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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: As of November 16, 2020, the Coupon buckets for the TBA and Specified Pool transactions will be shifted down .5% to 1.5% in the Structured Product Pricing Tables to better reflect the current interest rate environment.

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.