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 99.1 * 95.9 * 99.3 100.2
Weighted Avg. Price 98.9 * 97.5 * 99.5 100.3
Avg. Price Bottom 5 Trades 94.6 * 80.5 * 96.6 99.5
2nd Quartile Price 98.4 * 94.1 * 98.6 100.0
3rd Quartile Price 99.5 * 98.5 * 99.4 100.2
4th Quartile Price 100.6 * 99.8 * 99.9 100.4
Avg. Price Top 5 Trades 101.6 * 101.9 * 102.2 100.9
Standard Deviation 2.2 * 5.5 * 1.0 0.6
VOLUME OF TRADES (000'S) 57,002.7 * 395,562.6 * 946,714.2 97,603.9
Customer Buy 25,547.9 * 250,514.7 * 372,225.1 68,891.4
Customer Sell 31,389.9 0.0 128,175.9 * 550,452.7 12,312.5
Dealer to Dealer 65.0 0.0 16,872.0 0.0 24,036.4 *
<= $1MM 1,840.2 * 12,277.8 0.0 51,101.9 *
<= $10MM 55,162.5 0.0 216,423.1 0.0 275,007.8 60,112.5
<= $100MM 0.0 0.0 166,861.6 * 401,062.7 *
> $100MM 0.0 0.0 0.0 0.0 * 0.0
NUMBER OF TRADES 48 * 113 * 252 25
Customer Buy 13 * 61 * 121 16
Customer Sell 26 0 44 * 116 5
Dealer to Dealer 9 0 8 0 15 *
<= $1MM 36 * 55 0 157 *
<= $10MM 12 0 50 0 80 19
<= $100MM 0 0 8 * 13 *
> $100MM 0 0 0 0 * 0
Non-Investment Grade †
AVERAGE PRICE 90.0 28.8 94.7 10.0 96.6 91.4
Weighted Avg. Price 63.4 26.5 93.9 8.2 94.7 84.9
Avg. Price Bottom 5 Trades 19.5 5.8 58.4 7.9 77.2 72.1
2nd Quartile Price 85.8 6.8 95.1 8.4 98.6 85.6
3rd Quartile Price 95.0 12.3 98.0 8.6 99.5 99.3
4th Quartile Price 97.3 74.0 100.9 13.8 100.8 100.2
Avg. Price Top 5 Trades 236.7 49.1 104.8 11.7 104.4 102.8
Standard Deviation 30.4 34.7 10.9 3.0 16.4 14.5
VOLUME OF TRADES (000'S) 354,287.8 9,806.0 350,022.6 728,876.5 117,204.6 76,398.4
Customer Buy 197,236.8 8,536.5 159,003.2 * 62,167.6 38,074.2
Customer Sell 142,691.2 * 131,707.7 * 52,741.4 28,074.2
Dealer to Dealer 14,359.8 0.0 59,311.7 * * *
<= $1MM 21,969.3 2,113.2 6,911.0 * 8,466.8 *
<= $10MM 159,133.6 * 246,891.4 0.0 63,737.8 46,748.4
<= $100MM 173,185.0 0.0 96,220.2 336,300.5 * *
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 360 9 99 9 30 18
Customer Buy 150 8 41 * 18 10
Customer Sell 126 * 42 * 9 5
Dealer to Dealer 84 0 16 * * *
<= $1MM 312 5 36 * 13 *
<= $10MM 42 * 58 0 14 13
<= $100MM 6 0 5 5 * *
> $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 99.4 99.1 98.8
Weighted Avg. Price 100.2 99.2 98.8
Avg. Price Bottom 5 Trades 97.2 96.7 98.3
2nd Quartile Price 99.0 99.7 98.4
3rd Quartile Price 100.8 100.4 98.7
4th Quartile Price 101.5 100.8 99.5
Avg. Price Top 5 Trades 101.5 100.8 99.5
Standard Deviation 2.6 3.0 0.5
VOLUME OF TRADES (000'S) 762.5 6,904.1 49,336.1
Customer Buy * * 23,340.3
Customer Sell 424.4 5,011.9 25,953.6
Dealer to Dealer * 12.4 *
<= $1MM 762.5 188.2 889.4
<= $10MM 0.0 * 48,446.7
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 18 13 17
Customer Buy * * 7
Customer Sell 11 6 9
Dealer to Dealer * 5 *
<= $1MM 18 11 7
<= $10MM 0 * 10
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 93.9 92.4 80.1
Weighted Avg. Price 100.4 88.6 36.4
Avg. Price Bottom 5 Trades 58.9 45.1 30.3
2nd Quartile Price 94.0 86.6 60.3
3rd Quartile Price 97.0 95.0 90.4
4th Quartile Price 97.0 97.0 99.5
Avg. Price Top 5 Trades 127.5 198.0 100.1
Standard Deviation 20.1 35.1 22.9
VOLUME OF TRADES (000'S) 7,399.4 174,237.9 172,650.5
Customer Buy 5,584.9 99,914.4 91,737.5
Customer Sell 748.0 61,875.7 80,067.5
Dealer to Dealer 1,066.4 12,447.9 845.5
<= $1MM 3,804.4 9,827.2 8,337.7
<= $10MM * 125,970.4 29,568.1
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 78 202 80
Customer Buy 32 79 39
Customer Sell 21 75 30
Dealer to Dealer 25 48 11
<= $1MM 77 170 65
<= $10MM * 29 12
<= $100MM 0 * *
> $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
<= $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
Customer Buy * 0 0
Customer Sell 0 0 0
Dealer to Dealer 0 0 0
<= $1MM * 0 0
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE * 39.7 *
Weighted Avg. Price * 38.5 *
Avg. Price Bottom 5 Trades * 39.7 *
2nd Quartile Price * * *
3rd Quartile Price * * *
4th Quartile Price * * *
Avg. Price Top 5 Trades * 39.7 *
Standard Deviation * 38.6 *
VOLUME OF TRADES (000'S) * 5,569.0 *
Customer Buy * 4,299.5 *
Customer Sell 0.0 * 0.0
Dealer to Dealer 0.0 0.0 0.0
<= $1MM * * *
<= $10MM 0.0 * *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 6 *
Customer Buy * 5 *
Customer Sell 0 * 0
Dealer to Dealer 0 0 0
<= $1MM * * *
<= $10MM 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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