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 98.7 * 99.0 * 99.0 99.7
Weighted Avg. Price 97.6 * 99.9 * 98.9 100.0
Avg. Price Bottom 5 Trades 97.1 * 92.8 * 93.8 99.0
2nd Quartile Price 98.0 * 97.9 * 98.3 100.0
3rd Quartile Price 98.5 * 99.5 * 99.0 100.2
4th Quartile Price 100.0 * 100.5 * 99.8 100.4
Avg. Price Top 5 Trades 100.6 * 103.9 * 102.0 100.4
Standard Deviation 1.4 * 2.6 * 1.4 1.3
VOLUME OF TRADES (000'S) 158,221.9 * 130,231.8 * 1,904,030.0 28,621.5
Customer Buy 45,509.3 * 55,382.3 0.0 908,228.8 2,021.5
Customer Sell 111,525.6 0.0 73,998.0 * 967,911.1 *
Dealer to Dealer 1,186.9 0.0 851.5 0.0 27,890.1 10,600.0
<= $1MM 2,304.9 0.0 11,704.9 * 23,823.2 5,621.5
<= $10MM 0.0 * 72,972.9 * 171,625.8 *
<= $100MM 155,917.0 0.0 * 0.0 208,581.0 *
> $100MM 0.0 0.0 0.0 0.0 * 0.0
NUMBER OF TRADES 26 * 99 * 210 13
Customer Buy 11 * 52 0 111 6
Customer Sell 10 0 41 * 70 *
Dealer to Dealer 5 0 6 0 29 5
<= $1MM 21 0 68 * 139 10
<= $10MM 0 * 28 * 59 *
<= $100MM 5 0 * 0 8 *
> $100MM 0 0 0 0 * 0
Non-Investment Grade †
AVERAGE PRICE 67.2 1.9 97.5 0.0 99.6 66.3
Weighted Avg. Price 72.5 1.3 95.3 0.0 99.2 66.3
Avg. Price Bottom 5 Trades 3.6 1.9 84.7 0.0 98.6 36.4
2nd Quartile Price 52.5 * 97.2 0.0 99.0 49.0
3rd Quartile Price 87.7 * 99.9 0.0 100.0 99.9
4th Quartile Price 95.5 * 101.5 0.0 101.6 100.5
Avg. Price Top 5 Trades 100.8 1.9 102.2 0.0 100.6 100.6
Standard Deviation 39.4 0.3 6.8 0.0 1.3 40.5
VOLUME OF TRADES (000'S) 252,060.1 701.1 44,260.5 0.0 18,051.9 69,085.0
Customer Buy 138,650.0 * 28,958.6 0.0 * 41,085.0
Customer Sell 112,433.3 * 10,672.0 0.0 9,025.9 *
Dealer to Dealer 976.8 * 4,630.0 0.0 * 0.0
<= $1MM 15,532.8 701.1 6,212.5 0.0 * *
<= $10MM 25,798.0 0.0 38,048.1 0.0 17,334.8 37,335.0
<= $100MM 210,729.3 0.0 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 356 5 33 0 10 15
Customer Buy 261 * 16 0 * 11
Customer Sell 60 * 9 0 5 *
Dealer to Dealer 35 * 8 0 * 0
<= $1MM 340 5 23 0 * *
<= $10MM 7 0 10 0 6 10
<= $100MM 9 0 0 0 0 *
> $100MM 0 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 99.5 99.0 97.6
Weighted Avg. Price 99.1 99.7 97.6
Avg. Price Bottom 5 Trades 98.6 99.0 96.9
2nd Quartile Price 99.0 * 97.8
3rd Quartile Price 100.0 * 98.1
4th Quartile Price 101.0 * 99.0
Avg. Price Top 5 Trades 100.2 99.0 98.3
Standard Deviation 1.3 1.2 1.1
VOLUME OF TRADES (000'S) 265.0 297.1 157,659.8
Customer Buy 196.2 * *
Customer Sell * 26.0 *
Dealer to Dealer * * *
<= $1MM 265.0 297.1 *
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 155,917.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 9 8 9
Customer Buy 7 * *
Customer Sell * 5 *
Dealer to Dealer * * *
<= $1MM 9 8 *
<= $10MM 0 0 0
<= $100MM 0 0 5
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 95.4 50.1 88.7
Weighted Avg. Price 97.3 75.0 68.4
Avg. Price Bottom 5 Trades 83.6 2.9 54.2
2nd Quartile Price 94.8 0.0 87.7
3rd Quartile Price 96.5 79.4 87.7
4th Quartile Price 99.1 88.6 98.5
Avg. Price Top 5 Trades 100.8 99.9 98.9
Standard Deviation 6.1 43.2 12.1
VOLUME OF TRADES (000'S) 6,885.3 126,064.1 119,110.7
Customer Buy 5,584.7 49,956.7 83,108.6
Customer Sell 1,173.4 75,721.7 35,538.2
Dealer to Dealer 127.2 385.6 463.9
<= $1MM 2,734.2 10,297.4 2,501.1
<= $10MM * 21,646.9 0.0
<= $100MM 0.0 * 116,609.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 59 209 88
Customer Buy 23 165 73
Customer Sell 31 21 8
Dealer to Dealer 5 23 7
<= $1MM 57 200 83
<= $10MM * 5 0
<= $100MM 0 * 5
> $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 *
Weighted Avg. Price 0.0 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 *
2nd Quartile Price 0.0 0.0 *
3rd Quartile Price 0.0 0.0 *
4th Quartile Price 0.0 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 *
Standard Deviation 0.0 0.0 *
VOLUME OF TRADES (000'S) 0.0 0.0 *
Customer Buy 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 *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 *
Customer Buy 0 0 *
Customer Sell 0 0 0
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 0 *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE * * 0.0
Weighted Avg. Price * * 0.0
Avg. Price Bottom 5 Trades * * 0.0
2nd Quartile Price * * 0.0
3rd Quartile Price * * 0.0
4th Quartile Price * * 0.0
Avg. Price Top 5 Trades * * 0.0
Standard Deviation * * 0.0
VOLUME OF TRADES (000'S) * * 0.0
Customer Buy * 0.0 0.0
Customer Sell 0.0 * 0.0
Dealer to Dealer 0.0 * 0.0
<= $1MM * * 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
Customer Buy * 0 0
Customer Sell 0 * 0
Dealer to Dealer 0 * 0
<= $1MM * * 0
<= $10MM 0 0 0
<= $100MM 0 0 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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