $1MM 6,748.0 0.0 19,379.0 0.0 36,326.4 *
<= $10MM 35,139.9 0.0 160,758.0 * 333,873.8 59,365.8
<= $100MM * 0.0 * * 325,117.8 *
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 127 0 130 5 244 22
Customer Buy 54 0 63 5 121 9
Customer Sell 26 0 60 0 113 13
Dealer to Dealer 47 0 7 0 10 0
<= $1MM 118 0 83 0 133 *
<= $10MM 8 0 45 * 97 17
<= $100MM * 0 * * 14 *
> $100MM 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 87.5 10.7 99.4 * 91.9 88.8
Weighted Avg. Price 76.4 4.5 99.9 * 84.5 84.8
Avg. Price Bottom 5 Trades 18.9 8.6 66.6 * 27.7 88.8
2nd Quartile Price 83.6 8.7 99.6 * 99.2 *
3rd Quartile Price 89.4 20.3 100.9 * 100.0 *
4th Quartile Price 96.9 21.0 104.4 * 101.3 *
Avg. Price Top 5 Trades 106.6 12.3 109.0 * 107.5 88.8
Standard Deviation 14.8 8.2 9.7 * 22.7 10.0
VOLUME OF TRADES (000'S) 604,605.6 133,242.2 465,279.7 * 170,193.6 13,000.0
Customer Buy 310,686.8 * 185,553.6 * 41,746.9 *
Customer Sell 279,362.8 * 263,150.8 0.0 113,054.8 *
Dealer to Dealer 14,556.0 0.0 16,575.3 * 15,391.9 0.0
<= $1MM 23,992.6 * 12,156.9 0.0 17,036.8 0.0
<= $10MM 264,184.0 0.0 147,198.6 * 83,197.2 13,000.0
<= $100MM 316,429.1 * 196,813.8 * * 0.0
> $100MM 0.0 0.0 * 0.0 0.0 0.0
NUMBER OF TRADES 531 6 89 * 78 5
Customer Buy 282 * 41 * 26 *
Customer Sell 153 * 29 0 36 *
Dealer to Dealer 96 0 19 * 16 0
<= $1MM 444 * 43 0 42 0
<= $10MM 68 0 38 * 33 5
<= $100MM 19 * 7 * * 0
> $100MM 0 0 * 0 0 0

Pricing Table: Non-Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
Investment Grade
AVERAGE PRICE 95.5 100.9 98.9
Weighted Avg. Price 94.6 97.6 100.6
Avg. Price Bottom 5 Trades 83.6 96.2 98.2
2nd Quartile Price 90.1 100.3 99.0
3rd Quartile Price 98.3 100.9 102.0
4th Quartile Price 101.8 103.0 102.6
Avg. Price Top 5 Trades 104.1 103.1 99.8
Standard Deviation 7.2 2.4 3.4
VOLUME OF TRADES (000'S) 6,457.6 19,243.3 30,269.9
Customer Buy 3,533.4 15,925.1 *
Customer Sell 1,110.4 1,392.9 *
Dealer to Dealer 1,813.8 1,925.2 0.0
<= $1MM 3,743.6 1,410.3 *
<= $10MM * * *
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 66 55 6
Customer Buy 26 25 *
Customer Sell 16 7 *
Dealer to Dealer 24 23 0
<= $1MM 65 51 *
<= $10MM * * *
<= $100MM 0 * 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 92.0 87.2 82.2
Weighted Avg. Price 76.7 81.1 71.3
Avg. Price Bottom 5 Trades 42.5 26.8 23.4
2nd Quartile Price 89.8 84.5 83.3
3rd Quartile Price 97.5 89.3 84.1
4th Quartile Price 101.2 92.7 88.0
Avg. Price Top 5 Trades 102.8 102.5 106.8
Standard Deviation 14.1 12.2 19.8
VOLUME OF TRADES (000'S) 39,528.5 294,423.4 270,653.8
Customer Buy 18,875.6 155,142.0 136,669.2
Customer Sell 10,836.9 134,615.8 133,910.2
Dealer to Dealer 9,816.0 4,665.6 74.4
<= $1MM 16,170.9 5,938.7 1,882.9
<= $10MM 23,357.6 173,552.8 67,273.6
<= $100MM 0.0 114,931.8 201,497.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 145 286 100
Customer Buy 80 137 65
Customer Sell 34 92 27
Dealer to Dealer 31 57 8
<= $1MM 135 234 75
<= $10MM 10 43 15
<= $100MM 0 9 10
> $100MM 0 0 0

Pricing Table: Non-Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
Investment Grade
AVERAGE PRICE 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0
Customer Sell 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0
Customer Buy 0 0 0
Customer Sell 0 0 0
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE * * *
Weighted Avg. Price * * *
Avg. Price Bottom 5 Trades * * *
2nd Quartile Price * * *
3rd Quartile Price * * *
4th Quartile Price * * *
Avg. Price Top 5 Trades * * *
Standard Deviation * * *
VOLUME OF TRADES (000'S) * * *
Customer Buy * * *
Customer Sell * * *
Dealer to Dealer 0.0 0.0 0.0
<= $1MM * 0.0 0.0
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * * *
Customer Buy * * *
Customer Sell * * *
Dealer to Dealer 0 0 0
<= $1MM * 0 0
<= $10MM 0 0 0
<= $100MM 0 * *
> $100MM 0 0 0

* Indicates trade count is less than 5
† Includes Unrated Securities
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS Listor 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-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

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