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 99.9 * 101.9 5.5 99.8 99.9
Weighted Avg. Price 98.5 * 102.6 4.6 100.1 99.8
Avg. Price Bottom 5 Trades 93.3 * 76.1 2.0 96.6 99.1
2nd Quartile Price 99.5 * 100.7 4.4 99.5 100.0
3rd Quartile Price 100.3 * 102.4 5.5 100.0 100.1
4th Quartile Price 101.1 * 104.5 6.5 100.2 100.6
Avg. Price Top 5 Trades 103.8 * 107.7 10.0 104.9 100.7
Standard Deviation 2.4 * 5.0 2.2 1.1 1.2
VOLUME OF TRADES (000'S) 57,699.7 * 652,484.8 1,033,010.6 789,766.7 68,792.2
Customer Buy 34,611.8 * 289,241.6 558,517.6 434,355.6 12,476.4
Customer Sell 22,574.6 * 190,509.2 434,076.9 299,633.4 46,315.8
Dealer to Dealer 513.3 0.0 172,734.0 * 55,777.7 *
<= $1MM 6,248.2 0.0 37,502.2 * 78,847.7 3,476.4
<= $10MM 32,672.5 0.0 361,122.1 49,389.7 456,397.1 45,505.8
<= $100MM * * 253,860.5 732,121.8 254,522.0 *
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 107 * 211 42 405 14
Customer Buy 33 * 95 10 174 6
Customer Sell 46 * 84 30 170 6
Dealer to Dealer 28 0 32 * 61 *
<= $1MM 100 0 108 * 259 5
<= $10MM 6 0 91 14 133 8
<= $100MM * * 12 23 13 *
> $100MM 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 147.9 46.1 95.1 7.5 89.1 92.9
Weighted Avg. Price 111.2 7.5 97.4 5.9 99.8 89.0
Avg. Price Bottom 5 Trades 29.3 9.2 74.2 2.3 59.3 59.9
2nd Quartile Price 84.5 16.5 87.5 5.0 82.0 94.0
3rd Quartile Price 91.3 70.0 99.9 6.2 82.0 99.5
4th Quartile Price 99.0 77.0 102.5 6.8 100.4 100.2
Avg. Price Top 5 Trades 3,935.8 80.9 107.7 29.1 105.7 100.6
Standard Deviation 719.5 35.4 9.0 12.2 12.4 13.3
VOLUME OF TRADES (000'S) 646,410.1 32,018.1 522,895.9 1,328,271.9 107,805.2 120,730.4
Customer Buy 258,157.6 29,448.7 354,457.6 491,861.7 46,573.2 69,115.2
Customer Sell 358,869.7 1,137.8 112,686.6 776,198.3 35,483.8 45,955.2
Dealer to Dealer 29,382.9 * 55,751.7 60,211.9 25,748.1 *
<= $1MM 18,854.2 3,063.7 23,982.7 8,771.6 11,341.2 10,320.0
<= $10MM 217,281.5 * 236,133.0 47,754.1 63,238.9 100,210.4
<= $100MM 410,274.4 * 155,158.3 670,176.8 * *
> $100MM 0.0 0.0 * 601,569.4 0.0 0.0
NUMBER OF TRADES 388 15 188 61 105 42
Customer Buy 135 7 107 18 66 21
Customer Sell 181 5 49 30 31 19
Dealer to Dealer 72 * 32 13 8 *
<= $1MM 302 13 132 14 85 13
<= $10MM 59 * 50 21 17 28
<= $100MM 27 * 5 21 * *
> $100MM 0 0 * 5 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 99.5 100.6 *
Weighted Avg. Price 99.0 100.0 *
Avg. Price Bottom 5 Trades 93.3 99.1 *
2nd Quartile Price 98.6 100.2 *
3rd Quartile Price 100.0 100.8 *
4th Quartile Price 101.1 101.3 *
Avg. Price Top 5 Trades 103.5 101.5 *
Standard Deviation 2.8 0.9 *
VOLUME OF TRADES (000'S) 19,184.8 14,042.5 *
Customer Buy 11,151.8 4,681.0 *
Customer Sell 7,728.1 9,153.1 *
Dealer to Dealer 304.9 208.4 0.0
<= $1MM 4,427.9 1,073.1 *
<= $10MM * * *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 65 39 *
Customer Buy 27 5 *
Customer Sell 25 19 *
Dealer to Dealer 13 15 0
<= $1MM 63 36 *
<= $10MM * * *
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 91.1 148.4 318.7
Weighted Avg. Price 90.1 94.3 191.7
Avg. Price Bottom 5 Trades 64.4 29.3 51.8
2nd Quartile Price 86.0 84.3 76.3
3rd Quartile Price 96.3 90.3 90.6
4th Quartile Price 99.5 98.0 96.5
Avg. Price Top 5 Trades 101.7 2,723.0 2,080.8
Standard Deviation 11.2 687.8 1,530.4
VOLUME OF TRADES (000'S) 44,182.7 488,359.8 113,867.6
Customer Buy 20,473.2 171,097.7 66,586.7
Customer Sell 19,227.4 292,549.9 47,092.4
Dealer to Dealer 4,482.1 24,712.2 188.6
<= $1MM 8,689.3 8,477.0 1,687.9
<= $10MM 35,493.3 125,100.6 56,687.6
<= $100MM 0.0 354,782.2 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 128 218 42
Customer Buy 39 78 18
Customer Sell 64 98 19
Dealer to Dealer 25 42 5
<= $1MM 113 160 29
<= $10MM 15 34 10
<= $100MM 0 24 *
> $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
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
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 51.4 62.1 *
Weighted Avg. Price 12.6 5.8 *
Avg. Price Bottom 5 Trades 51.4 62.1 *
2nd Quartile Price * * *
3rd Quartile Price * * *
4th Quartile Price * * *
Avg. Price Top 5 Trades 51.4 62.1 *
Standard Deviation 44.8 28.7 *
VOLUME OF TRADES (000'S) 412.9 24,830.9 *
Customer Buy * * *
Customer Sell * * *
Dealer to Dealer 0.0 * *
<= $1MM 412.9 714.8 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 6 *
Customer Buy * * *
Customer Sell * * *
Dealer to Dealer 0 * *
<= $1MM 5 5 *
<= $10MM 0 0 *
<= $100MM 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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