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 97.4 0.0 102.8 * 99.5 97.3
Weighted Avg. Price 99.1 0.0 102.9 * 100.6 97.9
Avg. Price Bottom 5 Trades 92.1 0.0 81.1 * 89.0 93.2
2nd Quartile Price 96.5 0.0 101.5 * 99.5 98.0
3rd Quartile Price 99.0 0.0 103.3 * 100.0 98.8
4th Quartile Price 99.9 0.0 105.2 * 100.3 99.6
Avg. Price Top 5 Trades 100.9 0.0 110.4 * 107.9 99.7
Standard Deviation 3.5 0.0 5.1 * 2.8 3.5
VOLUME OF TRADES (000'S) 59,803.7 0.0 568,147.8 * 839,589.6 153,965.9
Customer Buy 16,314.3 0.0 294,292.2 * 340,790.5 84,807.2
Customer Sell 43,441.8 0.0 262,344.7 0.0 470,651.2 69,158.7
Dealer to Dealer 47.6 0.0 11,511.0 0.0 28,147.9 0.0
<= $1MM 833.6 0.0 29,174.8 0.0 35,190.4 2,471.9
<= $10MM 25,377.3 0.0 387,341.6 * 330,403.1 24,020.4
<= $100MM * 0.0 151,631.4 * 473,996.0 127,473.6
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 30 0 161 * 266 17
Customer Buy 13 0 83 * 101 10
Customer Sell 11 0 69 0 141 7
Dealer to Dealer 6 0 9 0 24 0
<= $1MM 23 0 66 0 165 5
<= $10MM 6 0 86 * 83 7
<= $100MM * 0 9 * 18 5
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 74.2 3.3 97.3 38.3 84.7 45.5
Weighted Avg. Price 68.1 9.4 96.3 6.2 46.3 38.6
Avg. Price Bottom 5 Trades 1.3 1.1 52.0 25.4 49.7 27.5
2nd Quartile Price 73.5 0.8 98.5 9.3 94.5 32.0
3rd Quartile Price 83.6 3.1 101.0 102.2 100.9 47.5
4th Quartile Price 91.3 9.9 101.8 102.5 103.5 74.4
Avg. Price Top 5 Trades 101.0 5.4 110.7 45.4 103.9 67.2
Standard Deviation 28.7 3.9 14.1 49.7 34.2 23.6
VOLUME OF TRADES (000'S) 627,885.7 122,616.9 377,630.6 112,692.1 46,207.1 36,730.0
Customer Buy 295,258.1 * 125,112.6 * 44,186.6 *
Customer Sell 265,927.8 * 243,136.1 * 2,020.5 21,980.0
Dealer to Dealer 66,699.8 * 9,381.9 0.0 0.0 0.0
<= $1MM 33,722.1 * 9,507.3 * 3,486.5 *
<= $10MM 136,113.1 7,283.9 87,663.3 * * 36,000.0
<= $100MM 458,050.4 * 280,460.0 * * 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 452 9 87 6 15 11
Customer Buy 243 * 48 * 9 *
Customer Sell 107 * 23 * 6 7
Dealer to Dealer 102 * 16 0 0 0
<= $1MM 391 * 55 * 12 *
<= $10MM 39 5 22 * * 9
<= $100MM 22 * 10 * * 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 98.1 98.9 95.3
Weighted Avg. Price 100.1 96.1 99.3
Avg. Price Bottom 5 Trades 95.9 97.8 93.8
2nd Quartile Price 97.0 99.0 90.5
3rd Quartile Price 99.3 99.9 98.1
4th Quartile Price 100.1 102.4 99.8
Avg. Price Top 5 Trades 99.9 100.4 99.2
Standard Deviation 2.1 2.8 4.7
VOLUME OF TRADES (000'S) 456.8 4,961.3 54,385.5
Customer Buy * * 12,072.7
Customer Sell 26.0 * *
Dealer to Dealer * * 0.0
<= $1MM 456.8 361.3 *
<= $10MM 0.0 * *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 14 7 9
Customer Buy * * 6
Customer Sell 6 * *
Dealer to Dealer * * 0
<= $1MM 14 5 *
<= $10MM 0 * *
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 86.2 69.8 79.9
Weighted Avg. Price 68.1 64.8 70.6
Avg. Price Bottom 5 Trades 19.4 1.4 49.9
2nd Quartile Price 86.0 68.5 77.0
3rd Quartile Price 95.5 82.1 84.9
4th Quartile Price 99.0 87.3 85.8
Avg. Price Top 5 Trades 100.8 100.8 96.6
Standard Deviation 23.9 31.5 13.1
VOLUME OF TRADES (000'S) 9,442.6 266,289.3 352,153.8
Customer Buy 4,166.3 120,418.9 170,673.0
Customer Sell 4,447.6 80,298.3 181,181.9
Dealer to Dealer 828.8 65,572.1 298.9
<= $1MM 7,726.0 21,290.8 4,705.3
<= $10MM * 72,058.4 62,338.2
<= $100MM 0.0 172,940.1 285,110.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 75 301 76
Customer Buy 35 151 57
Customer Sell 22 71 14
Dealer to Dealer 18 79 5
<= $1MM 74 264 53
<= $10MM * 27 11
<= $100MM 0 10 12
> $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 0.7 * *
Weighted Avg. Price 0.7 * *
Avg. Price Bottom 5 Trades 0.7 * *
2nd Quartile Price * * *
3rd Quartile Price * * *
4th Quartile Price * * *
Avg. Price Top 5 Trades 0.7 * *
Standard Deviation 0.0 * *
VOLUME OF TRADES (000'S) 7,283.9 * *
Customer Buy * 0.0 *
Customer Sell * * *
Dealer to Dealer * * 0.0
<= $1MM 0.0 * 0.0
<= $10MM 7,283.9 0.0 0.0
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 * *
Customer Buy * 0 *
Customer Sell * * *
Dealer to Dealer * * 0
<= $1MM 0 * 0
<= $10MM 5 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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