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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: Effective September 24, 2018 the Structured Trading Activity Report and Structured Product Pricing Tables will be enhanced as per below:

  1. CMBS will be broken out into Agency and Non-Agency buckets on both reports:
    1. On the Structured Trading Activity Report tab, the current CMBS P&I and IO/PO rows on the report will be broken out into Non-Agency CMBS P&I, Non-Agency CMBS IO/PO, Agency CMBS P&I and Agency CMBS IO/PO rows.
    2. On the Non-Agency CMO/CMBS/ABS/CDO tab, the two CMBS (P&I) and CMBS (IO/PO) columns will be broken out into four columns: Non-Agency CMBS (P&I), Non-Agency CMBS (IO/PO), Agency CMBS (P&I) and Agency CMBS (IO/PO).
  2. The Agency CMO and Non-Agency CMO/CMBS/ABS/CDO Vintage Buckets will change from Pre-2005, 2005-2007 and Post-2007 to Pre-2009, 2009-2013, 2014-2016 and Post-2016.
  3. The Reports will now be in updated Excel format .xlsx (rather than .xls).
  4. The Reports will temporarily not be displayed in the Market Data section of the website but only available from the Market Transparency page.

For inquiries regarding these or other TRACE Data products, please contact TRACE Data Services at (888) 507-3665.

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.