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 98.1 0.0 103.2 5.2 99.6 99.2
Weighted Avg. Price 100.5 0.0 103.8 5.3 98.8 99.5
Avg. Price Bottom 5 Trades 83.5 0.0 81.9 4.4 83.8 95.3
2nd Quartile Price 95.9 0.0 100.4 4.5 99.9 99.5
3rd Quartile Price 99.5 0.0 102.4 6.0 100.1 100.1
4th Quartile Price 100.5 0.0 106.7 6.5 100.4 100.2
Avg. Price Top 5 Trades 103.7 0.0 114.3 6.2 104.9 100.5
Standard Deviation 4.2 0.0 5.1 1.2 2.9 2.1
VOLUME OF TRADES (000'S) 210,943.6 0.0 520,540.4 230,858.0 1,168,840.8 176,745.0
Customer Buy 82,170.1 0.0 264,511.0 * 481,024.6 61,110.0
Customer Sell 122,749.7 0.0 204,598.5 204,965.6 559,923.3 75,260.0
Dealer to Dealer 6,023.8 0.0 51,430.8 0.0 127,892.9 40,375.0
<= $1MM 10,813.7 0.0 41,352.7 * 65,014.9 12,525.0
<= $10MM 120,951.1 0.0 344,076.2 * 582,944.5 141,820.0
<= $100MM 79,178.8 0.0 135,111.5 226,804.5 520,881.3 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 122 0 209 9 402 51
Customer Buy 46 0 88 * 151 11
Customer Sell 52 0 101 7 216 26
Dealer to Dealer 24 0 20 0 35 14
<= $1MM 84 0 100 * 203 23
<= $10MM 32 0 100 * 179 26
<= $100MM 6 0 9 7 20 *
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 82.7 47.0 94.8 2.3 88.7 68.5
Weighted Avg. Price 74.2 29.7 85.2 2.3 76.0 58.5
Avg. Price Bottom 5 Trades 5.7 13.0 6.3 2.3 11.0 19.9
2nd Quartile Price 78.6 27.2 97.0 * 84.1 55.8
3rd Quartile Price 87.5 61.5 99.9 * 100.1 77.5
4th Quartile Price 93.3 77.9 100.6 * 103.3 92.8
Avg. Price Top 5 Trades 107.5 76.1 110.3 2.3 107.6 98.2
Standard Deviation 18.1 31.8 18.4 2.9 27.8 29.2
VOLUME OF TRADES (000'S) 1,444,945.7 32,328.2 864,557.5 347,347.5 182,243.1 97,527.3
Customer Buy 611,694.2 16,906.8 394,028.8 71,175.5 47,823.1 48,252.3
Customer Sell 781,698.7 * 380,365.1 * 128,020.8 49,275.0
Dealer to Dealer 51,552.9 * 90,163.7 0.0 6,399.2 0.0
<= $1MM 35,855.7 3,144.3 18,969.4 * 14,241.7 *
<= $10MM 608,977.6 0.0 418,085.8 10,296.0 149,151.8 96,877.3
<= $100MM 800,112.3 * 427,502.3 * * 0.0
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 621 12 225 11 75 27
Customer Buy 287 8 128 9 27 13
Customer Sell 235 * 69 * 43 14
Dealer to Dealer 99 * 28 0 5 0
<= $1MM 446 10 118 * 28 *
<= $10MM 133 0 86 7 46 25
<= $100MM 42 * 21 * * 0
> $100MM 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 96.4 97.9 100.6
Weighted Avg. Price 98.7 96.4 101.2
Avg. Price Bottom 5 Trades 85.2 92.7 97.1
2nd Quartile Price 95.3 95.6 99.4
3rd Quartile Price 98.5 99.5 101.5
4th Quartile Price 99.8 100.1 102.3
Avg. Price Top 5 Trades 100.6 100.9 103.5
Standard Deviation 5.0 3.1 2.5
VOLUME OF TRADES (000'S) 8,047.3 25,071.7 177,824.6
Customer Buy 6,031.0 11,708.2 64,430.8
Customer Sell 1,358.2 10,407.7 110,983.7
Dealer to Dealer 658.1 2,955.7 *
<= $1MM 3,333.0 4,022.1 3,458.5
<= $10MM * 21,049.6 95,187.2
<= $100MM 0.0 0.0 79,178.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 49 39 34
Customer Buy 18 13 15
Customer Sell 18 16 18
Dealer to Dealer 13 10 *
<= $1MM 47 29 8
<= $10MM * 10 20
<= $100MM 0 0 6
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 90.2 80.6 82.0
Weighted Avg. Price 85.0 73.2 78.0
Avg. Price Bottom 5 Trades 51.4 8.1 49.5
2nd Quartile Price 87.4 76.5 76.0
3rd Quartile Price 93.0 86.6 86.5
4th Quartile Price 96.0 92.0 89.8
Avg. Price Top 5 Trades 103.1 106.9 96.4
Standard Deviation 11.8 19.9 12.6
VOLUME OF TRADES (000'S) 33,125.4 1,194,516.5 217,303.8
Customer Buy 14,937.7 492,031.8 104,724.7
Customer Sell 15,707.4 656,314.0 109,677.2
Dealer to Dealer 2,480.3 46,170.7 2,901.9
<= $1MM 12,765.1 18,457.0 4,633.7
<= $10MM 20,360.3 506,559.8 82,057.6
<= $100MM 0.0 669,499.7 130,612.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 127 417 77
Customer Buy 66 174 47
Customer Sell 41 173 21
Dealer to Dealer 20 70 9
<= $1MM 118 277 51
<= $10MM 9 106 18
<= $100MM 0 34 8
> $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 * 59.0 *
Weighted Avg. Price * 29.1 *
Avg. Price Bottom 5 Trades * 55.1 *
2nd Quartile Price * 66.0 *
3rd Quartile Price * 77.9 *
4th Quartile Price * 78.9 *
Avg. Price Top 5 Trades * 65.4 *
Standard Deviation * 25.0 *
VOLUME OF TRADES (000'S) * 30,424.0 *
Customer Buy * * *
Customer Sell 0.0 * 0.0
Dealer to Dealer * * 0.0
<= $1MM * * *
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 6 *
Customer Buy * * *
Customer Sell 0 * 0
Dealer to Dealer * * 0
<= $1MM * * *
<= $10MM 0 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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