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 96.4 0.0 103.9 0.0 100.4 99.7
Weighted Avg. Price 96.9 0.0 103.1 0.0 100.7 99.7
Avg. Price Bottom 5 Trades 85.3 0.0 99.9 0.0 97.8 99.4
2nd Quartile Price 93.0 0.0 101.4 0.0 99.9 99.8
3rd Quartile Price 98.8 0.0 104.0 0.0 100.0 99.9
4th Quartile Price 102.2 0.0 106.4 0.0 100.3 100.0
Avg. Price Top 5 Trades 103.2 0.0 109.5 0.0 105.9 100.0
Standard Deviation 6.6 0.0 2.9 0.0 1.7 0.6
VOLUME OF TRADES (000'S) 2,140.3 0.0 162,154.7 0.0 282,070.0 16,175.0
Customer Buy 1,330.2 0.0 105,443.5 0.0 144,502.6 6,705.0
Customer Sell 385.0 0.0 51,511.4 0.0 103,839.5 *
Dealer to Dealer 425.1 0.0 5,199.8 0.0 33,727.8 0.0
<= $1MM 2,140.3 0.0 22,250.7 0.0 14,783.0 *
<= $10MM 0.0 0.0 77,029.7 0.0 212,365.0 14,670.0
<= $100MM 0.0 0.0 * 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 38 0 105 0 121 8
Customer Buy 21 0 48 0 66 5
Customer Sell 7 0 31 0 40 *
Dealer to Dealer 10 0 26 0 15 0
<= $1MM 38 0 79 0 67 *
<= $10MM 0 0 22 0 50 5
<= $100MM 0 0 * 0 * 0
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 88.6 0.0 99.7 * 103.0 *
Weighted Avg. Price 78.5 0.0 100.5 * 101.4 *
Avg. Price Bottom 5 Trades 29.4 0.0 79.1 * 100.1 *
2nd Quartile Price 84.5 0.0 97.5 * 100.7 *
3rd Quartile Price 93.2 0.0 102.2 * 102.0 *
4th Quartile Price 97.0 0.0 105.6 * 107.0 *
Avg. Price Top 5 Trades 102.7 0.0 110.3 * 107.7 *
Standard Deviation 14.8 0.0 10.0 * 3.8 *
VOLUME OF TRADES (000'S) 229,634.1 0.0 181,753.8 * 26,633.6 *
Customer Buy 103,845.9 0.0 97,170.5 0.0 14,115.6 *
Customer Sell 90,536.9 0.0 70,053.5 * 7,163.5 *
Dealer to Dealer 35,251.3 0.0 * 0.0 * 0.0
<= $1MM 10,630.5 0.0 7,566.8 0.0 6,876.0 *
<= $10MM 109,697.4 0.0 110,053.3 0.0 * *
<= $100MM 109,306.3 0.0 * * 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 234 0 46 * 17 *
Customer Buy 128 0 27 0 7 *
Customer Sell 57 0 15 * 7 *
Dealer to Dealer 49 0 * 0 * 0
<= $1MM 205 0 22 0 13 *
<= $10MM 22 0 20 0 * *
<= $100MM 7 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 95.7 99.4 *
Weighted Avg. Price 98.1 94.7 *
Avg. Price Bottom 5 Trades 85.9 97.2 *
2nd Quartile Price 89.5 98.8 *
3rd Quartile Price 98.6 102.2 *
4th Quartile Price 100.3 103.0 *
Avg. Price Top 5 Trades 102.7 101.6 *
Standard Deviation 6.9 3.9 *
VOLUME OF TRADES (000'S) 1,236.0 715.7 *
Customer Buy 1,100.4 56.3 *
Customer Sell 57.6 * 0.0
Dealer to Dealer 78.0 * *
<= $1MM 1,236.0 715.7 *
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 24 10 *
Customer Buy 13 5 *
Customer Sell 5 * 0
Dealer to Dealer 6 * *
<= $1MM 24 10 *
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 88.2 89.0 87.0
Weighted Avg. Price 90.8 69.2 91.2
Avg. Price Bottom 5 Trades 50.3 28.5 69.3
2nd Quartile Price 88.3 85.8 83.6
3rd Quartile Price 95.5 92.8 92.8
4th Quartile Price 99.8 96.5 95.5
Avg. Price Top 5 Trades 102.4 101.5 98.1
Standard Deviation 19.1 14.3 10.6
VOLUME OF TRADES (000'S) 20,056.5 132,364.2 77,213.4
Customer Buy 6,610.0 55,513.6 41,722.2
Customer Sell 13,170.6 51,246.5 26,119.8
Dealer to Dealer 275.9 25,604.1 9,371.3
<= $1MM 1,611.9 6,187.3 2,831.2
<= $10MM * 67,761.7 *
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 43 156 35
Customer Buy 17 94 17
Customer Sell 13 33 11
Dealer to Dealer 13 29 7
<= $1MM 40 137 28
<= $10MM * 15 *
<= $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 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 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

* 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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