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 * 103.2 5.0 99.8 95.9
Weighted Avg. Price 99.2 * 103.1 7.3 100.1 94.5
Avg. Price Bottom 5 Trades 86.4 * 89.1 3.9 93.2 85.7
2nd Quartile Price 97.5 * 101.4 0.2 99.3 94.4
3rd Quartile Price 99.8 * 103.3 7.9 100.0 98.8
4th Quartile Price 101.3 * 105.3 9.2 100.3 99.8
Avg. Price Top 5 Trades 104.0 * 112.4 8.2 108.4 100.0
Standard Deviation 4.1 * 3.9 4.2 2.2 6.2
VOLUME OF TRADES (000'S) 429,484.9 * 749,206.9 299,277.8 854,757.5 252,740.0
Customer Buy 225,741.4 0.0 356,651.3 * 489,379.1 107,175.0
Customer Sell 199,191.8 * 342,816.1 * 323,628.0 125,885.0
Dealer to Dealer 4,551.7 0.0 49,739.5 * 41,750.3 19,680.0
<= $1MM 9,209.6 0.0 35,088.7 * 45,579.9 4,745.0
<= $10MM 87,109.7 0.0 378,579.2 * 319,263.9 74,925.0
<= $100MM 333,165.6 * 335,539.0 287,592.7 489,913.6 173,070.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 143 * 213 10 282 29
Customer Buy 56 0 88 * 113 14
Customer Sell 51 * 83 * 123 9
Dealer to Dealer 36 0 42 * 46 6
<= $1MM 105 0 109 * 167 6
<= $10MM 27 0 92 * 88 17
<= $100MM 11 * 12 7 27 6
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 83.5 16.6 92.7 7.4 97.6 53.8
Weighted Avg. Price 78.3 8.1 92.9 4.0 98.1 50.7
Avg. Price Bottom 5 Trades 6.4 6.3 11.2 0.2 52.2 1.0
2nd Quartile Price 79.6 9.5 98.8 0.4 99.2 14.9
3rd Quartile Price 88.4 21.3 101.3 0.5 99.8 52.6
4th Quartile Price 95.3 21.3 104.3 4.8 101.7 95.5
Avg. Price Top 5 Trades 107.5 17.7 109.3 67.7 112.3 99.1
Standard Deviation 17.9 7.4 24.0 18.7 13.5 37.3
VOLUME OF TRADES (000'S) 1,314,553.1 81,158.8 635,220.4 2,011,478.1 114,389.9 124,585.4
Customer Buy 737,840.2 44,225.7 306,583.7 849,026.0 57,317.0 61,018.7
Customer Sell 545,279.9 * 281,527.3 1,148,031.4 47,483.7 63,566.7
Dealer to Dealer 31,433.0 * 47,109.5 * 9,589.1 0.0
<= $1MM 53,346.9 981.6 27,861.1 5,257.0 16,542.6 4,733.7
<= $10MM 453,942.8 * 442,605.6 60,253.6 67,847.4 119,851.7
<= $100MM 807,263.4 * 164,753.8 287,012.2 * 0.0
> $100MM 0.0 0.0 0.0 1,658,955.3 0.0 0.0
NUMBER OF TRADES 766 16 175 63 80 34
Customer Buy 355 13 67 40 28 16
Customer Sell 270 * 85 22 23 18
Dealer to Dealer 141 * 23 * 29 0
<= $1MM 606 11 75 28 60 8
<= $10MM 113 * 91 18 18 26
<= $100MM 47 * 9 10 * 0
> $100MM 0 0 0 7 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 97.9 99.9 99.4
Weighted Avg. Price 96.2 97.6 99.6
Avg. Price Bottom 5 Trades 89.5 94.8 96.2
2nd Quartile Price 96.8 99.0 100.0
3rd Quartile Price 99.1 99.8 100.3
4th Quartile Price 100.6 102.5 102.0
Avg. Price Top 5 Trades 103.3 103.1 102.6
Standard Deviation 4.3 2.9 5.3
VOLUME OF TRADES (000'S) 34,765.0 33,937.1 360,782.8
Customer Buy 13,151.7 19,914.4 192,675.2
Customer Sell 17,375.2 13,709.0 168,107.6
Dealer to Dealer 4,238.1 313.6 0.0
<= $1MM 7,152.9 1,682.4 *
<= $10MM 27,612.1 20,560.8 38,936.8
<= $100MM 0.0 * 321,471.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 83 44 16
Customer Buy 27 18 11
Customer Sell 31 15 5
Dealer to Dealer 25 11 0
<= $1MM 68 36 *
<= $10MM 15 7 5
<= $100MM 0 * 10
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 86.9 82.1 79.1
Weighted Avg. Price 85.5 78.6 71.5
Avg. Price Bottom 5 Trades 16.3 6.4 24.5
2nd Quartile Price 85.1 75.0 72.9
3rd Quartile Price 90.9 86.7 84.0
4th Quartile Price 99.3 93.4 89.8
Avg. Price Top 5 Trades 107.5 102.0 99.5
Standard Deviation 17.8 17.4 18.1
VOLUME OF TRADES (000'S) 182,441.7 891,589.7 240,521.7
Customer Buy 99,739.5 527,779.1 110,321.7
Customer Sell 72,808.3 343,791.8 128,679.8
Dealer to Dealer 9,893.9 20,018.9 1,520.2
<= $1MM 24,443.4 21,848.3 7,055.2
<= $10MM 87,899.9 272,304.4 93,738.5
<= $100MM * 597,437.0 139,728.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 289 379 98
Customer Buy 160 147 48
Customer Sell 86 157 27
Dealer to Dealer 43 75 23
<= $1MM 256 278 72
<= $10MM 29 67 17
<= $100MM * 34 9
> $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 0.0
Customer Sell 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 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 *
Customer Buy 0 0 0
Customer Sell 0 0 *
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 0 0
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE * 19.5 *
Weighted Avg. Price * 9.7 *
Avg. Price Bottom 5 Trades * 19.5 *
2nd Quartile Price * * *
3rd Quartile Price * * *
4th Quartile Price * * *
Avg. Price Top 5 Trades * 19.5 *
Standard Deviation * 4.4 *
VOLUME OF TRADES (000'S) * 56,454.9 *
Customer Buy * 28,227.5 *
Customer Sell 0.0 * *
Dealer to Dealer 0.0 * 0.0
<= $1MM 0.0 981.6 0.0
<= $10MM * 0.0 *
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 13 *
Customer Buy * 11 *
Customer Sell 0 * *
Dealer to Dealer 0 * 0
<= $1MM 0 11 0
<= $10MM * 0 *
<= $100MM 0 * 0
> $100MM 0 0 0

* Indicates trade count is less than 5
† Includes Unrated Securities and Unrated New Issues
Data updated with current day's trades at approximately 8PM New York time
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