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: For the March 14, 2014 reports; due to a dealer input error the Agency CMO (P&I) – by Deal Vintage, Post-2007, GNMA Customer Sell volume was overstated by $436,718,780. Please make a note of this in your records.

 

Please note: For the March 27, 2014 reports; due to a dealer input error in the Non-Agency CMO tab, the BBO/CDO/CLO Investment Grade, Dealer to Dealer volume was overstated by 2,117,304. Please make a note of this in your records.

 

Structured Trading Activity Report

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. 

 

Structured Product Pricing Tables

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:

  • TBA (To Be Announced Forward MBS Trades)
  • MBS Pass-Through Securities
  • Agency CMO
  • Non-Agency CMO/CMBS/ABS/CDO
  • Other Structured 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.