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 * 102.0 6.5 99.9 96.2
Weighted Avg. Price 97.7 * 102.4 6.8 99.2 97.6
Avg. Price Bottom 5 Trades 84.4 * 82.6 6.0 83.2 87.7
2nd Quartile Price 94.5 * 100.5 6.4 99.8 95.1
3rd Quartile Price 97.8 * 103.1 6.7 100.0 98.3
4th Quartile Price 100.5 * 104.8 7.1 100.4 98.8
Avg. Price Top 5 Trades 103.2 * 109.9 7.1 109.9 99.6
Standard Deviation 5.6 * 5.4 0.8 3.4 5.1
VOLUME OF TRADES (000'S) 114,639.5 * 638,260.8 264,825.1 1,727,427.7 256,334.4
Customer Buy 68,936.2 0.0 317,698.5 238,208.4 619,879.3 138,084.4
Customer Sell 31,733.5 * 311,962.2 * 893,050.4 71,650.0
Dealer to Dealer * * * 0.0 214,498.0 *
<= $1MM 7,205.6 * 13,717.6 * 27,196.2 *
<= $10MM 26,915.0 0.0 396,064.5 * 511,244.0 55,234.4
<= $100MM 80,518.9 0.0 228,478.7 251,105.7 819,419.5 198,200.0
> $100MM 0.0 0.0 0.0 0.0 * 0.0
NUMBER OF TRADES 48 * 151 10 257 24
Customer Buy 25 0 83 6 116 13
Customer Sell 20 * 65 * 112 8
Dealer to Dealer * * * 0 29 *
<= $1MM 31 * 43 * 96 *
<= $10MM 11 0 94 * 120 14
<= $100MM 6 0 14 5 40 7
> $100MM 0 0 0 0 * 0
Non-Investment Grade †
AVERAGE PRICE 77.3 * 91.6 * 100.6 66.9
Weighted Avg. Price 63.8 * 81.1 * 99.8 65.1
Avg. Price Bottom 5 Trades 12.7 * 33.9 * 97.3 57.5
2nd Quartile Price 63.5 * 88.5 * 98.8 61.8
3rd Quartile Price 82.6 * 100.0 * 99.3 72.2
4th Quartile Price 92.5 * 104.1 * 103.1 90.5
Avg. Price Top 5 Trades 100.6 * 110.8 * 106.1 77.3
Standard Deviation 18.7 * 21.6 * 3.6 21.2
VOLUME OF TRADES (000'S) 1,530,159.5 * 448,519.6 * 31,625.7 36,400.0
Customer Buy 912,170.1 * 296,875.6 * 24,510.7 *
Customer Sell 587,901.6 0.0 145,119.2 * 3,621.9 *
Dealer to Dealer 30,087.8 0.0 6,524.8 0.0 * 0.0
<= $1MM 23,809.4 * 6,908.7 0.0 5,518.4 0.0
<= $10MM 230,496.2 0.0 271,259.1 0.0 26,107.3 36,400.0
<= $100MM 1,061,323.2 0.0 170,351.8 0.0 0.0 0.0
> $100MM * 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 383 * 91 * 23 7
Customer Buy 192 * 47 * 14 *
Customer Sell 140 0 33 * 5 *
Dealer to Dealer 51 0 11 0 * 0
<= $1MM 283 * 28 0 12 0
<= $10MM 52 0 54 0 11 7
<= $100MM 46 0 9 0 0 0
> $100MM * 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 95.6 95.8 99.1
Weighted Avg. Price 98.0 95.1 99.2
Avg. Price Bottom 5 Trades 87.0 90.2 96.3
2nd Quartile Price 93.5 96.3 96.6
3rd Quartile Price 97.5 98.5 100.5
4th Quartile Price 100.0 99.8 103.1
Avg. Price Top 5 Trades 100.9 99.3 102.2
Standard Deviation 5.6 6.6 3.3
VOLUME OF TRADES (000'S) 7,303.7 39,511.2 67,824.6
Customer Buy 6,106.1 24,620.6 38,209.6
Customer Sell 1,193.2 14,815.7 *
Dealer to Dealer * * *
<= $1MM 3,496.6 1,447.1 *
<= $10MM * 13,476.1 *
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 24 13 11
Customer Buy 11 7 7
Customer Sell 12 5 *
Dealer to Dealer * * *
<= $1MM 23 5 *
<= $10MM * 6 *
<= $100MM 0 * *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 79.4 77.2 74.9
Weighted Avg. Price 89.5 60.0 74.1
Avg. Price Bottom 5 Trades 12.7 36.7 47.5
2nd Quartile Price 77.0 63.4 62.0
3rd Quartile Price 88.5 81.8 76.0
4th Quartile Price 94.5 92.8 87.3
Avg. Price Top 5 Trades 99.0 99.5 99.8
Standard Deviation 23.1 17.6 15.9
VOLUME OF TRADES (000'S) 48,364.0 1,166,041.0 315,754.5
Customer Buy 21,736.1 660,921.1 229,512.9
Customer Sell 18,741.5 485,430.3 83,729.7
Dealer to Dealer 7,886.4 19,689.6 2,511.9
<= $1MM 5,421.5 13,209.0 5,178.9
<= $10MM 42,942.5 140,421.1 47,132.6
<= $100MM 0.0 797,880.2 263,443.0
> $100MM 0.0 * 0.0
NUMBER OF TRADES 89 223 71
Customer Buy 47 105 40
Customer Sell 26 91 23
Dealer to Dealer 16 27 8
<= $1MM 79 159 45
<= $10MM 10 29 13
<= $100MM 0 33 13
> $100MM 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
<= $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 0
Customer Sell * 0 0
Dealer to Dealer * 0 0
<= $1MM * 0 0
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-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

* 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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