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.

 

Notes

 

July 7, 2014:

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.

 

July 30, 2014:

On July 29, 2014 due to a firm input error the Volume of Trades was overstated in the 'Investment Grade CBO/CDO/CLO' buckets for both reports. The Volume of Trades was reported as 8,910,295.5 and should have been 154,060.5. The Customer Buy bucket on the Structured Product Pricing Tables was reported as 8,828,492.3 and should have been 72,257.3. Please adjust your records accordingly.

 

 

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.