Structured Product Activity Reports and Tables
The Financial Industry Regulatory Authority (FINRA) and Interactive Data Corporation have created a suite of aggregated data products for Asset and Mortgage Backed securities to benefit investors and other market participants. Investors can now gauge the activity levels in the market place as well as price levels by various sub-product types.
This new end-of-day service represents the full asset- and mortgage backed securities markets and is derived using only actual transacted prices from TRACE, the U.S. over-the-counter bond market mandated regulatory reporting and dissemination facility.
Please note: Previously, Ginnie Mae II To Be Announced (TBA) securities beginning with '21' were classified as Jumbos (as per the S&P CUSIP Algorithm), and therefore excluded from the 'Single Family' buckets on both Reports—though they were included in the 'Other' bucket of the Structured Trading Activity Report.
On July 7, 2014 these securities, representing the bulk of Ginnie Mae II TBA's, will be added to the 'Single Family' bucket and thus will appear on both the Structured Trading Activity Report and the Structured Product Pricing tables.
The Structured Trading Activity Report (Excel file) displays an aggregate summary of market activity in the U.S. structured products markets by product type, including volume traded (as measured by remaining principal balance), number of trades and number of unique securities traded.
The Structured Product Pricing Tables (Excel file) display price levels for various security categories. The five tables show aggregated price levels as well as volume of the following products:
The tables are included on separate worksheets in the Excel document.
For additional information regarding the reports please contact TRACE Data Services at (888) 507-3665.